SEMIANNUAL REPORT
NOVEMBER 30, 2013
COBO USD Covered Bond
GGOV German Sovereign/Sub-Sovereign ETF
HYHG High Yield–Interest Rate Hedged
IGHG Investment Grade–Interest Rate Hedged
EMSH Short Term USD Emerging Markets Bond ETF
PEX Global Listed Private Equity ETF
HDG Hedge Replication ETF
CSM Large Cap Core Plus
MRGR Merger ETF
RALS RAFI® Long/Short
NOBL S&P 500 Aristocrats ETF
RINF 30 Year TIPS/TSY Spread
FINF Short 30 Year TIPS/TSY Spread
UINF UltraPro 10 Year TIPS/TSY Spread
SINF UltraPro Short 10 Year TIPS/TSY Spread
Geared
Short MarketCap
SH Short S&P500®
PSQ Short QQQ®
DOG Short Dow30SM
MYY Short MidCap400
RWM Short Russell2000
SBB Short SmallCap600
TWQ UltraShort Russell3000
SDS UltraShort S&P500®
QID UltraShort QQQ®
DXD UltraShort Dow30SM
MZZ UltraShort MidCap400
TWM UltraShort Russell2000
SDD UltraShort SmallCap600
SPXU UltraPro Short S&P500®
SQQQ UltraPro Short QQQ®
SDOW UltraPro Short Dow30SM
SMDD UltraPro Short MidCap400
SRTY UltraPro Short Russell2000
Short Style
SJF UltraShort Russell1000 Value
SFK UltraShort Russell1000 Growth
SJL UltraShort Russell MidCap Value
SDK UltraShort Russell MidCap Growth
SJH UltraShort Russell2000 Value
SKK UltraShort Russell2000 Growth
Short Sector
SBM Short Basic Materials
SEF Short Financials
DDG Short Oil & Gas
REK Short Real Estate
KRS Short KBW Regional Banking
SMN UltraShort Basic Materials
BIS UltraShort Nasdaq Biotechnology
SZK UltraShort Consumer Goods
SCC UltraShort Consumer Services
SKF UltraShort Financials
RXD UltraShort Health Care
SIJ UltraShort Industrials
DUG UltraShort Oil & Gas
SRS UltraShort Real Estate
SSG UltraShort Semiconductors
REW UltraShort Technology
TLL UltraShort Telecommunications
SDP UltraShort Utilities
FINZ UltraPro Short Financials
Short International
EFZ Short MSCI EAFE
EUM Short MSCI Emerging Markets
YXI Short FTSE China 25
EFU UltraShort MSCI EAFE
EEV UltraShort MSCI Emerging Markets
EPV UltraShort FTSE Europe
JPX UltraShort MSCI Pacific ex-Japan
BZQ UltraShort MSCI Brazil Capped
FXP UltraShort FTSE China 25
EWV UltraShort MSCI Japan
SMK UltraShort MSCI Mexico Capped IMI
Short Fixed Income
TBX Short 7-10 Year Treasury
TBF Short 20+ Year Treasury
SJB Short High Yield
IGS Short Investment Grade Corporate
TBZ UltraShort 3-7 Year Treasury
PST UltraShort 7-10 Year Treasury
TBT UltraShort 20+ Year Treasury
TPS UltraShort TIPS
TTT UltraPro Short 20+ Year Treasury
Ultra MarketCap
UWC Ultra Russell3000
SSO Ultra S&P500®
QLD Ultra QQQ®
DDM Ultra Dow30SM
MVV Ultra MidCap400
UWM Ultra Russell2000
SAA Ultra SmallCap600
UPRO UltraPro S&P500®
TQQQ UltraPro QQQ®
UDOW UltraPro Dow30SM
UMDD UltraPro MidCap400
URTY UltraPro Russell2000
Ultra Style
UVG Ultra Russell1000 Value
UKF Ultra Russell1000 Growth
UVU Ultra Russell MidCap Value
UKW Ultra Russell MidCap Growth
UVT Ultra Russell2000 Value
UKK Ultra Russell2000 Growth
Ultra Sector
UYM Ultra Basic Materials
BIB Ultra Nasdaq Biotechnology
UGE Ultra Consumer Goods
UCC Ultra Consumer Services
UYG Ultra Financials
RXL Ultra Health Care
UXI Ultra Industrials
DIG Ultra Oil & Gas
URE Ultra Real Estate
KRU Ultra KBW Regional Banking
USD Ultra Semiconductors
ROM Ultra Technology
LTL Ultra Telecommunications
UPW Ultra Utilities
FINU UltraPro Financials
Ultra International
EFO Ultra MSCI EAFE
EET Ultra MSCI Emerging Markets
UPV Ultra FTSE Europe
UXJ Ultra MSCI Pacific ex-Japan
UBR Ultra MSCI Brazil Capped
XPP Ultra FTSE China 25
EZJ Ultra MSCI Japan
UMX Ultra MSCI Mexico Capped IMI
Ultra Fixed Income
UST Ultra 7-10 Year Treasury
UBT Ultra 20+ Year Treasury
UJB Ultra High Yield
IGU Ultra Investment Grade Corporate
PROSHARES TRUST Distributor: SEI Investments Distribution Co.
TABLE OF CONTENTS
I |
Shareholder Letter |
||||||
II |
Allocation of Portfolio Holdings & Index Composition |
||||||
XLIV |
Expense Examples |
||||||
1 |
Schedule of Portfolio Investments |
||||||
32 |
Geared ProShares |
||||||
202 |
Statements of Assets and Liabilities |
||||||
224 |
Statements of Operations |
||||||
246 |
Statements of Changes in Net Assets |
288 |
Financial Highlights |
||||||
349 |
Notes to Financial Statements |
||||||
419 |
Board Approval of Investment Advisory Agreement |
||||||
422 |
Federal Tax Information |
||||||
424 |
Proxy Voting & Quaterly Portfolio Holdings Information |
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DEAR SHAREHOLDER:
I am pleased to present the ProShares Trust Semiannual Report for the six months ended November 30, 2013.
Equity Markets Rally
Equity markets around the globe rallied during the six months ended November 30. U.S. markets posted strong gains, with several indexes reaching record highs. Small cap stocks led the way, rising 16.9%, as measured by the Russell 2000® Index. The S&P 500® rose 11.9%, the Dow® increased 7.7% and the S&P MidCap 400® gained 10.9%. The U.S. economy grew at a healthy 4.1% clip in the third quarter, up from 2.5% in the second quarter. Corporate profits were strong, and key economic indicators improved.
Markets outside the United States also delivered strong results overall. Europe led international markets, with the MSCI Europe Index gaining 14.2%. The MSCI EAFE Index, which reflects developed markets outside North America, rose 12.2%, and the MSCI Japan Index was up 10.2%. Emerging markets were very weak compared to developed markets, with a gain of 2.5%, as measured by the MSCI Emerging Markets Index. European markets are seeing renewed investor interest this year, as many European economies begin to climb out of recession and the outlook for the region improves. Japan continues to benefit from "Abenomics," with the weaker yen contributing to corporate profits in this export-led economy. Emerging markets, on the other hand, suffered significant losses in late spring and early summer, when fears were high that the U.S. Federal Reserve would begin to taper its bond-buying program.
All ten Dow Jones U.S. Industry Indices increased during the period, with consumer services, industrials and health care delivering the strongest returns — 17.6%, 16.1% and 15.6%, respectively. Utilities and telecom were the weakest sector indexes, up 3.3% and 3.8%, respectively.
Fixed Income Markets Wobble
U.S. fixed income markets were mostly down for the six-month period, as investor fears of Fed tapering took hold. The Barclays U.S. Aggregate Bond Index® declined 0.6%, reflecting weakness in investment grade sectors. Treasurys fell sharply, with the Ryan Labs 10 Year Treasury Index down 3.5% and the Ryan Labs 30 Year Treasury Index down 7.7%. Investment grade bonds fared better, with a 0.8% drop, as measured by the Markit iBoxx $ Liquid Investment Grade Index. The high yield market eked out a 2.2% gain, as reflected by the Markit iBoxx $ Liquid High Yield Index.
New ProShares ETFs
The year 2013 has been an important year in our evolution as the leading provider of alternative ETFs. We launched three new ETFs during the period — NOBL, an ETF focused on S&P 500 companies with 25 consecutive years of growing dividends; IGHG, a hedged investment grade bond ETF; and EMSH, a short-term emerging markets bond ETF.
We appreciate the trust you have placed in ProShares by investing in our ETFs, and we look forward to continuing to serve your investing needs.
Sincerely,
Michael L. Sapir
Chairman of the Board of Trustees
PROSHARES.COM :: I
ALLOCATION OF PORTFOLIO HOLDINGS &
INDEX
COMPOSITION
II :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares USD Covered Bond (Ticker: COBO)
ProShares USD Covered Bond (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Solactive1 Diversified USD Covered Bond IndexTM (the "Index"). The Index, published by Solactive1, seeks to track the performance of U.S. dollar-denominated "Covered Bonds" that are generally rated "AAA" (or its equivalent). Specifically, the Index aims to include the universe of U.S. dollar-denominated fixed-rate Covered Bonds that conform to the eligibility criteria for the Index.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Covered Bonds |
99 |
% |
|||||
Total Exposure |
99 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
Bank of
Montreal, 2.85%, due 06/09/15 |
5.5 |
% |
|||||
Royal Bank of Canada, 2.00%, due 10/01/18 |
5.0 |
% |
|||||
Toronto-Dominion Bank
(The), 1.63%, due 09/14/16 |
5.0 |
% |
|||||
Nordea Eiendomskreditt AS, 2.13%, due 09/22/16 |
4.7 |
% |
|||||
Bank of Scotland
PLC, 5.25%, due 02/21/17 |
4.6 |
% |
Solactive1 Diversified
USD Covered Bond
Index –
Composition
% of Index |
|||||||
U.S.
Dollar-Denominated Covered Bonds |
100.0 |
% |
1 Solactive is the Index provider for the Fund effective January 17, 2014.
ProShares German Sovereign/Sub-Sovereign ETF (Ticker: GGOV)
ProShares German Sovereign/Sub-Sovereign ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Markit iBoxx EUR Germany Sovereign & Sub-Sovereign Liquid Index (the "Index"). The Index, published by Markit, seeks to track the performance of fixed rate debt securities of the Federal Republic of Germany ("Sovereign") as well as local governments and entities or agencies guaranteed by various German governments ("Sub-Sovereign") issuers.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Fixed-Income Securities |
98 |
% |
|||||
Total Exposure |
98 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
Bundesrepublik Deutschland, 1.75%, due 07/04/22 |
4.8 |
% |
|||||
Bundesrepublik Deutschland, 3.50%, due 07/04/19 |
4.7 |
% |
|||||
KFW, 3.13%, due 06/15/18 |
4.7 |
% |
|||||
KFW, 1.88%, due 03/20/19 |
4.7 |
% |
|||||
KFW, 3.13%, due 04/08/16 |
4.7 |
% |
Markit iBoxx EUR Germany Sovereign & Sub-Sovereign Liquid Index – Composition
% of Index |
|||||||
Sub-Sovereign |
76.0 |
% |
|||||
Sovereign |
24.0 |
% |
ProShares High Yield-Interest Rate Hedged (Ticker: HYHG)
ProShares High Yield-Interest Rate Hedged (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Citi High Yield (Treasury Rate-Hedged) Index (the "Index"). The Index is comprised of (a) long positions in USD-denominated high yield corporate bonds and (b) short positions in U.S. Treasury notes or bonds of, in aggregate, approximate equivalent duration to the high yield bonds.
Market Exposure
Investment Type |
% of Net Assets |
||||||
High Yield Bonds |
93 |
% |
|||||
U.S. Treasury Notes Futures Contracts |
(98 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
First Data Corp.,
12.63%, due 01/15/21 |
2.3 |
% |
|||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 12.25%, due 03/01/22 |
1.9 |
% |
|||||
Sprint
Communications, Inc., 9.00%, due 11/15/18 |
1.7 |
% |
|||||
CHS/Community Health Systems, Inc., 8.00%, due 11/15/19 |
1.6 |
% |
|||||
Chrysler Group
LLC/CG Co.-Issuer, Inc., 8.25%, due 06/15/21 |
1.6 |
% |
Citi High Yield (Treasury Rate-Hedged) Index – High Yield Bond Composition
% of High
Yield Bonds |
|||||||
Industrials |
82.7 |
% |
|||||
Utilities |
13.4 |
% |
|||||
Financials |
3.9 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: III
ProShares Investment Grade-Interest Rate Hedged (Ticker: IGHG)
ProShares Investment Grade-Interest Rate Hedged (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Citi Corporate Investment Grade (Treasury Rate-Hedged) Index (the "Index"). The Index is comprised of (a) long positions in USD-denominated investment grade corporate bonds issued by both U.S. and foreign domiciled companies; and (b) short positions in U.S. Treasury notes or bonds of, in aggregate, approximate equivalent duration to the investment grade bonds.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Corporate Bonds |
93 |
% |
|||||
Futures Contracts |
(94 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
Citigroup, Inc.,
3.88%, due 10/25/23 |
4.0 |
% |
|||||
Morgan Stanley, 5.50%, due 07/24/20 |
2.6 |
% |
|||||
Bank of America
Corp., 5.00%, due 05/13/21 |
2.1 |
% |
|||||
Verizon Communications, Inc., 4.60%, due 04/01/21 |
2.0 |
% |
|||||
JPMorgan Chase &
Co., 4.95%, due 03/25/20 |
1.9 |
% |
Citi Corporate Investment Grade (Treasury
Rate-Hedged)
Index – Composition
% of High
Yield Bonds |
|||||||
Industrials |
57.6 |
% |
|||||
Financials |
31.9 |
% |
|||||
Utilities |
10.5 |
% |
ProShares Short Term USD Emerging Markets Bond ETF (Ticker: EMSH)
ProShares Short Term USD Emerging Markets Bond ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the DBIQ Short Duration Emerging Market Bond Index (the "Index"). The Index is comprised of a diversified portfolio of USD-denominated Emerging Market bonds that have less than five years remaining to maturity that are issued by Emerging Market sovereign governments, non-sovereign government agencies and entities, and corporations with significant government ownership.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Fixed-Income Securities |
97 |
% |
|||||
Total Exposure |
97 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
Qatar
Government International Bond, 4.00%, due 01/20/15 |
3.2 |
% |
|||||
Turkey Government International Bond, 7.25%, due 03/15/15 |
2.7 |
% |
|||||
Croatia
Government International Bond, 6.25%, due 04/27/17 |
2.3 |
% |
|||||
Mexico Government International Bond, 5.63%, due 01/15/17 |
2.2 |
% |
|||||
Colombia
Government International Bond, 7.38%, due 01/27/17 |
2.2 |
% |
DBIQ Short Duration
Emerging Market Bond
Index
– Composition
% of Index |
|||||||
Sovereigns |
64.7 |
% |
|||||
Quasi-Sovereigns |
33.4 |
% |
|||||
Sub-Sovereigns |
1.9 |
% |
ProShares Global Listed Private Equity ETF (Ticker: PEX)
ProShares Global Listed Private Equity ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the LPX Direct Listed Private Equity Index (the "Index"). The Index, published by LPX GmbH ("LPX"), consists of up to 30 qualifying listed private equity companies. A listed private equity company is an eligible candidate for the Index if its direct private equity investments, as well as cash and cash equivalent positions and post-Initial Public Offering listed investments, represent more than 80% of the total assets of the company.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
98 |
% |
|||||
Total Exposure |
98 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Onex Corp. |
9.8 |
% |
|||||
3i Group PLC |
9.5 |
% |
|||||
Ares Capital Corp. |
9.2 |
% |
|||||
American Capital Ltd. |
7.8 |
% |
|||||
Wendel S.A. |
5.1 |
% |
LPX Direct Listed Private Equity
Index –
Composition
% of Index |
|||||||
Financials |
93.0 |
% |
|||||
Diversified |
6.1 |
% |
|||||
Communications |
0.9 |
% |
IV :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Hedge Replication ETF (Ticker: HDG)
ProShares Hedge Replication ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Merrill Lynch Factor Model — Exchange Series (the "Benchmark"). The Benchmark, established by Merrill Lynch International, seeks to provide the risk and return characteristics of the hedge fund asset class by targeting a high correlation to the HFRI Fund Weighted Composite Index (the "HFRI"). The HFRI is designed to reflect hedge fund industry performance through an equally weighted composite of over 2000 constituent funds.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
13 |
% |
|||||
U.S. Treasury Bill |
71 |
% |
|||||
Swap Agreements (Long) |
18 |
% |
|||||
Swap Agreements (Short) |
(1 |
%) |
|||||
Long Euro Futures Contracts |
2 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
0.4 |
% |
|||||
Exxon Mobil Corp. |
0.3 |
% |
|||||
Google, Inc., Class A |
0.2 |
% |
|||||
Microsoft Corp. |
0.2 |
% |
|||||
General Electric Co. |
0.2 |
% |
Merrill Lynch Factor Model – Exchange Series – Composition
% of Benchmark |
|||||||
On-The-Run T-Bill |
68.2 |
% |
|||||
S&P 500® Total Return Index |
14.5 |
% |
|||||
MSCI Emerging
Markets Free US Dollar Net Total Return Index |
11.5 |
% |
|||||
MSCI EAFE® US Dollar
Net Total Return Index |
3.9 |
% |
|||||
ProShares
UltraShort Euro ETF |
0.9 |
% |
|||||
Russell 2000® Total
Return Index |
1.0 |
% |
ProShares Large Cap Core Plus (Ticker: CSM)
ProShares Large Cap Core Plus (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Credit Suisse 130/30 Large Cap Index (the "Index"). The Index is designed to replicate an investment strategy that establishes either long or short positions in the stocks of certain of the 500 largest U.S. companies based on market capitalization (the "Universe") by applying a rules-based ranking and weighting methodology. The Index intends to provide representation of a quantitatively constructed 130/30 U.S. large cap equity strategy.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
94 |
% |
|||||
Swap Agreements (Long) |
36 |
% |
|||||
Swap Agreements (Short) |
(30 |
%) |
|||||
Net Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
2.0 |
% |
|||||
Exxon Mobil Corp. |
1.6 |
% |
|||||
Wells Fargo & Co. |
1.2 |
% |
|||||
Berkshire Hathaway, Inc., Class B |
1.2 |
% |
|||||
Google, Inc., Class A |
1.0 |
% |
Credit Suisse 130/30 Large Cap
Index –
Composition
% of Index |
|||||||
Consumer, Non-cyclical |
20.1 |
% |
|||||
Financials |
18.5 |
% |
|||||
Technology |
11.7 |
% |
|||||
Consumer, Cyclical |
10.9 |
% |
|||||
Industrials |
10.8 |
% |
|||||
Energy |
10.0 |
% |
|||||
Communications |
7.8 |
% |
|||||
Utilities |
5.9 |
% |
|||||
Basic Materials |
4.1 |
% |
|||||
Diversified |
0.2 |
% |
ProShares Merger ETF (Ticker: MRGR)
ProShares Merger ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P Merger Arbitrage Index (the "Index"). The Index, created by Standard & Poor's®, provides exposure to up to 40 publicly announced mergers, acquisitions and reorganizations (the "Deals") within developed market countries through a combination of long and, in certain cases, short security positions. The Index also includes a Treasury bill component which constitutes the remainder of the Index when net exposure from included Deals is less than 100%.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
92 |
% |
|||||
Swap Agreements (Long) |
4 |
% |
|||||
Swap Agreements (Short) |
(35 |
%) |
|||||
Forward Currency Contracts |
(30 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Gemina S.p.A. |
4.2 |
% |
|||||
Elan Corp. PLC |
3.4 |
% |
|||||
CapitalSource, Inc. |
3.4 |
% |
|||||
Taylor Capital Group, Inc. |
3.4 |
% |
|||||
Sterling Financial Corp./WA |
3.3 |
% |
Regional Exposure
% of Index |
|||||||
United States |
59.5 |
% |
|||||
Europe (ex UK) |
21.5 |
% |
|||||
Canada |
7.9 |
% |
|||||
Australia |
3.1 |
% |
|||||
Asia (ex Japan) |
2.7 |
% |
|||||
Japan |
2.7 |
% |
|||||
United Kingdom |
2.6 |
% |
S&P Merger Arbitrage
Index –
Composition
% of Index |
|||||||
Financials |
30.4 |
% |
|||||
Consumer, Non-Cyclical |
27.8 |
% |
|||||
Industrials |
12.4 |
% |
|||||
Energy |
10.8 |
% |
|||||
Technology |
7.3 |
% |
|||||
Consumer, Cyclical |
6.5 |
% |
|||||
Utilities |
2.4 |
% |
|||||
Communications |
2.4 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: V
ProShares RAFI® Long/Short (Ticker: RALS)
ProShares RAFI® Long/Short (the "Fund") seeks investment results, before fees and expenses, that track the performance of the RAFI® US Equity Long/Short Index (the "Index"). The Index seeks to utilize the Research Affiliates Fundamental Index (RAFI® ) weighting methodology to identify opportunities which are implemented through both long and short securities positions. The Index compares RAFI® constituent weightings to market capitalization (CAP) weights for a selection of U.S. domiciled publicly traded companies listed on major exchanges.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
99 |
% |
|||||
Swap Agreements (Long) |
1 |
% |
|||||
Swap Agreements (Short) |
(99 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Bank of America Corp. |
2.3 |
% |
|||||
ConocoPhillips |
1.8 |
% |
|||||
Citigroup, Inc. |
1.4 |
% |
|||||
AT&T, Inc. |
1.4 |
% |
|||||
Verizon Communications, Inc. |
1.3 |
% |
RAFI US Equity Long/Short
Index –
Composition
% of Index |
|||||||
Financials |
22.3 |
% |
|||||
Consumer, Cyclical |
13.7 |
% |
|||||
Energy |
11.9 |
% |
|||||
Technology |
10.8 |
% |
|||||
Health care |
10.5 |
% |
|||||
Industrials |
9.4 |
% |
|||||
Consumer, Non-Cyclical |
8.3 |
% |
|||||
Utilities |
4.8 |
% |
|||||
Basic Materials |
4.6 |
% |
|||||
Telecommunications |
3.7 |
% |
ProShares S&P 500 Aristocrats ETF (Ticker: NOBL)
ProShares S&P 500 Aristocrats ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P 500® Dividend Aristocrats® Index (the "Index"). The Index, constructed and maintained by S&P Dow Jones Indices LLC, targets companies that are currently members of the S&P 500®, have increased dividend payments each year for at least 25 years, and meet certain market capitalization and liquidity requirements. The Index contains a minimum of 40 stocks, which are equally weighted, and no single sector is allowed to comprise more than 30% of the Index weight.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
100 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
VF Corp. |
2.1 |
% |
|||||
Cardinal Health, Inc. |
2.1 |
% |
|||||
C.R. Bard, Inc. |
2.0 |
% |
|||||
Abbott Laboratories |
2.0 |
% |
|||||
Kimberly-Clark Corp. |
2.0 |
% |
S&P 500 Dividend Aristocrats
Index –
Composition
% of Index |
|||||||
Consumer, Non-cyclical |
40.0 |
% |
|||||
Consumer, Cyclical |
16.5 |
% |
|||||
Industrials |
14.3 |
% |
|||||
Basic Materials |
11.0 |
% |
|||||
Financials |
10.9 |
% |
|||||
Energy |
3.8 |
% |
|||||
Communications |
1.8 |
% |
|||||
Utilities |
1.7 |
% |
ProShares 30 Year TIPS/TSY Spread (Ticker: RINF)
ProShares 30 Year TIPS/TSY Spread (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Dow Jones Credit Suisse 30-Year Inflation Breakeven Index (the "Index"). The Index tracks the performance of long positions in the most recently issued 30-year Treasury Inflation-Protected Securities ("TIPS") bond and duration adjusted short positions in U.S. Treasury bonds of the closest maturity. The difference in yield (or "spread") between these bonds (Treasury yield minus TIPS yield) is commonly referred to as a "breakeven rate of inflation."
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Term U.S.
Treasury Obligations |
77 |
% |
|||||
Swap Agreements (Long) |
23 |
% |
|||||
Swap Agreements (Short) |
(145 |
%) |
|||||
Futures Contracts |
— |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Credit Suisse 30-Year Inflation
Breakeven
Index – Composition
% of Index |
|||||||
30-Year Treasury
Inflation-Protected Securities (TIPS) Bond |
100.0 |
% |
|||||
30-Year U.S. Treasury Bond |
(144.3 |
%) |
VI :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Short 30 Year TIPS/TSY Spread (Ticker: FINF)
ProShares Short 30 Year TIPS/TSY Spread (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Dow Jones Credit Suisse 30-Year Inflation Breakeven Index (the "Index"). The Index tracks the performance of long positions in the most recently issued 30-year Treasury Inflation-Protected Securities (TIPS) bond and duration adjusted short positions in U.S. Treasury bonds of the closest maturity. The difference in yield (or "spread") between these bonds (Treasury yield minus TIPS yield) is commonly referred to as a "breakeven rate of inflation."
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Term U.S. Treasury Obligations |
81 |
% |
|||||
Swap Agreements (Long) |
62 |
% |
|||||
Swap Agreements (Short) |
(100 |
%) |
|||||
Futures Contracts |
— |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Credit Suisse 30-Year Inflation
Breakeven
Index – Composition
% of Index |
|||||||
30-Year Treasury
Inflation-Protected Securities (TIPS) Bond |
100.0 |
% |
|||||
30-Year U.S. Treasury Bond |
(144.3 |
%) |
ProShares UltraPro 10 Year TIPS/TSY Spread (Ticker: UINF)
ProShares UltraPro 10 Year TIPS/TSY Spread (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Dow Jones Credit Suisse 10-Year Inflation Breakeven Index (the "Index"). The Index tracks the performance of long positions in the most recently issued 10-year Treasury Inflation-Protected Securities (TIPS) bond and duration adjusted short positions in U.S. Treasury bonds of the closest maturity. The difference in yield (or "spread") between these bonds (Treasury yield minus TIPS yield) is commonly referred to as a "breakeven rate of inflation."
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
76 |
% |
|||||
Swap Agreements (Long) |
224 |
% |
|||||
Swap Agreements (Short) |
(329 |
%) |
|||||
Futures Contracts |
— |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Credit Suisse 10-Year Inflation
Breakeven
Index – Composition
% of Index |
|||||||
10-Year Treasury
Inflation-Protected Securities (TIPS) Bond |
100.0 |
% |
|||||
10-Year U.S. Treasury Note |
(109.6 |
%) |
ProShares UltraPro Short 10 Year TIPS/TSY Spread (Ticker: SINF)
ProShares UltraPro Short 10 Year TIPS/TSY Spread (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the Dow Jones Credit Suisse 10-Year Inflation Breakeven Index (the "Index"). The Index tracks the performance of long positions in the most recently issued 10-year Treasury Inflation-Protected Securities (TIPS) bond and duration adjusted short positions in U.S. Treasury bonds of the closest maturity. The difference in yield (or "spread") between these bonds (Treasury yield minus TIPS yield) is commonly referred to as a "breakeven rate of inflation."
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
43 |
% |
|||||
Swap Agreements (Long) |
286 |
% |
|||||
Swap Agreements (Short) |
(300 |
%) |
|||||
Futures Contracts |
— |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Credit Suisse 10-Year Inflation
Breakeven
Index – Composition
% of Index |
|||||||
10-Year Treasury
Inflation-Protected Securities (TIPS) Bond |
100.0 |
% |
|||||
10-Year U.S. Treasury Note |
(109.6 |
%) |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: VII
ProShares Short S&P500® (Ticker: SH) GEARED PROSHARES
ProShares Short S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the S&P 500® Index (the "Index"). The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(98 |
%) |
|||||
Futures Contracts |
(2 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
22.1 |
% |
|||||
Financials |
16.7 |
% |
|||||
Technology |
12.6 |
% |
|||||
Communications |
11.3 |
% |
|||||
Industrials |
10.9 |
% |
|||||
Energy |
10.3 |
% |
|||||
Consumer, Cyclical |
9.9 |
% |
|||||
Basic Materials |
3.2 |
% |
|||||
Utilities |
2.9 |
% |
|||||
Diversified |
0.1 |
% |
ProShares Short QQQ® (Ticker: PSQ)
ProShares Short QQQ® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the NASDAQ-100 Index® (the "Index"). The Index, a modified market capitalization — weighted index, includes 100 of the largest non-financial domestic and international issues listed on the NASDAQ Stock Market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(94 |
%) |
|||||
Futures Contracts |
(6 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index – Composition
% of Index |
|||||||
Technology |
39.2 |
% |
|||||
Communications |
34.1 |
% |
|||||
Consumer, Non-cyclical |
17.9 |
% |
|||||
Consumer, Cyclical |
7.6 |
% |
|||||
Industrials |
1.0 |
% |
|||||
Basic Materials |
0.2 |
% |
ProShares Short Dow30SM (Ticker: DOG)
ProShares Short Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Dow Jones Industrial AverageSM Index (the "Index"). The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(94 |
%) |
|||||
Futures Contracts |
(6 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average Index – Composition
% of Index |
|||||||
Financials |
24.2 |
% |
|||||
Industrials |
19.6 |
% |
|||||
Consumer, Non-cyclical |
15.0 |
% |
|||||
Consumer, Cyclical |
13.5 |
% |
|||||
Technology |
9.6 |
% |
|||||
Energy |
8.6 |
% |
|||||
Communications |
7.0 |
% |
|||||
Basic Materials |
2.5 |
% |
VIII :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Short MidCap400 (Ticker: MYY)
ProShares Short MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the S&P MidCap 400® Index (the "Index"). The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a mechanical process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(95 |
%) |
|||||
Futures Contracts |
(5 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 Index – Composition
% of Index |
|||||||
Financials |
21.9 |
% |
|||||
Consumer, Non-cyclical |
19.0 |
% |
|||||
Industrials |
18.3 |
% |
|||||
Consumer, Cyclical |
13.4 |
% |
|||||
Technology |
8.9 |
% |
|||||
Energy |
5.5 |
% |
|||||
Utilities |
4.7 |
% |
|||||
Basic Materials |
4.3 |
% |
|||||
Communications |
4.0 |
% |
ProShares Short Russell2000 (Ticker: RWM)
ProShares Short Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Russell 2000® Index (the "Index"). The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000® Index or approximately 8% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the investable U.S. equity market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(91 |
%) |
|||||
Futures Contracts |
(9 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
% of Index |
|||||||
Financials |
22.6 |
% |
|||||
Consumer, Non-cyclical |
20.6 |
% |
|||||
Industrials |
14.2 |
% |
|||||
Consumer, Cyclical |
14.0 |
% |
|||||
Technology |
9.8 |
% |
|||||
Communications |
6.7 |
% |
|||||
Energy |
5.3 |
% |
|||||
Basic Materials |
3.6 |
% |
|||||
Utilities |
3.1 |
% |
|||||
Diversified |
0.1 |
% |
ProShares Short SmallCap600 (Ticker: SBB)
ProShares Short SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the S&P SmallCap 600® Index (the "Index"). The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 600 U.S. operating companies selected through a process that factors criteria such as liquidity, price, market capitalization, financial viability and public float.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P SmallCap 600 Index – Composition
% of Index |
|||||||
Financials |
21.5 |
% |
|||||
Consumer, Non-cyclical |
18.1 |
% |
|||||
Industrials |
18.0 |
% |
|||||
Consumer, Cyclical |
17.0 |
% |
|||||
Technology |
9.6 |
% |
|||||
Basic Materials |
4.3 |
% |
|||||
Communications |
4.3 |
% |
|||||
Energy |
3.9 |
% |
|||||
Utilities |
3.3 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: IX
ProShares UltraShort Russell3000 (Ticker: TWQ)
ProShares UltraShort Russell3000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell 3000® Index (the "Index"). The Index is designed to be a comprehensive representation of the investable U.S. equity market and its segments. It is a free float-adjusted, market capitalization-weighted index, and includes only common stocks belonging to corporations incorporated in the U.S. and its territories.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 3000 Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
21.4 |
% |
|||||
Financials |
17.7 |
% |
|||||
Technology |
11.9 |
% |
|||||
Industrials |
11.3 |
% |
|||||
Communications |
11.3 |
% |
|||||
Consumer, Cyclical |
10.7 |
% |
|||||
Energy |
9.3 |
% |
|||||
Basic Materials |
3.3 |
% |
|||||
Utilities |
3.0 |
% |
|||||
Diversified |
0.1 |
% |
ProShares UltraShort S&P500® (Ticker: SDS)
ProShares UltraShort S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the S&P 500® Index (the "Index"). The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a mechanical process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(198 |
%) |
|||||
Futures Contracts |
(2 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
22.1 |
% |
|||||
Financials |
16.7 |
% |
|||||
Technology |
12.6 |
% |
|||||
Communications |
11.3 |
% |
|||||
Industrials |
10.9 |
% |
|||||
Energy |
10.3 |
% |
|||||
Consumer, Cyclical |
9.9 |
% |
|||||
Basic Materials |
3.2 |
% |
|||||
Utilities |
2.9 |
% |
|||||
Diversified |
0.1 |
% |
ProShares UltraShort QQQ® (Ticker: QID)
ProShares UltraShort QQQ® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the NASDAQ-100 Index® (the "Index"). The Index, a modified market capitalization — weighted index, includes 100 of the largest non-financial domestic and international issues listed on the NASDAQ Stock Market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(198 |
%) |
|||||
Futures Contracts |
(2 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index – Composition
% of Index |
|||||||
Technology |
39.2 |
% |
|||||
Communications |
34.1 |
% |
|||||
Consumer, Non-cyclical |
17.9 |
% |
|||||
Consumer, Cyclical |
7.6 |
% |
|||||
Industrials |
1.0 |
% |
|||||
Basic Materials |
0.2 |
% |
X :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares UltraShort Dow30SM (Ticker: DXD)
ProShares UltraShort Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones Industrial AverageSM Index (the "Index"). The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(193 |
%) |
|||||
Futures Contracts |
(7 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average Index – Composition
% of Index |
|||||||
Financials |
24.2 |
% |
|||||
Industrials |
19.6 |
% |
|||||
Consumer, Non-cyclical |
15.0 |
% |
|||||
Consumer, Cyclical |
13.5 |
% |
|||||
Technology |
9.6 |
% |
|||||
Energy |
8.6 |
% |
|||||
Communications |
7.0 |
% |
|||||
Basic Materials |
2.5 |
% |
ProShares UltraShort MidCap400 (Ticker: MZZ)
ProShares UltraShort MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the S&P MidCap 400® Index (the "Index"). The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a mechanical process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(193 |
%) |
|||||
Futures Contracts |
(7 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 Index – Composition
% of Index |
|||||||
Financials |
21.9 |
% |
|||||
Consumer, Non-cyclical |
19.0 |
% |
|||||
Industrials |
18.3 |
% |
|||||
Consumer, Cyclical |
13.4 |
% |
|||||
Technology |
8.9 |
% |
|||||
Energy |
5.5 |
% |
|||||
Utilities |
4.7 |
% |
|||||
Basic Materials |
4.3 |
% |
|||||
Communications |
4.0 |
% |
ProShares UltraShort Russell2000 (Ticker: TWM)
ProShares UltraShort Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell 2000® Index (the "Index"). The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000® Index or approximately 8% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the investable U.S. equity market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(189 |
%) |
|||||
Futures Contracts |
(11 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
% of Index |
|||||||
Financials |
22.6 |
% |
|||||
Consumer, Non-cyclical |
20.6 |
% |
|||||
Industrials |
14.2 |
% |
|||||
Consumer, Cyclical |
14.0 |
% |
|||||
Technology |
9.8 |
% |
|||||
Communications |
6.7 |
% |
|||||
Energy |
5.3 |
% |
|||||
Basic Materials |
3.6 |
% |
|||||
Utilities |
3.1 |
% |
|||||
Diversified |
0.1 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XI
ProShares UltraShort SmallCap600 (Ticker: SDD)
ProShares UltraShort SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the S&P SmallCap 600® Index (the "Index"). The Index is a measure of small-cap company U.S. stock market performance. It is a float adjusted, market capitalization-weighted index of 600 U.S. operating companies selected through a mechanical process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P SmallCap 600 Index – Composition
% of Index |
|||||||
Financials |
21.5 |
% |
|||||
Consumer, Non-cyclical |
18.1 |
% |
|||||
Industrials |
18.0 |
% |
|||||
Consumer, Cyclical |
17.0 |
% |
|||||
Technology |
9.6 |
% |
|||||
Basic Materials |
4.3 |
% |
|||||
Communications |
4.3 |
% |
|||||
Energy |
3.9 |
% |
|||||
Utilities |
3.3 |
% |
ProShares UltraPro Short S&P500® (Ticker: SPXU)
ProShares UltraPro Short S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the S&P 500® Index (the "Index"). It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a mechanical process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(295 |
%) |
|||||
Futures Contracts |
(5 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
22.1 |
% |
|||||
Financials |
16.7 |
% |
|||||
Technology |
12.6 |
% |
|||||
Communications |
11.3 |
% |
|||||
Industrials |
10.9 |
% |
|||||
Energy |
10.3 |
% |
|||||
Consumer, Cyclical |
9.9 |
% |
|||||
Basic Materials |
3.2 |
% |
|||||
Utilities |
2.9 |
% |
|||||
Diversified |
0.1 |
% |
ProShares UltraPro Short QQQ® (Ticker: SQQQ)
ProShares UltraPro Short QQQ® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the NASDAQ-100 Index® (the "Index"). The Index, a modified market capitalization — weighted index, includes 100 of the largest non-financial domestic and international issues listed on the NASDAQ Stock Market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(296 |
%) |
|||||
Futures Contracts |
(4 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index – Composition
% of Index |
|||||||
Technology |
39.2 |
% |
|||||
Communications |
34.1 |
% |
|||||
Consumer, Non-cyclical |
17.9 |
% |
|||||
Consumer, Cyclical |
7.6 |
% |
|||||
Industrials |
1.0 |
% |
|||||
Basic Materials |
0.2 |
% |
XII :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares UltraPro Short Dow30SM (Ticker: SDOW)
ProShares UltraPro Short Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the Dow Jones Industrial AverageSM Index (the "Index"). The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(294 |
%) |
|||||
Futures Contracts |
(6 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average Index – Composition
% of Index |
|||||||
Financials |
24.2 |
% |
|||||
Industrials |
19.6 |
% |
|||||
Consumer, Non-cyclical |
15.0 |
% |
|||||
Consumer, Cyclical |
13.5 |
% |
|||||
Technology |
9.6 |
% |
|||||
Energy |
8.6 |
% |
|||||
Communications |
7.0 |
% |
|||||
Basic Materials |
2.5 |
% |
ProShares UltraPro Short MidCap400 (Ticker: SMDD)
ProShares UltraPro Short MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the S&P MidCap 400® Index (the "Index"). The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a mechanical process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(284 |
%) |
|||||
Futures Contracts |
(16 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 Index – Composition
% of Index |
|||||||
Financials |
21.9 |
% |
|||||
Consumer, Non-cyclical |
19.0 |
% |
|||||
Industrials |
18.3 |
% |
|||||
Consumer, Cyclical |
13.4 |
% |
|||||
Technology |
8.9 |
% |
|||||
Energy |
5.5 |
% |
|||||
Utilities |
4.7 |
% |
|||||
Basic Materials |
4.3 |
% |
|||||
Communications |
4.0 |
% |
ProShares UltraPro Short Russell2000 (Ticker: SRTY)
ProShares UltraPro Short Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the Russell 2000® Index (the "Index"). The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000® Index or approximately 8% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the investable U.S. equity market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(293 |
%) |
|||||
Futures Contracts |
(7 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
% of Index |
|||||||
Financials |
22.6 |
% |
|||||
Consumer, Non-cyclical |
20.6 |
% |
|||||
Industrials |
14.2 |
% |
|||||
Consumer, Cyclical |
14.0 |
% |
|||||
Technology |
9.8 |
% |
|||||
Communications |
6.7 |
% |
|||||
Energy |
5.3 |
% |
|||||
Basic Materials |
3.6 |
% |
|||||
Utilities |
3.1 |
% |
|||||
Diversified |
0.1 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XIII
ProShares UltraShort Russell1000 Value (Ticker: SJF)
ProShares UltraShort Russell1000 Value (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell 1000® Value Index (the "Index"). The Index is designed to provide a comprehensive measure of large-cap U.S. equity "value" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell 1000 Index that have been identified as being on the value end of the growth value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 1000 Value Index – Composition
% of Index |
|||||||
Financials |
28.9 |
% |
|||||
Consumer, Non-cyclical |
17.8 |
% |
|||||
Energy |
14.8 |
% |
|||||
Industrials |
10.5 |
% |
|||||
Communications |
7.8 |
% |
|||||
Technology |
6.1 |
% |
|||||
Utilities |
5.9 |
% |
|||||
Consumer, Cyclical |
5.6 |
% |
|||||
Basic Materials |
2.6 |
% |
ProShares UltraShort Russell1000 Growth (Ticker: SFK)
ProShares UltraShort Russell1000 Growth (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell 1000® Growth Index (the "Index"). The Index is designed to provide a comprehensive measure of large-cap U.S. equity "growth" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell 1000 Index that have been identified as being on the growth end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 1000 Growth Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
25.1 |
% |
|||||
Technology |
17.9 |
% |
|||||
Communications |
15.5 |
% |
|||||
Consumer, Cyclical |
15.2 |
% |
|||||
Industrials |
11.6 |
% |
|||||
Financials |
6.1 |
% |
|||||
Energy |
4.6 |
% |
|||||
Basic Materials |
3.9 |
% |
|||||
Utilities |
0.1 |
% |
ProShares UltraShort Russell MidCap Value (Ticker: SJL)
ProShares UltraShort Russell MidCap Value (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell Midcap® Value Index (the "Index"). The Index is designed to provide a comprehensive measure of mid-cap U.S. equity "value" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell Midcap Index that have been identified as being on the value end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell Midcap Value Index – Composition
% of Index |
|||||||
Financials |
31.7 |
% |
|||||
Consumer, Non-cyclical |
12.9 |
% |
|||||
Utilities |
11.8 |
% |
|||||
Industrials |
11.1 |
% |
|||||
Consumer, Cyclical |
9.1 |
% |
|||||
Technology |
7.9 |
% |
|||||
Energy |
6.9 |
% |
|||||
Basic Materials |
4.3 |
% |
|||||
Communications |
4.0 |
% |
|||||
Diversified |
0.3 |
% |
XIV :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares UltraShort Russell MidCap Growth (Ticker: SDK)
ProShares UltraShort Russell MidCap Growth (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell Midcap® Growth Index (the "Index"). The Index is designed to provide a comprehensive measure of mid-cap U.S. equity "growth" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell Midcap Index that have been identified as being on the growth end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell Midcap Growth Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
25.5 |
% |
|||||
Consumer, Cyclical |
23.1 |
% |
|||||
Industrials |
13.0 |
% |
|||||
Technology |
10.7 |
% |
|||||
Communications |
9.8 |
% |
|||||
Financials |
7.2 |
% |
|||||
Energy |
6.3 |
% |
|||||
Basic Materials |
4.1 |
% |
|||||
Utilities |
0.3 |
% |
ProShares UltraShort Russell2000 Value (Ticker: SJH)
ProShares UltraShort Russell2000 Value (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell 2000® Value Index (the "Index"). The Index is designed to provide a comprehensive measure of small-cap U.S. equity "value" performance. It is an unmanaged, float-adjusted, market capitalization weighted index comprised of stocks representing approximately half the market capitalization of the Russell 2000 Index that have been identified as being on the value end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Value Index – Composition
% of Index |
|||||||
Financials |
38.3 |
% |
|||||
Industrials |
12.8 |
% |
|||||
Consumer, Cyclical |
10.9 |
% |
|||||
Consumer, Non-cyclical |
10.8 |
% |
|||||
Energy |
6.5 |
% |
|||||
Utilities |
6.1 |
% |
|||||
Technology |
5.5 |
% |
|||||
Communications |
5.1 |
% |
|||||
Basic Materials |
3.8 |
% |
|||||
Diversified |
0.2 |
% |
ProShares UltraShort Russell2000 Growth (Ticker: SKK)
ProShares UltraShort Russell2000 Growth (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell 2000® Growth Index (the "Index"). The Index is designed to provide a comprehensive measure of small-cap U.S. equity "growth" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell 2000 Index that have been identified as being on the growth end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Growth Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
30.0 |
% |
|||||
Consumer, Cyclical |
17.0 |
% |
|||||
Industrials |
15.5 |
% |
|||||
Technology |
13.9 |
% |
|||||
Communications |
8.2 |
% |
|||||
Financials |
7.7 |
% |
|||||
Energy |
4.2 |
% |
|||||
Basic Materials |
3.4 |
% |
|||||
Utilities |
0.1 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XV
ProShares Short Basic Materials (Ticker: SBM)
ProShares Short Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Index measures the performance of the basic materials sector of the U.S. equity market. Component companies are involved in the production of aluminum, steel, non ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Basic Materials Index – Composition
% of Index |
|||||||
Chemicals |
75.3 |
% |
|||||
Industrial Metals |
15.0 |
% |
|||||
Mining |
5.6 |
% |
|||||
Forestry and Paper |
4.1 |
% |
ProShares Short Financials (Ticker: SEF)
ProShares Short Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include, among others, regional banks, major U.S. domiciled international banks, full line, life, and property and casualty insurance companies, companies that invest, directly or indirectly in real estate, diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors, securities brokers and dealers including investment banks, merchant banks and online brokers, and publicly traded stock exchanges
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index – Composition
% of Index |
|||||||
Banks |
32.6 |
% |
|||||
Financial Services |
25.9 |
% |
|||||
Nonlife Insurance |
18.8 |
% |
|||||
Real Estate Investment Trusts |
16.1 |
% |
|||||
Life Insurance |
5.8 |
% |
|||||
Real Estate Investment & Services |
0.8 |
% |
ProShares Short Oil & Gas (Ticker: DDG)
ProShares Short Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Index measures the performance of the oil and gas sector of the U.S. equity market. Component companies include oil drilling equipment and services, oil companies-major, oil companies-secondary, pipelines, liquid, solid or gaseous fossil fuel producers and service companies.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Oil & Gas Index – Composition
% of Index |
|||||||
Oil and Gas Producers |
75.3 |
% |
|||||
Oil Equipment, Services and Distribution |
24.5 |
% |
|||||
Alternative Energy |
0.2 |
% |
XVI :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Short Real Estate (Ticker: REK)
ProShares Short Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Index measures the performance of the real estate sector of the U.S. equity market. Component companies include, among others, real estate holding and development and real estate services companies and real estate investment trusts.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Real Estate Index – Composition
% of Index |
|||||||
Real Estate |
100.0 |
% |
ProShares Short KBW Regional Banking (Ticker: KRS)
ProShares Short KBW Regional Banking (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the KBW Regional Banking IndexSM (the "Index"). The Index includes stocks of 50 publicly traded companies that do business as regional banks or thrifts. Component companies include leading regional banks or thrifts listed on a U.S. exchange.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(99 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(99 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
KBW Regional Banking Index – Composition
% of Index |
|||||||
Financials |
100.0 |
% |
ProShares UltraShort Basic Materials (Ticker: SMN)
ProShares UltraShort Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Index measures the performance of the basic materials sector of the U.S. equity market. Component companies are involved in the production of aluminum, steel, non ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Basic Materials Index – Composition
% of Index |
|||||||
Chemicals |
75.3 |
% |
|||||
Industrial Metals |
15.0 |
% |
|||||
Mining |
5.6 |
% |
|||||
Forestry and Paper |
4.1 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XVII
ProShares UltraShort Nasdaq Biotechnology (Ticker: BIS)
ProShares UltraShort Nasdaq Biotechnology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the NASDAQ Biotechnology Index® (the "Index"). The Index is a modified capitalization-weighted index that includes securities of NASDAQ listed companies that are classified as either biotechnology or pharmaceutical according to the Industry Classification Benchmark which also meet other eligibility criteria determined by NASDAQ, including minimum market capitalization and liquidity requirements.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ Biotechnology Index – Composition
% of Index |
|||||||
Biotechnology |
66.9 |
% |
|||||
Pharmaceuticals |
30.0 |
% |
|||||
Healthcare-Products |
3.0 |
% |
|||||
Commercial Services |
0.1 |
% |
ProShares UltraShort Consumer Goods (Ticker: SZK)
ProShares UltraShort Consumer Goods (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. Consumer GoodsSM Index (the "Index"). The Index measures the performance of consumer spending in the goods sector of the U.S. equity market. Component companies include automobiles and auto parts and tires, brewers and distillers, farming and fishing, durable and non-durable household product manufacturers, cosmetic companies, food and tobacco products, clothing, accessories and footwear.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Goods Index – Composition
% of Index |
|||||||
Household Goods |
19.0 |
% |
|||||
Beverages |
18.3 |
% |
|||||
Food Producers |
16.6 |
% |
|||||
Personal Goods |
16.2 |
% |
|||||
Automobiles and Parts |
13.8 |
% |
|||||
Tobacco |
12.9 |
% |
|||||
Leisure Goods |
3.2 |
% |
ProShares UltraShort Consumer Services (Ticker: SCC)
ProShares UltraShort Consumer Services (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. Consumer ServicesSM Index (the "Index"). The Index measures the performance of consumer spending in the services sector of the U.S. equity market. Component companies include airlines, broadcasting and entertainment, apparel and broadline retailers, food and drug retailers, media agencies, publishing, gambling, hotels, restaurants and bars, and travel and tourism.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(201 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(201 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Services Index – Composition
% of Index |
|||||||
General Retailers |
37.6 |
% |
|||||
Media |
28.0 |
% |
|||||
Travel and Leisure |
20.6 |
% |
|||||
Food and Drug Retailers |
13.8 |
% |
XVIII :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares UltraShort Financials (Ticker: SKF)
ProShares UltraShort Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include, among others, regional banks, major U.S. domiciled international banks, full line, life, and property and casualty insurance companies, companies that invest, directly or indirectly in real estate, diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors, securities brokers and dealers including investment banks, merchant banks and online brokers, and publicly traded stock exchanges.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index – Composition
% of Index |
|||||||
Banks |
32.6 |
% |
|||||
Financial Services |
25.9 |
% |
|||||
Nonlife Insurance |
18.8 |
% |
|||||
Real Estate Investment Trusts |
16.1 |
% |
|||||
Life Insurance |
5.8 |
% |
|||||
Real Estate Investment & Services |
0.8 |
% |
ProShares UltraShort Health Care (Ticker: RXD)
ProShares UltraShort Health Care (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. Health CareSM Index (the "Index"). The Index measures the performance of the healthcare sector of the U.S. equity market. Component companies include health care providers, biotechnology companies, medical supplies, advanced medical devices and pharmaceuticals.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Health Care Index – Composition
% of Index |
|||||||
Pharmaceuticals and Biotechnology |
68.3 |
% |
|||||
Health Care Equipment and Services |
31.7 |
% |
ProShares UltraShort Industrials (Ticker: SIJ)
ProShares UltraShort Industrials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. IndustrialsSM Index (the "Index"). The Index measures the performance of the industrial sector of the U.S. equity market. Component companies include building materials, heavy construction, factory equipment, heavy machinery, industrial services, pollution control, containers and packaging, industrial diversified, air freight, marine transportation, railroads, trucking, land-transportation equipment, shipbuilding, transportation services, advanced industrial equipment, electric components and equipment, and aerospace.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Industrials Index – Composition
% of Index |
|||||||
General Industrials |
21.6 |
% |
|||||
Aerospace and Defense |
17.5 |
% |
|||||
Support Services |
16.4 |
% |
|||||
Industrial Engineering |
15.4 |
% |
|||||
Industrial Transportation |
12.8 |
% |
|||||
Electronic & Electrical Equipment |
10.6 |
% |
|||||
Construction and Materials |
5.7 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XIX
ProShares UltraShort Oil & Gas (Ticker: DUG)
ProShares UltraShort Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Index measures the performance of the oil and gas sector of the U.S. equity market. Component companies include oil drilling equipment and services, oil companies-major, oil companies-secondary, pipelines, liquid, solid or gaseous fossil fuel producers and service companies.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Oil & Gas Index – Composition
% of Index |
|||||||
Oil and Gas Producers |
75.3 |
% |
|||||
Oil Equipment, Services and Distribution |
24.5 |
% |
|||||
Alternative Energy |
0.2 |
% |
ProShares UltraShort Real Estate (Ticker: SRS)
ProShares UltraShort Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Index measures the performance of the real estate sector of the U.S. equity market. Component companies include, among others, real estate holding and development and real estate services companies and real estate investment trusts.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Real Estate Index – Composition
% of Index |
|||||||
Real Estate |
100.0 |
% |
ProShares UltraShort Semiconductors (Ticker: SSG)
ProShares UltraShort Semiconductors (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. SemiconductorsSM Index (the "Index"). The Index measures the performance of the semiconductor sub-sector of the U.S. equity market. Component companies are engaged in the production of semiconductors and other integrated chips, as well as other related products such as semiconductor capital equipment and mother-boards.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Semiconductors Index – Composition
% of Index |
|||||||
Semiconductors |
100.0 |
% |
XX :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares UltraShort Technology (Ticker: REW)
ProShares UltraShort Technology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. TechnologySM Index (the "Index"). The Index measures the performance of the technology sector of the U.S. equity market. Component companies include those involved in computers and office equipment, software, communications technology, semiconductors, diversified technology services and Internet services.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Technology Index – Composition
% of Index |
|||||||
Technology Hardware and Equipment |
50.9 |
% |
|||||
Software and Computer Services |
49.1 |
% |
ProShares UltraShort Telecommunications (Ticker: TLL)
ProShares UltraShort Telecommunications (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. Select TelecommunicationsSM Index (the "Index"). The Index is a measure of U.S. stock market performance of fixed line (regional and long-distance carriers) and mobile telephone services (cellular, satellite and paging services).
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Select Telecommunications
Index –
Composition
% of Index |
|||||||
Fixed Line Telecommunications |
57.2 |
% |
|||||
Mobile Telecommunications |
42.8 |
% |
ProShares UltraShort Utilities (Ticker: SDP)
ProShares UltraShort Utilities (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. UtilitiesSM Index (the "Index"). The Index measures the performance of the utilities sector of the U.S. equity market. Component companies include electric utilities, gas utilities and water utilities.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Utilities Index – Composition
% of Index |
|||||||
Electricity |
66.0 |
% |
|||||
Gas, Water & Multi Utilities |
34.0 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XXI
ProShares UltraPro Short Financials (Ticker: FINZ)
ProShares UltraPro Short Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(300 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index – Composition
% of Index |
|||||||
Banks |
32.6 |
% |
|||||
Financial Services |
25.9 |
% |
|||||
Nonlife Insurance |
18.8 |
% |
|||||
Real Estate Investment Trusts |
16.1 |
% |
|||||
Life Insurance |
5.8 |
% |
|||||
Real Estate Investment & Services |
0.8 |
% |
ProShares Short MSCI EAFE (Ticker: EFZ)
ProShares Short MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the MSCI EAFE Index® (the "Index"). The Index (Europe, Australasia, and Far East) includes 85% of free float-adjusted market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index – Country
% of Index |
|||||||
United Kingdom |
21.7 |
% |
|||||
Japan |
21.0 |
% |
|||||
Other |
12.0 |
% |
|||||
France |
10.0 |
% |
|||||
Germany |
9.3 |
% |
|||||
Switzerland |
8.9 |
% |
|||||
Australia |
7.7 |
% |
|||||
Spain |
3.3 |
% |
|||||
Sweden |
3.2 |
% |
|||||
Hong Kong |
2.9 |
% |
MSCI EAFE Index – Composition
% of Index |
|||||||
Financials |
25.4 |
% |
|||||
Consumer, Non-cyclical |
22.0 |
% |
|||||
Consumer, Cyclical |
12.4 |
% |
|||||
Industrials |
11.7 |
% |
|||||
Communications |
8.0 |
% |
|||||
Basic Materials |
7.4 |
% |
|||||
Energy |
6.6 |
% |
|||||
Utilities |
3.6 |
% |
|||||
Technology |
2.3 |
% |
|||||
Diversified |
0.6 |
% |
ProShares Short MSCI Emerging Markets (Ticker: EUM)
ProShares Short MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the MSCI Emerging Markets Index® (the "Index"). The Index includes 85% of free float-adjusted market capitalization in each industry group in emerging markets countries
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index – Country
% of Index |
|||||||
China |
20.2 |
% |
|||||
Korea |
16.1 |
% |
|||||
Other |
13.1 |
% |
|||||
Taiwan |
11.3 |
% |
|||||
Brazil |
11.1 |
% |
|||||
South Africa |
7.2 |
% |
|||||
India |
6.0 |
% |
|||||
Russia |
5.9 |
% |
|||||
Mexico |
5.3 |
% |
|||||
Malaysia |
3.8 |
% |
MSCI Emerging Markets
Index –
Composition
% of Index |
|||||||
Financials |
26.6 |
% |
|||||
Communications |
11.4 |
% |
|||||
Technology |
10.9 |
% |
|||||
Energy |
10.8 |
% |
|||||
Consumer, Non-cyclical |
10.3 |
% |
|||||
Consumer, Cyclical |
8.9 |
% |
|||||
Basic Materials |
8.5 |
% |
|||||
Industrials |
7.2 |
% |
|||||
Utilities |
3.3 |
% |
|||||
Diversified |
2.1 |
% |
XXII :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Short FTSE China 25 (Ticker: YXI)
ProShares Short FTSE China 25 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the FTSE China 25 Index® (the "Index"). The Index is comprised of 25 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 25 Index – Composition
% of Index |
|||||||
Financials |
57.3 |
% |
|||||
Communications |
22.5 |
% |
|||||
Energy |
15.9 |
% |
|||||
Consumer, Cyclical |
2.5 |
% |
|||||
Industrials |
1.8 |
% |
ProShares UltraShort MSCI EAFE (Ticker: EFU)
ProShares UltraShort MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the MSCI EAFE Index® (the "Index"). The Index (Europe, Australasia, and Far East) includes 85% of free float-adjusted market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(199 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(199 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index – Country
% of Index |
|||||||
United Kingdom |
21.7 |
% |
|||||
Japan |
21.0 |
% |
|||||
Other |
12.0 |
% |
|||||
France |
10.0 |
% |
|||||
Germany |
9.3 |
% |
|||||
Switzerland |
8.9 |
% |
|||||
Australia |
7.7 |
% |
|||||
Spain |
3.3 |
% |
|||||
Sweden |
3.2 |
% |
|||||
Hong Kong |
2.9 |
% |
MSCI EAFE Index – Composition
% of Index |
|||||||
Financials |
25.4 |
% |
|||||
Consumer, Non-cyclical |
22.0 |
% |
|||||
Consumer, Cyclical |
12.4 |
% |
|||||
Industrials |
11.7 |
% |
|||||
Communications |
8.0 |
% |
|||||
Basic Materials |
7.4 |
% |
|||||
Energy |
6.6 |
% |
|||||
Utilities |
3.6 |
% |
|||||
Technology |
2.3 |
% |
|||||
Diversified |
0.6 |
% |
ProShares UltraShort MSCI Emerging Markets (Ticker: EEV)
ProShares UltraShort MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the MSCI Emerging Markets Index® (the "Index"). The Index includes 85% of free float-adjusted market capitalization in each industry group in emerging markets countries.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index – Country
% of Index |
|||||||
China |
20.2 |
% |
|||||
Korea |
16.1 |
% |
|||||
Other |
13.1 |
% |
|||||
Taiwan |
11.3 |
% |
|||||
Brazil |
11.1 |
% |
|||||
South Africa |
7.2 |
% |
|||||
India |
6.0 |
% |
|||||
Russia |
5.9 |
% |
|||||
Mexico |
5.3 |
% |
|||||
Malaysia |
3.8 |
% |
MSCI Emerging Markets
Index –
Composition
% of Index |
|||||||
Financials |
26.6 |
% |
|||||
Communications |
11.4 |
% |
|||||
Technology |
10.9 |
% |
|||||
Energy |
10.8 |
% |
|||||
Consumer, Non-cyclical |
10.3 |
% |
|||||
Consumer, Cyclical |
8.9 |
% |
|||||
Basic Materials |
8.5 |
% |
|||||
Industrials |
7.2 |
% |
|||||
Utilities |
3.3 |
% |
|||||
Diversified |
2.1 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XXIII
ProShares UltraShort FTSE Europe (Ticker: EPV)
ProShares UltraShort FTSE Europe (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the FTSE Developed Europe Index® (the "Index"). The Index is comprised of large- and mid-cap stocks and targets the performance of approximately 500 large- and mid-cap companies. The Index utilizes free float-adjusted market capitalizations and components are screened for liquidity.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(199 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(199 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE Developed Europe Index – Country
% of Index |
|||||||
United Kingdom |
24.8 |
% |
|||||
France |
16.2 |
% |
|||||
Germany |
12.6 |
% |
|||||
Other |
11.0 |
% |
|||||
Switzerland |
8.6 |
% |
|||||
Sweden |
7.2 |
% |
|||||
Italy |
6.4 |
% |
|||||
Spain |
5.2 |
% |
|||||
Netherlands |
5.0 |
% |
|||||
Denmark |
3.0 |
% |
FTSE Developed Europe
Index –
Composition
% of Index |
|||||||
Consumer, Non-cyclical |
27.1 |
% |
|||||
Financials |
21.9 |
% |
|||||
Industrials |
10.4 |
% |
|||||
Energy |
9.1 |
% |
|||||
Communications |
8.9 |
% |
|||||
Consumer, Cyclical |
8.5 |
% |
|||||
Basic Materials |
7.6 |
% |
|||||
Utilities |
3.8 |
% |
|||||
Technology |
2.3 |
% |
|||||
Diversified |
0.4 |
% |
ProShares UltraShort MSCI Pacific ex-Japan (Ticker: JPX)
ProShares UltraShort MSCI Pacific ex-Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the MSCI Pacific ex-Japan Index® (the "Index"). The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the developed markets in the Pacific region, excluding Japan.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Pacific ex-Japan Index – Country
% of Index |
|||||||
Australia |
63.1 |
% |
|||||
Hong Kong |
23.5 |
% |
|||||
Singapore |
12.4 |
% |
|||||
New Zealand |
1.0 |
% |
MSCI Pacific ex-Japan
Index –
Composition
% of Index |
|||||||
Financials |
51.7 |
% |
|||||
Basic Materials |
10.5 |
% |
|||||
Consumer, Cyclical |
8.9 |
% |
|||||
Consumer, Non-cyclical |
8.3 |
% |
|||||
Industrials |
5.5 |
% |
|||||
Diversified |
4.2 |
% |
|||||
Utilities |
4.0 |
% |
|||||
Communications |
3.9 |
% |
|||||
Energy |
2.6 |
% |
|||||
Technology |
0.4 |
% |
ProShares UltraShort MSCI Brazil Capped (Ticker: BZQ)
ProShares UltraShort MSCI Brazil Capped (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the MSCI Brazil 25/50 Index® (the "Index). The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the Brazilian market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Brazil 25/50 Index – Composition
% of Index |
|||||||
Financials |
26.3 |
% |
|||||
Consumer, Non-cyclical |
24.8 |
% |
|||||
Basic Materials |
18.1 |
% |
|||||
Energy |
11.9 |
% |
|||||
Utilities |
6.4 |
% |
|||||
Consumer, Cyclical |
3.8 |
% |
|||||
Industrials |
3.2 |
% |
|||||
Communications |
3.1 |
% |
|||||
Diversified |
1.8 |
% |
|||||
Technology |
0.6 |
% |
XXIV :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares UltraShort FTSE China 25 (Ticker: FXP)
ProShares UltraShort FTSE China 25 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the FTSE China 25 Index® (the "Index"). The Index is comprised of 25 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(199 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(199 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 25 Index – Composition
% of Index |
|||||||
Financials |
57.3 |
% |
|||||
Communications |
22.5 |
% |
|||||
Energy |
15.9 |
% |
|||||
Consumer, Cyclical |
2.5 |
% |
|||||
Industrials |
1.8 |
% |
ProShares UltraShort MSCI Japan (Ticker: EWV)
ProShares UltraShort MSCI Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the MSCI Japan Index® (the "Index"). The Index includes 85% of free float-adjusted market capitalization in each industry group in Japan.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Japan Index – Composition
% of Index |
|||||||
Consumer, Cyclical |
27.1 |
% |
|||||
Financials |
20.8 |
% |
|||||
Industrials |
19.7 |
% |
|||||
Consumer, Non-cyclical |
12.7 |
% |
|||||
Communications |
7.2 |
% |
|||||
Basic Materials |
5.5 |
% |
|||||
Technology |
3.3 |
% |
|||||
Utilities |
2.6 |
% |
|||||
Energy |
1.1 |
% |
ProShares UltraShort MSCI Mexico Capped IMI (Ticker: SMK)
ProShares UltraShort MSCI Mexico Capped IMI (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the MSCI Mexico IMI 25/50 Index® (the "Index"). The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the performance of the Mexican equity market by capturing 99% of the (publicly available) total market capitalization.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(199 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(199 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Mexico IMI 25/50 Index – Composition
% of Index |
|||||||
Communications |
25.2 |
% |
|||||
Financials |
19.6 |
% |
|||||
Consumer, Non-cyclical |
18.0 |
% |
|||||
Consumer, Cyclical |
10.6 |
% |
|||||
Basic Materials |
10.4 |
% |
|||||
Industrials |
10.4 |
% |
|||||
Diversified |
5.8 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XXV
ProShares Short 7-10 Year Treasury (Ticker: TBX)
ProShares Short 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Barclays U.S. 7-10 Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
— |
||||||
Swap Agreements |
(97 |
%) |
|||||
Futures Contracts |
(3 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 7-10 Year Treasury Bond Index – Composition
% of Index |
|||||||
7-10 Year U.S. Treasury |
100.0 |
% |
ProShares Short 20+ Year Treasury (Ticker: TBF)
ProShares Short 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
— |
||||||
Swap Agreements |
(98 |
%) |
|||||
Futures Contracts |
(3 |
%) |
|||||
Total Exposure |
(101 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20+ Year Treasury Bond Index – Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100.0 |
% |
ProShares Short High Yield (Ticker: SJB)
ProShares Short High Yield (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Markit iBoxx $ Liquid High Yield Index (the "Index"). The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated high yield corporate bonds for sale within the United States by means of including the most liquid high yield corporate bonds available as determined by the index provider.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Corporate Bonds |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid High Yield Index – Composition
% of Index |
|||||||
High Yield |
100.0 |
% |
XXVI :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Short Investment Grade Corporate (Ticker: IGS)
ProShares Short Investment Grade Corporate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Markit iBoxx $ Liquid Investment Grade Index (the "Index"). The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated investment grade corporate bonds publicly offered in the United States by means of including the most liquid investment grade corporate bonds available as determined by the index provider.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Corporate Bonds |
— |
||||||
Swap Agreements |
(99 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(99 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid Investment Grade Index – Composition
% of Index |
|||||||
Investment Grade |
100.0 |
% |
ProShares UltraShort 3-7 Year Treasury (Ticker: TBZ)
ProShares UltraShort 3-7 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Barclays U.S. 3-7 Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of more than three years and less than seven years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 3-7 Year Treasury Bond Index – Composition
% of Index |
|||||||
3-7 Year U.S. Treasury |
100.0 |
% |
ProShares UltraShort 7-10 Year Treasury (Ticker: PST)
ProShares UltraShort 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Barclays U.S. 7-10 Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
— |
||||||
Swap Agreements |
(195 |
%) |
|||||
Futures Contracts |
(6 |
%) |
|||||
Total Exposure |
(201 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 7-10 Year Treasury Bond Index – Composition
% of Index |
|||||||
7-10 Year U.S. Treasury |
100.0 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XXVII
ProShares UltraShort 20+ Year Treasury (Ticker: TBT)
ProShares UltraShort 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
— |
||||||
Swap Agreements |
(198 |
%) |
|||||
Futures Contracts |
(3 |
%) |
|||||
Total Exposure |
(201 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20+ Year Treasury Bond Index – Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100.0 |
% |
ProShares UltraShort TIPS (Ticker: TPS)
ProShares UltraShort TIPS (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L) (the "Index"). The Index includes all publicly issued TIPS that have at least one year remaining maturity, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million or more par value outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L) – Composition
% of Index |
|||||||
TIPS (Series L) |
100.0 |
% |
ProShares UltraPro Short 20+ Year Treasury (Ticker: TTT)
ProShares UltraPro Short 20+ Year Treasury (the "Fund") seeks investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service or BBB- by S&P), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
— |
||||||
Swap Agreements |
(298 |
%) |
|||||
Futures Contracts |
(2 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20+ Year Treasury Bond Index – Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100 |
% |
XXVIII :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Ultra Russell3000 (Ticker: UWC)
ProShares Ultra Russell3000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 3000® Index (the "Index"). The Index is designed to be a comprehensive representation of the investable U.S. equity market and its segments. It is a free float-adjusted, market capitalization-weighted index, and includes only common stocks belonging to ≠corporations incorporated in the U.S. and its territories.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
26 |
% |
|||||
Swap Agreements |
174 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
0.7 |
% |
|||||
Exxon Mobil Corp. |
0.5 |
% |
|||||
Microsoft Corp. |
0.4 |
% |
|||||
Google, Inc., Class A |
0.4 |
% |
|||||
General Electric Co. |
0.4 |
% |
Russell 3000 Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
21.4 |
% |
|||||
Financials |
17.7 |
% |
|||||
Technology |
11.9 |
% |
|||||
Industrials |
11.3 |
% |
|||||
Communications |
11.3 |
% |
|||||
Consumer, Cyclical |
10.7 |
% |
|||||
Energy |
9.3 |
% |
|||||
Basic Materials |
3.3 |
% |
|||||
Utilities |
3.0 |
% |
|||||
Diversified |
0.1 |
% |
ProShares Ultra S&P500® (Ticker: SSO)
ProShares Ultra S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P 500® Index (the "Index"). The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a mechanical process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
60 |
% |
|||||
Swap Agreements |
128 |
% |
|||||
Futures Contracts |
12 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
1.9 |
% |
|||||
Exxon Mobil Corp. |
1.5 |
% |
|||||
Google, Inc., Class A |
1.1 |
% |
|||||
Microsoft Corp. |
1.1 |
% |
|||||
General Electric Co. |
1.0 |
% |
S&P 500 Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
22.1 |
% |
|||||
Financials |
16.7 |
% |
|||||
Technology |
12.6 |
% |
|||||
Communications |
11.3 |
% |
|||||
Industrials |
10.9 |
% |
|||||
Energy |
10.3 |
% |
|||||
Consumer, Cyclical |
9.9 |
% |
|||||
Basic Materials |
3.2 |
% |
|||||
Utilities |
2.9 |
% |
|||||
Diversified |
0.1 |
% |
ProShares Ultra QQQ® (Ticker: QLD)
ProShares Ultra QQQ® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the NASDAQ-100 Index® (the "Index"). The Index, a modified market capitalization — weighted index, includes 100 of the largest non-financial domestic and international issues listed on the NASDAQ Stock Market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
49 |
% |
|||||
Swap Agreements |
136 |
% |
|||||
Futures Contracts |
15 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
6.4 |
% |
|||||
Microsoft Corp. |
4.0 |
% |
|||||
Google, Inc., Class A |
3.7 |
% |
|||||
Amazon.com, Inc. |
2.3 |
% |
|||||
QUALCOMM, Inc. |
1.6 |
% |
NASDAQ-100 Index – Composition
% of Index |
|||||||
Technology |
39.2 |
% |
|||||
Communications |
34.1 |
% |
|||||
Consumer, Non-cyclical |
17.9 |
% |
|||||
Consumer, Cyclical |
7.6 |
% |
|||||
Industrials |
1.0 |
% |
|||||
Basic Materials |
0.2 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XXIX
ProShares Ultra Dow30SM (Ticker: DDM)
ProShares Ultra Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones Industrial AverageSM Index (the "Index"). The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
57 |
% |
|||||
Swap Agreements |
125 |
% |
|||||
Futures Contracts |
18 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Visa, Inc., Class A |
4.7 |
% |
|||||
International Business Machines Corp. |
4.1 |
% |
|||||
Goldman Sachs Group,
Inc. (The) |
3.9 |
% |
|||||
Boeing Co. (The) |
3.1 |
% |
|||||
3M Co. |
3.1 |
% |
Dow Jones Industrial Average
Index –
Composition
% of Index |
|||||||
Financials |
24.2 |
% |
|||||
Industrials |
19.6 |
% |
|||||
Consumer, Non-cyclical |
15.0 |
% |
|||||
Consumer, Cyclical |
13.5 |
% |
|||||
Technology |
9.6 |
% |
|||||
Energy |
8.6 |
% |
|||||
Communications |
7.0 |
% |
|||||
Basic Materials |
2.5 |
% |
ProShares Ultra MidCap400 (Ticker: MVV)
ProShares Ultra MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P MidCap 400® Index (the "Index"). The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a mechanical process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
64 |
% |
|||||
Swap Agreements |
125 |
% |
|||||
Futures Contracts |
11 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Alliance Data Systems Corp. |
0.5 |
% |
|||||
Affiliated Managers Group, Inc. |
0.5 |
% |
|||||
Tractor Supply Co. |
0.4 |
% |
|||||
LKQ Corp. |
0.4 |
% |
|||||
Henry Schein, Inc. |
0.4 |
% |
S&P MidCap 400 Index – Composition
% of Index |
|||||||
Financials |
21.9 |
% |
|||||
Consumer, Non-cyclical |
19.0 |
% |
|||||
Industrials |
18.3 |
% |
|||||
Consumer, Cyclical |
13.4 |
% |
|||||
Technology |
8.9 |
% |
|||||
Energy |
5.5 |
% |
|||||
Utilities |
4.7 |
% |
|||||
Basic Materials |
4.3 |
% |
|||||
Communications |
4.0 |
% |
ProShares Ultra Russell2000 (Ticker: UWM)
ProShares Ultra Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 2000® Index (the "Index"). The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000® Index or approximately 8% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the investable U.S. equity market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
190 |
% |
|||||
Futures Contracts |
10 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
% of Index |
|||||||
Financials |
22.6 |
% |
|||||
Consumer, Non-cyclical |
20.6 |
% |
|||||
Industrials |
14.2 |
% |
|||||
Consumer, Cyclical |
14.0 |
% |
|||||
Technology |
9.8 |
% |
|||||
Communications |
6.7 |
% |
|||||
Energy |
5.3 |
% |
|||||
Basic Materials |
3.6 |
% |
|||||
Utilities |
3.1 |
% |
|||||
Diversified |
0.1 |
% |
XXX :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Ultra SmallCap600 (Ticker: SAA)
ProShares Ultra SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P SmallCap 600® Index (the "Index"). The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 600 U.S. operating companies selected through a mechanical process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
14 |
% |
|||||
Swap Agreements |
186 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Brunswick Corp. |
0.1 |
% |
|||||
Fifth & Pacific Cos., Inc. |
0.1 |
% |
|||||
Hain Celestial Group,
Inc. (The) |
0.1 |
% |
|||||
Align Technology, Inc. |
0.1 |
% |
|||||
FEI Co. |
0.1 |
% |
S&P SmallCap 600 Index – Composition
% of Index |
|||||||
Financials |
21.5 |
% |
|||||
Consumer, Non-cyclical |
18.1 |
% |
|||||
Industrials |
18.0 |
% |
|||||
Consumer, Cyclical |
17.0 |
% |
|||||
Technology |
9.6 |
% |
|||||
Basic Materials |
4.3 |
% |
|||||
Communications |
4.3 |
% |
|||||
Energy |
3.9 |
% |
|||||
Utilities |
3.3 |
% |
ProShares UltraPro S&P500® (Ticker: UPRO)
ProShares UltraPro S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the S&P 500® Index (the "Index"). The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a mechanical process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
4 |
% |
|||||
Swap Agreements |
280 |
% |
|||||
Futures Contracts |
16 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
0.1 |
% |
|||||
Exxon Mobil Corp. |
0.1 |
% |
|||||
Google, Inc., Class A |
0.1 |
% |
|||||
Microsoft Corp. |
0.1 |
% |
|||||
General Electric Co. |
0.1 |
% |
S&P 500 Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
22.1 |
% |
|||||
Financials |
16.7 |
% |
|||||
Technology |
12.6 |
% |
|||||
Communications |
11.3 |
% |
|||||
Industrials |
10.9 |
% |
|||||
Energy |
10.3 |
% |
|||||
Consumer, Cyclical |
9.9 |
% |
|||||
Basic Materials |
3.2 |
% |
|||||
Utilities |
2.9 |
% |
|||||
Diversified |
0.1 |
% |
ProShares UltraPro QQQ® (Ticker: TQQQ)
ProShares UltraPro QQQ® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the NASDAQ-100 Index® (the "Index"). The Index, a modified market capitalization — weighted index, includes 100 of the largest non-financial domestic and international issues listed on the NASDAQ Stock Market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
46 |
% |
|||||
Swap Agreements |
244 |
% |
|||||
Futures Contracts |
10 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
5.9 |
% |
|||||
Microsoft Corp. |
3.7 |
% |
|||||
Google, Inc., Class A |
3.4 |
% |
|||||
Amazon.com, Inc. |
2.1 |
% |
|||||
QUALCOMM, Inc. |
1.5 |
% |
NASDAQ-100 Index – Composition
% of Index |
|||||||
Technology |
39.2 |
% |
|||||
Communications |
34.1 |
% |
|||||
Consumer, Non-cyclical |
17.9 |
% |
|||||
Consumer, Cyclical |
7.6 |
% |
|||||
Industrials |
1.0 |
% |
|||||
Basic Materials |
0.2 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XXXI
ProShares UltraPro Dow30SM (Ticker: UDOW)
ProShares UltraPro Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Dow Jones Industrial AverageSM Index (the "Index"). The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
78 |
% |
|||||
Swap Agreements |
204 |
% |
|||||
Futures Contracts |
18 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Visa, Inc., Class A |
6.3 |
% |
|||||
International Business Machines Corp. |
5.6 |
% |
|||||
Goldman Sachs Group,
Inc. (The) |
5.3 |
% |
|||||
Boeing Co. (The) |
4.2 |
% |
|||||
3M Co. |
4.2 |
% |
Dow Jones Industrial Average
Index –
Composition
% of Index |
|||||||
Financials |
24.2 |
% |
|||||
Industrials |
19.6 |
% |
|||||
Consumer, Non-cyclical |
15.0 |
% |
|||||
Consumer, Cyclical |
13.5 |
% |
|||||
Technology |
9.6 |
% |
|||||
Energy |
8.6 |
% |
|||||
Communications |
7.0 |
% |
|||||
Basic Materials |
2.5 |
% |
ProShares UltraPro MidCap400 (Ticker: UMDD)
ProShares UltraPro MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the S&P MidCap 400® Index (the "Index"). The Index is a measure of mid-size company U.S. stock market performance. It is a float adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a mechanical process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
65 |
% |
|||||
Swap Agreements |
225 |
% |
|||||
Futures Contracts |
10 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Alliance Data Systems Corp. |
0.5 |
% |
|||||
Affiliated Managers Group, Inc. |
0.5 |
% |
|||||
Tractor Supply Co. |
0.4 |
% |
|||||
LKQ Corp. |
0.4 |
% |
|||||
Henry Schein, Inc. |
0.4 |
% |
S&P MidCap 400 Index – Composition
% of Index |
|||||||
Financials |
21.9 |
% |
|||||
Consumer, Non-cyclical |
19.0 |
% |
|||||
Industrials |
18.3 |
% |
|||||
Consumer, Cyclical |
13.4 |
% |
|||||
Technology |
8.9 |
% |
|||||
Energy |
5.5 |
% |
|||||
Utilities |
4.7 |
% |
|||||
Basic Materials |
4.3 |
% |
|||||
Communications |
4.0 |
% |
ProShares UltraPro Russell2000 (Ticker: URTY)
ProShares UltraPro Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Russell 2000® Index (the "Index"). The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000® Index or approximately 8% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the investable U.S. equity market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
27 |
% |
|||||
Swap Agreements |
267 |
% |
|||||
Futures Contracts |
6 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
CoStar Group, Inc. |
0.1 |
% |
|||||
athenahealth, Inc. |
0.1 |
% |
|||||
US Airways Group, Inc. |
0.1 |
% |
|||||
Acuity Brands, Inc. |
0.1 |
% |
|||||
Isis Pharmaceuticals, Inc. |
0.1 |
% |
Russell 2000 Index – Composition
% of Index |
|||||||
Financials |
22.6 |
% |
|||||
Consumer, Non-cyclical |
20.6 |
% |
|||||
Industrials |
14.2 |
% |
|||||
Consumer, Cyclical |
14.0 |
% |
|||||
Technology |
9.8 |
% |
|||||
Communications |
6.7 |
% |
|||||
Energy |
5.3 |
% |
|||||
Basic Materials |
3.6 |
% |
|||||
Utilities |
3.1 |
% |
|||||
Diversified |
0.1 |
% |
XXXII :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Ultra Russell1000 Value (Ticker: UVG)
ProShares Ultra Russell1000 Value (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 1000® Value Index (the "Index"). The Index is designed to provide a comprehensive measure of large-cap U.S. equity "value" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell 1000 Index that have been identified as being on the value end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
54 |
% |
|||||
Swap Agreements |
146 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Exxon Mobil Corp. |
2.4 |
% |
|||||
General Electric Co. |
1.6 |
% |
|||||
Chevron Corp. |
1.4 |
% |
|||||
Johnson & Johnson |
1.4 |
% |
|||||
Procter & Gamble Co. (The) |
1.4 |
% |
Russell 1000 Value Index – Composition
% of Index |
|||||||
Financials |
28.9 |
% |
|||||
Consumer, Non-cyclical |
17.8 |
% |
|||||
Energy |
14.8 |
% |
|||||
Industrials |
10.5 |
% |
|||||
Communications |
7.8 |
% |
|||||
Technology |
6.1 |
% |
|||||
Utilities |
5.9 |
% |
|||||
Consumer, Cyclical |
5.6 |
% |
|||||
Basic Materials |
2.6 |
% |
ProShares Ultra Russell1000 Growth (Ticker: UKF)
ProShares Ultra Russell1000 Growth (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 1000® Growth Index (the "Index"). The Index is designed to provide a comprehensive measure of large-cap U.S. equity "growth" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell 1000 Index that have been identified as being on the growth end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
41 |
% |
|||||
Swap Agreements |
159 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
1.7 |
% |
|||||
Microsoft Corp. |
1.4 |
% |
|||||
Google, Inc., Class A |
1.3 |
% |
|||||
International Business Machines Corp. |
0.8 |
% |
|||||
Coca-Cola Co. (The) |
0.7 |
% |
Russell 1000 Growth
Index –
Composition
% of Index |
|||||||
Consumer, Non-cyclical |
25.1 |
% |
|||||
Technology |
17.9 |
% |
|||||
Communications |
15.5 |
% |
|||||
Consumer, Cyclical |
15.2 |
% |
|||||
Industrials |
11.6 |
% |
|||||
Financials |
6.1 |
% |
|||||
Energy |
4.6 |
% |
|||||
Basic Materials |
3.9 |
% |
|||||
Utilities |
0.1 |
% |
ProShares Ultra Russell MidCap Value (Ticker: UVU)
ProShares Ultra Russell MidCap Value (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell Midcap® Value Index (the "Index"). The Index is designed to provide a comprehensive measure of mid-cap U.S. equity "value" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell Midcap Index that have been identified as being on the value end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell Midcap Value Index – Composition
% of Index |
|||||||
Financials |
31.7 |
% |
|||||
Consumer, Non-cyclical |
12.9 |
% |
|||||
Utilities |
11.8 |
% |
|||||
Industrials |
11.1 |
% |
|||||
Consumer, Cyclical |
9.1 |
% |
|||||
Technology |
7.9 |
% |
|||||
Energy |
6.9 |
% |
|||||
Basic Materials |
4.3 |
% |
|||||
Communications |
4.0 |
% |
|||||
Diversified |
0.3 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XXXIII
ProShares Ultra Russell MidCap Growth (Ticker: UKW)
ProShares Ultra Russell MidCap Growth (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell Midcap® Growth Index (the "Index"). The Index is designed to provide a comprehensive measure of mid-cap U.S. equity "growth" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell Midcap Index that have been identified as being on the growth end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
53 |
% |
|||||
Swap Agreements |
147 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Crown Castle International
Corp. |
0.4 |
% |
|||||
Alexion Pharmaceuticals, Inc. |
0.4 |
% |
|||||
IntercontinentalExchange
Group, Inc. |
0.4 |
% |
|||||
Intuit, Inc. |
0.4 |
% |
|||||
Actavis PLC |
0.4 |
% |
Russell Midcap Growth
Index –
Composition
% of Index |
|||||||
Consumer, Non-cyclical |
25.5 |
% |
|||||
Consumer, Cyclical |
23.1 |
% |
|||||
Industrials |
13.0 |
% |
|||||
Technology |
10.7 |
% |
|||||
Communications |
9.8 |
% |
|||||
Financials |
7.2 |
% |
|||||
Energy |
6.3 |
% |
|||||
Basic Materials |
4.1 |
% |
|||||
Utilities |
0.3 |
% |
ProShares Ultra Russell2000 Value (Ticker: UVT)
ProShares Ultra Russell2000 Value (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 2000® Value Index (the "Index"). The Index is designed to provide a comprehensive measure of small-cap U.S. equity "value" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell 2000 Index that have been identified as being on the value end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
54 |
% |
|||||
Swap Agreements |
146 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Fifth & Pacific Cos., Inc. |
0.3 |
% |
|||||
Prosperity Bancshares, Inc. |
0.3 |
% |
|||||
FirstMerit Corp. |
0.3 |
% |
|||||
CNO Financial Group, Inc. |
0.3 |
% |
|||||
LaSalle Hotel Properties |
0.2 |
% |
Russell 2000 Value Index – Composition
% of Index |
|||||||
Financials |
38.3 |
% |
|||||
Industrials |
12.8 |
% |
|||||
Consumer, Cyclical |
10.9 |
% |
|||||
Consumer, Non-cyclical |
10.8 |
% |
|||||
Energy |
6.5 |
% |
|||||
Utilities |
6.1 |
% |
|||||
Technology |
5.5 |
% |
|||||
Communications |
5.1 |
% |
|||||
Basic Materials |
3.8 |
% |
|||||
Diversified |
0.2 |
% |
ProShares Ultra Russell2000 Growth (Ticker: UKK)
ProShares Ultra Russell2000 Growth (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 2000® Growth Index (the "Index"). The Index is designed to provide a comprehensive measure of small-cap U.S. equity "growth" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell 2000 Index that have been identified as being on the growth end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
33 |
% |
|||||
Swap Agreements |
167 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
CoStar Group, Inc. |
0.2 |
% |
|||||
athenahealth, Inc. |
0.2 |
% |
|||||
Acuity Brands, Inc. |
0.2 |
% |
|||||
Isis Pharmaceuticals, Inc. |
0.2 |
% |
|||||
Ultimate Software
Group, Inc. (The) |
0.2 |
% |
Russell 2000 Growth Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
30.0 |
% |
|||||
Consumer, Cyclical |
17.0 |
% |
|||||
Industrials |
15.5 |
% |
|||||
Technology |
13.9 |
% |
|||||
Communications |
8.2 |
% |
|||||
Financials |
7.7 |
% |
|||||
Energy |
4.2 |
% |
|||||
Basic Materials |
3.4 |
% |
|||||
Utilities |
0.1 |
% |
XXXIV :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Ultra Basic Materials (Ticker: UYM)
ProShares Ultra Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Index measures the performance of the basic materials sector of the U.S. equity market. Component companies are involved in the production of aluminum, steel, non ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Basic Materials Index – Composition
% of Index |
|||||||
Chemicals |
75.3 |
% |
|||||
Industrial Metals |
15.0 |
% |
|||||
Mining |
5.6 |
% |
|||||
Forestry and Paper |
4.1 |
% |
ProShares Ultra Nasdaq Biotechnology (Ticker: BIB)
ProShares Ultra Nasdaq Biotechnology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the NASDAQ Biotechnology Index® (the "Index"). The Index is a modified capitalization-weighted index that includes securities of NASDAQ listed companies that are classified as either biotechnology or pharmaceutical according to the Industry Classification Benchmark which also meet other eligibility criteria determined by NASDAQ, including minimum market capitalization and liquidity requirements.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
71 |
% |
|||||
Swap Agreements |
129 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Biogen Idec, Inc. |
6.9 |
% |
|||||
Gilead Sciences, Inc. |
6.2 |
% |
|||||
Celgene Corp. |
5.8 |
% |
|||||
Amgen, Inc. |
5.3 |
% |
|||||
Regeneron Pharmaceuticals, Inc. |
5.0 |
% |
NASDAQ Biotechnology
Index –
Composition
% of Index |
|||||||
Biotechnology |
66.9 |
% |
|||||
Pharmaceuticals |
30.0 |
% |
|||||
Healthcare-Products |
3.0 |
% |
|||||
Commercial Services |
0.1 |
% |
ProShares Ultra Consumer Goods (Ticker: UGE)
ProShares Ultra Consumer Goods (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Consumer GoodsSM Index (the "Index"). The Index measures the performance of consumer spending in the goods sector of the U.S. equity market. Component companies include automobiles and auto parts and tires, brewers and distillers, farming and fishing, durable and non-durable household product manufacturers, cosmetic companies, food and tobacco products, clothing, accessories and footwear.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
70 |
% |
|||||
Swap Agreements |
130 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Procter & Gamble Co. (The) |
8.4 |
% |
|||||
Coca-Cola Co. (The) |
5.5 |
% |
|||||
Philip Morris
International, Inc. |
5.0 |
% |
|||||
PepsiCo, Inc. |
4.7 |
% |
|||||
Altria Group, Inc. |
2.7 |
% |
Dow Jones U.S. Consumer Goods Index – Composition
% of Index |
|||||||
Household Goods |
19.0 |
% |
|||||
Beverages |
18.3 |
% |
|||||
Food Producers |
16.6 |
% |
|||||
Personal Goods |
16.2 |
% |
|||||
Automobiles and Parts |
13.8 |
% |
|||||
Tobacco |
12.9 |
% |
|||||
Leisure Goods |
3.2 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XXXV
ProShares Ultra Consumer Services (Ticker: UCC)
ProShares Ultra Consumer Services (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Consumer ServicesSM Index (the "Index"). The Index measures the performance of consumer spending in the services sector of the U.S. equity market. Component companies include airlines, broadcasting and entertainment, apparel and broadline retailers, food and drug retailers, media agencies, publishing, gambling, hotels, restaurants and bars, and travel and tourism.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
74 |
% |
|||||
Swap Agreements |
126 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Amazon.com, Inc. |
4.1 |
% |
|||||
Wal-Mart Stores, Inc. |
3.7 |
% |
|||||
Comcast Corp., Class A |
3.6 |
% |
|||||
Walt Disney Co. (The) |
3.3 |
% |
|||||
Home Depot, Inc. (The) |
3.2 |
% |
Dow Jones U.S. Consumer Services Index – Composition
% of Index |
|||||||
General Retailers |
37.6 |
% |
|||||
Media |
28.0 |
% |
|||||
Travel and Leisure |
20.6 |
% |
|||||
Food and Drug Retailers |
13.8 |
% |
ProShares Ultra Financials (Ticker: UYG)
ProShares Ultra Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). he Index measures the performance of the financial services sector of the U.S. equity market. Component companies include, among others, regional banks, major U.S. domiciled international banks, full line, life, and property and casualty insurance companies, companies that invest, directly or indirectly in real estate, diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors, securities brokers and dealers including investment banks, merchant banks and online brokers, and publicly traded stock exchanges.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
70 |
% |
|||||
Swap Agreements |
130 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
JPMorgan Chase & Co. |
4.4 |
% |
|||||
Wells Fargo & Co. |
4.3 |
% |
|||||
Berkshire Hathaway, Inc.,
Class B |
4.3 |
% |
|||||
Bank of America Corp. |
3.5 |
% |
|||||
Citigroup, Inc. |
3.3 |
% |
Dow Jones U.S. Financials
Index –
Composition
% of Index |
|||||||
Banks |
32.6 |
% |
|||||
Financial Services |
25.9 |
% |
|||||
Nonlife Insurance |
18.8 |
% |
|||||
Real Estate Investment Trusts |
16.1 |
% |
|||||
Life Insurance |
5.8 |
% |
|||||
Real Estate Investment & Services |
0.8 |
% |
ProShares Ultra Health Care (Ticker: RXL)
ProShares Ultra Health Care (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Health CareSM Index (the "Index"). The Index measures the performance of the healthcare sector of the U.S. equity market. Component companies include health care providers, biotechnology companies, medical supplies, advanced medical devices and pharmaceuticals.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
70 |
% |
|||||
Swap Agreements |
130 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Johnson & Johnson |
8.2 |
% |
|||||
Pfizer, Inc. |
6.5 |
% |
|||||
Merck & Co., Inc. |
4.5 |
% |
|||||
Gilead Sciences, Inc. |
3.5 |
% |
|||||
Amgen, Inc. |
2.7 |
% |
Dow Jones U.S. Health Care
Index –
Composition
% of Index |
|||||||
Pharmaceuticals and
Biotechnology |
68.3 |
% |
|||||
Health Care Equipment and Services |
31.7 |
% |
XXXVI :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Ultra Industrials (Ticker: UXI)
ProShares Ultra Industrials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. IndustrialsSM Index (the "Index"). The Index measures the performance of the industrial sector of the U.S. equity market. Component companies include building materials, heavy construction, factory equipment, heavy machinery, industrial services, pollution control, containers and packaging, industrial diversified, air freight, marine transportation, railroads, trucking, land-transportation equipment, shipbuilding, transportation services, advanced industrial equipment, electric components and equipment, and aerospace.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
70 |
% |
|||||
Swap Agreements |
130 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
General Electric Co. |
7.7 |
% |
|||||
United Technologies Corp. |
2.6 |
% |
|||||
Boeing Co. (The) |
2.6 |
% |
|||||
3M Co. |
2.4 |
% |
|||||
Union Pacific Corp. |
2.1 |
% |
Dow Jones U.S. Industrials
Index –
Composition
% of Index |
|||||||
General Industrials |
21.6 |
% |
|||||
Aerospace and Defense |
17.5 |
% |
|||||
Support Services |
16.4 |
% |
|||||
Industrial Engineering |
15.4 |
% |
|||||
Industrial Transportation |
12.8 |
% |
|||||
Electronic & Electrical Equipment |
10.6 |
% |
|||||
Construction and Materials |
5.7 |
% |
ProShares Ultra Oil & Gas (Ticker: DIG)
ProShares Ultra Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Index measures the performance of the oil and gas sector of the U.S. equity market. Component companies include oil drilling equipment and services, oil companies-major, oil companies-secondary, pipelines, liquid, solid or gaseous fossil fuel producers and service companies.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
71 |
% |
|||||
Swap Agreements |
129 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Exxon Mobil Corp. |
16.3 |
% |
|||||
Chevron Corp. |
9.4 |
% |
|||||
Schlumberger Ltd. |
4.6 |
% |
|||||
ConocoPhillips |
3.5 |
% |
|||||
Occidental Petroleum Corp. |
3.0 |
% |
Dow Jones U.S. Oil & Gas
Index –
Composition
% of Index |
|||||||
Oil and Gas Producers |
75.3 |
% |
|||||
Oil Equipment, Services and Distribution |
24.5 |
% |
|||||
Alternative Energy |
0.2 |
% |
ProShares Ultra Real Estate (Ticker: URE)
ProShares Ultra Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Index measures the performance of the real estate sector of the U.S. equity market. Component companies include, among others, real estate holding and development and real estate services companies and real estate investment trusts.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Real Estate Index – Composition
% of Index |
|||||||
Real Estate |
100 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XXXVII
ProShares Ultra KBW Regional Banking (Ticker: KRU)
ProShares Ultra KBW Regional Banking (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the KBW Regional Banking IndexSM (the "Index"). The Index is an equal-weighted index that seeks to provide diverse regional banking exposure. The Index includes stocks of 50 publicly traded companies that do business as regional banks or thrifts. Component companies include leading regional banks or thrifts listed on a U.S. exchange.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
71 |
% |
|||||
Swap Agreements |
129 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
First Republic Bank/CA |
2.4 |
% |
|||||
SVB Financial Group |
2.2 |
% |
|||||
Susquehanna
Bancshares, Inc. |
2.1 |
% |
|||||
Pinnacle Financial Partners, Inc. |
2.1 |
% |
|||||
Texas Capital
Bancshares, Inc. |
2.1 |
% |
KBW Regional Banking
Index –
Composition
% of Index |
|||||||
Financials |
100.0 |
% |
ProShares Ultra Semiconductors (Ticker: USD)
ProShares Ultra Semiconductors (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. SemiconductorsSM Index (the "Index"). The Index measures the performance of the semiconductor sub-sector of the U.S. equity market. Component companies are engaged in the production of semiconductors and other integrated chips, as well as other related products such as semiconductor capital equipment and mother-boards.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
72 |
% |
|||||
Swap Agreements |
128 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Intel Corp. |
21.4 |
% |
|||||
Texas Instruments, Inc. |
8.5 |
% |
|||||
Micron Technology, Inc. |
3.9 |
% |
|||||
Applied Materials, Inc. |
3.7 |
% |
|||||
SanDisk Corp. |
2.8 |
% |
Dow Jones U.S. Semiconductors
Index –
Composition
% of Index |
|||||||
Semiconductors |
100.0 |
% |
ProShares Ultra Technology (Ticker: ROM)
ProShares Ultra Technology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. TechnologySM Index (the "Index"). The Index measures the performance of the technology sector of the U.S. equity market. Component companies include those involved in computers and office equipment, software, communications technology, semiconductors, diversified technology services and Internet services.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
70 |
% |
|||||
Swap Agreements |
130 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
12.5 |
% |
|||||
Google, Inc., Class A |
7.4 |
% |
|||||
Microsoft Corp. |
7.2 |
% |
|||||
International Business Machines Corp. |
4.6 |
% |
|||||
QUALCOMM, Inc. |
3.1 |
% |
Dow Jones U.S. Technology
Index –
Composition
% of Index |
|||||||
Technology Hardware and
Equipment |
50.9 |
% |
|||||
Technology Hardware and Equipment |
49.1 |
% |
XXXVIII :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Ultra Telecommunications (Ticker: LTL)
ProShares Ultra Telecommunications (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Select TelecommunicationsSM Index (the "Index"). The Index is a measure of U.S. stock market performance of fixed-line (regional and long-distance carriers) and mobile telephone services (cellular, satellite and paging services).
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
69 |
% |
|||||
Swap Agreements |
131 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
AT&T, Inc. |
8.8 |
% |
|||||
Verizon Communications, Inc. |
8.0 |
% |
|||||
Crown Castle
International Corp. |
5.5 |
% |
|||||
CenturyLink, Inc. |
4.4 |
% |
|||||
SBA Communications
Corp., Class A |
4.0 |
% |
Dow Jones U.S. Select Telecommunications
Index –
Composition
% of Index |
|||||||
Fixed Line Telecommunications |
57.2 |
% |
|||||
Mobile Telecommunications |
42.8 |
% |
ProShares Ultra Utilities (Ticker: UPW)
ProShares Ultra Utilities (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. UtilitiesSM Index (the "Index"). The Index measures the performance of the utilities sector of the U.S. equity market. Component companies include electric utilities, gas utilities and water utilities.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
73 |
% |
|||||
Swap Agreements |
127 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Duke Energy Corp. |
6.0 |
% |
|||||
Dominion Resources, Inc. |
4.5 |
% |
|||||
NextEra Energy, Inc. |
4.3 |
% |
|||||
Southern Co. (The) |
4.3 |
% |
|||||
Exelon Corp. |
2.8 |
% |
Dow Jones U.S. Utilities
Index –
Composition
% of Index |
|||||||
Electricity |
66.0 |
% |
|||||
Gas, Water & Multi Utilities |
34.0 |
% |
ProShares UltraPro Financials (Ticker: FINU)
ProShares UltraPro Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include, among others, regional banks, major U.S. domiciled international banks, full line, life, property and casualty insurance companies, companies that invest, directly or indirectly in real estate, diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors, securities brokers and dealers including investment banks, merchant banks and online brokers, and publicly traded stock exchanges.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
76 |
% |
|||||
Swap Agreements |
224 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
JPMorgan Chase & Co. |
4.7 |
% |
|||||
Wells Fargo & Co. |
4.7 |
% |
|||||
Berkshire Hathaway, Inc.,
Class B |
4.6 |
% |
|||||
Bank of America Corp. |
3.7 |
% |
|||||
Citigroup, Inc. |
3.5 |
% |
Dow Jones U.S. Financials
Index –
Composition
% of Index |
|||||||
Banks |
32.6 |
% |
|||||
Financial Services |
25.9 |
% |
|||||
Nonlife Insurance |
18.8 |
% |
|||||
Real Estate Investment Trusts |
16.1 |
% |
|||||
Life Insurance |
5.8 |
% |
|||||
Real Estate Investment & Services |
0.8 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XXXIX
ProShares Ultra MSCI EAFE (Ticker: EFO)
ProShares Ultra MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI EAFE Index® (the "Index"). The Index includes 85% of free float-adjusted market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index – Country
% of Index |
|||||||
United Kingdom |
21.7 |
% |
|||||
Japan |
21.0 |
% |
|||||
Other |
12.0 |
% |
|||||
France |
10.0 |
% |
|||||
Germany |
9.3 |
% |
|||||
Switzerland |
8.9 |
% |
|||||
Australia |
7.7 |
% |
|||||
Spain |
3.3 |
% |
|||||
Sweden |
3.2 |
% |
|||||
Hong Kong |
2.9 |
% |
MSCI EAFE Index – Composition
% of Index |
|||||||
Financials |
25.4 |
% |
|||||
Consumer, Non-cyclical |
22.0 |
% |
|||||
Consumer, Cyclical |
12.4 |
% |
|||||
Industrials |
11.7 |
% |
|||||
Communications |
8.0 |
% |
|||||
Basic Materials |
7.4 |
% |
|||||
Energy |
6.6 |
% |
|||||
Utilities |
3.6 |
% |
|||||
Technology |
2.3 |
% |
|||||
Diversified |
0.6 |
% |
ProShares Ultra MSCI Emerging Markets (Ticker: EET)
ProShares Ultra MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Emerging Markets Index® (the "Index"). The Index includes 85% of free float-adjusted market capitalization in each industry group in emerging markets countries.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets
Index –
Country
% of Index |
|||||||
China |
20.2 |
% |
|||||
Korea |
16.1 |
% |
|||||
Other |
13.1 |
% |
|||||
Taiwan |
11.3 |
% |
|||||
Brazil |
11.1 |
% |
|||||
South Africa |
7.2 |
% |
|||||
India |
6.0 |
% |
|||||
Russia |
5.9 |
% |
|||||
Mexico |
5.3 |
% |
|||||
Malaysia |
3.8 |
% |
MSCI Emerging Markets
Index –
Composition
% of Index |
|||||||
Financials |
26.6 |
% |
|||||
Communications |
11.4 |
% |
|||||
Technology |
10.9 |
% |
|||||
Energy |
10.8 |
% |
|||||
Consumer, Non-cyclical |
10.3 |
% |
|||||
Consumer, Cyclical |
8.9 |
% |
|||||
Basic Materials |
8.5 |
% |
|||||
Industrials |
7.2 |
% |
|||||
Utilities |
3.3 |
% |
|||||
Diversified |
2.1 |
% |
ProShares Ultra FTSE Europe (Ticker: UPV)
ProShares Ultra FTSE Europe (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the FTSE Developed Europe Index® (the "Index). The Index is comprised of large- and mid-cap stocks and targets the performance of approximately 500 large- and mid-cap companies. The Index utilizes free float-adjusted market capitalizations and components are screened for liquidity.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE Developed Europe
Index –
Country
% of Index |
|||||||
United Kingdom |
24.8 |
% |
|||||
France |
16.2 |
% |
|||||
Germany |
12.6 |
% |
|||||
Other |
11.0 |
% |
|||||
Switzerland |
8.6 |
% |
|||||
Sweden |
7.2 |
% |
|||||
Italy |
6.4 |
% |
|||||
Spain |
5.2 |
% |
|||||
Netherlands |
5.0 |
% |
|||||
Denmark |
3.0 |
% |
FTSE Developed Europe
Index –
Composition
% of Index |
|||||||
Consumer, Non-cyclical |
27.1 |
% |
|||||
Financials |
21.9 |
% |
|||||
Industrials |
10.4 |
% |
|||||
Energy |
9.1 |
% |
|||||
Communications |
8.9 |
% |
|||||
Consumer, Cyclical |
8.5 |
% |
|||||
Basic Materials |
7.6 |
% |
|||||
Utilities |
3.8 |
% |
|||||
Technology |
2.3 |
% |
|||||
Diversified |
0.4 |
% |
XL :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Ultra MSCI Pacific ex-Japan (Ticker: UXJ)
ProShares Ultra MSCI Pacific ex-Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Pacific ex-Japan Index® (the "Index"). The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the developed markets in the Pacific region, excluding Japan.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
201 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
201 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Pacific ex-Japan Index – Country
% of Index |
|||||||
Australia |
63.1 |
% |
|||||
Hong Kong |
23.5 |
% |
|||||
Singapore |
12.4 |
% |
|||||
New Zealand |
1.0 |
% |
MSCI Pacific ex-Japan
Index –
Composition
% of Index |
|||||||
Financials |
51.7 |
% |
|||||
Basic Materials |
10.5 |
% |
|||||
Consumer, Cyclical |
8.9 |
% |
|||||
Consumer, Non-cyclical |
8.3 |
% |
|||||
Industrials |
5.5 |
% |
|||||
Diversified |
4.2 |
% |
|||||
Utilities |
4.0 |
% |
|||||
Communications |
3.9 |
% |
|||||
Energy |
2.6 |
% |
|||||
Technology |
0.4 |
% |
ProShares Ultra MSCI Brazil Capped (Ticker: UBR)
ProShares Ultra MSCI Brazil Capped (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Brazil 25/50 Index® (the "Index"). The Index is a free-float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the Brazilian market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Brazil 25/50 Index – Composition
% of Index |
|||||||
Financials |
26.3 |
% |
|||||
Consumer, Non-cyclical |
24.8 |
% |
|||||
Basic Materials |
18.1 |
% |
|||||
Energy |
11.9 |
% |
|||||
Utilities |
6.4 |
% |
|||||
Consumer, Cyclical |
3.8 |
% |
|||||
Industrials |
3.2 |
% |
|||||
Communications |
3.1 |
% |
|||||
Diversified |
1.8 |
% |
|||||
Technology |
0.6 |
% |
ProShares Ultra FTSE China 25 (Ticker: XPP)
ProShares Ultra FTSE China 25 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the FTSE China 25 Index® (the "Index"). The Index is comprised of 25 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 25 Index – Composition
% of Index |
|||||||
Financials |
57.3 |
% |
|||||
Communications |
22.5 |
% |
|||||
Energy |
15.9 |
% |
|||||
Consumer, Cyclical |
2.5 |
% |
|||||
Industrials |
1.8 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XLI
ProShares Ultra MSCI Japan (Ticker: EZJ)
ProShares Ultra MSCI Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Japan Index® (the "Index"). The Index includes 85% of free float-adjusted market capitalization in each industry group in Japan.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Japan Index – Composition
% of Index |
|||||||
Consumer, Cyclical |
27.1 |
% |
|||||
Financials |
20.8 |
% |
|||||
Industrials |
19.7 |
% |
|||||
Consumer, Non-cyclical |
12.7 |
% |
|||||
Communications |
7.2 |
% |
|||||
Basic Materials |
5.5 |
% |
|||||
Technology |
3.3 |
% |
|||||
Utilities |
2.6 |
% |
|||||
Energy |
1.1 |
% |
ProShares Ultra MSCI Mexico Capped IMI (Ticker: UMX)
ProShares Ultra MSCI Mexico Capped IMI (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the MSCI Mexico IMI 25/50 Index® (the "Index"). The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the performance of the Mexican equity market by capturing 99% of the (publicly available) total market capitalization.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Mexico IMI 25/50 Index – Composition
% of Index |
|||||||
Communications |
25.2 |
% |
|||||
Financials |
19.6 |
% |
|||||
Consumer, Non-cyclical |
18.0 |
% |
|||||
Consumer, Cyclical |
10.6 |
% |
|||||
Basic Materials |
10.4 |
% |
|||||
Industrials |
10.4 |
% |
|||||
Diversified |
5.8 |
% |
ProShares Ultra 7-10 Year Treasury (Ticker: UST)
ProShares Ultra 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Barclays U.S. 7-10 Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Term U.S. Treasury Obligations |
42 |
% |
|||||
Swap Agreements |
156 |
% |
|||||
Futures Contracts |
2 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 7-10 Year Treasury Bond
Index –
Composition
% of Index |
|||||||
7-10 Year U.S. Treasury |
100.0 |
% |
XLII :: NOVEMBER 30, 2013 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Ultra 20+ Year Treasury (Ticker: UBT)
ProShares Ultra 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Term U.S. Treasury Obligations |
19 |
% |
|||||
Swap Agreements |
181 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20 Year Treasury Bond
Index –
Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100.0 |
% |
ProShares Ultra High Yield (Ticker: UJB)
ProShares Ultra High Yield (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the Markit iBoxx $ Liquid High Yield Index (the "Index"). The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated high yield corporate bonds for sale within the United States by means of including the most liquid high yield corporate bonds available as determined by the index provider.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Corporate Bonds |
4 |
% |
|||||
Swap Agreements |
195 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
199 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid High Yield
Index –
Composition
% of Index |
|||||||
High Yield |
100 |
% |
ProShares Ultra Investment Grade Corporate (Ticker: IGU)
ProShares Ultra Investment Grade Corporate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the Markit iBoxx $ Liquid Investment Grade Index (the "Index"). The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated investment grade corporate bonds publicly offered in the United States by means of including the most liquid investment grade corporate bonds available as determined by the index provider.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Corporate Bonds |
— |
||||||
Equity Securities |
22 |
% |
|||||
Swap Agreements |
178 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid Investment Grade
Index –
Composition
% of Index |
|||||||
Investment Grade |
100.0 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2013 (UNAUDITED) :: XLIII
EXPENSE EXAMPLES
XLIV :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
As a shareholder, you incur two types of costs: (1) transaction costs for purchasing and selling shares and (2) ongoing costs, including advisory fees and other Fund expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
Actual Expenses
The actual expense examples are based on an investment of $1,000 invested at the beginning of a six-month period and held through the period ended, November 30, 2013.
The first line in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 =8.6), then multiply the result by the number in the first line under the heading "Expenses Paid During the Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended, November 30, 2013.
The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as creation or redemption fees, or brokerage charges. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Beginning Account Value |
Ending Account Value 11/30/13 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
USD Covered Bond |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,003.50 |
$ |
1.76 |
0.35 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.31 |
$ |
1.78 |
0.35 |
% |
|||||||||||
German Sovereign/Sub-Sovereign ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,045.40 |
$ |
2.31 |
0.45 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.81 |
$ |
2.28 |
0.45 |
% |
|||||||||||
High Yield-Interest Rate Hedged |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,019.10 |
$ |
2.53 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.56 |
$ |
2.54 |
0.50 |
% |
|||||||||||
Investment Grade-Interest Rate Hedged (a) |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,005.10 |
$ |
0.21 |
0.30 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.56 |
$ |
1.52 |
0.30 |
% |
|||||||||||
Short Term USD Emerging Markets Bond ETF (b) |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
998.80 |
$ |
0.15 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.56 |
$ |
2.54 |
0.50 |
% |
|||||||||||
Global Listed Private Equity ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,153.70 |
$ |
3.24 |
0.60 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.06 |
$ |
3.04 |
0.60 |
% |
|||||||||||
Hedge Replication ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,025.70 |
$ |
4.82 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Large Cap Core Plus |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,123.90 |
$ |
2.40 |
0.45 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.81 |
$ |
2.28 |
0.45 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: XLV
Beginning Account Value |
Ending Account Value 11/30/13 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Merger ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
997.80 |
$ |
3.76 |
0.75 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.31 |
$ |
3.80 |
0.75 |
% |
|||||||||||
RAFI® Long/Short |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,028.20 |
$ |
4.83 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
S&P 500 Aristocrats ETF (c) |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,084.40 |
$ |
0.52 |
0.35 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.31 |
$ |
1.78 |
0.35 |
% |
|||||||||||
30 Year TIPS/TSY Spread |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
977.40 |
$ |
3.72 |
0.75 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.31 |
$ |
3.80 |
0.75 |
% |
|||||||||||
Short 30 Year TIPS/TSY Spread |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,004.70 |
$ |
3.77 |
0.75 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.31 |
$ |
3.80 |
0.75 |
% |
|||||||||||
UltraPro 10 Year TIPS/TSY Spread |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
950.20 |
$ |
3.67 |
0.75 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.31 |
$ |
3.80 |
0.75 |
% |
|||||||||||
UltraPro Short 10 Year TIPS/TSY Spread |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,029.50 |
$ |
3.82 |
0.75 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.31 |
$ |
3.80 |
0.75 |
% |
|||||||||||
Short S&P500® |
GEARED PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
885.60 |
$ |
4.25 |
0.90 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.56 |
$ |
4.56 |
0.90 |
% |
|||||||||||
Short QQQ® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
838.50 |
$ |
4.38 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
920.30 |
$ |
4.57 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
889.50 |
$ |
4.50 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
840.30 |
$ |
4.38 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short SmallCap600 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
821.90 |
$ |
4.34 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Russell3000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
769.00 |
$ |
4.21 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
XLVI :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 11/30/13 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraShort S&P500® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
781.00 |
$ |
4.02 |
0.90 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.56 |
$ |
4.56 |
0.90 |
% |
|||||||||||
UltraShort QQQ® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
700.40 |
$ |
4.05 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
846.00 |
$ |
4.40 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
787.50 |
$ |
4.26 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
700.80 |
$ |
4.05 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort SmallCap600 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
670.50 |
$ |
3.98 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Short S&P500® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
683.90 |
$ |
3.88 |
0.92 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.46 |
$ |
4.66 |
0.92 |
% |
|||||||||||
UltraPro Short QQQ® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
580.20 |
$ |
3.76 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Short Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
773.20 |
$ |
4.22 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Short MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
689.00 |
$ |
4.02 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Short Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
578.00 |
$ |
3.76 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Russell1000 Value |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
797.10 |
$ |
4.28 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Russell1000 Growth |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
750.40 |
$ |
4.17 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Russell MidCap Value |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
792.90 |
$ |
4.27 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: XLVII
Beginning Account Value |
Ending Account Value 11/30/13 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraShort Russell MidCap Growth |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
754.40 |
$ |
4.18 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Russell2000 Value |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
727.50 |
$ |
4.11 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Russell2000 Growth |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
672.70 |
$ |
3.98 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short Basic Materials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
896.10 |
$ |
4.52 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
902.30 |
$ |
4.53 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short Oil & Gas |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
907.50 |
$ |
4.54 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short Real Estate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,041.60 |
$ |
4.86 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short KBW Regional Banking |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
777.50 |
$ |
4.23 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Basic Materials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
797.60 |
$ |
4.28 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Nasdaq Biotechnology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
585.50 |
$ |
3.78 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Consumer Goods |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
797.60 |
$ |
4.28 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Consumer Services |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
702.30 |
$ |
4.05 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
808.00 |
$ |
4.31 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Health Care |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
726.90 |
$ |
4.11 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
XLVIII :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 11/30/13 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraShort Industrials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
718.90 |
$ |
4.09 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Oil & Gas |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
819.80 |
$ |
4.33 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Real Estate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,071.10 |
$ |
4.93 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Semiconductors |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
821.70 |
$ |
4.34 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Technology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
776.60 |
$ |
4.23 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Telecommunications |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
778.60 |
$ |
4.24 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Utilities |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
907.40 |
$ |
4.54 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Short Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
716.80 |
$ |
4.09 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short MSCI EAFE |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
874.80 |
$ |
4.46 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short MSCI Emerging Markets |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
929.40 |
$ |
4.59 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short FTSE China 25 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
839.10 |
$ |
4.38 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort MSCI EAFE |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
760.80 |
$ |
4.19 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort MSCI Emerging Markets |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
846.50 |
$ |
4.40 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort FTSE Europe |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
727.60 |
$ |
4.11 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: XLIX
Beginning Account Value |
Ending Account Value 11/30/13 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraShort MSCI Pacific ex-Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
838.60 |
$ |
4.38 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort MSCI Brazil Capped |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,023.70 |
$ |
4.82 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort FTSE China 25 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
688.50 |
$ |
4.02 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort MSCI Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
733.50 |
$ |
4.13 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort MSCI Mexico Capped IMI |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
901.50 |
$ |
4.53 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short 7-10 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,015.40 |
$ |
4.80 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,059.80 |
$ |
4.91 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short High Yield |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
947.80 |
$ |
4.64 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short Investment Grade Corporate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
994.30 |
$ |
4.75 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort 3-7 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
989.80 |
$ |
4.74 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort 7-10 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,033.00 |
$ |
4.84 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,119.30 |
$ |
4.89 |
0.92 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.46 |
$ |
4.66 |
0.92 |
% |
|||||||||||
UltraShort TIPS |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,060.70 |
$ |
4.91 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Short 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,169.40 |
$ |
5.17 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
L :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 11/30/13 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Ultra Russell3000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,249.40 |
$ |
5.36 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra S&P500® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,235.80 |
$ |
5.04 |
0.90 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.56 |
$ |
4.56 |
0.90 |
% |
|||||||||||
Ultra QQQ® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,369.30 |
$ |
5.64 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,144.10 |
$ |
5.11 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,205.80 |
$ |
5.25 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,347.20 |
$ |
5.59 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra SmallCap600 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,411.30 |
$ |
5.74 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro S&P500® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,362.30 |
$ |
5.63 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro QQQ® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,583.50 |
$ |
6.15 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,213.00 |
$ |
5.27 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,311.90 |
$ |
5.51 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,538.50 |
$ |
6.05 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Russell1000 Value |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,204.90 |
$ |
5.25 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Russell1000 Growth |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,278.50 |
$ |
5.43 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: LI
Beginning Account Value |
Ending Account Value 11/30/13 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Ultra Russell MidCap Value |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,200.30 |
$ |
5.24 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Russell MidCap Growth |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,262.90 |
$ |
5.39 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Russell2000 Value |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,301.80 |
$ |
5.48 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Russell2000 Growth |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,385.90 |
$ |
5.68 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Basic Materials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,182.30 |
$ |
5.20 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Nasdaq Biotechnology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,513.80 |
$ |
5.99 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Consumer Goods |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,202.50 |
$ |
5.25 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Consumer Services |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,360.00 |
$ |
5.62 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,172.90 |
$ |
5.17 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Health Care |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,311.10 |
$ |
5.50 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Industrials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,322.70 |
$ |
5.53 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Oil & Gas |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,157.20 |
$ |
5.14 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Real Estate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
859.30 |
$ |
4.43 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra KBW Regional Banking |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,556.80 |
$ |
6.09 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
LII :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 11/30/13 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Ultra Semiconductors |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,135.50 |
$ |
5.09 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Technology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,229.80 |
$ |
5.31 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Telecommunications |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,212.90 |
$ |
5.27 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Utilities |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,048.80 |
$ |
4.88 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,251.30 |
$ |
5.36 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra MSCI EAFE |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,239.40 |
$ |
5.33 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra MSCI Emerging Markets |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,054.80 |
$ |
4.89 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra FTSE Europe |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,294.70 |
$ |
5.46 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra MSCI Pacific ex-Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,101.00 |
$ |
5.00 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra MSCI Brazil Capped |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
853.50 |
$ |
4.41 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra FTSE China 25 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,284.80 |
$ |
5.44 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra MSCI Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,209.00 |
$ |
5.26 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra MSCI Mexico Capped IMI |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
946.80 |
$ |
4.64 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra 7-10 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
945.60 |
$ |
4.63 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: LIII
Beginning Account Value |
Ending Account Value 11/30/13 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Ultra 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
852.70 |
$ |
4.41 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra High Yield |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,064.70 |
$ |
4.92 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Investment Grade Corporate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
974.80 |
$ |
4.70 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
* Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 183/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).
(a) The Fund commenced operations on November 5, 2013. Actual Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 25 divided by 365 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 365 (to reflect the one-half year period).
(b) The Fund commenced operations on November 19, 2013. Actual Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 11 divided by 365 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 365 (to reflect the one-half year period).
(c) The Fund commenced operations on October 9, 2013. Actual Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 52 divided by 365 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 365 (to reflect the one-half year period).
LIV :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
SCHEDULE OF PORTFOLIO INVESTMENTS
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: 1
Principal Amount |
Value |
||||||||||
Corporate Bonds — 98.9% |
|||||||||||
Commercial Banks — 94.4% |
|||||||||||
Australia & New Zealand
Banking Group Ltd. |
|||||||||||
$ |
250,000 |
2.40%, due 11/23/16 (a) |
$ |
260,629 |
|||||||
Bank of Montreal |
|||||||||||
350,000 |
2.85%, due 06/09/15 (a) |
362,700 |
|||||||||
Bank of Nova Scotia |
|||||||||||
251,000 |
1.65%, due 10/29/15 (a) |
256,582 |
|||||||||
265,000 |
1.95%, due 01/30/17 (a) |
273,634 |
|||||||||
Bank of Scotland PLC |
|||||||||||
270,000 |
5.25%, due 02/21/17 (a) |
303,467 |
|||||||||
Canadian Imperial Bank of Commerce |
|||||||||||
221,000 |
2.60%, due 07/02/15 (a) |
228,661 |
|||||||||
Commonwealth Bank of Australia |
|||||||||||
275,000 |
0.75%, due 01/15/16 (a) |
275,462 |
|||||||||
Credit Mutuel - CIC Home Loan SFH |
|||||||||||
200,000 |
1.50%, due 11/16/17 (a) |
199,905 |
|||||||||
Credit Suisse AG/Guernsey |
|||||||||||
290,000 |
2.60%, due 05/27/16 (a) |
303,015 |
|||||||||
DNB Boligkreditt AS |
|||||||||||
293,000 |
2.10%, due 10/14/15 (a) |
301,028 |
|||||||||
National Australia Bank Ltd. |
|||||||||||
275,000 |
2.00%, due 06/20/17 (a) |
282,525 |
|||||||||
National Bank of Canada |
|||||||||||
282,000 |
2.20%, due 10/19/16 (a) |
293,133 |
|||||||||
Norddeutsche Landesbank Girozentrale |
|||||||||||
200,000 |
0.88%, due 10/16/15 (a) |
200,867 |
|||||||||
Nordea Eiendomskreditt AS |
|||||||||||
300,000 |
2.13%, due 09/22/16 (a) |
310,902 |
|||||||||
Royal Bank of Canada |
|||||||||||
200,000 |
1.20%, due 09/19/17 |
199,574 |
|||||||||
325,000 |
2.00%, due 10/01/18 |
328,134 |
|||||||||
Skandinaviska Enskilda Banken AB |
|||||||||||
200,000 |
1.38%, due 05/29/18 (a) |
197,338 |
|||||||||
SpareBank 1 Boligkreditt AS |
|||||||||||
240,000 |
1.75%, due 11/15/19 (a) |
232,162 |
|||||||||
Stadshypotek AB |
|||||||||||
280,000 |
1.88%, due 10/02/19 (a) |
274,912 |
|||||||||
Swedbank Hypotek AB |
|||||||||||
200,000 |
2.95%, due 03/28/16 (a) |
210,191 |
|||||||||
Toronto-Dominion Bank (The) |
|||||||||||
320,000 |
1.63%, due 09/14/16 (a) |
327,508 |
|||||||||
200,000 |
1.50%, due 03/13/17 (a) |
203,840 |
|||||||||
Westpac Banking Corp. |
|||||||||||
200,000 |
2.45%, due 11/28/16 (a) |
208,890 |
|||||||||
200,000 |
1.38%, due 05/30/18 (a) |
197,342 |
|||||||||
6,232,401 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Diversified Financial Services — 4.5% |
|||||||||||
Caisse Centrale Desjardins |
|||||||||||
$ |
288,000 |
2.55%, due 03/24/16 (a) |
$ |
300,947 |
|||||||
Total Corporate
Bonds (Cost $6,506,995) |
6,533,348 |
||||||||||
U.S. Government & Agency Security — 0.3% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
21,969 |
0.00%, due 12/02/13 |
21,969 |
|||||||||
Total U.S. Government &
Agency Security (Cost $21,969) |
21,969 |
||||||||||
Repurchase Agreements (b) — 0.6% |
|||||||||||
37,072 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $37,072 |
37,072 |
|||||||||
Total Repurchase Agreements (Cost $37,072) |
37,072 |
||||||||||
Total Investment
Securities (Cost $6,566,036) — 99.8% |
6,592,389 |
||||||||||
Other assets less liabilities — 0.2% |
11,324 |
||||||||||
Net Assets — 100.0% |
$ |
6,603,713 |
(a) Security is not registered for public sale, but may be sold to qualified institutional buyers under Rule 144A under the Securities Act of 1933. Unless otherwise noted, these securities are deemed to be liquid.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
33,450 |
|||||
Aggregate gross unrealized depreciation |
(7,097 |
) |
|||||
Net unrealized appreciation |
$ |
26,353 |
|||||
Federal income tax cost of investments |
$ |
6,566,036 |
See accompanying notes to the financial statements.
2 :: COBO USD COVERED BOND :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
USD Covered Bond invested, as a percentage of net assets, in the following countries as of November 30, 2013:
Canada |
42.0 |
% |
|||||
Australia |
18.6 |
% |
|||||
Norway |
12.8 |
% |
|||||
Sweden |
10.3 |
% |
|||||
United Kingdom |
4.6 |
% |
|||||
Switzerland |
4.6 |
% |
|||||
Germany |
3.0 |
% |
|||||
France |
3.0 |
% |
|||||
Other1 |
1.1 |
% |
|||||
100.0 |
% |
1 Includes any non fixed-income securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUSTSCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: USD COVERED BOND 3
Principal Amount |
Value |
||||||||||
Sovereign Governments &
Agencies — 86.7% |
|||||||||||
Germany — 86.7% |
|||||||||||
Bund Laender Anleihe |
|||||||||||
EUR |
120,000 |
1.50%, due 07/15/20 |
$ |
164,666 |
|||||||
Bundesrepublik Deutschland |
|||||||||||
133,000 |
4.00%, due 07/04/16 |
198,959 |
|||||||||
126,000 |
3.75%, due 01/04/19 |
198,019 |
|||||||||
129,000 |
3.50%, due 07/04/19 |
201,797 |
|||||||||
146,000 |
1.75%, due 07/04/22 |
203,306 |
|||||||||
117,000 |
4.00%, due 01/04/37 |
197,714 |
|||||||||
Free State of Bavaria |
|||||||||||
45,000 |
3.50%, due 01/27/16 |
65,535 |
|||||||||
44,000 |
4.13%, due 01/16/17 |
66,692 |
|||||||||
Gemeinsame Deutsche Bundeslaender |
|||||||||||
59,000 |
3.00%, due 05/17/16 |
85,462 |
|||||||||
61,000 |
1.63%, due 01/26/17 |
85,828 |
|||||||||
KFW |
|||||||||||
137,000 |
3.13%, due 04/08/16 |
199,016 |
|||||||||
134,000 |
3.13%, due 06/15/18 |
201,204 |
|||||||||
127,000 |
3.88%, due 01/21/19 |
198,025 |
|||||||||
141,000 |
1.88%, due 03/20/19 |
200,610 |
|||||||||
129,000 |
3.38%, due 01/18/21 |
198,696 |
|||||||||
State of Baden-Wurttemberg |
|||||||||||
55,000 |
4.25%, due 01/04/18 |
85,495 |
|||||||||
55,000 |
4.00%, due 01/22/19 |
86,024 |
|||||||||
State of Berlin |
|||||||||||
69,000 |
3.75%, due 03/23/15 |
98,228 |
|||||||||
68,000 |
3.13%, due 09/14/15 |
97,268 |
|||||||||
State of Brandenburg |
|||||||||||
42,000 |
1.50%, due 02/12/20 |
57,677 |
|||||||||
37,000 |
3.50%, due 06/15/21 |
56,957 |
|||||||||
State of Hesse |
|||||||||||
50,000 |
2.75%, due 05/30/16 |
72,092 |
|||||||||
49,000 |
3.00%, due 08/23/21 |
73,265 |
|||||||||
State of Lower Saxony |
|||||||||||
57,000 |
3.50%, due 02/22/16 |
83,018 |
|||||||||
53,000 |
4.25%, due 02/27/18 |
82,305 |
|||||||||
State of North Rhine-Westphalia |
|||||||||||
67,000 |
3.50%, due 11/16/15 |
96,918 |
|||||||||
73,000 |
1.88%, due 09/15/22 |
99,192 |
|||||||||
State of Rhineland-Palatinate |
|||||||||||
42,000 |
2.88%, due 03/03/17 |
61,305 |
|||||||||
46,000 |
1.25%, due 01/16/20 |
62,432 |
|||||||||
State of Saxony-Anhalt |
|||||||||||
36,000 |
3.75%, due 04/06/21 |
56,296 |
|||||||||
43,000 |
1.63%, due 04/25/23 |
57,066 |
|||||||||
3,691,067 |
|||||||||||
Total Sovereign Governments & Agencies (Cost $3,615,718) |
3,691,067 |
Principal Amount |
Value |
||||||||||
Corporate Bonds — 11.0% |
|||||||||||
Banks — 11.0% |
|||||||||||
Landeskreditbank
Baden- Wuerttemberg Foerderbank |
|||||||||||
EUR |
48,000 |
3.50%, due 07/04/16 |
$ |
70,531 |
|||||||
52,000 |
0.75%, due 12/12/17 |
70,879 |
|||||||||
Landwirtschaftliche Rentenbank |
|||||||||||
46,000 |
1.88%, due 05/11/20 |
64,887 |
|||||||||
43,000 |
2.88%, due 08/30/21 |
64,226 |
|||||||||
NRW Bank |
|||||||||||
71,000 |
1.13%, due 07/08/15 |
97,967 |
|||||||||
71,000 |
1.00%, due 11/10/15 |
97,983 |
|||||||||
466,473 |
|||||||||||
Total Corporate
Bonds (Cost $457,318) |
466,473 |
||||||||||
U.S. Government & Agency Security — 0.3% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
12,934 |
0.00%, due 12/02/13 |
12,934 |
||||||||
Total U.S. Government &
Agency Security (Cost $12,934) |
12,934 |
||||||||||
Repurchase Agreements (a) — 0.5% |
|||||||||||
21,825 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $21,825 |
21,825 |
|||||||||
Total Repurchase Agreements (Cost $21,825) |
21,825 |
||||||||||
Total Investment
Securities (Cost $4,107,795) — 98.5% |
4,192,299 |
||||||||||
Other assets less liabilities — 1.5% |
64,363 |
||||||||||
Net Assets — 100.0% |
$ |
4,256,662 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
EUR Euro
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
115,808 |
|||||
Aggregate gross unrealized depreciation |
(31,304 |
) |
|||||
Net unrealized appreciation |
$ |
84,504 |
|||||
Federal income tax cost of investments |
$ |
4,107,795 |
See accompanying notes to the financial statements.
4 :: GGOV GERMAN SOVEREIGN/SUB-SOVEREIGN ETF :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds — 93.1% |
|||||||||||
Aerospace & Defense — 2.5% |
|||||||||||
B/E Aerospace, Inc. |
|||||||||||
$ |
507,000 |
5.25%, due 04/01/22 |
$ |
519,675 |
|||||||
Bombardier, Inc. |
|||||||||||
210,000 |
6.13%, due 01/15/23 (a) |
208,950 |
|||||||||
TransDigm, Inc. |
|||||||||||
332,000 |
7.75%, due 12/15/18 |
356,900 |
|||||||||
1,085,525 |
|||||||||||
Auto Components — 0.5% |
|||||||||||
Goodyear Tire & Rubber Co. (The) |
|||||||||||
180,000 |
8.25%, due 08/15/20 |
202,500 |
|||||||||
Automobiles — 2.9% |
|||||||||||
Chrysler Group LLC/CG Co.-Issuer, Inc. |
|||||||||||
610,000 |
8.25%, due 06/15/21 |
693,875 |
|||||||||
General Motors Co. |
|||||||||||
564,000 |
4.88%, due 10/02/23 (a) |
567,525 |
|||||||||
1,261,400 |
|||||||||||
Beverages — 0.4% |
|||||||||||
Constellation Brands, Inc. |
|||||||||||
180,000 |
4.25%, due 05/01/23 |
169,200 |
|||||||||
Building Products — 0.3% |
|||||||||||
Building Materials Corp. of America |
|||||||||||
120,000 |
6.75%, due 05/01/21 (a) |
129,300 |
|||||||||
Chemicals — 2.0% |
|||||||||||
Ashland, Inc. |
|||||||||||
125,000 |
4.75%, due 08/15/22 |
119,063 |
|||||||||
Hexion US Finance Corp. |
|||||||||||
175,000 |
6.63%, due 04/15/20 |
178,281 |
|||||||||
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC |
|||||||||||
395,000 |
8.88%, due 02/01/18 |
410,306 |
|||||||||
Rockwood Specialties Group, Inc. |
|||||||||||
150,000 |
4.63%, due 10/15/20 |
154,125 |
|||||||||
861,775 |
|||||||||||
Commercial Banks — 1.9% |
|||||||||||
CIT Group, Inc. |
|||||||||||
353,000 |
4.25%, due 08/15/17 |
369,238 |
|||||||||
419,000 |
5.50%, due 02/15/19 (a) |
451,473 |
|||||||||
820,711 |
|||||||||||
Commercial Services & Supplies — 1.8% |
|||||||||||
ADT Corp. (The) |
|||||||||||
100,000 |
6.25%, due 10/15/21 (a) |
104,375 |
|||||||||
60,000 |
3.50%, due 07/15/22 |
52,526 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Iron Mountain, Inc. |
|||||||||||
$ |
273,000 |
5.75%, due 08/15/24 |
$ |
255,255 |
|||||||
Laureate Education, Inc. |
|||||||||||
345,000 |
9.25%, due 09/01/19 (a) |
377,775 |
|||||||||
789,931 |
|||||||||||
Communications Equipment — 2.2% |
|||||||||||
Avaya, Inc. |
|||||||||||
190,000 |
7.00%, due 04/01/19 (a) |
184,775 |
|||||||||
587,000 |
10.50%, due 03/01/21 (a) |
531,235 |
|||||||||
CommScope, Inc. |
|||||||||||
220,000 |
8.25%, due 01/15/19 (a) |
242,000 |
|||||||||
958,010 |
|||||||||||
Consumer Finance — 1.8% |
|||||||||||
Ally Financial, Inc. |
|||||||||||
418,000 |
8.30%, due 02/12/15 |
451,440 |
|||||||||
270,000 |
8.00%, due 11/01/31 |
321,975 |
|||||||||
773,415 |
|||||||||||
Containers & Packaging — 1.1% |
|||||||||||
Ball Corp. |
|||||||||||
322,000 |
4.00%, due 11/15/23 |
288,995 |
|||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV |
|||||||||||
190,000 |
4.50%, due 01/15/23 |
176,225 |
|||||||||
465,220 |
|||||||||||
Distributors — 0.6% |
|||||||||||
AmeriGas Finance LLC/AmeriGas Finance Corp. |
|||||||||||
250,000 |
7.00%, due 05/20/22 |
270,625 |
|||||||||
Diversified Financial Services — 0.7% |
|||||||||||
Denali Borrower LLC/Denali
Finance Corp. |
|||||||||||
333,000 |
5.63%, due 10/15/20 (a) |
328,005 |
|||||||||
Diversified
Telecommunication Services — 5.6% |
|||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
|||||||||||
265,000 |
7.00%, due 01/15/19 |
279,906 |
|||||||||
350,000 |
6.50%, due 04/30/21 |
365,313 |
|||||||||
Frontier Communications Corp. |
|||||||||||
480,000 |
8.50%, due 04/15/20 |
549,600 |
|||||||||
Level 3 Financing, Inc. |
|||||||||||
325,000 |
8.13%, due 07/01/19 |
355,875 |
|||||||||
UPCB Finance III Ltd. |
|||||||||||
175,000 |
6.63%, due 07/01/20 (a) |
186,375 |
|||||||||
Virgin Media Secured Finance PLC |
|||||||||||
400,000 |
5.38%, due 04/15/21 (a) |
407,000 |
See accompanying notes to the financial statements.
PROSHARES TRUSTSCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: HIGH YIELD—INTEREST RATE HEDGED 5
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Windstream Corp. |
|||||||||||
$ |
240,000 |
7.88%, due 11/01/17 |
$ |
275,400 |
|||||||
2,419,469 |
|||||||||||
Electric Utilities — 1.9% |
|||||||||||
Energy Future Intermediate Holding
Co. LLC/EFIH Finance, Inc. |
|||||||||||
703,000 |
12.25%, due 03/01/22 (a) |
815,480 |
|||||||||
Electronic Equipment, Instruments &
Components — 0.7% |
|||||||||||
CDW LLC/CDW Finance Corp. |
|||||||||||
290,000 |
8.50%, due 04/01/19 |
322,262 |
|||||||||
Food & Staples Retailing — 0.8% |
|||||||||||
US Foods, Inc. |
|||||||||||
320,000 |
8.50%, due 06/30/19 |
341,600 |
|||||||||
Food Products — 3.7% |
|||||||||||
ARAMARK Corp. |
|||||||||||
220,000 |
5.75%, due 03/15/20 (a) |
229,350 |
|||||||||
Del Monte Corp. |
|||||||||||
394,000 |
7.63%, due 02/15/19 |
409,760 |
|||||||||
Hawk Acquisition Sub, Inc. |
|||||||||||
440,000 |
4.25%, due 10/15/20 (a) |
423,500 |
|||||||||
Post Holdings, Inc. |
|||||||||||
418,000 |
7.38%, due 02/15/22 |
443,080 |
|||||||||
Smithfield Foods, Inc. |
|||||||||||
100,000 |
6.63%, due 08/15/22 |
105,625 |
|||||||||
1,611,315 |
|||||||||||
Gas Utilities — 1.8% |
|||||||||||
Sabine Pass Liquefaction LLC |
|||||||||||
513,000 |
5.63%, due 02/01/21 (a) |
506,587 |
|||||||||
295,000 |
5.63%, due 04/15/23 (a) |
279,513 |
|||||||||
786,100 |
|||||||||||
Health Care Equipment & Supplies — 1.3% |
|||||||||||
Biomet, Inc. |
|||||||||||
340,000 |
6.50%, due 08/01/20 |
360,400 |
|||||||||
Hologic, Inc. |
|||||||||||
194,000 |
6.25%, due 08/01/20 |
204,670 |
|||||||||
565,070 |
|||||||||||
Health Care Providers & Services — 6.6% |
|||||||||||
CHS/Community Health Systems, Inc. |
|||||||||||
293,000 |
5.13%, due 08/15/18 |
304,720 |
|||||||||
643,000 |
8.00%, due 11/15/19 |
699,263 |
|||||||||
HCA, Inc. |
|||||||||||
403,000 |
6.50%, due 02/15/20 |
444,811 |
|||||||||
190,000 |
7.50%, due 02/15/22 |
211,375 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Kinetic Concepts, Inc./KCI USA Inc. |
|||||||||||
$ |
390,000 |
10.50%, due 11/01/18 |
$ |
445,575 |
|||||||
Tenet Healthcare Corp. |
|||||||||||
175,000 |
6.00%, due 10/01/20 (a) |
182,875 |
|||||||||
555,000 |
8.13%, due 04/01/22 |
602,175 |
|||||||||
2,890,794 |
|||||||||||
Hotels, Restaurants & Leisure — 3.4% |
|||||||||||
Caesars Entertainment
Operating Co., Inc. |
|||||||||||
428,000 |
11.25%, due 06/01/17 |
435,490 |
|||||||||
Hilton Worldwide Finance
LLC/ Hilton Worldwide Finance Corp. |
|||||||||||
175,000 |
5.63%, due 10/15/21 (a) |
178,500 |
|||||||||
MGM Resorts International |
|||||||||||
315,000 |
6.63%, due 12/15/21 |
331,537 |
|||||||||
186,000 |
7.75%, due 03/15/22 |
206,460 |
|||||||||
Pinnacle Entertainment, Inc. |
|||||||||||
305,000 |
7.50%, due 04/15/21 |
330,925 |
|||||||||
1,482,912 |
|||||||||||
Household Products — 2.3% |
|||||||||||
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC/ Reynolds Group Issuer Lu |
|||||||||||
537,000 |
9.88%, due 08/15/19 |
596,070 |
|||||||||
389,000 |
5.75%, due 10/15/20 |
398,725 |
|||||||||
994,795 |
|||||||||||
Independent Power Producers &
Energy Traders — 4.0% |
|||||||||||
Calpine Corp. |
|||||||||||
557,000 |
7.50%, due 02/15/21 (a) |
607,130 |
|||||||||
585,000 |
7.88%, due 01/15/23 (a) |
640,575 |
|||||||||
NRG Energy, Inc. |
|||||||||||
220,000 |
7.63%, due 01/15/18 |
250,800 |
|||||||||
220,000 |
7.88%, due 05/15/21 |
245,300 |
|||||||||
1,743,805 |
|||||||||||
Internet Software & Services — 0.4% |
|||||||||||
Equinix, Inc. |
|||||||||||
180,000 |
5.38%, due 04/01/23 |
176,850 |
|||||||||
IT Services — 3.1% |
|||||||||||
First Data Corp. |
|||||||||||
141,000 |
11.25%, due 03/31/16 |
142,939 |
|||||||||
857,000 |
12.63%, due 01/15/21 |
1,004,832 |
|||||||||
SunGard Data Systems, Inc. |
|||||||||||
180,000 |
6.63%, due 11/01/19 |
187,875 |
|||||||||
1,335,646 |
See accompanying notes to the financial statements.
6 :: HYHG HIGH YIELD—INTEREST RATE HEDGED :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Machinery — 1.3% |
|||||||||||
Case New Holland, Inc. |
|||||||||||
$ |
248,000 |
7.88%, due 12/01/17 |
$ |
293,260 |
|||||||
Navistar International Corp. |
|||||||||||
250,000 |
8.25%, due 11/01/21 |
256,875 |
|||||||||
550,135 |
|||||||||||
Media — 7.6% |
|||||||||||
Cequel Communications
Holdings I LLC/Cequel Capital Corp. |
|||||||||||
230,000 |
6.38%, due 09/15/20 (a) |
237,475 |
|||||||||
Clear Channel Worldwide
Holdings, Inc. |
|||||||||||
320,000 |
7.63%, due 03/15/20 |
337,600 |
|||||||||
471,000 |
6.50%, due 11/15/22 |
487,485 |
|||||||||
CSC Holdings LLC |
|||||||||||
395,000 |
6.75%, due 11/15/21 |
425,612 |
|||||||||
DISH DBS Corp. |
|||||||||||
455,000 |
6.75%, due 06/01/21 |
490,263 |
|||||||||
378,000 |
5.88%, due 07/15/22 |
382,725 |
|||||||||
Hughes Satellite Systems Corp. |
|||||||||||
130,000 |
6.50%, due 06/15/19 |
139,425 |
|||||||||
Nielsen Finance LLC/Nielsen
Finance Co. |
|||||||||||
244,000 |
7.75%, due 10/15/18 |
265,350 |
|||||||||
Univision Communications, Inc. |
|||||||||||
150,000 |
6.88%, due 05/15/19 (a) |
161,625 |
|||||||||
325,000 |
6.75%, due 09/15/22 (a) |
357,500 |
|||||||||
3,285,060 |
|||||||||||
Metals & Mining — 1.9% |
|||||||||||
FQM Akubra, Inc. |
|||||||||||
106,000 |
8.75%, due 06/01/20 (a) |
115,275 |
|||||||||
Novelis, Inc. |
|||||||||||
130,000 |
8.38%, due 12/15/17 |
138,775 |
|||||||||
507,000 |
8.75%, due 12/15/20 |
567,840 |
|||||||||
821,890 |
|||||||||||
Oil, Gas & Consumable Fuels — 13.7% |
|||||||||||
Access Midstream Partners
LP/ ACMP Finance Corp. |
|||||||||||
170,000 |
4.88%, due 05/15/23 |
166,600 |
|||||||||
Arch Coal, Inc. |
|||||||||||
200,000 |
7.00%, due 06/15/19 |
153,000 |
|||||||||
220,000 |
7.25%, due 06/15/21 |
166,100 |
|||||||||
Chesapeake Energy Corp. |
|||||||||||
230,000 |
9.50%, due 02/15/15 |
250,700 |
|||||||||
376,000 |
6.63%, due 08/15/20 |
421,120 |
|||||||||
Concho Resources, Inc. |
|||||||||||
293,000 |
5.50%, due 04/01/23 |
297,395 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
CONSOL Energy, Inc. |
|||||||||||
$ |
310,000 |
8.00%, due 04/01/17 |
$ |
327,825 |
|||||||
299,000 |
8.25%, due 04/01/20 |
325,162 |
|||||||||
Denbury Resources, Inc. |
|||||||||||
280,000 |
4.63%, due 07/15/23 |
252,700 |
|||||||||
Energy Transfer Equity LP |
|||||||||||
230,000 |
7.50%, due 10/15/20 |
262,200 |
|||||||||
EP Energy LLC/EP Energy
Finance, Inc. |
|||||||||||
410,000 |
9.38%, due 05/01/20 |
471,500 |
|||||||||
Halcon Resources Corp. |
|||||||||||
371,000 |
8.88%, due 05/15/21 |
376,565 |
|||||||||
Linn Energy LLC/Linn Energy
Finance Corp. |
|||||||||||
290,000 |
7.00%, due 11/01/19 (a) |
288,550 |
|||||||||
417,000 |
8.63%, due 04/15/20 |
446,190 |
|||||||||
MarkWest Energy Partners LP/ MarkWest Energy Finance Corp. |
|||||||||||
180,000 |
4.50%, due 07/15/23 |
170,550 |
|||||||||
Oasis Petroleum, Inc. |
|||||||||||
125,000 |
6.88%, due 03/15/22 (a) |
134,375 |
|||||||||
Offshore Group Investment Ltd. |
|||||||||||
153,000 |
7.50%, due 11/01/19 |
166,005 |
|||||||||
Pacific Rubiales Energy Corp. |
|||||||||||
120,000 |
5.13%, due 03/28/23 (a) |
108,900 |
|||||||||
Peabody Energy Corp. |
|||||||||||
256,000 |
6.00%, due 11/15/18 |
272,000 |
|||||||||
299,000 |
6.25%, due 11/15/21 |
305,727 |
|||||||||
SandRidge Energy, Inc. |
|||||||||||
348,000 |
7.50%, due 03/15/21 |
364,530 |
|||||||||
Whiting Petroleum Corp. |
|||||||||||
125,000 |
5.00%, due 03/15/19 |
127,813 |
|||||||||
WPX Energy, Inc. |
|||||||||||
100,000 |
6.00%, due 01/15/22 |
100,500 |
|||||||||
5,956,007 |
|||||||||||
Pharmaceuticals — 1.6% |
|||||||||||
Valeant Pharmaceuticals
International, Inc. |
|||||||||||
400,000 |
6.38%, due 10/15/20 (a) |
421,500 |
|||||||||
270,000 |
7.50%, due 07/15/21 (a) |
297,000 |
|||||||||
718,500 |
|||||||||||
Road & Rail — 1.6% |
|||||||||||
CHC Helicopter S.A. |
|||||||||||
452,000 |
9.25%, due 10/15/20 |
485,900 |
|||||||||
Hertz Corp. (The) |
|||||||||||
200,000 |
6.75%, due 04/15/19 |
215,500 |
|||||||||
701,400 |
See accompanying notes to the financial statements.
PROSHARES TRUSTSCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: HIGH YIELD—INTEREST RATE HEDGED 7
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Semiconductors & Semiconductor
Equipment — 0.2% |
|||||||||||
Freescale Semiconductor, Inc. |
|||||||||||
$ |
70,000 |
9.25%, due 04/15/18 (a) |
$ |
75,513 |
|||||||
Software — 2.3% |
|||||||||||
Activision Blizzard, Inc. |
|||||||||||
475,000 |
5.63%, due 09/15/21 (a) |
493,406 |
|||||||||
BMC Software Finance, Inc. |
|||||||||||
284,000 |
8.13%, due 07/15/21 (a) |
301,040 |
|||||||||
Nuance Communications, Inc. |
|||||||||||
200,000 |
5.38%, due 08/15/20 (a) |
188,500 |
|||||||||
982,946 |
|||||||||||
Specialty Retail — 2.0% |
|||||||||||
L Brands, Inc. |
|||||||||||
295,000 |
6.63%, due 04/01/21 |
324,869 |
|||||||||
365,000 |
5.63%, due 02/15/22 |
375,950 |
|||||||||
Michaels Stores, Inc. |
|||||||||||
170,000 |
7.75%, due 11/01/18 |
184,025 |
|||||||||
884,844 |
|||||||||||
Textiles, Apparel & Luxury Goods — 0.3% |
|||||||||||
Hanesbrands, Inc. |
|||||||||||
120,000 |
6.38%, due 12/15/20 |
131,100 |
|||||||||
Trading Companies & Distributors — 1.3% |
|||||||||||
HD Supply, Inc. |
|||||||||||
150,000 |
8.13%, due 04/15/19 |
167,438 |
|||||||||
210,000 |
7.50%, due 07/15/20 |
222,600 |
|||||||||
United Rentals North America, Inc. |
|||||||||||
160,000 |
7.63%, due 04/15/22 |
179,200 |
|||||||||
569,238 |
|||||||||||
Wireless Telecommunication Services — 5.0% |
|||||||||||
Cricket Communications, Inc. |
|||||||||||
200,000 |
7.75%, due 10/15/20 |
229,250 |
|||||||||
Crown Castle International Corp. |
|||||||||||
230,000 |
5.25%, due 01/15/23 |
227,125 |
|||||||||
MetroPCS Wireless, Inc. |
|||||||||||
210,000 |
6.25%, due 04/01/21 (a) |
218,400 |
|||||||||
340,000 |
6.63%, due 04/01/23 (a) |
350,200 |
|||||||||
NII Capital Corp. |
|||||||||||
311,000 |
7.63%, due 04/01/21 |
124,400 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Sprint Communications, Inc. |
|||||||||||
$ |
611,000 |
9.00%, due 11/15/18 (a) |
$ |
739,310 |
|||||||
Sprint Corp. |
|||||||||||
249,000 |
7.88%, due 09/15/23 (a) |
272,655 |
|||||||||
2,161,340 |
|||||||||||
Total Corporate
Bonds (Cost $40,712,867) |
40,439,688 |
||||||||||
U.S. Government & Agency Security — 1.6% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
714,781 |
0.00%, due 12/02/13 |
714,781 |
|||||||||
Total U.S. Government &
Agency Security (Cost $714,781) |
714,781 |
||||||||||
Repurchase Agreements (b) — 2.8% |
|||||||||||
1,206,177 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $1,206,183 |
1,206,177 |
|||||||||
Total Repurchase Agreements (Cost $1,206,177) |
1,206,177 |
||||||||||
Total Investment
Securities (Cost $42,633,825) — 97.5% |
42,360,646 |
||||||||||
Other assets less liabilities — 2.5% |
1,067,649 |
||||||||||
Net Assets — 100.0% |
$ |
43,428,295 |
(a) Security is not registered for public sale, but may be sold to qualified institutional buyers under Rule 144A under the Securities Act of 1933. Unless otherwise noted, these securities are deemed to be liquid.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
262,967 |
|||||
Aggregate gross unrealized depreciation |
(537,425 |
) |
|||||
Net unrealized depreciation |
$ |
(274,458 |
) |
||||
Federal income tax cost of investments |
$ |
42,635,104 |
See accompanying notes to the financial statements.
8 :: HYHG HIGH YIELD—INTEREST RATE HEDGED :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Futures Contracts Sold
High Yield-Interest Rate Hedged had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. 10 Year Treasury Note Futures Contracts |
132 |
03/20/14 |
$ |
16,549,500 |
$ |
(11,539 |
) |
||||||||||||
U.S. 2 Year Treasury Note Futures Contracts |
31 |
03/31/14 |
6,829,203 |
(2,952 |
) |
||||||||||||||
U.S. 5 Year Treasury Note Futures Contracts |
160 |
03/31/14 |
19,347,500 |
(18,988 |
) |
||||||||||||||
$ |
(33,479 |
) |
Cash collateral in the amount of $381,094 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
PROSHARES TRUSTSCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: HIGH YIELD—INTEREST RATE HEDGED 9
Principal Amount |
Value |
||||||||||
Corporate Bonds — 92.5% |
|||||||||||
Aerospace & Defense — 1.0% |
|||||||||||
United Technologies Corp. |
|||||||||||
$ |
240,000 |
5.70%, due 04/15/40 |
$ |
273,980 |
|||||||
Air Freight & Logistics — 0.7% |
|||||||||||
United Parcel Service, Inc. |
|||||||||||
180,000 |
3.13%, due 01/15/21 |
182,921 |
|||||||||
Automobiles — 1.3% |
|||||||||||
Ford Motor Co. |
|||||||||||
300,000 |
7.45%, due 07/16/31 |
366,132 |
|||||||||
Beverages — 1.7% |
|||||||||||
Anheuser-Busch InBev Worldwide, Inc. |
|||||||||||
240,000 |
3.75%, due 07/15/42 |
206,277 |
|||||||||
PepsiCo, Inc. |
|||||||||||
300,000 |
2.75%, due 03/05/22 |
284,794 |
|||||||||
491,071 |
|||||||||||
Capital Markets — 6.0% |
|||||||||||
Credit Suisse/NY |
|||||||||||
180,000 |
5.40%, due 01/14/20 |
199,489 |
|||||||||
Goldman Sachs Group, Inc. (The) |
|||||||||||
300,000 |
6.13%, due 02/15/33 |
334,898 |
|||||||||
360,000 |
6.75%, due 10/01/37 |
399,239 |
|||||||||
Morgan Stanley |
|||||||||||
660,000 |
5.50%, due 07/24/20 |
745,029 |
|||||||||
1,678,655 |
|||||||||||
Chemicals — 1.0% |
|||||||||||
EI du Pont de Nemours & Co. |
|||||||||||
100,000 |
4.63%, due 01/15/20 |
109,534 |
|||||||||
180,000 |
2.80%, due 02/15/23 |
167,584 |
|||||||||
277,118 |
|||||||||||
Commercial Banks — 6.6% |
|||||||||||
BNP Paribas S.A. |
|||||||||||
180,000 |
5.00%, due 01/15/21 |
197,212 |
|||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A. |
|||||||||||
300,000 |
3.88%, due 02/08/22 |
302,800 |
|||||||||
HSBC Holdings PLC |
|||||||||||
300,000 |
5.10%, due 04/05/21 |
333,246 |
|||||||||
Royal Bank of Scotland PLC (The) |
|||||||||||
180,000 |
5.63%, due 08/24/20 |
202,142 |
|||||||||
Wells Fargo & Co. |
|||||||||||
360,000 |
4.60%, due 04/01/21 |
396,347 |
|||||||||
240,000 |
3.50%, due 03/08/22 |
242,728 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Westpac Banking Corp. |
|||||||||||
$ |
150,000 |
4.88%, due 11/19/19 |
$ |
169,275 |
|||||||
1,843,750 |
|||||||||||
Communications Equipment — 1.3% |
|||||||||||
Cisco Systems, Inc. |
|||||||||||
240,000 |
4.45%, due 01/15/20 |
263,932 |
|||||||||
Telefonaktiebolaget LM Ericsson |
|||||||||||
100,000 |
4.13%, due 05/15/22 |
98,551 |
|||||||||
362,483 |
|||||||||||
Computers & Peripherals — 2.2% |
|||||||||||
Apple, Inc. |
|||||||||||
300,000 |
3.85%, due 05/04/43 |
250,280 |
|||||||||
EMC Corp. |
|||||||||||
180,000 |
2.65%, due 06/01/20 |
178,081 |
|||||||||
Hewlett-Packard Co. |
|||||||||||
180,000 |
4.38%, due 09/15/21 |
181,220 |
|||||||||
609,581 |
|||||||||||
Consumer Finance — 2.2% |
|||||||||||
HSBC Finance Corp. |
|||||||||||
240,000 |
6.68%, due 01/15/21 |
279,395 |
|||||||||
SLM Corp. |
|||||||||||
300,000 |
8.00%, due 03/25/20 |
340,500 |
|||||||||
619,895 |
|||||||||||
Diversified Financial Services — 13.9% |
|||||||||||
Bank of America Corp. |
|||||||||||
540,000 |
5.00%, due 05/13/21 |
591,139 |
|||||||||
180,000 |
3.30%, due 01/11/23 |
170,317 |
|||||||||
Citigroup, Inc. |
|||||||||||
1,140,000 |
3.88%, due 10/25/23 |
1,120,105 |
|||||||||
General Electric Capital Corp. |
|||||||||||
180,000 |
6.00%, due 08/07/19 |
214,947 |
|||||||||
180,000 |
5.30%, due 02/11/21 |
200,288 |
|||||||||
180,000 |
6.88%, due 01/10/39 |
227,884 |
|||||||||
JPMorgan Chase & Co. |
|||||||||||
480,000 |
4.95%, due 03/25/20 |
532,803 |
|||||||||
180,000 |
4.50%, due 01/24/22 |
191,061 |
|||||||||
Shell International Finance B.V. |
|||||||||||
240,000 |
2.38%, due 08/21/22 |
222,249 |
|||||||||
217,000 |
6.38%, due 12/15/38 |
266,403 |
|||||||||
180,000 |
4.55%, due 08/12/43 |
175,915 |
|||||||||
3,913,111 |
|||||||||||
Diversified
Telecommunication Services — 7.1% |
|||||||||||
AT&T, Inc. |
|||||||||||
240,000 |
3.00%, due 02/15/22 |
224,304 |
|||||||||
180,000 |
5.35%, due 09/01/40 |
173,975 |
|||||||||
180,000 |
5.55%, due 08/15/41 |
178,924 |
See accompanying notes to the financial statements.
10 :: IGHG INVESTMENT GRADE—INTEREST RATE HEDGED :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Orange S.A. |
|||||||||||
$ |
104,000 |
5.38%, due 07/08/19 |
$ |
117,274 |
|||||||
100,000 |
4.13%, due 09/14/21 |
101,755 |
|||||||||
Telecom Italia Capital S.A. |
|||||||||||
180,000 |
7.72%, due 06/04/38 |
172,560 |
|||||||||
Telefonica Emisiones SAU |
|||||||||||
240,000 |
5.46%, due 02/16/21 |
254,489 |
|||||||||
Verizon Communications, Inc. |
|||||||||||
540,000 |
4.60%, due 04/01/21 |
572,300 |
|||||||||
180,000 |
6.00%, due 04/01/41 |
191,782 |
|||||||||
1,987,363 |
|||||||||||
Electric Utilities — 0.7% |
|||||||||||
Pacific Gas & Electric Co. |
|||||||||||
180,000 |
6.05%, due 03/01/34 |
203,574 |
|||||||||
Energy Equipment & Services — 1.5% |
|||||||||||
Baker Hughes, Inc. |
|||||||||||
180,000 |
5.13%, due 09/15/40 |
190,098 |
|||||||||
Halliburton Co. |
|||||||||||
180,000 |
7.45%, due 09/15/39 |
239,896 |
|||||||||
429,994 |
|||||||||||
Food & Staples Retailing — 3.0% |
|||||||||||
CVS Caremark Corp. |
|||||||||||
180,000 |
6.13%, due 09/15/39 |
204,536 |
|||||||||
Wal-Mart Stores, Inc. |
|||||||||||
360,000 |
6.50%, due 08/15/37 |
448,280 |
|||||||||
180,000 |
5.63%, due 04/01/40 |
203,156 |
|||||||||
855,972 |
|||||||||||
Food Products — 1.4% |
|||||||||||
Kraft Foods Group, Inc. |
|||||||||||
180,000 |
3.50%, due 06/06/22 |
175,967 |
|||||||||
Mondelez International, Inc. |
|||||||||||
180,000 |
6.50%, due 02/09/40 |
210,887 |
|||||||||
386,854 |
|||||||||||
Health Care Providers & Services — 0.4% |
|||||||||||
UnitedHealth Group, Inc. |
|||||||||||
100,000 |
6.88%, due 02/15/38 |
125,940 |
|||||||||
Household Products — 0.6% |
|||||||||||
Procter & Gamble Co. (The) |
|||||||||||
180,000 |
2.30%, due 02/06/22 |
170,411 |
|||||||||
Industrial Conglomerates — 0.4% |
|||||||||||
Koninklijke Philips N.V. |
|||||||||||
100,000 |
3.75%, due 03/15/22 |
100,984 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Insurance — 0.9% |
|||||||||||
American International Group, Inc. |
|||||||||||
$ |
240,000 |
4.88%, due 06/01/22 |
$ |
260,009 |
|||||||
IT Services — 0.6% |
|||||||||||
International Business Machines Corp. |
|||||||||||
180,000 |
4.00%, due 06/20/42 |
157,945 |
|||||||||
Machinery — 0.5% |
|||||||||||
Caterpillar, Inc. |
|||||||||||
180,000 |
3.80%, due 08/15/42 |
152,137 |
|||||||||
Media — 7.4% |
|||||||||||
21st Century Fox America, Inc. |
|||||||||||
180,000 |
6.65%, due 11/15/37 |
208,370 |
|||||||||
Comcast Cable Communications Holdings, Inc. |
|||||||||||
180,000 |
9.46%, due 11/15/22 |
251,730 |
|||||||||
Comcast Corp. |
|||||||||||
180,000 |
6.50%, due 11/15/35 |
207,509 |
|||||||||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. |
|||||||||||
240,000 |
6.38%, due 03/01/41 |
243,493 |
|||||||||
NBCUniversal Media LLC |
|||||||||||
180,000 |
5.15%, due 04/30/20 |
203,394 |
|||||||||
Time Warner Cable, Inc. |
|||||||||||
240,000 |
7.30%, due 07/01/38 |
236,958 |
|||||||||
Time Warner, Inc. |
|||||||||||
180,000 |
7.70%, due 05/01/32 |
227,609 |
|||||||||
180,000 |
6.10%, due 07/15/40 |
193,353 |
|||||||||
Viacom, Inc. |
|||||||||||
180,000 |
4.38%, due 03/15/43 |
149,730 |
|||||||||
Walt Disney Co. (The) |
|||||||||||
180,000 |
2.35%, due 12/01/22 |
164,661 |
|||||||||
2,086,807 |
|||||||||||
Metals & Mining — 5.6% |
|||||||||||
Barrick Gold Corp. |
|||||||||||
180,000 |
4.10%, due 05/01/23 |
162,279 |
|||||||||
BHP Billiton Finance USA Ltd. |
|||||||||||
100,000 |
3.85%, due 09/30/23 |
100,804 |
|||||||||
240,000 |
4.13%, due 02/24/42 |
213,994 |
|||||||||
180,000 |
5.00%, due 09/30/43 |
181,888 |
|||||||||
Rio Tinto Finance USA Ltd. |
|||||||||||
180,000 |
4.13%, due 05/20/21 |
186,480 |
|||||||||
250,000 |
5.20%, due 11/02/40 |
250,998 |
|||||||||
Southern Copper Corp. |
|||||||||||
180,000 |
5.25%, due 11/08/42 |
145,042 |
See accompanying notes to the financial statements.
PROSHARES TRUSTSCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: INVESTMENT GRADE—INTEREST RATE HEDGED 11
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Vale Overseas Ltd. |
|||||||||||
$ |
180,000 |
6.88%, due 11/10/39 |
$ |
184,241 |
|||||||
Vale S.A. |
|||||||||||
180,000 |
5.63%, due 09/11/42 |
159,341 |
|||||||||
1,585,067 |
|||||||||||
Multiline Retail — 0.9% |
|||||||||||
Target Corp. |
|||||||||||
240,000 |
3.88%, due 07/15/20 |
255,908 |
|||||||||
Multi-Utilities — 1.2% |
|||||||||||
MidAmerican Energy Holdings Co. |
|||||||||||
280,000 |
6.50%, due 09/15/37 |
328,808 |
|||||||||
Oil, Gas & Consumable Fuels — 11.4% |
|||||||||||
BP Capital Markets PLC |
|||||||||||
240,000 |
4.74%, due 03/11/21 |
263,156 |
|||||||||
ConocoPhillips |
|||||||||||
100,000 |
6.00%, due 01/15/20 |
117,796 |
|||||||||
180,000 |
6.50%, due 02/01/39 |
226,192 |
|||||||||
Devon Energy Corp. |
|||||||||||
280,000 |
7.95%, due 04/15/32 |
364,750 |
|||||||||
Devon Financing Corp. LLC |
|||||||||||
100,000 |
7.88%, due 09/30/31 |
128,738 |
|||||||||
Ecopetrol S.A. |
|||||||||||
180,000 |
7.63%, due 07/23/19 |
212,400 |
|||||||||
Petrobras Global Finance B.V. |
|||||||||||
250,000 |
4.38%, due 05/20/23 |
227,207 |
|||||||||
347,000 |
5.63%, due 05/20/43 |
286,620 |
|||||||||
Petrobras International Finance Co. |
|||||||||||
480,000 |
6.75%, due 01/27/41 |
456,414 |
|||||||||
Phillips 66 |
|||||||||||
180,000 |
4.30%, due 04/01/22 |
185,186 |
|||||||||
Total Capital Canada Ltd. |
|||||||||||
240,000 |
2.75%, due 07/15/23 |
224,642 |
|||||||||
Total Capital International S.A. |
|||||||||||
100,000 |
2.88%, due 02/17/22 |
96,191 |
|||||||||
100,000 |
3.70%, due 01/15/24 |
99,907 |
|||||||||
TransCanada PipeLines Ltd. |
|||||||||||
240,000 |
2.50%, due 08/01/22 |
221,166 |
|||||||||
Williams Partners LP |
|||||||||||
100,000 |
5.25%, due 03/15/20 |
109,073 |
|||||||||
3,219,438 |
|||||||||||
Pharmaceuticals — 4.3% |
|||||||||||
AbbVie, Inc. |
|||||||||||
180,000 |
4.40%, due 11/06/42 |
164,545 |
|||||||||
AstraZeneca PLC |
|||||||||||
180,000 |
6.45%, due 09/15/37 |
217,704 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
GlaxoSmithKline Capital, Inc. |
|||||||||||
$ |
180,000 |
6.38%, due 05/15/38 |
$ |
222,570 |
|||||||
Merck Sharp & Dohme Corp. |
|||||||||||
180,000 |
5.00%, due 06/30/19 |
207,032 |
|||||||||
Novartis Capital Corp. |
|||||||||||
180,000 |
2.40%, due 09/21/22 |
166,527 |
|||||||||
Pfizer, Inc. |
|||||||||||
180,000 |
7.20%, due 03/15/39 |
240,840 |
|||||||||
1,219,218 |
|||||||||||
Real Estate Investment Trusts (REITs) — 0.8% |
|||||||||||
Weyerhaeuser Co. |
|||||||||||
180,000 |
7.38%, due 03/15/32 |
220,908 |
|||||||||
Semiconductors & Semiconductor
Equipment — 0.6% |
|||||||||||
Intel Corp. |
|||||||||||
180,000 |
3.30%, due 10/01/21 |
181,345 |
|||||||||
Software — 2.1% |
|||||||||||
Microsoft Corp. |
|||||||||||
180,000 |
4.20%, due 06/01/19 |
199,733 |
|||||||||
Oracle Corp. |
|||||||||||
100,000 |
5.00%, due 07/08/19 |
114,224 |
|||||||||
240,000 |
6.13%, due 07/08/39 |
280,579 |
|||||||||
594,536 |
|||||||||||
Tobacco — 0.6% |
|||||||||||
Altria Group, Inc. |
|||||||||||
180,000 |
2.85%, due 08/09/22 |
165,802 |
|||||||||
Wireless
Telecommunication Services — 2.6% |
|||||||||||
Vodafone Group PLC |
|||||||||||
240,000 |
5.45%, due 06/10/19 |
275,508 |
|||||||||
250,000 |
2.95%, due 02/19/23 |
228,650 |
|||||||||
250,000 |
4.38%, due 02/19/43 |
213,121 |
|||||||||
717,279 |
|||||||||||
Total Corporate
Bonds (Cost $26,035,437) |
26,024,996 |
||||||||||
U.S. Government & Agency Security — 2.0% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
559,262 |
0.00%, due 12/02/13 |
559,262 |
|||||||||
Total U.S. Government &
Agency Security (Cost $559,262) |
559,262 |
See accompanying notes to the financial statements.
12 :: IGHG INVESTMENT GRADE—INTEREST RATE HEDGED :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 3.3% |
|||||||||||
$ |
943,743 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $943,748 |
$ |
943,743 |
|||||||
Total Repurchase Agreements
(Cost $943,743) |
943,743 |
||||||||||
Total Investment Securities (Cost $27,538,442) — 97.8% |
27,528,001 |
||||||||||
Other assets less liabilities — 2.2% |
617,785 |
||||||||||
Net Assets — 100.0% |
$ |
28,145,786 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
83,687 |
|||||
Aggregate gross unrealized depreciation |
(94,128 |
) |
|||||
Net unrealized depreciation |
$ |
(10,441 |
) |
||||
Federal income tax cost of investments |
$ |
27,538,442 |
Futures Contracts Sold
Investment Grade-Interest Rate Hedged had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. 10 Year Treasury Note Futures Contracts |
106 |
03/20/14 |
$ |
13,289,750 |
$ |
(10,922 |
) |
||||||||||||
U.S. Long Bond Futures Contracts |
76 |
03/20/14 |
9,937,000 |
(22,675 |
) |
||||||||||||||
Ultra Long Term U.S. Treasury Bond Futures Contracts |
23 |
03/20/14 |
3,199,875 |
(19,800 |
) |
||||||||||||||
$ |
(53,397 |
) |
Cash collateral in the amount of $477,758 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
PROSHARES TRUSTSCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: INVESTMENT GRADE—INTEREST RATE HEDGED 13
Principal Amount |
Value |
||||||||||
Sovereign Governments &
Agencies — 62.6% |
|||||||||||
Brazil — 2.9% |
|||||||||||
Banco Nacional de
Desenvolvimento Economico e Social |
|||||||||||
$ |
102,000 |
6.37%, due 06/16/18 |
$ |
110,670 |
|||||||
Brazilian Government
International Bond |
|||||||||||
42,000 |
10.50%, due 07/14/14 |
44,520 |
|||||||||
72,000 |
7.88%, due 03/07/15 |
77,868 |
|||||||||
102,000 |
6.00%, due 01/17/17 |
113,985 |
|||||||||
347,043 |
|||||||||||
Colombia — 3.3% |
|||||||||||
Colombia Government
International Bond |
|||||||||||
129,000 |
8.25%, due 12/22/14 |
138,030 |
|||||||||
225,000 |
7.38%, due 01/27/17 |
261,000 |
|||||||||
399,030 |
|||||||||||
Croatia — 2.3% |
|||||||||||
Croatia Government International Bond |
|||||||||||
258,000 |
6.25%, due 04/27/17 |
274,177 |
|||||||||
Hungary — 3.1% |
|||||||||||
Hungary Government
International Bond |
|||||||||||
183,000 |
4.75%, due 02/03/15 |
188,124 |
|||||||||
180,000 |
4.13%, due 02/19/18 |
180,360 |
|||||||||
368,484 |
|||||||||||
Indonesia — 6.8% |
|||||||||||
Indonesia Government International Bond |
|||||||||||
174,000 |
10.38%, due 05/04/14 |
180,308 |
|||||||||
99,000 |
7.25%, due 04/20/15 |
105,806 |
|||||||||
105,000 |
7.50%, due 01/15/16 |
115,894 |
|||||||||
105,000 |
6.88%, due 03/09/17 |
117,337 |
|||||||||
162,000 |
6.88%, due 01/17/18 |
181,845 |
|||||||||
Perusahaan Penerbit SBSN Indonesia |
|||||||||||
111,000 |
8.80%, due 04/23/14 |
113,775 |
|||||||||
814,965 |
|||||||||||
Latvia — 1.8% |
|||||||||||
Republic of Latvia |
|||||||||||
201,000 |
5.25%, due 02/22/17 |
219,090 |
Principal Amount |
Value |
||||||||||
Sovereign Governments &
Agencies (continued) |
|||||||||||
Lithuania — 2.7% |
|||||||||||
Lithuania Government
International Bond |
|||||||||||
$ |
192,000 |
6.75%, due 01/15/15 |
$ |
203,685 |
|||||||
105,000 |
5.13%, due 09/14/17 |
114,660 |
|||||||||
318,345 |
|||||||||||
Mexico — 5.5% |
|||||||||||
Mexico Government International Bond |
|||||||||||
108,000 |
5.88%, due 02/17/14 |
109,080 |
|||||||||
126,000 |
6.63%, due 03/03/15 |
134,820 |
|||||||||
114,000 |
11.38%, due 09/15/16 |
146,205 |
|||||||||
240,000 |
5.63%, due 01/15/17 |
268,200 |
|||||||||
658,305 |
|||||||||||
Panama — 1.8% |
|||||||||||
Panama Government
International Bond |
|||||||||||
204,000 |
7.25%, due 03/15/15 |
220,320 |
|||||||||
Peru — 0.7% |
|||||||||||
Peruvian Government International Bond |
|||||||||||
78,000 |
8.38%, due 05/03/16 |
90,285 |
|||||||||
Philippines — 0.8% |
|||||||||||
Philippine Government
International Bond |
|||||||||||
90,000 |
8.25%, due 01/15/14 |
90,832 |
|||||||||
Poland — 4.1% |
|||||||||||
Poland Government International Bond |
|||||||||||
132,000 |
5.25%, due 01/15/14 |
132,824 |
|||||||||
201,000 |
3.88%, due 07/16/15 |
210,778 |
|||||||||
135,000 |
5.00%, due 10/19/15 |
144,874 |
|||||||||
488,476 |
|||||||||||
Qatar — 8.6% |
|||||||||||
Qatar Government International Bond |
|||||||||||
213,000 |
5.15%, due 04/09/14 |
216,003 |
|||||||||
372,000 |
4.00%, due 01/20/15 |
384,574 |
|||||||||
213,000 |
3.13%, due 01/20/17 |
223,394 |
|||||||||
SoQ Sukuk A Q.S.C |
|||||||||||
201,000 |
2.10%, due 01/18/18 |
201,503 |
|||||||||
1,025,474 |
See accompanying notes to the financial statements.
14 :: EMSH SHORT TERM USD EMERGING MARKETS BOND ETF :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Sovereign Governments &
Agencies (continued) |
|||||||||||
Russia — 0.3% |
|||||||||||
Russian Foreign Bond - Eurobond |
|||||||||||
$ |
30,000 |
11.00%, due 07/24/18 |
$ |
40,500 |
|||||||
South Africa — 0.3% |
|||||||||||
South Africa Government International Bond |
|||||||||||
33,000 |
6.50%, due 06/02/14 |
33,841 |
|||||||||
Turkey — 7.6% |
|||||||||||
Export Credit Bank of Turkey |
|||||||||||
201,000 |
5.38%, due 11/04/16 |
209,362 |
|||||||||
Turkey Government
International Bond |
|||||||||||
300,000 |
7.25%, due 03/15/15 |
318,600 |
|||||||||
135,000 |
7.00%, due 09/26/16 |
149,175 |
|||||||||
102,000 |
7.50%, due 07/14/17 |
115,413 |
|||||||||
102,000 |
6.75%, due 04/03/18 |
113,322 |
|||||||||
905,872 |
|||||||||||
Ukraine — 6.0% |
|||||||||||
Financing of Infrastrucural Projects
State Enterprise |
|||||||||||
105,000 |
8.38%, due 11/03/17 |
89,775 |
|||||||||
Ukraine Government International Bond |
|||||||||||
102,000 |
6.88%, due 09/23/15 |
94,860 |
|||||||||
291,000 |
6.58%, due 11/21/16 |
258,262 |
|||||||||
207,000 |
9.25%, due 07/24/17 |
192,510 |
|||||||||
102,000 |
6.75%, due 11/14/17 |
89,760 |
|||||||||
725,167 |
|||||||||||
United Kingdom — 0.8% |
|||||||||||
Ukreximbank Via Biz Finance PLC |
|||||||||||
105,000 |
8.38%, due 04/27/15 |
95,287 |
|||||||||
Venezuela — 3.2% |
|||||||||||
Venezuela Government International Bond |
|||||||||||
213,000 |
8.50%, due 10/08/14 |
206,078 |
|||||||||
129,000 |
5.75%, due 02/26/16 |
107,392 |
|||||||||
69,000 |
13.63%, due 08/15/18 |
66,930 |
|||||||||
380,400 |
|||||||||||
Total Sovereign Governments
& Agencies (Cost $7,541,370) |
7,495,893 |
Principal Amount |
Value |
||||||||||
Corporate Bonds — 34.2% |
|||||||||||
Commercial Banks — 11.5% |
|||||||||||
Banco do Brasil S.A. |
|||||||||||
$ |
102,000 |
4.50%, due 01/22/15 |
$ |
105,187 |
|||||||
Bank of Ceylon |
|||||||||||
201,000 |
6.88%, due 05/03/17 |
201,503 |
|||||||||
Caixa Economica Federal |
|||||||||||
150,000 |
2.38%, due 11/06/17 |
139,125 |
|||||||||
Oschadbank Via SSB #1 PLC |
|||||||||||
201,000 |
8.25%, due 03/10/16 |
176,880 |
|||||||||
Russian Agricultural Bank
OJSC Via RSHB Capital S.A. |
|||||||||||
102,000 |
6.30%, due 05/15/17 |
109,012 |
|||||||||
Sberbank of Russia Via
SB Capital S.A. |
|||||||||||
102,000 |
5.50%, due 07/07/15 |
107,787 |
|||||||||
102,000 |
5.40%, due 03/24/17 |
109,013 |
|||||||||
Turkiye Halk Bankasi AS |
|||||||||||
201,000 |
4.88%, due 07/19/17 |
204,518 |
|||||||||
Vnesheconombank Via VEB Finance PLC |
|||||||||||
102,000 |
5.45%, due 11/22/17 |
108,375 |
|||||||||
VTB Bank OJSC Via VTB Capital S.A. |
|||||||||||
108,000 |
6.47%, due 03/04/15 |
113,940 |
|||||||||
1,375,340 |
|||||||||||
Diversified Financial Services — 4.7% |
|||||||||||
Gazprom OAO Via Gaz Capital S.A. |
|||||||||||
102,000 |
8.13%, due 07/31/14 |
106,457 |
|||||||||
102,000 |
6.21%, due 11/22/16 |
112,710 |
|||||||||
102,000 |
8.15%, due 04/11/18 |
120,228 |
|||||||||
Pemex Project Funding Master Trust |
|||||||||||
204,000 |
5.75%, due 03/01/18 |
225,930 |
|||||||||
565,325 |
|||||||||||
Electric Utilities — 1.9% |
|||||||||||
Majapahit Holding BV |
|||||||||||
105,000 |
7.75%, due 10/17/16 |
115,893 |
|||||||||
105,000 |
7.25%, due 06/28/17 |
115,894 |
|||||||||
231,787 |
|||||||||||
Electrical Equipment — 1.9% |
|||||||||||
Power Sector Assets &
Liabilities Management Corp. |
|||||||||||
202,000 |
6.88%, due 11/02/16 |
227,250 |
|||||||||
Energy Equipment & Services — 1.0% |
|||||||||||
AK Transneft OJSC Via TransCapitalInvest Ltd. |
|||||||||||
102,000 |
8.70%, due 08/07/18 |
124,950 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: SHORT TERM USD EMERGING MARKETS BOND ETF 15
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Oil, Gas & Consumable Fuels — 10.5% |
|||||||||||
National JSC Naftogaz of Ukraine |
|||||||||||
$ |
102,000 |
9.50%, due 09/30/14 |
$ |
96,390 |
|||||||
Petrobras Global Finance BV |
|||||||||||
72,000 |
2.00%, due 05/20/16 |
71,766 |
|||||||||
Petrobras International Finance Co. |
|||||||||||
93,000 |
2.88%, due 02/06/15 |
94,514 |
|||||||||
141,000 |
3.88%, due 01/27/16 |
145,737 |
|||||||||
57,000 |
6.13%, due 10/06/16 |
62,344 |
|||||||||
93,000 |
3.50%, due 02/06/17 |
94,571 |
|||||||||
84,000 |
5.88%, due 03/01/18 |
91,005 |
|||||||||
Petroleos de Venezuela S.A. |
|||||||||||
189,000 |
4.90%, due 10/28/14 |
172,179 |
|||||||||
150,000 |
5.00%, due 10/28/15 |
121,500 |
|||||||||
222,000 |
5.25%, due 04/12/17 |
154,290 |
|||||||||
Petroleos Mexicanos |
|||||||||||
147,000 |
4.88%, due 03/15/15 |
153,983 |
|||||||||
1,258,279 |
|||||||||||
Road & Rail — 2.7% |
|||||||||||
Russian Railways via
RZD Capital PLC |
|||||||||||
102,000 |
5.74%, due 04/03/17 |
110,160 |
|||||||||
Transnet SOC Ltd. |
|||||||||||
201,000 |
4.50%, due 02/10/16 |
209,534 |
|||||||||
319,694 |
|||||||||||
Total Corporate Bonds (Cost $4,121,829) |
4,102,625 |
||||||||||
U.S. Government &
Agency Security — 0.7% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
86,043 |
0.00%, due 12/02/13 |
86,043 |
|||||||||
Total U.S. Government & Agency
Security (Cost $86,043) |
86,043 |
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 1.2% |
|||||||||||
$ |
145,196 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $145,197 |
$ |
145,196 |
|||||||
Total Repurchase Agreements
(Cost $145,196) |
145,196 |
||||||||||
Total Investment Securities (Cost $11,894,438) — 98.7% |
11,829,757 |
||||||||||
Other assets less liabilities — 1.3% |
157,104 |
||||||||||
Net Assets — 100.0% |
$ |
11,986,861 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
6,972 |
|||||
Aggregate gross unrealized depreciation |
(71,653 |
) |
|||||
Net unrealized depreciation |
$ |
(64,681 |
) |
||||
Federal income tax cost of investments |
$ |
11,894,438 |
See accompanying notes to the financial statements.
16 :: EMSH SHORT TERM USD EMERGING MARKETS BOND ETF :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Short Term USD Emerging Markets Bond ETF invested, as a percentage of net assets, in the following countries as of November 30, 2013:
Turkey |
9.3 |
% |
|||||
Qatar |
8.6 |
% |
|||||
Venezuela |
6.9 |
% |
|||||
Indonesia |
6.8 |
% |
|||||
Mexico |
6.8 |
% |
|||||
Ukraine |
6.8 |
% |
|||||
Luxembourg |
6.5 |
% |
|||||
Brazil |
4.9 |
% |
|||||
Cayman Islands |
4.1 |
% |
|||||
Poland |
4.1 |
% |
|||||
Colombia |
3.3 |
% |
|||||
Hungary |
3.1 |
% |
|||||
Ireland |
2.9 |
% |
|||||
Lithuania |
2.7 |
% |
|||||
Philippines |
2.7 |
% |
|||||
Netherlands |
2.5 |
% |
|||||
Croatia |
2.3 |
% |
|||||
United Kingdom |
2.3 |
% |
|||||
South Africa |
2.0 |
% |
|||||
United States |
1.9 |
% |
|||||
Latvia |
1.8 |
% |
|||||
Panama |
1.8 |
% |
|||||
Sri Lanka |
1.7 |
% |
|||||
Peru |
0.7 |
% |
|||||
Russia |
0.3 |
% |
|||||
Other1 |
3.2 |
% |
|||||
100.0 |
% |
1 Includes any non fixed-income securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: SHORT TERM USD EMERGING MARKETS BOND ETF 17
Shares |
Value |
||||||||||
Common Stocks — 98.4% |
|||||||||||
Financials — 98.4% |
|||||||||||
73,018 |
3i Group PLC |
$ |
442,546 |
||||||||
4,182 |
Altamir |
58,933 |
|||||||||
23,719 |
American Capital Ltd.* |
362,901 |
|||||||||
22,596 |
Apollo Investment Corp. |
203,816 |
|||||||||
23,264 |
Ares Capital Corp. |
427,592 |
|||||||||
7,874 |
BlackRock Kelso Capital Corp. |
77,874 |
|||||||||
43,978 |
Brait SE* |
234,153 |
|||||||||
4,467 |
Compass Diversified Holdings |
85,275 |
|||||||||
1,060 |
Deutsche Beteiligungs AG |
29,738 |
|||||||||
4,014 |
Electra Private Equity PLC* |
154,450 |
|||||||||
3,109 |
Eurazeo S.A. |
229,432 |
|||||||||
13,717 |
Fifth Street Finance Corp. |
131,135 |
|||||||||
2,081 |
Gimv N.V. |
105,997 |
|||||||||
4,000 |
Golub Capital BDC, Inc. |
75,240 |
|||||||||
2,398 |
GP Investments Ltd. (BDR)* |
4,317 |
|||||||||
852 |
HBM Healthcare Investments AG, Class A* |
62,275 |
|||||||||
6,793 |
Hercules Technology Growth
Capital, Inc. |
115,957 |
|||||||||
25,910 |
Intermediate Capital Group PLC |
180,378 |
|||||||||
3,639 |
Main Street Capital Corp. |
119,905 |
|||||||||
9,402 |
Marfin Investment Group Holdings S.A.* |
5,415 |
|||||||||
7,424 |
MCG Capital Corp. |
35,709 |
|||||||||
2,447 |
MVC Capital, Inc. |
35,530 |
|||||||||
8,260 |
Onex Corp. |
452,517 |
|||||||||
7,599 |
PennantPark Investment Corp. |
92,480 |
|||||||||
16,780 |
Prospect Capital Corp. |
191,460 |
|||||||||
18,416 |
Ratos AB, Class B |
165,396 |
|||||||||
2,388 |
Safeguard Scientifics, Inc.* |
44,536 |
|||||||||
4,956 |
Solar Capital Ltd. |
114,731 |
|||||||||
2,770 |
Triangle Capital Corp. |
82,435 |
|||||||||
1,712 |
Wendel S.A. |
237,759 |
|||||||||
4,559,882 |
|||||||||||
Total Common Stocks (Cost $4,026,980) |
4,559,882 |
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security — 0.7% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
32,364 |
0.00%, due 12/02/13 |
$ |
32,364 |
|||||||
Total U.S. Government & Agency
Security (Cost $32,364) |
32,364 |
||||||||||
Repurchase Agreements (a) — 1.2% |
|||||||||||
54,612 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $54,612 |
54,612 |
|||||||||
Total Repurchase Agreements
(Cost $54,612) |
54,612 |
||||||||||
Total Investment Securities (Cost $4,113,956) — 100.3% |
4,646,858 |
||||||||||
Liabilities in excess of
other assets — (0.3%) |
(11,877 |
) |
|||||||||
Net Assets — 100.0% |
$ |
4,634,981 |
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
BDR Brazilian Depositary Receipt
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
574,274 |
|||||
Aggregate gross unrealized depreciation |
(41,436 |
) |
|||||
Net unrealized appreciation |
$ |
532,838 |
|||||
Federal income tax cost of investments |
$ |
4,114,020 |
See accompanying notes to the financial statements.
18 :: PEX GLOBAL LISTED PRIVATE EQUITY ETF :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks — 13.2% |
|||||||||||||||
188 |
3M Co. (Industrials) |
0.1 |
% |
$ |
25,100 |
||||||||||
459 |
AbbVie, Inc. (Health Care) |
0.1 |
% |
22,239 |
|||||||||||
580 |
Altria Group, Inc. (Consumer Staples) |
0.0 |
% |
21,448 |
|||||||||||
107 |
Amazon.com, Inc.*
(Consumer Discretionary) |
0.1 |
% |
42,117 |
|||||||||||
268 |
American Express Co. (Financials) |
0.1 |
% |
22,994 |
|||||||||||
218 |
Amgen, Inc. (Health Care) |
0.1 |
% |
24,869 |
|||||||||||
263 |
Apple, Inc. (Information Technology) |
0.4 |
% |
146,247 |
|||||||||||
1,536 |
AT&T, Inc.
(Telecommunication Services) |
0.2 |
% |
54,083 |
|||||||||||
3,107 |
Bank of America Corp. (Financials) |
0.1 |
% |
49,153 |
|||||||||||
521 |
Berkshire Hathaway, Inc.,
Class B* (Financials) |
0.2 |
% |
60,712 |
|||||||||||
201 |
Boeing Co. (The) (Industrials) |
0.1 |
% |
26,984 |
|||||||||||
476 |
Bristol-Myers Squibb Co.
(Health Care) |
0.1 |
% |
24,457 |
|||||||||||
559 |
Chevron Corp. (Energy) |
0.2 |
% |
68,444 |
|||||||||||
1,551 |
Cisco Systems, Inc.
(Information Technology) |
0.1 |
% |
32,959 |
|||||||||||
880 |
Citigroup, Inc. (Financials) |
0.1 |
% |
46,570 |
|||||||||||
1,103 |
Coca-Cola Co. (The)
(Consumer Staples) |
0.1 |
% |
44,330 |
|||||||||||
757 |
Comcast Corp., Class A (Consumer Discretionary) |
0.1 |
% |
37,752 |
|||||||||||
354 |
ConocoPhillips (Energy) |
0.1 |
% |
25,771 |
|||||||||||
355 |
CVS Caremark Corp. (Consumer Staples) |
0.1 |
% |
23,771 |
|||||||||||
1,273 |
Exxon Mobil Corp. (Energy) |
0.3 |
% |
119,000 |
|||||||||||
2,946 |
General Electric Co. (Industrials) |
0.2 |
% |
78,540 |
|||||||||||
443 |
Gilead Sciences, Inc.*
(Health Care) |
0.1 |
% |
33,141 |
|||||||||||
81 |
Google, Inc., Class A* (Information Technology) |
0.2 |
% |
85,827 |
|||||||||||
414 |
Home Depot, Inc. (The)
(Consumer Discretionary) |
0.1 |
% |
33,397 |
|||||||||||
1,441 |
Intel Corp. (Information Technology) |
0.1 |
% |
34,353 |
|||||||||||
298 |
International Business
Machines Corp. (Information Technology) |
0.2 |
% |
53,545 |
|||||||||||
815 |
Johnson & Johnson (Health Care) |
0.2 |
% |
77,148 |
|||||||||||
1,089 |
JPMorgan Chase & Co.
(Financials) |
0.2 |
% |
62,313 |
|||||||||||
30 |
MasterCard, Inc., Class A (Information Technology) |
0.1 |
% |
22,824 |
|||||||||||
289 |
McDonald's Corp.
(Consumer Discretionary) |
0.1 |
% |
28,140 |
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks (continued) |
|||||||||||||||
846 |
Merck & Co., Inc. (Health Care) |
0.1 |
% |
$ |
42,156 |
||||||||||
2,193 |
Microsoft Corp.
(Information Technology) |
0.2 |
% |
83,619 |
|||||||||||
233 |
Occidental Petroleum Corp. (Energy) |
0.1 |
% |
22,126 |
|||||||||||
1,031 |
Oracle Corp. (Information
Technology) |
0.1 |
% |
36,384 |
|||||||||||
446 |
PepsiCo, Inc. (Consumer Staples) |
0.1 |
% |
37,669 |
|||||||||||
1,915 |
Pfizer, Inc. (Health Care) |
0.2 |
% |
60,763 |
|||||||||||
468 |
Philip Morris International, Inc. (Consumer Staples) |
0.1 |
% |
40,033 |
|||||||||||
792 |
Procter & Gamble Co.
(The) (Consumer Staples) |
0.2 |
% |
66,702 |
|||||||||||
496 |
QUALCOMM, Inc. (Information Technology) |
0.1 |
% |
36,496 |
|||||||||||
383 |
Schlumberger Ltd. (Energy) |
0.1 |
% |
33,865 |
|||||||||||
134 |
Union Pacific Corp. (Industrials) |
0.0 |
% |
21,713 |
|||||||||||
209 |
United Parcel Service,
Inc., Class B (Industrials) |
0.0 |
% |
21,397 |
|||||||||||
244 |
United Technologies Corp. (Industrials) |
0.1 |
% |
27,050 |
|||||||||||
294 |
UnitedHealth Group, Inc.
(Health Care) |
0.0 |
% |
21,897 |
|||||||||||
828 |
Verizon Communications, Inc. (Telecommunication Services) |
0.1 |
% |
41,085 |
|||||||||||
149 |
Visa, Inc., Class A
(Information Technology) |
0.1 |
% |
30,316 |
|||||||||||
471 |
Wal-Mart Stores, Inc. (Consumer Staples) |
0.1 |
% |
38,156 |
|||||||||||
481 |
Walt Disney Co. (The)
(Consumer Discretionary) |
0.1 |
% |
33,930 |
|||||||||||
1,398 |
Wells Fargo & Co. (Financials) |
0.2 |
% |
61,540 |
|||||||||||
48,072 |
Other Common Stocks |
7.0 |
% |
2,463,340 |
|||||||||||
Total Common Stocks (Cost $4,456,814) |
4,648,465 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government &
Agency Securities — 74.5% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
1,380,837 |
0.00%, due 12/02/13 |
1,380,837 |
||||||||||||
U.S. Treasury Bill |
|||||||||||||||
24,972,000 |
0.00%, due 01/30/14 |
24,971,301 |
|||||||||||||
Total U.S. Government & Agency
Securities (Cost $26,351,252) |
26,352,138 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: HEDGE REPLICATION ETF 19
Principal Amount |
Value |
||||||||||||||
Repurchase Agreements (a) — 6.6% |
|||||||||||||||
$ |
2,330,129 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $2,330,140 |
$ |
2,330,129 |
|||||||||||
Total Repurchase Agreements
(Cost $2,330,129) |
2,330,129 |
||||||||||||||
Total Investment Securities (Cost $33,138,195) — 94.3% |
33,330,732 |
||||||||||||||
Other assets less liabilities — 5.7% |
2,018,787 |
||||||||||||||
Net Assets — 100.0% |
$ |
35,349,519 |
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
220,546 |
|||||
Aggregate gross unrealized depreciation |
(28,009 |
) |
|||||
Net unrealized appreciation |
$ |
192,537 |
|||||
Federal income tax cost of investments |
$ |
33,138,195 |
Futures Contracts Purchased
Hedge Replication ETF had the following open long futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Euro Futures Contracts |
4 |
12/16/13 |
$ |
679,300 |
$ |
1,728 |
Cash collateral in the amount of $9,997 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
Swap Agreements
Hedge Replication ETF had the following open swap agreements as of November 30, 2013:
Financing Rate |
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Russell 2000® Total Return Index |
(0.33 |
)% |
12/06/13 |
$ |
(368,288 |
) |
$ |
204,489 |
|||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the S&P 500® Total Return Index |
0.47 |
% |
12/06/13 |
815,356 |
578,285 |
||||||||||||||
Swap Agreement with Credit
Suisse International, based on the iShares® MSCI EAFE Index Fund |
(0.13 |
)% |
12/06/13 |
1,417,766 |
3,969 |
||||||||||||||
Swap Agreement with Credit Suisse International,
based on the iShares® MSCI Emerging Markets Index Fund |
(0.08 |
)% |
12/06/13 |
4,190,661 |
372,972 |
||||||||||||||
$ |
1,159,715 |
Hedge Replication ETF invested, as a percentage of net assets, in the following industries, as of November 30, 2013:
Consumer Discretionary |
1.7 |
% |
|||||
Consumer Staples |
1.3 |
% |
|||||
Energy |
1.4 |
% |
|||||
Financials |
2.1 |
% |
|||||
Health Care |
1.7 |
% |
|||||
Industrials |
1.4 |
% |
|||||
Information Technology |
2.4 |
% |
|||||
Materials |
0.5 |
% |
|||||
Telecommunication Services |
0.3 |
% |
|||||
Utilities |
0.4 |
% |
|||||
Other1 |
86.8 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
20 :: HDG HEDGE REPLICATION ETF :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 93.5% |
|||||||||||||||
31,271 |
Abbott Laboratories (Health Care) |
0.5 |
% |
$ |
1,194,239 |
||||||||||
13,811 |
Aflac, Inc. (Financials) |
0.4 |
% |
916,636 |
|||||||||||
9,794 |
Allergan, Inc. (Health Care) |
0.4 |
% |
950,508 |
|||||||||||
11,316 |
Anadarko Petroleum Corp.
(Energy) |
0.5 |
% |
1,005,087 |
|||||||||||
7,763 |
Apple, Inc. (Information Technology) |
2.0 |
% |
4,316,771 |
|||||||||||
35,154 |
AT&T, Inc.
(Telecommunication Services) |
0.6 |
% |
1,237,772 |
|||||||||||
65,650 |
Bank of America Corp. (Financials) |
0.5 |
% |
1,038,583 |
|||||||||||
22,757 |
Berkshire Hathaway, Inc.,
Class B* (Financials) |
1.2 |
% |
2,651,873 |
|||||||||||
3,315 |
BlackRock, Inc. (Financials) |
0.5 |
% |
1,003,616 |
|||||||||||
14,021 |
Capital One Financial Corp.
(Financials) |
0.5 |
% |
1,004,324 |
|||||||||||
14,025 |
Chevron Corp. (Energy) |
0.8 |
% |
1,717,221 |
|||||||||||
73,736 |
Cisco Systems, Inc.
(Information Technology) |
0.7 |
% |
1,566,890 |
|||||||||||
41,580 |
Citigroup, Inc. (Financials) |
1.0 |
% |
2,200,414 |
|||||||||||
38,104 |
Comcast Corp., Class A
(Consumer Discretionary) |
0.9 |
% |
1,900,246 |
|||||||||||
20,464 |
ConocoPhillips (Energy) |
0.7 |
% |
1,489,779 |
|||||||||||
11,214 |
Deere & Co. (Industrials) |
0.4 |
% |
944,667 |
|||||||||||
13,783 |
DIRECTV* (Consumer Discretionary) |
0.4 |
% |
911,194 |
|||||||||||
21,704 |
Eli Lilly & Co. (Health Care) |
0.5 |
% |
1,089,975 |
|||||||||||
36,633 |
Exxon Mobil Corp. (Energy) |
1.6 |
% |
3,424,453 |
|||||||||||
76,922 |
General Electric Co.
(Industrials) |
0.9 |
% |
2,050,741 |
|||||||||||
26,307 |
General Motors Co.* (Consumer Discretionary) |
0.5 |
% |
1,018,870 |
|||||||||||
16,979 |
Gilead Sciences, Inc.*
(Health Care) |
0.6 |
% |
1,270,199 |
|||||||||||
2,147 |
Google, Inc., Class A* (Information Technology) |
1.0 |
% |
2,274,940 |
|||||||||||
21,179 |
Home Depot, Inc. (The)
(Consumer Discretionary) |
0.8 |
% |
1,708,510 |
|||||||||||
70,105 |
Intel Corp. (Information Technology) |
0.8 |
% |
1,671,303 |
|||||||||||
7,309 |
International Business
Machines Corp. (Information Technology) |
0.6 |
% |
1,313,281 |
|||||||||||
21,082 |
Johnson & Johnson (Health Care) |
0.9 |
% |
1,995,622 |
|||||||||||
27,939 |
JPMorgan Chase & Co.
(Financials) |
0.7 |
% |
1,598,670 |
|||||||||||
8,481 |
Kimberly-Clark Corp. (Consumer Staples) |
0.4 |
% |
925,786 |
|||||||||||
11,709 |
Marathon Petroleum Corp.
(Energy) |
0.4 |
% |
968,803 |
|||||||||||
18,769 |
Marsh & McLennan Cos., Inc. (Financials) |
0.4 |
% |
890,589 |
|||||||||||
6,129 |
McKesson Corp.
(Health Care) |
0.5 |
% |
1,016,740 |
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
20,365 |
Medtronic, Inc. (Health Care) |
0.5 |
% |
$ |
1,167,322 |
||||||||||
24,383 |
Merck & Co., Inc.
(Health Care) |
0.6 |
% |
1,215,005 |
|||||||||||
58,474 |
Microsoft Corp. (Information Technology) |
1.0 |
% |
2,229,614 |
|||||||||||
7,873 |
Northrop Grumman Corp.
(Industrials) |
0.4 |
% |
887,130 |
|||||||||||
52,395 |
Oracle Corp. (Information Technology) |
0.8 |
% |
1,849,020 |
|||||||||||
22,363 |
PepsiCo, Inc. (Consumer
Staples) |
0.9 |
% |
1,888,779 |
|||||||||||
51,763 |
Pfizer, Inc. (Health Care) |
0.7 |
% |
1,642,440 |
|||||||||||
13,374 |
PNC Financial Services
Group, Inc. (The) (Financials) |
0.5 |
% |
1,029,129 |
|||||||||||
7,745 |
Praxair, Inc. (Materials) |
0.4 |
% |
977,884 |
|||||||||||
19,301 |
Procter & Gamble Co.
(The) (Consumer Staples) |
0.7 |
% |
1,625,530 |
|||||||||||
11,698 |
Prudential Financial, Inc. (Financials) |
0.5 |
% |
1,038,314 |
|||||||||||
17,535 |
QUALCOMM, Inc.
(Information Technology) |
0.6 |
% |
1,290,225 |
|||||||||||
10,401 |
Raytheon Co. (Industrials) |
0.4 |
% |
922,361 |
|||||||||||
5,921 |
Simon Property Group, Inc.
(REIT) (Financials) |
0.4 |
% |
887,262 |
|||||||||||
8,221 |
Union Pacific Corp. (Industrials) |
0.6 |
% |
1,332,131 |
|||||||||||
20,938 |
Valero Energy Corp. (Energy) |
0.4 |
% |
957,285 |
|||||||||||
62,024 |
Wells Fargo & Co. (Financials) |
1.2 |
% |
2,730,296 |
|||||||||||
3,334,748 |
Other Common Stocks |
60.3 |
% |
132,015,786 |
|||||||||||
Total Common Stocks (Cost $176,003,678) |
204,953,815 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government &
Agency Security (a) — 0.2% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
347,959 |
0.00%, due 12/02/13 |
347,959 |
||||||||||||
Total U.S. Government & Agency
Security (Cost $347,959) |
347,959 |
||||||||||||||
Repurchase Agreements (a)(b) — 0.3% |
|||||||||||||||
614,065 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $614,067 |
614,065 |
|||||||||||||
Total Repurchase Agreements
(Cost $614,065) |
614,065 |
||||||||||||||
Total Investment Securities (Cost $176,965,702) — 94.0% |
205,915,839 |
||||||||||||||
Other assets less liabilities — 6.0% |
13,091,439 |
||||||||||||||
Net Assets — 100.0% |
$ |
219,007,278 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: LARGE CAP CORE PLUS 21
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $1,999,889.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
29,965,920 |
|||||
Aggregate gross unrealized depreciation |
(1,311,451 |
) |
|||||
Net unrealized appreciation |
$ |
28,654,469 |
|||||
Federal income tax cost of investments |
$ |
177,261,370 |
Swap Agreements ‡
Large Cap Core Plus had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the Credit Suisse 130/30 Large Cap Index (long portion) |
12/06/13 |
$ |
18,446,207 |
$ |
6,187,171 |
||||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Credit Suisse 130/30 Large Cap Index (short portion) |
07/07/14 |
(15,825,735 |
) |
(1,443,340 |
) |
||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Credit Suisse 130/30 Large Cap Index (long portion) |
12/06/13 |
60,711,783 |
9,272,844 |
||||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Credit Suisse 130/30 Large Cap Index (short portion) |
12/06/13 |
(49,370,435 |
) |
(1,287,558 |
) |
||||||||||
$ |
12,729,117 |
‡ Total return (long position) based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.34%. Total return (short position) based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.09)%.
Large Cap Core Plus invested, as a percentage of net assets, in the following industries, as of November 30, 2013:
Consumer Discretionary |
12.8 |
% |
|||||
Consumer Staples |
8.1 |
% |
|||||
Energy |
9.9 |
% |
|||||
Financials |
18.2 |
% |
|||||
Health Care |
9.7 |
% |
|||||
Industrials |
9.2 |
% |
|||||
Information Technology |
15.8 |
% |
|||||
Materials |
4.0 |
% |
|||||
Telecommunication Services |
1.8 |
% |
|||||
Utilities |
4.0 |
% |
|||||
Other1 |
6.5 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
22 :: CSM LARGE CAP CORE PLUS :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks (a) — 91.9% |
|||||||||||
Consumer Discretionary — 10.5% |
|||||||||||
7,883 |
Belo Corp., Class A |
$ |
108,234 |
||||||||
3,124 |
Cooper Tire & Rubber Co. |
76,850 |
|||||||||
1,814 |
Jos A Bank Clothiers, Inc.* |
103,071 |
|||||||||
8,359 |
Stewart Enterprises, Inc., Class A |
110,757 |
|||||||||
398,912 |
|||||||||||
Consumer Staples — 6.0% |
|||||||||||
1,871 |
Shoppers Drug Mart Corp. |
103,102 |
|||||||||
77,568 |
Vinda International Holdings Ltd. |
123,466 |
|||||||||
226,568 |
|||||||||||
Energy — 8.8% |
|||||||||||
2,362 |
Berry Petroleum Co., Class A |
118,856 |
|||||||||
9,594 |
Petrominerales Ltd. |
111,010 |
|||||||||
4,216 |
PVR Partners LP |
104,135 |
|||||||||
334,001 |
|||||||||||
Financials — 24.2% |
|||||||||||
9,039 |
CapitalSource, Inc. |
127,088 |
|||||||||
5,746 |
Chatham Lodging Trust (REIT) |
118,310 |
|||||||||
7,526 |
Cole Real Estate Investment, Inc. (REIT) |
107,697 |
|||||||||
85,568 |
Commonwealth Property
Office Fund (REIT) |
99,309 |
|||||||||
4,571 |
CommonWealth REIT (REIT) |
109,110 |
|||||||||
2,414 |
GSW Immobilien AG |
100,280 |
|||||||||
3,829 |
Sterling Financial Corp./WA |
125,017 |
|||||||||
5,099 |
Taylor Capital Group, Inc.* |
127,016 |
|||||||||
913,827 |
|||||||||||
Health Care — 20.5% |
|||||||||||
1,810 |
Algeta ASA* |
104,469 |
|||||||||
3,425 |
Celesio AG |
110,054 |
|||||||||
7,063 |
Elan Corp. PLC* |
128,045 |
|||||||||
1,483 |
Life Technologies Corp.* |
112,263 |
|||||||||
3,694 |
MAKO Surgical Corp. |
110,672 |
|||||||||
3,386 |
Santarus, Inc.* |
108,962 |
|||||||||
2,052 |
ViroPharma, Inc. |
101,595 |
|||||||||
776,060 |
|||||||||||
Industrials — 7.3% |
|||||||||||
64,451 |
Gemina S.p.A.* |
159,448 |
|||||||||
14,372 |
Invensys PLC |
117,828 |
|||||||||
277,276 |
|||||||||||
Information Technology — 8.9% |
|||||||||||
2,817 |
Molex, Inc. |
108,849 |
|||||||||
2,212 |
Tokyo Electron Ltd. |
119,930 |
|||||||||
2,043 |
Unit4 N.V. |
106,120 |
|||||||||
334,899 |
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
Materials — 2.8% |
|||||||||||
29,090 |
Ainsworth Lumber Co., Ltd.* |
$ |
105,237 |
||||||||
Utilities — 2.9% |
|||||||||||
4,592 |
NV Energy, Inc. |
108,601 |
|||||||||
Total Common Stocks (Cost $3,383,553) |
3,475,381 |
||||||||||
Principal Amount |
|||||||||||
U.S. Government &
Agency Security (a) — 5.1% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
190,810 |
0.00%, due 12/02/13 |
190,810 |
||||||||
Total U.S. Government & Agency
Security (Cost $190,810) |
190,810 |
||||||||||
Repurchase Agreements (a)(b) — 9.1% |
|||||||||||
342,000 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $342,001 |
342,000 |
|||||||||
Total Repurchase Agreements
(Cost $342,000) |
342,000 |
||||||||||
Total Investment Securities (Cost $3,916,363) — 106.1% |
4,008,191 |
||||||||||
Liabilities in excess of
other assets — (6.1%) |
(230,893 |
) |
|||||||||
Net Assets — 100.0% |
$ |
3,777,298 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $20,012.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
149,658 |
|||||
Aggregate gross unrealized depreciation |
(58,062 |
) |
|||||
Net unrealized appreciation |
$ |
91,596 |
|||||
Federal income tax cost of investments |
$ |
3,916,595 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: MERGER ETF 23
Forward Currency Contracts
Merger ETF had the following open forward currency contracts as of November 30, 2013:
Sell Contracts
Currency |
Counterparty |
Delivery Date |
Foreign Currency to Receive (Pay) |
U.S. Dollars to Receive (Pay) |
Market Value |
Net Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||
U.S. Dollar vs. Australian Dollar |
Goldman Sachs & Co. |
02/07/14 |
(73,000 |
) |
$ |
67,204 |
$ |
66,423 |
$ |
781 |
|||||||||||||||||
U.S. Dollar vs. Canadian Dollar |
Goldman Sachs & Co. |
02/07/14 |
(298,000 |
) |
285,396 |
281,001 |
4,395 |
||||||||||||||||||||
U.S. Dollar vs. Euro |
Goldman Sachs & Co. |
02/07/14 |
(235,500 |
) |
317,869 |
320,661 |
(2,792 |
) |
|||||||||||||||||||
U.S. Dollar vs. British Pound |
Goldman Sachs & Co. |
02/07/14 |
(75,000 |
) |
120,464 |
122,792 |
(2,328 |
) |
|||||||||||||||||||
U.S. Dollar vs. Hong Kong Dollar |
Goldman Sachs & Co. |
02/07/14 |
(886,000 |
) |
114,317 |
114,299 |
18 |
||||||||||||||||||||
U.S. Dollar vs. Japanese Yen |
Goldman Sachs & Co. |
02/07/14 |
(12,500,000 |
) |
126,768 |
122,169 |
4,599 |
||||||||||||||||||||
U.S. Dollar vs. Norwegian Krone |
Goldman Sachs & Co. |
02/07/14 |
(705,000 |
) |
115,436 |
114,981 |
455 |
||||||||||||||||||||
$ |
5,128 |
Swap Agreements ‡
Merger ETF had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the S&P Merger Arbitrage Index (long exposure to Targets) |
11/06/15 |
$ |
151,756 |
$ |
37,273 |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the S&P Merger Arbitrage Index (short exposure to Acquirers) |
11/06/15 |
(1,329,750 |
) |
(45,945 |
) |
||||||||||
$ |
(8,672 |
) |
‡ Total return (long position) based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.62%. Total return (short position) based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.53)%.
See accompanying notes to the financial statements.
24 :: MRGR MERGER ETF :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 98.6% |
|||||||||||||||
6,865 |
Aetna, Inc. (Health Care) |
0.6 |
% |
$ |
473,204 |
||||||||||
11,987 |
Altria Group, Inc.
(Consumer Staples) |
0.6 |
% |
443,279 |
|||||||||||
6,743 |
AmerisourceBergen Corp. (Health Care) |
0.6 |
% |
475,584 |
|||||||||||
12,349 |
Archer-Daniels-Midland Co.
(Consumer Staples) |
0.7 |
% |
497,047 |
|||||||||||
29,240 |
AT&T, Inc. (Telecommunication Services) |
1.4 |
% |
1,029,540 |
|||||||||||
111,196 |
Bank of America Corp.
(Financials) |
2.3 |
% |
1,759,121 |
|||||||||||
16,137 |
Best Buy Co., Inc. (Consumer Discretionary) |
0.9 |
% |
654,355 |
|||||||||||
8,639 |
Bristol-Myers Squibb
Co. (Health Care) |
0.6 |
% |
443,872 |
|||||||||||
8,844 |
Cardinal Health, Inc. (Health Care) |
0.8 |
% |
571,322 |
|||||||||||
18,706 |
Chesapeake Energy
Corp. (Energy) |
0.7 |
% |
502,630 |
|||||||||||
7,700 |
Chevron Corp. (Energy) |
1.3 |
% |
942,788 |
|||||||||||
20,503 |
Citigroup, Inc. (Financials) |
1.4 |
% |
1,085,019 |
|||||||||||
18,242 |
ConocoPhillips (Energy) |
1.8 |
% |
1,328,018 |
|||||||||||
41,087 |
Ford Motor Co.
(Consumer Discretionary) |
0.9 |
% |
701,766 |
|||||||||||
34,537 |
General Electric Co. (Industrials) |
1.2 |
% |
920,756 |
|||||||||||
13,968 |
General Motors Co.*
(Consumer Discretionary) |
0.7 |
% |
540,981 |
|||||||||||
35,744 |
Genworth Financial, Inc., Class A* (Financials) |
0.7 |
% |
540,092 |
|||||||||||
19,246 |
Hartford Financial Services
Group, Inc. (Financials) |
0.9 |
% |
685,735 |
|||||||||||
9,724 |
HCA Holdings, Inc. (Health Care) |
0.6 |
% |
451,388 |
|||||||||||
5,570 |
Hess Corp. (Energy) |
0.6 |
% |
451,894 |
|||||||||||
30,807 |
Hewlett-Packard Co. (Information Technology) |
1.1 |
% |
842,572 |
|||||||||||
26,253 |
Intel Corp. (Information
Technology) |
0.8 |
% |
625,872 |
|||||||||||
16,322 |
JPMorgan Chase & Co. (Financials) |
1.2 |
% |
933,945 |
|||||||||||
12,410 |
Kroger Co. (The)
(Consumer Staples) |
0.7 |
% |
518,118 |
|||||||||||
8,439 |
Lincoln National Corp. (Financials) |
0.6 |
% |
433,174 |
|||||||||||
3,308 |
Lockheed Martin Corp.
(Industrials) |
0.6 |
% |
468,644 |
|||||||||||
17,438 |
Marathon Oil Corp. (Energy) |
0.8 |
% |
628,466 |
|||||||||||
3,390 |
McKesson Corp.
(Health Care) |
0.8 |
% |
562,367 |
|||||||||||
11,333 |
MetLife, Inc. (Financials) |
0.8 |
% |
591,469 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
26,244 |
Micron Technology, Inc.* (Information Technology) |
0.7 |
% |
$ |
553,748 |
||||||||||
16,004 |
Microsoft Corp.
(Information Technology) |
0.8 |
% |
610,233 |
|||||||||||
14,199 |
Morgan Stanley (Financials) |
0.6 |
% |
444,429 |
|||||||||||
5,369 |
Northrop Grumman Corp.
(Industrials) |
0.8 |
% |
604,979 |
|||||||||||
23,583 |
Pfizer, Inc. (Health Care) |
1.0 |
% |
748,289 |
|||||||||||
10,603 |
Phillips 66 (Energy) |
1.0 |
% |
738,075 |
|||||||||||
7,085 |
Prudential Financial, Inc. (Financials) |
0.8 |
% |
628,865 |
|||||||||||
24,864 |
R.R. Donnelley & Sons
Co. (Industrials) |
0.6 |
% |
459,984 |
|||||||||||
4,885 |
Raytheon Co. (Industrials) |
0.6 |
% |
433,202 |
|||||||||||
133,196 |
Rite Aid
Corp.* (Consumer Staples) |
1.1 |
% |
788,520 |
|||||||||||
14,446 |
Safeway, Inc. (Consumer Staples) |
0.7 |
% |
505,177 |
|||||||||||
11,523 |
SunTrust Banks, Inc.
(Financials) |
0.6 |
% |
417,478 |
|||||||||||
85,529 |
SUPERVALU, Inc.* (Consumer Staples) |
0.7 |
% |
551,662 |
|||||||||||
5,261 |
Travelers Cos., Inc. (The)
(Financials) |
0.6 |
% |
477,383 |
|||||||||||
6,151 |
UnitedHealth Group, Inc. (Health Care) |
0.6 |
% |
458,127 |
|||||||||||
12,762 |
Valero Energy Corp.
(Energy) |
0.8 |
% |
583,479 |
|||||||||||
19,253 |
Verizon Communications, Inc. (Telecommunication Services) |
1.3 |
% |
955,334 |
|||||||||||
6,450 |
Wal-Mart Stores, Inc.
(Consumer Staples) |
0.7 |
% |
522,515 |
|||||||||||
7,202 |
WellPoint, Inc. (Health Care) |
0.9 |
% |
668,922 |
|||||||||||
14,135 |
Weyerhaeuser Co.
(REIT) (Financials) |
0.6 |
% |
425,888 |
|||||||||||
1,911,939 |
Other Common Stocks |
56.4 |
% |
42,288,565 |
|||||||||||
Total Common Stocks
(Cost $67,072,671) |
73,967,872 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government & Agency Security (a) — 4.1% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
3,105,159 |
0.00%, due 12/02/13 |
3,105,159 |
||||||||||||
Total U.S. Government &
Agency Security (Cost $3,105,159) |
3,105,159 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: RAFI® LONG/SHORT 25
Principal Amount |
Value |
||||||||||||||
Repurchase Agreements (a)(b) — 7.6% |
|||||||||||||||
$ |
5,686,114 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $5,686,144 |
$ |
5,686,114 |
|||||||||||
Total Repurchase Agreements
(Cost $5,686,114) |
5,686,114 |
||||||||||||||
Total Investment Securities (Cost $75,863,944) — 110.3% |
82,759,145 |
||||||||||||||
Liabilities in excess of
other assets — (10.3)% |
(7,737,709 |
) |
|||||||||||||
Net Assets — 100.0% |
$ |
75,021,436 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $16,719,367.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
7,992,016 |
|||||
Aggregate gross unrealized depreciation |
(1,141,420 |
) |
|||||
Net unrealized appreciation |
$ |
6,850,596 |
|||||
Federal income tax cost of investments |
$ |
75,908,549 |
Swap Agreements ‡
RAFI® Long/Short had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the RAFI® US Equity
Long/Short Index (long portion) |
12/06/13 |
$ |
928,271 |
$ |
764,210 |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the RAFI® US Equity Long/Short Index (short portion) |
12/06/13 |
(74,316,535 |
) |
(8,596,752 |
) |
||||||||||
$ |
(7,832,542 |
) |
‡ Total return (long position) based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.27%. Total return (short position) based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.23)%.
RAFI® Long/Short invested, as a percentage of net assets, in the following industries, as of November 30, 2013:
Consumer Discretionary |
10.5 |
% |
|||||
Consumer Staples |
9.3 |
% |
|||||
Energy |
11.2 |
% |
|||||
Financials |
22.3 |
% |
|||||
Health Care |
10.4 |
% |
|||||
Industrials |
12.6 |
% |
|||||
Information Technology |
10.5 |
% |
|||||
Materials |
3.5 |
% |
|||||
Telecommunication Services |
4.0 |
% |
|||||
Utilities |
4.3 |
% |
|||||
Other1 |
1.4 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
26 :: RALS RAFI® LONG/SHORT :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks — 99.7% |
|||||||||||
Consumer Discretionary — 12.7% |
|||||||||||
9,275 |
Family Dollar Stores, Inc. |
$ |
647,117 |
||||||||
8,019 |
Genuine Parts Co. |
664,294 |
|||||||||
21,761 |
Leggett & Platt, Inc. |
657,400 |
|||||||||
13,237 |
Lowe's Cos., Inc. |
628,493 |
|||||||||
6,815 |
McDonald's Corp. |
663,576 |
|||||||||
10,227 |
Target Corp. |
653,812 |
|||||||||
3,296 |
VF Corp. |
773,176 |
|||||||||
4,687,868 |
|||||||||||
Consumer Staples — 24.4% |
|||||||||||
17,666 |
Archer-Daniels-Midland Co. |
711,056 |
|||||||||
9,205 |
Brown-Forman Corp., Class B |
690,559 |
|||||||||
7,663 |
Clorox Co. (The) |
713,962 |
|||||||||
17,109 |
Coca-Cola Co. (The) |
687,611 |
|||||||||
10,517 |
Colgate-Palmolive Co. |
692,124 |
|||||||||
14,987 |
Hormel Foods Corp. |
674,715 |
|||||||||
6,661 |
Kimberly-Clark Corp. |
727,115 |
|||||||||
9,752 |
McCormick & Co.,
Inc. (Non-Voting) |
672,888 |
|||||||||
7,999 |
PepsiCo, Inc. |
675,595 |
|||||||||
8,239 |
Procter & Gamble Co. (The) |
693,889 |
|||||||||
20,061 |
Sysco Corp. |
674,651 |
|||||||||
11,552 |
Walgreen Co. |
683,878 |
|||||||||
8,632 |
Wal-Mart Stores, Inc. |
699,278 |
|||||||||
8,997,321 |
|||||||||||
Energy — 3.7% |
|||||||||||
5,489 |
Chevron Corp. |
672,073 |
|||||||||
7,426 |
Exxon Mobil Corp. |
694,183 |
|||||||||
1,366,256 |
|||||||||||
Financials — 12.8% |
|||||||||||
10,024 |
Aflac, Inc. |
665,293 |
|||||||||
7,169 |
Chubb Corp. (The) |
691,450 |
|||||||||
13,304 |
Cincinnati Financial Corp. |
697,263 |
|||||||||
12,606 |
Franklin Resources, Inc. |
698,246 |
|||||||||
15,560 |
HCP, Inc. (REIT) |
572,141 |
|||||||||
9,528 |
McGraw Hill Financial, Inc. |
709,836 |
|||||||||
8,650 |
T. Rowe Price Group, Inc. |
695,979 |
|||||||||
4,730,208 |
|||||||||||
Health Care — 13.5% |
|||||||||||
19,144 |
Abbott Laboratories |
731,109 |
|||||||||
14,154 |
AbbVie, Inc. |
685,761 |
|||||||||
6,286 |
Becton, Dickinson and Co. |
682,597 |
|||||||||
5,421 |
C.R. Bard, Inc. |
752,869 |
|||||||||
11,824 |
Cardinal Health, Inc. |
763,830 |
|||||||||
7,222 |
Johnson & Johnson |
683,635 |
|||||||||
11,756 |
Medtronic, Inc. |
673,854 |
|||||||||
4,973,655 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
Industrials — 14.4% |
|||||||||||
5,352 |
3M Co. |
$ |
714,546 |
||||||||
12,488 |
Cintas Corp. |
693,084 |
|||||||||
7,153 |
Dover Corp. |
649,063 |
|||||||||
9,888 |
Emerson Electric Co. |
662,397 |
|||||||||
8,395 |
Illinois Tool Works, Inc. |
668,074 |
|||||||||
9,735 |
Pentair Ltd. |
688,459 |
|||||||||
7,083 |
Stanley Black & Decker, Inc. |
576,485 |
|||||||||
2,499 |
W.W. Grainger, Inc. |
644,542 |
|||||||||
5,296,650 |
|||||||||||
Information Technology — 1.9% |
|||||||||||
8,916 |
Automatic Data Processing, Inc. |
713,458 |
|||||||||
Materials — 12.8% |
|||||||||||
5,946 |
Air Products & Chemicals, Inc. |
647,103 |
|||||||||
16,685 |
Bemis Co., Inc. |
651,216 |
|||||||||
6,457 |
Ecolab, Inc. |
691,997 |
|||||||||
13,203 |
Nucor Corp. |
674,145 |
|||||||||
3,874 |
PPG Industries, Inc. |
713,048 |
|||||||||
3,585 |
Sherwin-Williams Co. (The) |
656,163 |
|||||||||
7,730 |
Sigma-Aldrich Corp. |
666,635 |
|||||||||
4,700,307 |
|||||||||||
Telecommunication Services — 1.8% |
|||||||||||
18,894 |
AT&T, Inc. |
665,258 |
|||||||||
Utilities — 1.7% |
|||||||||||
11,486 |
Consolidated Edison, Inc. |
634,142 |
|||||||||
Total Common
Stocks (Cost $36,060,989) |
36,765,123 |
||||||||||
Total Investment Securities (Cost $36,060,989) — 99.7% |
36,765,123 |
||||||||||
Other assets less liabilities — 0.3% |
105,425 |
||||||||||
Net Assets — 100.0% |
$ |
36,870,548 |
REIT Real Estate Investment Trust
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
874,657 |
|||||
Aggregate gross unrealized depreciation |
(170,523 |
) |
|||||
Net unrealized appreciation |
$ |
704,134 |
|||||
Federal income tax cost of investments |
$ |
36,060,989 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: S&P 500 ARISTOCRATS ETF 27
Principal Amount |
Value |
||||||||||
Long-Term U.S. Treasury
Obligation (a) — 77.1% |
|||||||||||
U.S. Treasury Inflation-Protected Securities (TIPS) Bond |
|||||||||||
$ |
3,574,549 |
0.63%, due 02/15/43 |
$ |
2,825,540 |
|||||||
Total Long-Term U.S. Treasury Obligation (Cost $3,610,583) |
2,825,540 |
||||||||||
U.S. Government &
Agency Security (a) — 5.7% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
209,984 |
0.00%, due 12/02/13 |
209,984 |
|||||||||
Total U.S. Government & Agency
Security (Cost $209,984) |
209,984 |
||||||||||
Repurchase Agreements (a)(b) — 11.3% |
|||||||||||
415,356 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $415,357 |
415,356 |
|||||||||
Total Repurchase
Agreements (Cost $415,356) |
415,356 |
||||||||||
Total Investment Securities (Cost $4,235,923) — 94.1% |
3,450,880 |
||||||||||
Other assets less liabilities — 5.9% |
216,062 |
||||||||||
Net Assets — 100.0% |
$ |
3,666,942 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $61,013.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(785,043 |
) |
|||||
Net unrealized depreciation |
$ |
(785,043 |
) |
||||
Federal income tax cost of investments |
$ |
4,235,923 |
Swap Agreements ‡
30 Year TIPS/TSY Spread had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Bond Index Swap Agreement
with Citibank, N.A., based on the Dow Jones Credit Suisse 30-Year Inflation Breakeven Index (duration-adjusted short exposure to U.S. Treasury bonds) |
03/07/14 |
$ |
(351,901 |
) |
$ |
1,095 |
|||||||||
Bond Index Swap Agreement with Citibank, N.A.,
based on the Dow Jones Credit Suisse 30-Year Inflation Breakeven Index (long exposure to 30-year Treasury Inflation-Protected Securities (TIPS) bond) |
03/07/14 |
180,798 |
2,643 |
||||||||||||
Bond Index Swap Agreement
with Societe Generale, based on the Dow Jones Credit Suisse 30-Year Inflation Breakeven Index (duration-adjusted short exposure to U.S. Treasury bonds) |
11/06/14 |
(4,959,927 |
) |
78,776 |
|||||||||||
Bond Index Swap Agreement with Societe Generale,
based on the Dow Jones Credit Suisse 30-Year Inflation Breakeven Index (long exposure to 30-year Treasury Inflation-Protected Securities (TIPS) bond) |
11/06/14 |
659,012 |
(11,091 |
) |
|||||||||||
$ |
71,423 |
‡ Total return (long position) based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.15%. Total return (short position) based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.32)%.
See accompanying notes to the financial statements.
28 :: RINF 30 YEAR TIPS/TSY SPREAD :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Long-Term U.S. Treasury
Obligation (a) — 81.3% |
|||||||||||
U.S. Treasury Bond |
|||||||||||
$ |
3,578,000 |
3.13%, due 02/15/43 |
$ |
3,138,577 |
|||||||
Total Long-Term U.S. Treasury Obligation (Cost $3,603,479) |
3,138,577 |
||||||||||
U.S. Government &
Agency Security (a) — 5.8% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
223,340 |
0.00%, due 12/02/13 |
223,340 |
|||||||||
Total U.S. Government & Agency
Security (Cost $223,340) |
223,340 |
||||||||||
Repurchase Agreements (a)(b) — 11.6% |
|||||||||||
448,384 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $448,385 |
448,384 |
|||||||||
Total Repurchase
Agreements (Cost $448,384) |
448,384 |
||||||||||
Total Investment Securities (Cost $4,275,203) — 98.7% |
3,810,301 |
||||||||||
Other assets less liabilities — 1.3% |
51,328 |
||||||||||
Net Assets — 100.0% |
$ |
3,861,629 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $71,501.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(464,902 |
) |
|||||
Net unrealized depreciation |
$ |
(464,902 |
) |
||||
Federal income tax cost of investments |
$ |
4,275,203 |
Swap Agreements ‡
Short 30 Year TIPS/TSY Spread had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Bond Index Swap Agreement
with Citibank, N.A., based on the Dow Jones Credit Suisse 30-Year Inflation Breakeven Index (short exposure to 30-year Treasury Inflation-Protected Securities (TIPS) bond) |
06/06/14 |
$ |
(3,631,054 |
) |
$ |
49,193 |
|||||||||
Bond Index Swap Agreement with Societe Generale,
based on the Dow Jones Credit Suisse 30-Year Inflation Breakeven Index (duration-adjusted long exposure to U.S. Treasury bond) |
11/06/14 |
2,381,997 |
(8,185 |
) |
|||||||||||
Bond Index Swap Agreement
with Societe Generale, based on the Dow Jones Credit Suisse 30-Year Inflation Breakeven Index (short exposure to 30-year Treasury Inflation-Protected Securities (TIPS) bond) |
11/06/14 |
(230,372 |
) |
9,559 |
|||||||||||
$ |
50,567 |
‡ Total return (long position) based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.12%. Total return (short position) based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.28)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: SHORT 30 YEAR TIPS/TSY SPREAD 29
Principal Amount |
Value |
||||||||||
Long-Term U.S. Treasury
Obligation (a) — 75.7% |
|||||||||||
U.S. Treasury Inflation-Protected Securities (TIPS) Bond |
|||||||||||
$ |
1,333,096 |
0.38%, due 07/15/23 |
$ |
1,309,714 |
|||||||
Total Long-Term U.S. Treasury Obligation (Cost $1,330,392) |
1,309,714 |
||||||||||
U.S. Government &
Agency Security (a) — 6.3% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
108,474 |
0.00%, due 12/02/13 |
108,474 |
|||||||||
Total U.S. Government & Agency
Security (Cost $108,474) |
108,474 |
||||||||||
Repurchase Agreements (a)(b) — 21.4% |
|||||||||||
369,641 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $369,642 |
369,641 |
|||||||||
Total Repurchase
Agreements (Cost $369,641) |
369,641 |
||||||||||
Total Investment Securities (Cost $1,808,507) — 103.4% |
1,787,829 |
||||||||||
Liabilities in excess of
other assets — (3.4%) |
(59,470 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,728,359 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $186,593.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(20,678 |
) |
|||||
Net unrealized depreciation |
$ |
(20,678 |
) |
||||
Federal income tax cost of investments |
$ |
1,808,507 |
Swap Agreements ‡
UltraPro 10 Year TIPS/TSY Spread had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Bond Index Swap Agreement
with Citibank, N.A., based on the Dow Jones Credit Suisse 10-Year Inflation Breakeven Index (duration-adjusted short exposure to U.S. Treasury notes) |
04/08/14 |
$ |
(5,249,331 |
) |
$ |
22,536 |
|||||||||
Bond Index Swap Agreement with Citibank, N.A.,
based on the Dow Jones Credit Suisse 10-Year Inflation Breakeven Index (long exposure to 10-year Treasury Inflation-Protected Securities (TIPS) bond) |
03/06/14 |
444,104 |
(25,353 |
) |
|||||||||||
Bond Index Swap Agreement
with Societe Generale, based on the Dow Jones Credit Suisse 10-Year Inflation Breakeven Index (long exposure to 10-year Treasury Inflation-Protected Securities (TIPS) bond) |
11/06/14 |
3,425,972 |
(34,514 |
) |
|||||||||||
Bond Index Swap Agreement with Societe Generale,
based on the Dow Jones Credit Suisse 10-Year Inflation Breakeven Index (duration-adjusted short exposure to U.S. Treasury notes) |
11/06/14 |
(429,385 |
) |
535 |
|||||||||||
$ |
(36,796 |
) |
‡ Total return (long position) based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.18%. Total return (short position) based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.19)%.
See accompanying notes to the financial statements.
30 :: UINF ULTRAPRO 10 YEAR TIPS/TSY SPREAD :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Long-Term U.S. Treasury
Obligation (a) — 42.9% |
|||||||||||
U.S. Treasury Note |
|||||||||||
$ |
977,000 |
1.75%, due 05/15/23 |
$ |
899,985 |
|||||||
Total Long-Term U.S. Treasury Obligation (Cost $908,655) |
899,985 |
||||||||||
U.S. Government &
Agency Security (a) — 17.9% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
374,637 |
0.00%, due 12/02/13 |
374,637 |
|||||||||
Total U.S. Government & Agency
Security (Cost $374,637) |
374,637 |
||||||||||
Repurchase Agreements (a)(b) — 38.8% |
|||||||||||
812,330 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $812,333 |
812,330 |
|||||||||
Total Repurchase
Agreements (Cost $812,330) |
812,330 |
||||||||||
Total Investment Securities (Cost $2,095,622) — 99.6% |
2,086,952 |
||||||||||
Other assets less liabilities — 0.4% |
8,831 |
||||||||||
Net Assets — 100.0% |
$ |
2,095,783 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $180,138.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(8,670 |
) |
|||||
Net unrealized depreciation |
$ |
(8,670 |
) |
||||
Federal income tax cost of investments |
$ |
2,095,622 |
Swap Agreements ‡
UltraPro Short 10 Year TIPS/TSY Spread had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Bond Index Swap Agreement
with Citibank, N.A., based on the Dow Jones Credit Suisse 10-Year Inflation Breakeven Index (duration-adjusted long exposure to U.S. Treasury notes) |
03/06/14 |
$ |
4,036,839 |
$ |
(17,404 |
) |
|||||||||
Bond Index Swap Agreement with Citibank, N.A.,
based on the Dow Jones Credit Suisse 10-Year Inflation Breakeven Index (short exposure to 10-year Treasury Inflation-Protected Securities (TIPS) bond) |
03/06/14 |
(1,034,899 |
) |
8,420 |
|||||||||||
Bond Index Swap Agreement
with Societe Generale, based on the Dow Jones Credit Suisse 10-Year Inflation Breakeven Index (duration-adjusted long exposure to U.S. Treasury notes) |
11/06/14 |
1,952,180 |
(7,965 |
) |
|||||||||||
Bond Index Swap Agreement with Societe Generale,
based on the Dow Jones Credit Suisse 10-Year Inflation Breakeven Index (short exposure to 10-year Treasury Inflation-Protected Securities (TIPS) bond) |
11/06/14 |
(5,258,912 |
) |
49,967 |
|||||||||||
$ |
33,018 |
‡ Total return (long position) based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.01)%. Total return (short position) based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.32)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRAPRO SHORT 10 YEAR TIPS/TSY SPREAD 31
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 70.2% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
284,802,476 |
0.00%, due 12/02/13 |
$ |
284,802,476 |
|||||||
U.S. Treasury Bills |
|||||||||||
85,000,000 |
0.00%, due 12/12/13 |
84,999,611 |
|||||||||
100,000,000 |
0.00%, due 12/19/13 |
99,999,000 |
|||||||||
100,000,000 |
0.00%, due 12/26/13 |
99,997,222 |
|||||||||
20,000,000 |
0.00%, due 01/02/14 |
19,999,591 |
|||||||||
100,000,000 |
0.00%, due 01/09/14 |
99,997,075 |
|||||||||
250,000,000 |
0.00%, due 01/30/14 |
249,991,667 |
|||||||||
150,000,000 |
0.00%, due 02/20/14 |
149,989,875 |
|||||||||
63,000,000 |
0.00%, due 02/27/14 |
62,992,223 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $1,152,768,740) |
1,152,768,740 |
||||||||||
Repurchase Agreements (a)(b) — 32.8% |
|||||||||||
538,630,727 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $538,633,489 |
538,630,727 |
|||||||||
Total Repurchase Agreements (Cost $538,630,727) |
538,630,727 |
||||||||||
Total Investment
Securities (Cost $1,691,399,467) † — 103.0% |
1,691,399,467 |
||||||||||
Liabilities in excess of other assets — (3.0%) |
(49,234,380 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,642,165,087 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $131,272,212.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
Short S&P500® had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional Amount
at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
284 |
12/20/13 |
$ |
25,616,800 |
$ |
(248,213 |
) |
Cash collateral in the amount of $1,132,802 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
32 :: SH SHORT S&P500® :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTSPROSHARES TRUST
Swap Agreements ‡
Short S&P500® had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the S&P 500® Index |
12/06/13 |
$ |
(208,766,906 |
) |
$ |
(4,563,326 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the S&P 500® Index |
11/06/15 |
(183,561,908 |
) |
(3,877,828 |
) |
||||||||||
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index |
12/06/13 |
(132,554,741 |
) |
(3,322,423 |
) |
||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the S&P 500® Index |
12/06/13 |
(272,140,419 |
) |
(5,802,831 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the S&P 500® Index |
12/06/13 |
(165,472,429 |
) |
(3,692,875 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the S&P 500® Index |
11/06/15 |
(89,891,949 |
) |
(2,202,418 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index |
11/06/15 |
(544,403,973 |
) |
(11,426,100 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the S&P 500® Index |
12/06/13 |
(13,468,025 |
) |
(284,123 |
) |
||||||||||
Swap Agreement with Deutsche Bank AG, based on the SPDR® S&P 500® ETF Trust |
12/06/13 |
(6,344,793 |
) |
(133,498 |
) |
||||||||||
$ |
(35,305,422 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.34%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: SHORT S&P500® 33
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 65.7% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
29,039,744 |
0.00%, due 12/02/13 |
$ |
29,039,744 |
|||||||
U.S. Treasury Bills |
|||||||||||
5,000,000 |
0.00%, due 01/09/14 |
4,999,773 |
|||||||||
8,000,000 |
0.00%, due 02/13/14 |
7,999,975 |
|||||||||
60,000,000 |
0.00%, due 02/27/14 |
59,991,713 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $102,031,205) |
102,031,205 |
||||||||||
Repurchase Agreements (a)(b) — 37.7% |
|||||||||||
58,546,797 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $58,547,095 |
58,546,797 |
|||||||||
Total Repurchase Agreements
(Cost $58,546,797) |
58,546,797 |
||||||||||
Total Investment Securities (Cost $160,578,002) † — 103.4% |
160,578,002 |
||||||||||
Liabilities in excess of
other assets — (3.4%) |
(5,350,936 |
) |
|||||||||
Net Assets — 100.0% |
$ |
155,227,066 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $21,490,165.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
Short QQQ® had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts |
136 |
12/20/13 |
$ |
9,491,440 |
$ |
(352,943 |
) |
Cash collateral in the amount of $411,399 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
Swap Agreements ‡
Short QQQ® had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the NASDAQ-100 Index® |
12/06/13 |
$ |
(185,573 |
) |
$ |
(5,714 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the NASDAQ-100 Index® |
11/06/15 |
(33,869,756 |
) |
(1,027,111 |
) |
||||||||||
Equity Index Swap Agreement with Deutsche Bank AG, based on the NASDAQ-100 Index® |
12/06/13 |
(3,803,562 |
) |
(159,897 |
) |
||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the NASDAQ-100 Index® |
12/06/13 |
(39,378,035 |
) |
(1,309,265 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the
NASDAQ-100 Index® |
11/06/15 |
(5,988,733 |
) |
(286,937 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale, based on the NASDAQ-100 Index® |
11/06/15 |
(29,918,405 |
) |
(920,571 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the NASDAQ-100 Index® |
12/06/13 |
(27,397,730 |
) |
(847,887 |
) |
||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the PowerShares QQQ TrustSM, Series 1 |
03/06/14 |
(5,202,422 |
) |
(924,112 |
) |
||||||||||
$ |
(5,481,494 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.20%.
See accompanying notes to the financial statements.
34 :: PSQ SHORT QQQ® :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 66.4% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
48,621,075 |
0.00%, due 12/02/13 |
$ |
48,621,075 |
|||||||
U.S. Treasury Bills |
|||||||||||
1,430,000 |
0.00%, due 12/26/13 |
1,429,962 |
|||||||||
20,000,000 |
0.00%, due 01/09/14 |
19,999,090 |
|||||||||
95,000,000 |
0.00%, due 02/27/14 |
94,986,977 |
|||||||||
15,000,000 |
0.00%, due 03/20/14 |
14,998,524 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $180,035,628) |
180,035,628 |
||||||||||
Repurchase Agreements (a)(b) — 35.7% |
|||||||||||
96,719,875 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $96,720,368 |
96,719,875 |
|||||||||
Total Repurchase Agreements (Cost $96,719,875) |
96,719,875 |
||||||||||
Total Investment
Securities (Cost $276,755,503) † — 102.1% |
276,755,503 |
||||||||||
Liabilities in excess of other assets — (2.1%) |
(5,675,737 |
) |
|||||||||
Net Assets — 100.0% |
$ |
271,079,766 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $31,696,388.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
Short Dow30SM had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini Dow Jones Futures Contracts |
208 |
12/20/13 |
$ |
16,709,680 |
$ |
(386,449 |
) |
Cash collateral in the amount of $658,735 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: SHORT DOW30SM 35
Swap Agreements ‡
Short Dow30SM had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Citibank, N.A., based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
$ |
(1,564,628 |
) |
$ |
(90,471 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Dow Jones Industrial AverageSM Index |
11/06/15 |
(84,053,632 |
) |
(1,971,486 |
) |
||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
(18,639,709 |
) |
(437,641 |
) |
||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
(28,296,140 |
) |
(691,705 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
(5,595,819 |
) |
(140,530 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Dow Jones Industrial AverageSM Index |
11/06/15 |
(57,266,992 |
) |
(1,338,749 |
) |
||||||||||
Equity Index Swap Agreement
with UBS AG, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
(43,387,686 |
) |
(1,021,555 |
) |
||||||||||
Swap Agreement with Deutsche Bank AG, based on the
SPDR® Dow Jones Industrial AverageSM ETF Trust |
12/06/13 |
(15,609,419 |
) |
(369,735 |
) |
||||||||||
$ |
(6,061,872 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.23%.
See accompanying notes to the financial statements.
36 :: DOG SHORT DOW30SM :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 54.8% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
6,334,226 |
0.00%, due 12/02/13 |
$ |
6,334,226 |
|||||||
U.S. Treasury Bill |
|||||||||||
7,000,000 |
0.00%, due 01/02/14 |
6,999,845 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $13,334,071) |
13,334,071 |
||||||||||
Repurchase Agreements (a)(b) — 46.3% |
|||||||||||
11,257,311 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $11,257,369 |
11,257,311 |
|||||||||
Total Repurchase Agreements
(Cost $11,257,311) |
11,257,311 |
||||||||||
Total Investment Securities (Cost $24,591,382) † — 101.1% |
24,591,382 |
||||||||||
Liabilities in excess of
other assets — (1.1%) |
(260,809 |
) |
|||||||||
Net Assets — 100.0% |
$ |
24,330,573 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $1,362,444.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
Short MidCap400 had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P MidCap 400 Futures Contracts |
10 |
12/20/13 |
$ |
1,303,400 |
$ |
(22,522 |
) |
Cash collateral in the amount of $44,962 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
Swap Agreements ‡
Short MidCap400 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the S&P MidCap 400® Index |
11/06/15 |
$ |
(6,449,963 |
) |
$ |
(74,845 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the S&P MidCap 400® Index |
12/06/13 |
(6,300,476 |
) |
(74,779 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the S&P MidCap 400® Index |
12/06/13 |
(3,660,124 |
) |
(89,673 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the S&P MidCap 400® Index |
11/06/15 |
(2,031,572 |
) |
(3,935 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale, based on the S&P MidCap 400® Index |
11/06/15 |
(4,556,805 |
) |
(53,065 |
) |
||||||||||
$ |
(296,297 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.02)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: SHORT MIDCAP400 37
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 72.1% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
74,730,777 |
0.00%, due 12/02/13 |
$ |
74,730,777 |
|||||||
U.S. Treasury Bills |
|||||||||||
23,000,000 |
0.00%, due 12/12/13 |
22,999,708 |
|||||||||
10,000,000 |
0.00%, due 12/19/13 |
9,999,872 |
|||||||||
45,000,000 |
0.00%, due 12/26/13 |
44,999,172 |
|||||||||
5,947,000 |
0.00%, due 02/13/14 |
5,946,707 |
|||||||||
50,000,000 |
0.00%, due 03/13/14 |
49,994,333 |
|||||||||
40,000,000 |
0.00%, due 04/03/14 |
39,992,142 |
|||||||||
50,000,000 |
0.00%, due 04/24/14 |
49,982,500 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $298,645,211) |
298,645,211 |
||||||||||
Repurchase Agreements (a)(b) — 32.3% |
|||||||||||
133,590,313 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $133,591,004 |
133,590,313 |
|||||||||
Total Repurchase Agreements
(Cost $133,590,313) |
133,590,313 |
||||||||||
Total Investment Securities (Cost $432,235,524) † — 104.4% |
432,235,524 |
||||||||||
Liabilities in excess of
other assets — (4.4%) |
(18,334,840 |
) |
|||||||||
Net Assets — 100.0% |
$ |
413,900,684 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $45,921,441.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
Short Russell2000 had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini Russell 2000 Futures Contracts |
312 |
12/20/13 |
$ |
35,602,320 |
$ |
(1,297,492 |
) |
Cash collateral in the amount of $1,460,159 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
38 :: RWM SHORT RUSSELL2000 :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements ‡
Short Russell2000 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the Russell 2000® Index |
12/06/13 |
$ |
(2,301,582 |
) |
$ |
(108,386 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Russell 2000® Index |
11/06/15 |
(119,221,968 |
) |
(4,765,622 |
) |
||||||||||
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Index |
12/06/13 |
(2,266,665 |
) |
(149,383 |
) |
||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Russell 2000® Index |
12/06/13 |
(147,439,046 |
) |
(7,222,300 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Russell 2000® Index |
12/06/13 |
(19,456,170 |
) |
(790,362 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Russell 2000® Index |
11/06/15 |
(23,074,588 |
) |
(1,537,581 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Index |
11/06/15 |
(41,545,514 |
) |
(1,664,239 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Index |
12/06/13 |
(7,605,984 |
) |
(304,905 |
) |
||||||||||
Swap Agreement with Deutsche Bank AG, based on the iShares® Russell 2000 Index Fund |
12/06/13 |
(534,337 |
) |
(21,221 |
) |
||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Russell 2000 Index Fund |
11/06/15 |
(14,887,606 |
) |
(589,164 |
) |
||||||||||
$ |
(17,153,163 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.44)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: SHORT RUSSELL2000 39
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 35.3% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
3,879,336 |
0.00%, due 12/02/13 |
$ |
3,879,336 |
|||||||
Total U.S. Government & Agency
Security (Cost $3,879,336) |
3,879,336 |
||||||||||
Repurchase Agreements (a)(b) — 65.2% |
|||||||||||
7,166,023 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $7,166,061 |
7,166,023 |
|||||||||
Total Repurchase Agreements
(Cost $7,166,023) |
7,166,023 |
||||||||||
Total Investment Securities (Cost $11,045,359) † — 100.5% |
11,045,359 |
||||||||||
Liabilities in excess of
other assets — (0.5%) |
(56,706 |
) |
|||||||||
Net Assets — 100.0% |
$ |
10,988,653 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $619,733.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
Short SmallCap600 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the S&P SmallCap 600® Index |
12/06/13 |
$ |
(3,442,102 |
) |
$ |
(131,043 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the S&P SmallCap 600® Index |
11/06/15 |
(2,214,783 |
) |
(84,692 |
) |
||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the S&P SmallCap 600® Index |
12/06/13 |
(698,240 |
) |
(39,784 |
) |
||||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the S&P SmallCap 600® Index |
12/06/13 |
(1,840,977 |
) |
(99,447 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the
S&P SmallCap 600® Index |
11/06/15 |
(1,401,235 |
) |
(53,601 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the S&P SmallCap 600® Index |
11/06/15 |
(1,382,304 |
) |
(52,918 |
) |
||||||||||
$ |
(461,485 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.21)%.
See accompanying notes to the financial statements.
40 :: SBB SHORT SMALLCAP600 :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 33.0% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
254,399 |
0.00%, due 12/02/13 |
$ |
254,399 |
|||||||
Total U.S. Government & Agency
Security (Cost $254,399) |
254,399 |
||||||||||
Repurchase Agreements (a)(b) — 75.7% |
|||||||||||
583,201 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $583,204 |
583,201 |
|||||||||
Total Repurchase Agreements
(Cost $583,201) |
583,201 |
||||||||||
Total Investment Securities (Cost $837,600) † — 108.7% |
837,600 |
||||||||||
Liabilities in excess of
other assets — (8.7%) |
(67,155 |
) |
|||||||||
Net Assets — 100.0% |
$ |
770,445 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $153,908.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Russell3000 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Russell 3000® Index |
11/06/15 |
$ |
(18,256 |
) |
$ |
(72 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 3000® Index |
12/06/13 |
(435,808 |
) |
(7,505 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the
Russell 3000® Index |
01/06/14 |
(427,778 |
) |
(25,930 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale, based on the Russell 3000® Index |
11/06/15 |
(595,746 |
) |
(16,304 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell 3000® Index |
12/06/13 |
(35,742 |
) |
(341 |
) |
||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Russell 3000 Index Fund |
11/06/15 |
(27,966 |
) |
(602 |
) |
||||||||||
$ |
(50,754 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.02)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT RUSSELL3000 41
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 77.5% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
229,707,818 |
0.00%, due 12/02/13 |
$ |
229,707,818 |
|||||||
U.S. Treasury Bills |
|||||||||||
160,000,000 |
0.00%, due 12/12/13 |
159,998,987 |
|||||||||
100,000,000 |
0.00%, due 12/19/13 |
99,999,000 |
|||||||||
100,000,000 |
0.00%, due 12/26/13 |
99,997,222 |
|||||||||
50,000,000 |
0.00%, due 01/09/14 |
49,998,240 |
|||||||||
200,000,000 |
0.00%, due 01/16/14 |
199,993,611 |
|||||||||
100,000,000 |
0.00%, due 02/06/14 |
99,991,346 |
|||||||||
200,000,000 |
0.00%, due 02/27/14 |
199,972,867 |
|||||||||
30,000,000 |
0.00%, due 03/13/14 |
29,996,600 |
|||||||||
40,000,000 |
0.00%, due 03/20/14 |
39,996,124 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $1,209,651,815) |
1,209,651,815 |
||||||||||
Repurchase Agreements (a)(b) — 29.6% |
|||||||||||
461,763,260 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $461,765,608 |
461,763,260 |
|||||||||
Total Repurchase Agreements
(Cost $461,763,260) |
461,763,260 |
||||||||||
Total Investment Securities (Cost $1,671,415,075) † — 107.1% |
1,671,415,075 |
||||||||||
Liabilities in excess of
other assets — (7.1%) |
(111,291,418 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,560,123,657 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $380,807,714.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort S&P500® had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
299 |
12/20/13 |
$ |
26,969,800 |
$ |
(199,083 |
) |
Cash collateral in the amount of $1,004,477 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
42 :: SDS ULTRASHORT S&P500® :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements ‡
UltraShort S&P500® had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the S&P 500® Index |
12/06/13 |
$ |
(253,580,970 |
) |
$ |
(6,951,273 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the S&P 500® Index |
11/06/15 |
(98,621,216 |
) |
(2,099,189 |
) |
||||||||||
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index |
12/06/13 |
(72,558,499 |
) |
(1,530,265 |
) |
||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the S&P 500® Index |
12/06/13 |
(389,328,513 |
) |
(9,115,079 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the S&P 500® Index |
12/06/13 |
(104,220,816 |
) |
(2,637,537 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the S&P 500® Index |
11/06/15 |
(46,036,724 |
) |
(2,166,660 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index |
11/06/15 |
(426,814,929 |
) |
(8,958,109 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the S&P 500® Index |
12/06/13 |
(40,933,791 |
) |
(863,544 |
) |
||||||||||
Swap Agreement with Deutsche Bank AG, based on the SPDR® S&P 500® ETF Trust |
12/06/13 |
(337,576,796 |
) |
(9,650,966 |
) |
||||||||||
Swap Agreement with Goldman Sachs International,
based on the SPDR® S&P 500® ETF Trust |
12/06/13 |
(1,323,666,588 |
) |
(29,353,934 |
) |
||||||||||
$ |
(73,326,556 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.29%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT S&P500® 43
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 74.6% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
64,607,635 |
0.00%, due 12/02/13 |
$ |
64,607,635 |
|||||||
U.S. Treasury Bills |
|||||||||||
25,000,000 |
0.00%, due 12/12/13 |
24,999,825 |
|||||||||
6,000,000 |
0.00%, due 12/26/13 |
5,999,854 |
|||||||||
20,000,000 |
0.00%, due 01/16/14 |
19,999,361 |
|||||||||
10,000,000 |
0.00%, due 01/23/14 |
9,999,043 |
|||||||||
10,000,000 |
0.00%, due 02/13/14 |
9,999,507 |
|||||||||
80,000,000 |
0.00%, due 02/27/14 |
79,989,122 |
|||||||||
47,000,000 |
0.00%, due 03/13/14 |
46,994,719 |
|||||||||
5,000,000 |
0.00%, due 03/20/14 |
4,999,515 |
|||||||||
40,000,000 |
0.00%, due 04/24/14 |
39,986,000 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $307,574,581) |
307,574,581 |
||||||||||
Repurchase Agreements (a)(b) — 41.0% |
|||||||||||
169,140,662 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $169,141,495 |
169,140,662 |
|||||||||
Total Repurchase Agreements
(Cost $169,140,662) |
169,140,662 |
||||||||||
Total Investment Securities (Cost $476,715,243) † — 115.6% |
476,715,243 |
||||||||||
Liabilities in excess of
other assets — (15.6%) |
(64,480,801 |
) |
|||||||||
Net Assets — 100.0% |
$ |
412,234,442 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $146,935,065.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort QQQ® had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts |
89 |
12/20/13 |
$ |
6,211,310 |
$ |
(158,299 |
) |
Cash collateral in the amount of $269,224 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
44 :: QID ULTRASHORT QQQ® :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements ‡
UltraShort QQQ® had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the NASDAQ-100 Index® |
12/06/13 |
$ |
(9,142,026 |
) |
$ |
(567,482 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the NASDAQ-100 Index® |
11/06/15 |
(93,561,801 |
) |
(2,817,434 |
) |
||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the NASDAQ-100 Index® |
12/06/13 |
(5,268,171 |
) |
(127,613 |
) |
||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the NASDAQ-100 Index® |
12/06/13 |
(87,408,452 |
) |
(3,024,866 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the NASDAQ-100 Index® |
12/06/13 |
(93,006,069 |
) |
(2,778,178 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the NASDAQ-100 Index® |
11/06/15 |
(9,036,474 |
) |
(426,779 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale, based on the NASDAQ-100 Index® |
03/06/14 |
(92,082,651 |
) |
(15,456,407 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the NASDAQ-100 Index® |
03/06/14 |
(6,308,741 |
) |
(485,905 |
) |
||||||||||
Swap Agreement with
Deutsche Bank AG, based on the PowerShares QQQ TrustSM,
Series 1 |
03/06/14 |
(57,181,198 |
) |
(16,458,360 |
) |
||||||||||
Swap Agreement with Goldman Sachs International,
based on the PowerShares QQQ TrustSM, Series 1 |
03/06/14 |
(319,305,729 |
) |
(11,137,193 |
) |
||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the PowerShares QQQ TrustSM, Series 1 |
03/06/14 |
(45,980,315 |
) |
(10,866,304 |
) |
||||||||||
$ |
(64,146,521 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.17%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT QQQ® 45
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 66.5% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
46,013,477 |
0.00%, due 12/02/13 |
$ |
46,013,477 |
|||||||
U.S. Treasury Bills |
|||||||||||
5,000,000 |
0.00%, due 12/12/13 |
4,999,984 |
|||||||||
18,128,000 |
0.00%, due 01/09/14 |
18,127,187 |
|||||||||
10,000,000 |
0.00%, due 02/06/14 |
9,999,953 |
|||||||||
20,000,000 |
0.00%, due 02/13/14 |
19,999,013 |
|||||||||
37,000,000 |
0.00%, due 03/13/14 |
36,995,807 |
|||||||||
35,000,000 |
0.00%, due 04/03/14 |
34,993,124 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $171,128,545) |
171,128,545 |
||||||||||
Repurchase Agreements (a)(b) — 38.1% |
|||||||||||
97,935,882 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $97,936,377 |
97,935,882 |
|||||||||
Total Repurchase Agreements (Cost $97,935,882) |
97,935,882 |
||||||||||
Total Investment Securities
(Cost $269,064,427) † — 104.6% |
269,064,427 |
||||||||||
Liabilities in excess of other assets — (4.6%) |
(11,930,872 |
) |
|||||||||
Net Assets — 100.0% |
$ |
257,133,555 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $40,619,413.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort Dow30SM had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini Dow Jones Futures Contracts |
221 |
12/20/13 |
$ |
17,754,035 |
$ |
(171,279 |
) |
Cash collateral in the amount of $470,525 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
46 :: DXD ULTRASHORT DOW30SM :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements ‡
UltraShort Dow30SM had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Citibank, N.A., based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
$ |
(3,069,078 |
) |
$ |
(143,676 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Dow Jones Industrial AverageSM Index |
11/06/15 |
(63,144,999 |
) |
(1,491,529 |
) |
||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
(20,528,753 |
) |
(524,460 |
) |
||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
(36,046,106 |
) |
(893,668 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
(31,972,367 |
) |
(845,770 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Dow Jones Industrial AverageSM Index |
11/06/15 |
(52,857,546 |
) |
(1,235,668 |
) |
||||||||||
Equity Index Swap Agreement
with UBS AG, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
(13,416,066 |
) |
(315,879 |
) |
||||||||||
Swap Agreement with Deutsche Bank AG, based on the
SPDR® Dow Jones Industrial AverageSM ETF Trust |
12/06/13 |
(251,589,298 |
) |
(5,996,358 |
) |
||||||||||
Swap Agreement with Goldman
Sachs International, based on the SPDR® Dow Jones
Industrial AverageSM ETF Trust |
12/06/13 |
(23,859,461 |
) |
(676,421 |
) |
||||||||||
$ |
(12,123,429 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.08%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT DOW30SM 47
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 54.7% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
3,364,884 |
0.00%, due 12/02/13 |
$ |
3,364,884 |
|||||||
U.S. Treasury Bill |
|||||||||||
3,800,000 |
0.00%, due 01/02/14 |
3,799,916 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $7,164,800) |
7,164,800 |
||||||||||
Repurchase Agreements (a)(b) — 47.9% |
|||||||||||
6,267,386 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $6,267,417 |
6,267,386 |
|||||||||
Total Repurchase
Agreements (Cost $6,267,386) |
6,267,386 |
||||||||||
Total Investment Securities (Cost $13,432,186) † — 102.6% |
13,432,186 |
||||||||||
Liabilities in excess of
other assets — (2.6%) |
(334,395 |
) |
|||||||||
Net Assets — 100.0% |
$ |
13,097,791 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $1,210,216.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort MidCap400 had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P MidCap 400 Futures Contracts |
7 |
12/20/13 |
$ |
912,380 |
$ |
(6,404 |
) |
Cash collateral in the amount of $28,105 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
Swap Agreements ‡
UltraShort MidCap400 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the S&P MidCap 400® Index |
12/06/13 |
$ |
(1,233,252 |
) |
$ |
(12,632 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the S&P MidCap 400® Index |
11/06/15 |
(5,053,947 |
) |
(58,627 |
) |
||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the S&P MidCap 400® Index |
12/06/13 |
(951,551 |
) |
(11,294 |
) |
||||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the S&P MidCap 400® Index |
12/06/13 |
(1,499,950 |
) |
(56,102 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the S&P MidCap 400® Index |
11/06/15 |
(235,334 |
) |
(2,788 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the S&P MidCap 400® Index |
11/06/15 |
(1,717,580 |
) |
(20,001 |
) |
||||||||||
Swap Agreement with
Deutsche Bank AG, based on the SPDR® S&P MidCap 400® ETF Trust |
12/06/13 |
(14,588,199 |
) |
(173,038 |
) |
||||||||||
$ |
(334,482 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.17)%.
See accompanying notes to the financial statements.
48 :: MZZ ULTRASHORT MIDCAP400 :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 65.3% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
51,276,160 |
0.00%, due 12/02/13 |
$ |
51,276,160 |
|||||||
U.S. Treasury Bills |
|||||||||||
25,000,000 |
0.00%, due 12/12/13 |
24,999,847 |
|||||||||
1,304,000 |
0.00%, due 12/26/13 |
1,303,965 |
|||||||||
50,000,000 |
0.00%, due 01/16/14 |
49,998,402 |
|||||||||
10,000,000 |
0.00%, due 01/23/14 |
9,999,043 |
|||||||||
5,000,000 |
0.00%, due 02/06/14 |
4,999,977 |
|||||||||
5,000,000 |
0.00%, due 02/27/14 |
4,999,383 |
|||||||||
5,000,000 |
0.00%, due 03/20/14 |
4,999,516 |
|||||||||
10,000,000 |
0.00%, due 05/08/14 |
9,996,269 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $162,572,562) |
162,572,562 |
||||||||||
Repurchase Agreements (a)(b) — 43.8% |
|||||||||||
109,114,603 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $109,115,154 |
109,114,603 |
|||||||||
Total Repurchase Agreements (Cost $109,114,603) |
109,114,603 |
||||||||||
Total Investment
Securities (Cost $271,687,165) † — 109.1% |
271,687,165 |
||||||||||
Liabilities in excess of other assets — (9.1%) |
(22,610,836 |
) |
|||||||||
Net Assets — 100.0% |
$ |
249,076,329 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $28,888,142.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort Russell2000 had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini Russell 2000 Futures Contracts |
246 |
12/20/13 |
$ |
28,071,060 |
$ |
(943,935 |
) |
Cash collateral in the amount of $1,151,280 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT RUSSELL2000 49
Swap Agreements ‡
UltraShort Russell2000 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the Russell 2000® Index |
12/06/13 |
$ |
(3,195,028 |
) |
$ |
(240,656 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Russell 2000® Index |
03/06/14 |
(4,159,950 |
) |
(2,522,129 |
) |
||||||||||
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Index |
12/06/13 |
(3,747,236 |
) |
(161,207 |
) |
||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Russell 2000® Index |
12/06/13 |
(15,322,813 |
) |
(1,319,636 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Russell 2000® Index |
12/06/13 |
(69,526,933 |
) |
(2,625,997 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Russell 2000® Index |
11/06/15 |
(226,363,446 |
) |
(10,113,709 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Index |
11/06/15 |
(137,771,363 |
) |
(5,518,873 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Index |
03/06/14 |
(5,078,445 |
) |
(498,887 |
) |
||||||||||
Swap Agreement with
Deutsche Bank AG, based on the iShares® Russell 2000
Index Fund |
12/06/13 |
(1,773,379 |
) |
(345,523 |
) |
||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Russell 2000 Index Fund |
11/06/15 |
(3,208,334 |
) |
(126,967 |
) |
||||||||||
$ |
(23,473,584 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.55)%.
See accompanying notes to the financial statements.
50 :: TWM ULTRASHORT RUSSELL2000 :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 36.5% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
1,775,417 |
0.00%, due 12/02/13 |
$ |
1,775,417 |
|||||||
Total U.S. Government & Agency
Security (Cost $1,775,417) |
1,775,417 |
||||||||||
Repurchase Agreements (a)(b) — 67.5% |
|||||||||||
3,290,364 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $3,290,380 |
3,290,364 |
|||||||||
Total Repurchase Agreements
(Cost $3,290,364) |
3,290,364 |
||||||||||
Total Investment Securities (Cost $5,065,781) † — 104.0% |
5,065,781 |
||||||||||
Liabilities in excess of
other assets — (4.0%) |
(192,914 |
) |
|||||||||
Net Assets — 100.0% |
$ |
4,872,867 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $294,389.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort SmallCap600 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the S&P SmallCap 600® Index |
11/06/15 |
$ |
(888,819 |
) |
$ |
(34,122 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the S&P SmallCap 600® Index |
12/06/13 |
(305,718 |
) |
(13,276 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the S&P SmallCap 600® Index |
12/06/13 |
(654,555 |
) |
(51,191 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the S&P SmallCap 600® Index |
11/06/15 |
(1,352,515 |
) |
(55,493 |
) |
||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the S&P SmallCap 600® Index |
11/06/15 |
(1,098,346 |
) |
(42,047 |
) |
||||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® Core S&P Small-Cap ETF |
12/06/13 |
(5,451,531 |
) |
(218,460 |
) |
||||||||||
$ |
(414,589 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.52)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT SMALLCAP600 51
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 67.1% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
55,095,100 |
0.00%, due 12/02/13 |
$ |
55,095,100 |
|||||||
U.S. Treasury Bills |
|||||||||||
13,000,000 |
0.00%, due 12/26/13 |
12,999,977 |
|||||||||
100,000,000 |
0.00%, due 01/09/14 |
99,996,479 |
|||||||||
30,000,000 |
0.00%, due 03/13/14 |
29,996,600 |
|||||||||
77,000,000 |
0.00%, due 03/20/14 |
76,990,738 |
|||||||||
10,000,000 |
0.00%, due 04/10/14 |
9,997,996 |
|||||||||
35,000,000 |
0.00%, due 04/24/14 |
34,987,750 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $320,064,640) |
320,064,640 |
||||||||||
Repurchase Agreements (a)(b) — 39.3% |
|||||||||||
187,329,416 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $187,330,319 |
187,329,416 |
|||||||||
Total Repurchase Agreements (Cost $187,329,416) |
187,329,416 |
||||||||||
Total Investment
Securities (Cost $507,394,056) † — 106.4% |
507,394,056 |
||||||||||
Liabilities in excess of other assets — (6.4%) |
(30,642,306 |
) |
|||||||||
Net Assets — 100.0% |
$ |
476,751,750 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $221,390,014.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraPro Short S&P500® had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
265 |
12/20/13 |
$ |
23,903,000 |
$ |
(186,251 |
) |
Cash collateral in the amount of $977,929 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
52 :: SPXU ULTRAPRO SHORT S&P500® :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements ‡
UltraPro Short S&P500® had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the S&P 500® Index |
12/06/13 |
$ |
(105,117,964 |
) |
$ |
(2,305,038 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the S&P 500® Index |
11/06/15 |
(51,401,546 |
) |
(1,081,294 |
) |
||||||||||
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index |
12/06/13 |
(22,939,781 |
) |
(483,802 |
) |
||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the S&P 500® Index |
12/06/13 |
(72,485,208 |
) |
(2,117,093 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the S&P 500® Index |
12/06/13 |
(46,770,741 |
) |
(1,163,149 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the S&P 500® Index |
11/06/15 |
(30,371,393 |
) |
(841,105 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index |
11/06/15 |
(66,185,470 |
) |
(1,389,119 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the S&P 500® Index |
12/06/13 |
(7,999,890 |
) |
(168,767 |
) |
||||||||||
Swap Agreement with Deutsche Bank AG, based on the SPDR® S&P 500® ETF Trust |
12/06/13 |
(366,051,342 |
) |
(9,385,900 |
) |
||||||||||
Swap Agreement with Goldman Sachs International,
based on the SPDR® S&P 500® ETF Trust |
12/06/13 |
(637,070,443 |
) |
(13,339,569 |
) |
||||||||||
$ |
(32,274,836 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.25%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRAPRO SHORT S&P500® 53
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 77.2% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
22,717,595 |
0.00%, due 12/02/13 |
$ |
22,717,595 |
|||||||
U.S. Treasury Bills |
|||||||||||
15,000,000 |
0.00%, due 12/12/13 |
14,999,771 |
|||||||||
5,000,000 |
0.00%, due 12/26/13 |
4,999,878 |
|||||||||
10,000,000 |
0.00%, due 02/13/14 |
9,999,507 |
|||||||||
12,981,000 |
0.00%, due 02/27/14 |
12,979,207 |
|||||||||
12,542,000 |
0.00%, due 03/13/14 |
12,540,579 |
|||||||||
55,000,000 |
0.00%, due 03/20/14 |
54,993,384 |
|||||||||
12,000,000 |
0.00%, due 04/24/14 |
11,995,800 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $145,225,721) |
145,225,721 |
||||||||||
Repurchase Agreements (a)(b) — 33.5% |
|||||||||||
62,904,121 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $62,904,429 |
62,904,121 |
|||||||||
Total Repurchase Agreements
(Cost $62,904,121) |
62,904,121 |
||||||||||
Total Investment Securities (Cost $208,129,842) † — 110.7% |
208,129,842 |
||||||||||
Liabilities in excess of
other assets — (10.7%) |
(20,109,591 |
) |
|||||||||
Net Assets — 100.0% |
$ |
188,020,251 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $92,494,074.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraPro Short QQQ® had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts |
116 |
12/20/13 |
$ |
8,095,640 |
$ |
(234,600 |
) |
Cash collateral in the amount of $350,899 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
54 :: SQQQ ULTRAPRO SHORT QQQ® :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements ‡
UltraPro Short QQQ® had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the NASDAQ-100 Index® |
12/06/13 |
$ |
(14,378,322 |
) |
$ |
(654,613 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the NASDAQ-100 Index® |
11/06/15 |
(8,434,696 |
) |
(233,039 |
) |
||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the NASDAQ-100 Index® |
12/06/13 |
(3,776,992 |
) |
(164,877 |
) |
||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the NASDAQ-100 Index® |
12/06/13 |
(33,180,758 |
) |
(1,134,894 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the NASDAQ-100 Index® |
12/06/13 |
(60,149,963 |
) |
(1,810,562 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the NASDAQ-100 Index® |
11/06/15 |
(5,419,490 |
) |
(172,218 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale, based on the NASDAQ-100 Index® |
11/06/15 |
(36,594,560 |
) |
(1,125,992 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the NASDAQ-100 Index® |
12/06/13 |
(7,063,760 |
) |
(218,605 |
) |
||||||||||
Swap Agreement with
Deutsche Bank AG, based on the PowerShares QQQ TrustSM,
Series 1 |
03/06/14 |
(6,125,465 |
) |
(4,399,074 |
) |
||||||||||
Swap Agreement with Goldman Sachs International,
based on the PowerShares QQQ TrustSM, Series 1 |
03/06/14 |
(374,509,420 |
) |
(13,170,119 |
) |
||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the PowerShares QQQ TrustSM, Series 1 |
03/06/14 |
(6,348,097 |
) |
(2,599,411 |
) |
||||||||||
$ |
(25,683,404 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.14%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRAPRO SHORT QQQ® 55
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 58.9% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
24,221,914 |
0.00%, due 12/02/13 |
$ |
24,221,914 |
|||||||
U.S. Treasury Bills |
|||||||||||
10,000,000 |
0.00%, due 12/26/13 |
9,999,982 |
|||||||||
23,000,000 |
0.00%, due 01/02/14 |
22,999,530 |
|||||||||
7,000,000 |
0.00%, due 04/24/14 |
6,997,550 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $64,218,976) |
64,218,976 |
||||||||||
Repurchase Agreements (a)(b) — 48.2% |
|||||||||||
52,587,080 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $52,587,345 |
52,587,080 |
|||||||||
Total Repurchase Agreements
(Cost $52,587,080) |
52,587,080 |
||||||||||
Total Investment Securities (Cost $116,806,056) † — 107.1% |
116,806,056 |
||||||||||
Liabilities in excess of
other assets — (7.1%) |
(7,767,765 |
) |
|||||||||
Net Assets — 100.0% |
$ |
109,038,291 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $13,339,144.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraPro Short Dow30SM had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini Dow Jones Futures Contracts |
78 |
12/20/13 |
$ |
6,266,130 |
$ |
(60,992 |
) |
Cash collateral in the amount of $217,415 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
56 :: SDOW ULTRAPRO SHORT DOW30SM :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements ‡
UltraPro Short Dow30SM had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Citibank, N.A., based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
$ |
(12,732,522 |
) |
$ |
(119,294 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Dow Jones Industrial AverageSM Index |
03/06/14 |
(1,637,114 |
) |
(437,876 |
) |
||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
(4,279,307 |
) |
(104,648 |
) |
||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
(2,864,410 |
) |
(68,989 |
) |
||||||||||
Equity Index Swap Agreement
with Merill Lynch International, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
(22,958,219 |
) |
(601,023 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones Industrial AverageSM Index |
11/06/15 |
(102,121,968 |
) |
(2,468,028 |
) |
||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones Industrial AverageSM Index |
11/06/15 |
(162,486,752 |
) |
(3,798,505 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones Industrial AverageSM Index |
12/06/13 |
(5,412,594 |
) |
(127,438 |
) |
||||||||||
Swap Agreement with
Deutsche Bank AG, based on the SPDR® Dow Jones Industrial
AverageSM ETF Trust |
12/06/13 |
(3,551,163 |
) |
(84,115 |
) |
||||||||||
Swap Agreement with Goldman Sachs International,
based on the SPDR® Dow Jones Industrial AverageSM ETF Trust |
12/06/13 |
(2,816,556 |
) |
(65,959 |
) |
||||||||||
$ |
(7,875,875 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.20%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRAPRO SHORT DOW30SM 57
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 54.3% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
1,186,991 |
0.00%, due 12/02/13 |
$ |
1,186,991 |
|||||||
U.S. Treasury Bill |
|||||||||||
1,900,000 |
0.00%, due 03/13/14 |
1,899,866 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $3,086,857) |
3,086,857 |
||||||||||
Repurchase Agreements (a)(b) — 43.9% |
|||||||||||
2,494,120 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $2,494,132 |
2,494,120 |
|||||||||
Total Repurchase Agreements
(Cost $2,494,120) |
2,494,120 |
||||||||||
Total Investment Securities (Cost $5,580,977) † — 98.2% |
5,580,977 |
||||||||||
Other assets less liabilities — 1.8% |
102,923 |
||||||||||
Net Assets — 100.0% |
$ |
5,683,900 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $521,093.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraPro Short MidCap400 had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P MidCap 400 Futures Contracts |
7 |
12/20/13 |
$ |
912,380 |
$ |
(10,785 |
) |
Cash collateral in the amount of $28,105 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
Swap Agreements ‡
UltraPro Short MidCap400 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the S&P MidCap 400® Index |
12/06/13 |
$ |
(1,455,005 |
) |
$ |
(14,514 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the S&P MidCap 400® Index |
11/06/15 |
(358,824 |
) |
(4,158 |
) |
||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the S&P MidCap 400®
Index |
12/06/13 |
(172,272 |
) |
(2,045 |
) |
||||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the S&P MidCap 400® Index |
12/06/13 |
(2,752,092 |
) |
(79,213 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the S&P MidCap 400® Index |
11/06/15 |
(10,333,533 |
) |
(158,125 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the S&P MidCap 400® Index |
11/06/15 |
(955,766 |
) |
(11,130 |
) |
||||||||||
Swap Agreement with Goldman
Sachs International, based on the SPDR® S&P MidCap 400® ETF Trust |
12/06/13 |
(115,178 |
) |
(1,309 |
) |
||||||||||
$ |
(270,494 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.12)%.
See accompanying notes to the financial statements.
58 :: SMDD ULTRAPRO SHORT MIDCAP400 :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 53.0% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
14,233,064 |
0.00%, due 12/02/13 |
$ |
14,233,064 |
|||||||
U.S. Treasury Bills |
|||||||||||
3,000,000 |
0.00%, due 01/09/14 |
2,999,864 |
|||||||||
8,000,000 |
0.00%, due 01/23/14 |
7,999,235 |
|||||||||
5,000,000 |
0.00%, due 02/13/14 |
4,999,753 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $30,231,916) |
30,231,916 |
||||||||||
Repurchase Agreements (a)(b) — 60.1% |
|||||||||||
34,328,461 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $34,328,631 |
34,328,461 |
|||||||||
Total Repurchase Agreements
(Cost $34,328,461) |
34,328,461 |
||||||||||
Total Investment Securities (Cost $64,560,377) † — 113.1% |
64,560,377 |
||||||||||
Liabilities in excess of
other assets — (13.1%) |
(7,463,050 |
) |
|||||||||
Net Assets — 100.0% |
$ |
57,097,327 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $11,087,423.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraPro Short Russell2000 had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini Russell 2000 Futures Contracts |
35 |
12/20/13 |
$ |
3,993,850 |
$ |
(108,057 |
) |
Cash collateral in the amount of $145,080 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRAPRO SHORT RUSSELL2000 59
Swap Agreements ‡
UltraPro Short Russell2000 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the Russell 2000® Index |
12/06/13 |
$ |
(1,357,623 |
) |
$ |
(174,494 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Russell 2000® Index |
03/06/14 |
(1,545,187 |
) |
(464,126 |
) |
||||||||||
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Index |
12/06/13 |
(6,068,955 |
) |
(151,366 |
) |
||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Russell 2000® Index |
12/06/13 |
(402,760 |
) |
(18,911 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Russell 2000® Index |
12/06/13 |
(22,312,184 |
) |
(929,328 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Russell 2000® Index |
11/06/15 |
(65,666,159 |
) |
(2,876,742 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Index |
11/06/15 |
(59,018,992 |
) |
(2,364,195 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Index |
12/06/13 |
(1,470,807 |
) |
(60,962 |
) |
||||||||||
Swap Agreement with
Deutsche Bank AG, based on the iShares® Russell 2000 Index
Fund |
12/06/13 |
(4,919,332 |
) |
(313,268 |
) |
||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Russell 2000 Index Fund |
11/06/15 |
(4,538,595 |
) |
(179,611 |
) |
||||||||||
$ |
(7,533,003 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.59)%.
See accompanying notes to the financial statements.
60 :: SRTY ULTRAPRO SHORT RUSSELL2000 :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 32.9% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
268,889 |
0.00%, due 12/02/13 |
$ |
268,889 |
|||||||
Total U.S. Government & Agency
Security (Cost $268,889) |
268,889 |
||||||||||
Repurchase Agreements (a)(b) — 82.9% |
|||||||||||
678,777 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $678,780 |
678,777 |
|||||||||
Total Repurchase Agreements
(Cost $678,777) |
678,777 |
||||||||||
Total Investment Securities (Cost $947,666) † — 115.8% |
947,666 |
||||||||||
Liabilities in excess of
other assets — (15.8%) |
(128,994 |
) |
|||||||||
Net Assets — 100.0% |
$ |
818,672 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $225,034.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Russell1000 Value had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Russell 1000® Value Index |
11/06/15 |
$ |
(27,030 |
) |
$ |
(499 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Russell 1000® Value Index |
12/06/13 |
(371,612 |
) |
(8,624 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Russell 1000® Value Index |
11/06/15 |
(759,563 |
) |
(14,854 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Russell 1000® Value Index |
01/06/14 |
(268,377 |
) |
(79,498 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell 1000® Value Index |
03/06/14 |
(89,597 |
) |
(6,868 |
) |
||||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® Russell 1000 Value Index Fund |
12/06/13 |
(47,935 |
) |
(915 |
) |
||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares®
Russell 1000 Value Index Fund |
11/06/15 |
(73,241 |
) |
(1,409 |
) |
||||||||||
$ |
(112,667 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.12)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT RUSSELL1000 VALUE 61
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 30.5% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
340,377 |
0.00%, due 12/02/13 |
$ |
340,377 |
|||||||
Total U.S. Government & Agency
Security (Cost $340,377) |
340,377 |
||||||||||
Repurchase Agreements (a)(b) — 75.6% |
|||||||||||
843,476 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $843,479 |
843,476 |
|||||||||
Total Repurchase Agreements
(Cost $843,476) |
843,476 |
||||||||||
Total Investment Securities (Cost $1,183,853) † — 106.1% |
1,183,853 |
||||||||||
Liabilities in excess of
other assets — (6.1%) |
(68,226 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,115,627 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $269,098.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Russell1000 Growth had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Russell 1000® Growth Index |
11/06/15 |
$ |
(84,278 |
) |
$ |
(2,875 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Russell 1000® Growth Index |
12/06/13 |
(364,491 |
) |
(8,403 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Russell 1000® Growth Index |
11/06/15 |
(800,886 |
) |
(19,132 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Russell 1000® Growth Index |
11/06/15 |
(929,156 |
) |
(19,541 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell 1000® Growth Index |
12/06/13 |
(16,705 |
) |
1,591 |
|||||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® Russell 1000 Growth Index Fund |
12/06/13 |
(8,666 |
) |
(181 |
) |
||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares®
Russell 1000 Growth Index Fund |
11/06/15 |
(26,842 |
) |
(2,600 |
) |
||||||||||
$ |
(51,141 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.05)%.
See accompanying notes to the financial statements.
62 :: SFK ULTRASHORT RUSSELL1000 GROWTH :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 15.2% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
101,984 |
0.00%, due 12/02/13 |
$ |
101,984 |
|||||||
Total U.S. Government & Agency
Security (Cost $101,984) |
101,984 |
||||||||||
Repurchase Agreements (a)(b) — 88.6% |
|||||||||||
594,591 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $594,593 |
594,591 |
|||||||||
Total Repurchase Agreements
(Cost $594,591) |
594,591 |
||||||||||
Total Investment Securities (Cost $696,575) † — 103.8% |
696,575 |
||||||||||
Liabilities in excess of
other assets — (3.8%) |
(25,445 |
) |
|||||||||
Net Assets — 100.0% |
$ |
671,130 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $422,497.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Russell MidCap Value had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Russell Midcap® Value Index |
11/06/15 |
$ |
(36,251 |
) |
$ |
(352 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Russell Midcap® Value Index |
12/06/13 |
(366,953 |
) |
(1,885 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Russell Midcap® Value Index |
11/06/15 |
(666,771 |
) |
(5,260 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Russell Midcap® Value Index |
11/06/15 |
(164,853 |
) |
(1,802 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell Midcap® Value Index |
12/06/13 |
(53,433 |
) |
417 |
|||||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® Russell Midcap Value Index Fund |
12/06/13 |
(21,350 |
) |
(108 |
) |
||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares®
Russell Midcap Value Index Fund |
11/06/15 |
(32,696 |
) |
(166 |
) |
||||||||||
$ |
(9,156 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.21)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT RUSSELL MIDCAP VALUE 63
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 17.2% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
168,127 |
0.00%, due 12/02/13 |
$ |
168,127 |
|||||||
Total U.S. Government & Agency
Security (Cost $168,127) |
168,127 |
||||||||||
Repurchase Agreements (a)(b) — 88.7% |
|||||||||||
869,605 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $869,608 |
869,605 |
|||||||||
Total Repurchase Agreements
(Cost $869,605) |
869,605 |
||||||||||
Total Investment Securities (Cost $1,037,732) † — 105.9% |
1,037,732 |
||||||||||
Liabilities in excess of
other assets — (5.9%) |
(57,558 |
) |
|||||||||
Net Assets — 100.0% |
$ |
980,174 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $585,895.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Russell MidCap Growth had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Russell Midcap® Growth Index |
11/06/15 |
$ |
(61,550 |
) |
$ |
(1,152 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Russell Midcap® Growth Index |
12/06/13 |
(383,467 |
) |
(4,982 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Russell Midcap® Growth Index |
11/06/15 |
(1,122,461 |
) |
(24,990 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Russell Midcap® Growth Index |
11/06/15 |
(192,380 |
) |
(5,804 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell Midcap® Growth Index |
12/06/13 |
(88,216 |
) |
200 |
|||||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® Russell Midcap Growth Index Fund |
12/06/13 |
(73,395 |
) |
(1,359 |
) |
||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares®
Russell Midcap Growth Index Fund |
11/06/15 |
(38,935 |
) |
(2,757 |
) |
||||||||||
$ |
(40,844 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.20)%.
See accompanying notes to the financial statements.
64 :: SDK ULTRASHORT RUSSELL MIDCAP GROWTH :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 35.5% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
701,833 |
0.00%, due 12/02/13 |
$ |
701,833 |
|||||||
Total U.S. Government & Agency
Security (Cost $701,833) |
701,833 |
||||||||||
Repurchase Agreements (a)(b) — 78.6% |
|||||||||||
1,554,093 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $1,554,098 |
1,554,093 |
|||||||||
Total Repurchase Agreements
(Cost $1,554,093) |
1,554,093 |
||||||||||
Total Investment Securities (Cost $2,255,926) † — 114.1% |
2,255,926 |
||||||||||
Liabilities in excess of
other assets — (14.1%) |
(278,510 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,977,416 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $369,765.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Russell2000 Value had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Russell 2000® Value Index |
11/06/15 |
$ |
(130,358 |
) |
$ |
(5,438 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Russell 2000® Value Index |
12/06/13 |
(210,967 |
) |
(12,027 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Russell 2000® Value Index |
11/06/15 |
(2,460,626 |
) |
(98,480 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Russell 2000® Value Index |
01/06/14 |
(993,992 |
) |
(138,580 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Value Index |
12/06/13 |
(117,505 |
) |
(4,328 |
) |
||||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® Russell 2000 Value Index Fund |
12/06/13 |
(12,345 |
) |
(433 |
) |
||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares®
Russell 2000 Value Index Fund |
11/06/15 |
(29,696 |
) |
(1,041 |
) |
||||||||||
$ |
(260,327 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.42)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT RUSSELL2000 VALUE 65
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 34.7% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
1,322,164 |
0.00%, due 12/02/13 |
$ |
1,322,164 |
|||||||
Total U.S. Government & Agency
Security (Cost $1,322,164) |
1,322,164 |
||||||||||
Repurchase Agreements (a)(b) — 75.7% |
|||||||||||
2,886,354 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $2,886,370 |
2,886,354 |
|||||||||
Total Repurchase Agreements
(Cost $2,886,354) |
2,886,354 |
||||||||||
Total Investment Securities (Cost $4,208,518) † — 110.4% |
4,208,518 |
||||||||||
Liabilities in excess of
other assets — (10.4%) |
(395,443 |
) |
|||||||||
Net Assets — 100.0% |
$ |
3,813,075 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $655,232.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Russell2000 Growth had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Russell 2000® Growth Index |
11/06/15 |
$ |
(76,253 |
) |
$ |
(3,272 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Russell 2000® Growth Index |
12/06/13 |
(184,789 |
) |
(21,757 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Russell 2000® Growth Index |
11/06/15 |
(6,149,295 |
) |
(285,896 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Russell 2000® Growth Index |
11/06/15 |
(1,008,958 |
) |
(43,149 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Growth Index |
12/06/13 |
(117,877 |
) |
(7,266 |
) |
||||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® Russell 2000 Growth Index Fund |
12/06/13 |
(25,106 |
) |
(1,098 |
) |
||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares®
Russell 2000 Growth Index Fund |
11/06/15 |
(64,633 |
) |
(11,284 |
) |
||||||||||
$ |
(373,722 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.79)%.
See accompanying notes to the financial statements.
66 :: SKK ULTRASHORT RUSSELL2000 GROWTH :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 45.2% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
493,013 |
0.00%, due 12/02/13 |
$ |
493,013 |
|||||||
U.S. Treasury Bill |
|||||||||||
800,000 |
0.00%, due 03/13/14 |
799,944 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $1,292,957) |
1,292,957 |
||||||||||
Repurchase Agreements (a)(b) — 48.4% |
|||||||||||
1,384,761 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $1,384,766 |
1,384,761 |
|||||||||
Total Repurchase Agreements
(Cost $1,384,761) |
1,384,761 |
||||||||||
Total Investment Securities (Cost $2,677,718) † — 93.6% |
2,677,718 |
||||||||||
Other assets less liabilities — 6.4% |
182,351 |
||||||||||
Net Assets — 100.0% |
$ |
2,860,069 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $552,814.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
Short Basic Materials had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. Basic MaterialsSM Index |
11/06/14 |
$ |
(1,415,455 |
) |
$ |
(172,986 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. Basic MaterialsSM Index |
12/06/13 |
(240,657 |
) |
(2,067 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. Basic MaterialsSM Index |
12/06/13 |
(174,279 |
) |
(3,459 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. Basic MaterialsSM Index |
11/06/15 |
(593,507 |
) |
(5,046 |
) |
||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. Basic MaterialsSM Index |
11/06/15 |
(366,118 |
) |
(3,102 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. Basic MaterialsSM Index |
12/06/13 |
(59,025 |
) |
(1,368 |
) |
||||||||||
$ |
(188,028 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.08%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: SHORT BASIC MATERIALS 67
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 78.7% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
7,988,109 |
0.00%, due 12/02/13 |
$ |
7,988,109 |
|||||||
U.S. Treasury Bills |
|||||||||||
6,000,000 |
0.00%, due 01/23/14 |
5,999,426 |
|||||||||
11,000,000 |
0.00%, due 02/27/14 |
10,998,480 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $24,986,015) |
24,986,015 |
||||||||||
Repurchase Agreements (a)(b) — 49.1% |
|||||||||||
15,594,483 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $15,594,562 |
15,594,483 |
|||||||||
Total Repurchase Agreements (Cost $15,594,483) |
15,594,483 |
||||||||||
Total Investment
Securities (Cost $40,580,498) † — 127.8% |
40,580,498 |
||||||||||
Liabilities in excess of other assets — (27.8%) |
(8,832,387 |
) |
|||||||||
Net Assets — 100.0% |
$ |
31,748,111 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $8,984,735.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
Short Financials had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. FinancialsSM Index |
11/06/14 |
$ |
(16,472,208 |
) |
$ |
(3,808,631 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
(2,317,969 |
) |
(214,263 |
) |
||||||||||
Equity Index Swap Agreement
with Goldman Sachs International, based on the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
(492,153 |
) |
(16,165 |
) |
||||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
(1,308,456 |
) |
(82,800 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Dow Jones U.S. FinancialsSM Index |
03/06/14 |
(3,194,846 |
) |
(1,204,837 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Dow Jones U.S. FinancialsSM Index |
11/06/15 |
(7,454,791 |
) |
(246,448 |
) |
||||||||||
Equity Index Swap Agreement
with UBS AG, based on the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
(479,439 |
) |
(31,882 |
) |
||||||||||
$ |
(5,605,026 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.10%.
See accompanying notes to the financial statements.
68 :: SEF SHORT FINANCIALS :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 50.8% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
320,472 |
0.00%, due 12/02/13 |
$ |
320,472 |
|||||||
U.S. Treasury Bill |
|||||||||||
650,000 |
0.00%, due 03/13/14 |
649,954 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $970,426) |
970,426 |
||||||||||
Repurchase Agreements (a)(b) — 67.7% |
|||||||||||
1,291,309 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $1,291,315 |
1,291,309 |
|||||||||
Total Repurchase Agreements
(Cost $1,291,309) |
1,291,309 |
||||||||||
Total Investment Securities (Cost $2,261,735) † — 118.5% |
2,261,735 |
||||||||||
Liabilities in excess of
other assets — (18.5%) |
(352,925 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,908,810 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $825,503.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
Short Oil & Gas had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. Oil & GasSM Index |
11/06/14 |
$ |
(659,062 |
) |
$ |
(82,091 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. Oil & GasSM Index |
12/06/13 |
(136,930 |
) |
(1,172 |
) |
||||||||||
Equity Index Swap Agreement
with Goldman Sachs International, based on the Dow Jones U.S. Oil & GasSM Index |
12/06/13 |
(125,132 |
) |
319 |
|||||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the Dow Jones U.S. Oil & GasSM Index |
12/06/13 |
(104,600 |
) |
(4,030 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Dow Jones U.S. Oil & GasSM Index |
03/06/14 |
(252,072 |
) |
(247,323 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Dow Jones U.S. Oil & GasSM Index |
11/06/15 |
(590,074 |
) |
1,377 |
|||||||||||
Equity Index Swap Agreement
with UBS AG, based on the Dow Jones U.S. Oil & GasSM Index |
12/06/13 |
(33,402 |
) |
58 |
|||||||||||
$ |
(332,862 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.10%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: SHORT OIL & GAS 69
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 51.6% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
7,048,683 |
0.00%, due 12/02/13 |
$ |
7,048,683 |
|||||||
U.S. Treasury Bill |
|||||||||||
11,000,000 |
0.00%, due 03/20/14 |
10,998,917 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $18,047,600) |
18,047,600 |
||||||||||
Repurchase Agreements (a)(b) — 40.6% |
|||||||||||
14,168,397 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $14,168,469 |
14,168,397 |
|||||||||
Total Repurchase Agreements
(Cost $14,168,397) |
14,168,397 |
||||||||||
Total Investment Securities (Cost $32,215,997) † — 92.2% |
32,215,997 |
||||||||||
Other assets less liabilities — 7.8% |
2,737,968 |
||||||||||
Net Assets — 100.0% |
$ |
34,953,965 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $2,273,907.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
Short Real Estate had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. Real EstateSM Index |
03/06/14 |
$ |
(10,271,886 |
) |
$ |
1,361,453 |
|||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. Real EstateSM Index |
12/06/13 |
(2,203,897 |
) |
92,964 |
|||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. Real EstateSM Index |
12/06/13 |
(8,171,038 |
) |
208,674 |
|||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. Real EstateSM Index |
11/06/15 |
(609,112 |
) |
24,865 |
|||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. Real EstateSM Index |
01/06/14 |
(10,135,549 |
) |
(860,623 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. Real EstateSM Index |
12/06/13 |
(3,543,026 |
) |
175,086 |
|||||||||||
$ |
1,002,419 |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.02%.
See accompanying notes to the financial statements.
70 :: REK SHORT REAL ESTATE :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 20.6% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
301,800 |
0.00%, due 12/02/13 |
$ |
301,800 |
|||||||
Total U.S. Government & Agency
Security (Cost $301,800) |
301,800 |
||||||||||
Repurchase Agreements (a)(b) — 92.8% |
|||||||||||
1,360,229 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $1,360,235 |
1,360,229 |
|||||||||
Total Repurchase Agreements
(Cost $1,360,229) |
1,360,229 |
||||||||||
Total Investment Securities (Cost $1,662,029) † — 113.4% |
1,662,029 |
||||||||||
Liabilities in excess of
other assets — (13.4%) |
(196,568 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,465,461 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $850,947.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
Short KBW Regional Banking had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the KBW Regional Banking IndexSM |
12/06/13 |
$ |
(84,195 |
) |
$ |
(7,491 |
) |
||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the KBW Regional Banking IndexSM |
12/06/13 |
(73,142 |
) |
(9,972 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the KBW Regional Banking IndexSM |
03/06/14 |
(116,123 |
) |
(31,171 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the KBW Regional Banking IndexSM |
01/06/14 |
(1,165,350 |
) |
(129,051 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on the KBW Regional Banking IndexSM |
12/06/13 |
(17,748 |
) |
(986 |
) |
||||||||||
$ |
(178,671 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.15)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: SHORT KBW REGIONAL BANKING 71
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 40.2% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
3,600,504 |
0.00%, due 12/02/13 |
$ |
3,600,504 |
|||||||
U.S. Treasury Bill |
|||||||||||
5,000,000 |
0.00%, due 02/13/14 |
4,999,753 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $8,600,257) |
8,600,257 |
||||||||||
Repurchase Agreements (a)(b) — 78.0% |
|||||||||||
16,665,264 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $16,665,342 |
16,665,264 |
|||||||||
Total Repurchase Agreements
(Cost $16,665,264) |
16,665,264 |
||||||||||
Total Investment Securities (Cost $25,265,521) † — 118.2% |
25,265,521 |
||||||||||
Liabilities in excess of
other assets — (18.2%) |
(3,899,212 |
) |
|||||||||
Net Assets — 100.0% |
$ |
21,366,309 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $11,099,452.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Basic Materials had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. Basic MaterialsSM Index |
11/06/14 |
$ |
(2,912,623 |
) |
$ |
(126,738 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. Basic MaterialsSM Index |
12/06/13 |
(1,451,002 |
) |
(10,220 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. Basic MaterialsSM Index |
12/06/13 |
(5,502,130 |
) |
(61,364 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. Basic MaterialsSM Index |
01/06/14 |
(4,855,963 |
) |
(1,553,669 |
) |
||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. Basic MaterialsSM Index |
11/06/15 |
(1,733,919 |
) |
(14,690 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. Basic MaterialsSM Index |
12/06/13 |
(3,779,513 |
) |
(33,381 |
) |
||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® Dow Jones
U.S. Basic Materials Sector Index Fund |
12/06/13 |
(11,504,924 |
) |
(138,689 |
) |
||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Dow Jones U.S. Basic Materials Sector Index Fund |
11/06/14 |
(11,055,484 |
) |
(1,896,379 |
) |
||||||||||
$ |
(3,835,130 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.28)%.
See accompanying notes to the financial statements.
72 :: SMN ULTRASHORT BASIC MATERIALS :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 33.9% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
2,729,056 |
0.00%, due 12/02/13 |
$ |
2,729,056 |
|||||||
Total U.S. Government & Agency
Security (Cost $2,729,056) |
2,729,056 |
||||||||||
Repurchase Agreements (a)(b) — 94.7% |
|||||||||||
7,610,448 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $7,610,485 |
7,610,448 |
|||||||||
Total Repurchase Agreements
(Cost $7,610,448) |
7,610,448 |
||||||||||
Total Investment Securities (Cost $10,339,504) † — 128.6% |
10,339,504 |
||||||||||
Liabilities in excess of
other assets — (28.6%) |
(2,300,776 |
) |
|||||||||
Net Assets — 100.0% |
$ |
8,038,728 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $3,005,230.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Nasdaq Biotechnology had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Citibank, N.A., based on the NASDAQ Biotechnology Index® |
12/06/13 |
$ |
(22,202 |
) |
$ |
(2,291 |
) |
||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the NASDAQ Biotechnology Index® |
01/06/15 |
(204,018 |
) |
(45,000 |
) |
||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the NASDAQ Biotechnology Index® |
12/06/13 |
(6,243,546 |
) |
(829,627 |
) |
||||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the NASDAQ Biotechnology Index® |
12/06/13 |
(112,837 |
) |
(22,240 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the NASDAQ Biotechnology Index® |
01/06/14 |
(93,513 |
) |
6,296 |
|||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the NASDAQ Biotechnology Index® |
11/06/15 |
(7,299,829 |
) |
(749,944 |
) |
||||||||||
Equity Index Swap Agreement
with UBS AG, based on the NASDAQ Biotechnology Index® |
12/06/13 |
(81,769 |
) |
(6,416 |
) |
||||||||||
Swap Agreement with Merrill Lynch International,
based on the iShares® Nasdaq Biotechnology Index Fund |
12/06/13 |
(10,626 |
) |
(1,095 |
) |
||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares®
Nasdaq Biotechnology Index Fund |
11/06/14 |
(2,020,407 |
) |
(632,434 |
) |
||||||||||
$ |
(2,282,751 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.43)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT NASDAQ BIOTECHNOLOGY 73
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 29.8% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
1,198,201 |
0.00%, due 12/02/13 |
$ |
1,198,201 |
|||||||
Total U.S. Government & Agency
Security (Cost $1,198,201) |
1,198,201 |
||||||||||
Repurchase Agreements (a)(b) — 74.5% |
|||||||||||
2,992,868 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $2,992,884 |
2,992,868 |
|||||||||
Total Repurchase Agreements
(Cost $2,992,868) |
2,992,868 |
||||||||||
Total Investment Securities (Cost $4,191,069) † — 104.3% |
4,191,069 |
||||||||||
Liabilities in excess of
other assets — (4.3%) |
(173,731 |
) |
|||||||||
Net Assets — 100.0% |
$ |
4,017,338 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $970,932.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Consumer Goods had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. Consumer GoodsSM Index |
11/06/14 |
$ |
(171,129 |
) |
$ |
(23,351 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. Consumer GoodsSM Index |
12/06/13 |
(336,393 |
) |
(8,987 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. Consumer GoodsSM Index |
12/06/13 |
(3,089,227 |
) |
(18,420 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. Consumer GoodsSM Index |
11/06/15 |
(873,702 |
) |
(5,145 |
) |
||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. Consumer GoodsSM Index |
11/06/15 |
(3,100,411 |
) |
(18,071 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. Consumer GoodsSM Index |
12/06/13 |
(445,081 |
) |
(3,007 |
) |
||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® Dow Jones
U.S. Consumer Goods Sector Index Fund |
12/06/13 |
(10,928 |
) |
(57 |
) |
||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Dow Jones U.S. Consumer Goods Sector Index Fund |
11/06/14 |
(12,909 |
) |
(76,569 |
) |
||||||||||
$ |
(153,607 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.03)%.
See accompanying notes to the financial statements.
74 :: SZK ULTRASHORT CONSUMER GOODS :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 49.5% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
1,020,395 |
0.00%, due 12/02/13 |
$ |
1,020,395 |
|||||||
U.S. Treasury Bill |
|||||||||||
1,100,000 |
0.00%, due 03/13/14 |
1,099,922 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $2,120,317) |
2,120,317 |
||||||||||
Repurchase Agreements (a)(b) — 81.1% |
|||||||||||
3,472,979 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $3,472,995 |
3,472,979 |
|||||||||
Total Repurchase Agreements
(Cost $3,472,979) |
3,472,979 |
||||||||||
Total Investment Securities (Cost $5,593,296) † — 130.6% |
5,593,296 |
||||||||||
Liabilities in excess of
other assets — (30.6%) |
(1,311,162 |
) |
|||||||||
Net Assets — 100.0% |
$ |
4,282,134 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $1,751,086.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Consumer Services had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. Consumer ServicesSM Index |
11/06/14 |
$ |
(153,422 |
) |
$ |
(121,519 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. Consumer ServicesSM Index |
12/06/13 |
(467,502 |
) |
(19,371 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. Consumer ServicesSM Index |
12/06/13 |
(658,355 |
) |
(13,439 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. Consumer ServicesSM Index |
11/06/15 |
(2,677,045 |
) |
(100,454 |
) |
||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. Consumer ServicesSM Index |
03/06/14 |
(4,102,088 |
) |
(1,178,685 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. Consumer ServicesSM Index |
12/06/13 |
(517,872 |
) |
(9,078 |
) |
||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® Dow Jones
U.S. Consumer Services Sector Index Fund |
12/06/13 |
(13,958 |
) |
(382 |
) |
||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Dow Jones U.S. Consumer Services Sector Index Fund |
11/06/14 |
(6,828 |
) |
(114,386 |
) |
||||||||||
$ |
(1,557,314 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.17)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT CONSUMER SERVICES 75
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 48.0% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
16,041,728 |
0.00%, due 12/02/13 |
$ |
16,041,728 |
|||||||
U.S. Treasury Bills |
|||||||||||
10,000,000 |
0.00%, due 01/16/14 |
9,999,681 |
|||||||||
17,000,000 |
0.00%, due 02/06/14 |
16,999,921 |
|||||||||
5,000,000 |
0.00%, due 02/13/14 |
4,999,753 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $48,041,083) |
48,041,083 |
||||||||||
Repurchase Agreements (a)(b) — 80.8% |
|||||||||||
80,969,490 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $80,969,871 |
80,969,490 |
|||||||||
Total Repurchase Agreements
(Cost $80,969,490) |
80,969,490 |
||||||||||
Total Investment Securities (Cost $129,010,573) † — 128.8% |
129,010,573 |
||||||||||
Liabilities in excess of
other assets — (28.8%) |
(28,862,152 |
) |
|||||||||
Net Assets — 100.0% |
$ |
100,148,421 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $56,547,200.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Financials had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. FinancialsSM Index |
11/06/14 |
$ |
(1,711,878 |
) |
$ |
(358,826 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
(3,747,603 |
) |
(124,111 |
) |
||||||||||
Equity Index Swap Agreement
with Goldman Sachs International, based on the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
(7,357,166 |
) |
(241,653 |
) |
||||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
(3,125,966 |
) |
(270,343 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Dow Jones U.S. FinancialsSM Index |
03/06/14 |
(45,822,180 |
) |
(3,330,757 |
) |
||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Dow Jones U.S. FinancialsSM Index |
01/06/14 |
(30,990,412 |
) |
(13,132,718 |
) |
||||||||||
Equity Index Swap Agreement
with UBS AG, based on the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
(5,059,585 |
) |
(253,249 |
) |
||||||||||
Swap Agreement with Merrill Lynch International,
based on the iShares® Dow Jones U.S. Financial Sector Index Fund |
12/06/13 |
(32,288,034 |
) |
(1,385,278 |
) |
||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares®
Dow Jones U.S. Financial Sector Index Fund |
01/06/15 |
(70,133,521 |
) |
(5,514,048 |
) |
||||||||||
$ |
(24,610,983 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.11)%.
See accompanying notes to the financial statements.
76 :: SKF ULTRASHORT FINANCIALS :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 31.0% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
767,236 |
0.00%, due 12/02/13 |
$ |
767,236 |
|||||||
Total U.S. Government & Agency
Security (Cost $767,236) |
767,236 |
||||||||||
Repurchase Agreements (a)(b) — 92.8% |
|||||||||||
2,300,119 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $2,300,131 |
2,300,119 |
|||||||||
Total Repurchase Agreements
(Cost $2,300,119) |
2,300,119 |
||||||||||
Total Investment Securities (Cost $3,067,355) † — 123.8% |
3,067,355 |
||||||||||
Liabilities in excess of
other assets — (23.8%) |
(589,931 |
) |
|||||||||
Net Assets — 100.0% |
$ |
2,477,424 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $1,005,426.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Health Care had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. Health CareSM Index |
11/06/14 |
$ |
(50,286 |
) |
$ |
(33,741 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. Health CareSM Index |
12/06/13 |
(315,095 |
) |
(12,767 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. Health CareSM Index |
12/06/13 |
(71,643 |
) |
(9,982 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. Health CareSM Index |
11/06/15 |
(3,625,906 |
) |
(186,404 |
) |
||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. Health CareSM Index |
11/06/15 |
(515,700 |
) |
(23,190 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. Health CareSM Index |
12/06/13 |
(358,457 |
) |
(9,947 |
) |
||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® Dow Jones
U.S. Healthcare Sector Index Fund |
12/06/13 |
(5,929 |
) |
(266 |
) |
||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Dow Jones U.S. Healthcare Sector Index Fund |
11/06/14 |
(7,474 |
) |
(298,293 |
) |
||||||||||
$ |
(574,590 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.12)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT HEALTH CARE 77
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 35.4% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
1,235,748 |
0.00%, due 12/02/13 |
$ |
1,235,748 |
|||||||
Total U.S. Government & Agency
Security (Cost $1,235,748) |
1,235,748 |
||||||||||
Repurchase Agreements (a)(b) — 77.5% |
|||||||||||
2,706,900 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $2,706,914 |
2,706,900 |
|||||||||
Total Repurchase Agreements
(Cost $2,706,900) |
2,706,900 |
||||||||||
Total Investment Securities (Cost $3,942,648) † — 112.9% |
3,942,648 |
||||||||||
Liabilities in excess of
other assets — (12.9%) |
(451,830 |
) |
|||||||||
Net Assets — 100.0% |
$ |
3,490,818 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $621,603.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Industrials had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. IndustrialsSM Index |
11/06/14 |
$ |
(69,936 |
) |
$ |
(21,105 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. IndustrialsSM Index |
12/06/13 |
(801,175 |
) |
(25,063 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. IndustrialsSM Index |
12/06/13 |
(17,169 |
) |
(6,263 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. IndustrialsSM Index |
01/06/14 |
(187,353 |
) |
(19,980 |
) |
||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. IndustrialsSM Index |
11/06/15 |
(5,716,965 |
) |
(128,563 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. IndustrialsSM Index |
12/06/13 |
(161,126 |
) |
(3,638 |
) |
||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® Dow Jones
U.S. Industrials Sector Index Fund |
12/06/13 |
(14,189 |
) |
(310 |
) |
||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Dow Jones U.S. Industrials Sector Index Fund |
11/06/14 |
(13,871 |
) |
(224,132 |
) |
||||||||||
$ |
(429,054 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.09)%.
See accompanying notes to the financial statements.
78 :: SIJ ULTRASHORT INDUSTRIALS :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 56.1% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
14,885,071 |
0.00%, due 12/02/13 |
$ |
14,885,071 |
|||||||
U.S. Treasury Bills |
|||||||||||
160,000 |
0.00%, due 12/26/13 |
159,996 |
|||||||||
20,000,000 |
0.00%, due 01/16/14 |
19,999,361 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $35,044,428) |
35,044,428 |
||||||||||
Repurchase Agreements (a)(b) — 43.4% |
|||||||||||
27,066,689 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $27,066,828 |
27,066,689 |
|||||||||
Total Repurchase Agreements (Cost $27,066,689) |
27,066,689 |
||||||||||
Total Investment Securities
(Cost $62,111,117) † — 99.5% |
62,111,117 |
||||||||||
Other assets less liabilities — 0.5% |
296,159 |
||||||||||
Net Assets — 100.0% |
$ |
62,407,276 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $3,096,450.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Oil & Gas had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. Oil & GasSM Index |
11/06/14 |
$ |
(393,383 |
) |
$ |
139,170 |
|||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. Oil & GasSM Index |
12/06/13 |
(18,644,391 |
) |
(73,032 |
) |
||||||||||
Equity Index Swap Agreement
with Goldman Sachs International, based on the Dow Jones U.S. Oil & GasSM Index |
12/06/13 |
(3,116,241 |
) |
7,961 |
|||||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the Dow Jones U.S. Oil & GasSM Index |
12/06/13 |
(23,275,261 |
) |
(130,124 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Dow Jones U.S. Oil & GasSM Index |
11/06/15 |
(47,937,183 |
) |
116,269 |
|||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Dow Jones U.S. Oil & GasSM Index |
11/06/15 |
(17,453,104 |
) |
40,723 |
|||||||||||
Equity Index Swap Agreement
with UBS AG, based on the Dow Jones U.S. Oil & GasSM Index |
12/06/13 |
(13,979,083 |
) |
16,253 |
|||||||||||
Swap Agreement with Merrill Lynch International,
based on the iShares® Dow Jones U.S. Energy Sector Index Fund |
12/06/13 |
(6,794 |
) |
66 |
|||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares® Dow Jones U.S. Energy Sector Index Fund |
11/06/14 |
(16,899 |
) |
290,916 |
|||||||||||
$ |
408,202 |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.03%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT OIL & GAS 79
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 58.4% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
11,846,767 |
0.00%, due 12/02/13 |
$ |
11,846,767 |
|||||||
U.S. Treasury Bill |
|||||||||||
20,000,000 |
0.00%, due 01/16/14 |
19,999,361 |
|||||||||
Total U.S. Government & Agency Securities (Cost $31,846,128) |
31,846,128 |
||||||||||
Repurchase Agreements (a)(b) — 43.0% |
|||||||||||
23,418,363 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $23,418,481 |
23,418,363 |
|||||||||
Total Repurchase Agreements
(Cost $23,418,363) |
23,418,363 |
||||||||||
Total Investment Securities (Cost $55,264,491) † — 101.4% |
55,264,491 |
||||||||||
Liabilities in excess of
other assets — (1.4%) |
(755,371 |
) |
|||||||||
Net Assets — 100.0% |
$ |
54,509,120 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $4,904,188.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Real Estate had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. Real EstateSM Index |
11/06/14 |
$ |
(396,000 |
) |
$ |
(224,946 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. Real EstateSM Index |
12/06/13 |
(1,291,788 |
) |
111,805 |
|||||||||||
Equity Index Swap Agreement
with Goldman Sachs International, based on the Dow Jones U.S. Real EstateSM Index |
12/06/13 |
(4,179,788 |
) |
171,584 |
|||||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the Dow Jones U.S. Real EstateSM Index |
12/06/13 |
(30,755,577 |
) |
686,791 |
|||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Dow Jones U.S. Real EstateSM Index |
01/06/14 |
(36,149,789 |
) |
1,766,424 |
|||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Dow Jones U.S. Real EstateSM Index |
01/06/14 |
(28,409,116 |
) |
(1,375,868 |
) |
||||||||||
Equity Index Swap Agreement
with UBS AG, based on the Dow Jones U.S. Real EstateSM Index |
12/06/13 |
(7,654,762 |
) |
413,727 |
|||||||||||
Swap Agreement with Merrill Lynch International,
based on the iShares® Dow Jones U.S. Real Estate Index Fund |
12/06/13 |
(58,136 |
) |
2,313 |
|||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares®
Dow Jones U.S. Real Estate Index Fund |
11/06/14 |
(50,447 |
) |
(2,203,085 |
) |
||||||||||
$ |
(651,255 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.02)%.
See accompanying notes to the financial statements.
80 :: SRS ULTRASHORT REAL ESTATE :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 35.5% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
4,489,520 |
0.00%, due 12/02/13 |
$ |
4,489,520 |
|||||||
Total U.S. Government & Agency
Security (Cost $4,489,520) |
4,489,520 |
||||||||||
Repurchase Agreements (a)(b) — 79.6% |
|||||||||||
10,087,716 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $10,087,768 |
10,087,716 |
|||||||||
Total Repurchase Agreements
(Cost $10,087,716) |
10,087,716 |
||||||||||
Total Investment Securities (Cost $14,577,236) † — 115.1% |
14,577,236 |
||||||||||
Liabilities in excess of
other assets — (15.1%) |
(1,907,476 |
) |
|||||||||
Net Assets — 100.0% |
$ |
12,669,760 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $2,511,755.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Semiconductors had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. SemiconductorsSM Index |
11/06/14 |
$ |
(54,273 |
) |
$ |
(7,899 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. SemiconductorsSM Index |
12/06/13 |
(16,162,467 |
) |
(122,994 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. SemiconductorsSM Index |
12/06/13 |
(2,742,824 |
) |
(33,751 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. SemiconductorsSM Index |
05/06/14 |
(6,116,565 |
) |
(1,689,192 |
) |
||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. SemiconductorsSM Index |
01/06/14 |
(211,458 |
) |
(24,313 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. SemiconductorsSM Index |
12/06/13 |
(70,092 |
) |
(365 |
) |
||||||||||
$ |
(1,878,514 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.06)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT SEMICONDUCTORS 81
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 56.4% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
1,366,426 |
0.00%, due 12/02/13 |
$ |
1,366,426 |
|||||||
U.S. Treasury Bill |
|||||||||||
2,100,000 |
0.00%, due 03/13/14 |
2,099,851 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $3,466,277) |
3,466,277 |
||||||||||
Repurchase Agreements (a)(b) — 65.6% |
|||||||||||
4,032,063 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $4,032,083 |
4,032,063 |
|||||||||
Total Repurchase Agreements
(Cost $4,032,063) |
4,032,063 |
||||||||||
Total Investment Securities (Cost $7,498,340) † — 122.0% |
7,498,340 |
||||||||||
Liabilities in excess of
other assets — (22.0%) |
(1,350,441 |
) |
|||||||||
Net Assets — 100.0% |
$ |
6,147,899 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $1,726,251.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Technology had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. TechnologySM Index |
01/06/15 |
$ |
(288,642 |
) |
$ |
(32,598 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. TechnologySM Index |
12/06/13 |
(689,963 |
) |
(25,292 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. TechnologySM Index |
12/06/13 |
(529,096 |
) |
(30,921 |
) |
||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. TechnologySM Index |
01/06/14 |
(44,311 |
) |
24,091 |
|||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. TechnologySM Index |
01/06/14 |
(10,504,515 |
) |
(1,015,841 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. TechnologySM Index |
12/06/13 |
(218,704 |
) |
(3,568 |
) |
||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® Dow Jones
U.S. Technology Sector Index Fund |
12/06/13 |
(10,740 |
) |
(240 |
) |
||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Dow Jones U.S. Technology Sector Index Fund |
11/06/14 |
(7,589 |
) |
(279,159 |
) |
||||||||||
$ |
(1,363,528 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.07)%.
See accompanying notes to the financial statements.
82 :: REW ULTRASHORT TECHNOLOGY :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 25.9% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
280,907 |
0.00%, due 12/02/13 |
$ |
280,907 |
|||||||
Total U.S. Government & Agency
Security (Cost $280,907) |
280,907 |
||||||||||
Repurchase Agreements (a)(b) — 94.0% |
|||||||||||
1,020,713 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $1,020,717 |
1,020,713 |
|||||||||
Total Repurchase Agreements
(Cost $1,020,713) |
1,020,713 |
||||||||||
Total Investment Securities (Cost $1,301,620) † — 119.9% |
1,301,620 |
||||||||||
Liabilities in excess of
other assets — (19.9%) |
(215,923 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,085,697 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $546,688.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Telecommunications had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. Select TelecommunicationsSM Index |
11/06/14 |
$ |
(30,715 |
) |
$ |
(19,047 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. Select TelecommunicationsSM Index |
12/06/13 |
(46,619 |
) |
(76 |
) |
||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. Select TelecommunicationsSM Index |
12/06/13 |
(411,527 |
) |
6,867 |
|||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. Select TelecommunicationsSM Index |
11/06/15 |
(670,575 |
) |
17,150 |
|||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. Select TelecommunicationsSM Index |
01/06/14 |
(785,828 |
) |
(151,418 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. Select TelecommunicationsSM Index |
12/06/13 |
(210,872 |
) |
5,362 |
|||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® Dow Jones
U.S. Telecommunications Sector Index Fund |
12/06/13 |
(8,696 |
) |
240 |
|||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Dow Jones U.S. Telecommunications Sector Index Fund |
11/06/14 |
(9,392 |
) |
(58,220 |
) |
||||||||||
$ |
(199,142 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.13)%.
See accompanying notes to the financial statements.
PROSHARES TRUSTSCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT TELECOMMUNICATIONS 83
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 42.1% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
1,583,725 |
0.00%, due 12/02/13 |
$ |
1,583,725 |
|||||||
Total U.S. Government & Agency
Security (Cost $1,583,725) |
1,583,725 |
||||||||||
Repurchase Agreements (a)(b) — 100.4% |
|||||||||||
3,773,907 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $3,773,926 |
3,773,907 |
|||||||||
Total Repurchase Agreements
(Cost $3,773,907) |
3,773,907 |
||||||||||
Total Investment Securities (Cost $5,357,632) † — 142.5% |
5,357,632 |
||||||||||
Liabilities in excess of
other assets — (42.5%) |
(1,598,540 |
) |
|||||||||
Net Assets — 100.0% |
$ |
3,759,092 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $1,101,409.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort Utilities had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. UtilitiesSM Index |
11/06/14 |
$ |
(219,548 |
) |
$ |
(8,227 |
) |
||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. UtilitiesSM Index |
12/06/13 |
(419,245 |
) |
10,599 |
|||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. UtilitiesSM Index |
12/06/13 |
(977,370 |
) |
35,288 |
|||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. UtilitiesSM Index |
01/06/14 |
(179,745 |
) |
(15,421 |
) |
||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. UtilitiesSM Index |
03/06/14 |
(1,497,455 |
) |
(165,708 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. UtilitiesSM Index |
12/06/13 |
(307,461 |
) |
13,373 |
|||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® Dow Jones
U.S. Utilities Sector Index Fund |
12/06/13 |
(2,958,843 |
) |
124,500 |
|||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Dow Jones U.S. Utilities Sector Index Fund |
11/06/14 |
(948,869 |
) |
(32,774 |
) |
||||||||||
$ |
(38,370 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.26)%.
See accompanying notes to the financial statements.
84 :: SDP ULTRASHORT UTILITIES :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 35.1% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
1,251,225 |
0.00%, due 12/02/13 |
$ |
1,251,225 |
|||||||
Total U.S. Government & Agency Security (Cost $1,251,225) |
1,251,225 |
||||||||||
Repurchase Agreements (a)(b) — 81.6% |
|||||||||||
2,904,593 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $2,904,610 |
2,904,593 |
|||||||||
Total Repurchase
Agreements (Cost $2,904,593) |
2,904,593 |
||||||||||
Total Investment Securities (Cost $4,155,818) † — 116.7% |
4,155,818 |
||||||||||
Liabilities in excess
of other assets — (16.7%) |
(593,277 |
) |
|||||||||
Net Assets — 100.0% |
$ |
3,562,541 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $793,179.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraPro Short Financials had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
$ |
(55,610 |
) |
$ |
(1,191 |
) |
||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
(4,972,434 |
) |
(206,818 |
) |
||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Dow Jones U.S. FinancialsSM Index |
11/06/15 |
(4,584,073 |
) |
(152,087 |
) |
||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
(763,342 |
) |
(31,322 |
) |
||||||||||
Swap Agreement with
Deutsche Bank AG, based on the iShares® Dow
Jones U.S. Financial Sector Index Fund |
11/06/14 |
(291,334 |
) |
(175,040 |
) |
||||||||||
Swap Agreement with Merrill Lynch International,
based on the iShares® Dow Jones U.S. Financial Sector Index Fund |
12/06/13 |
(6,834 |
) |
(224 |
) |
||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares® Dow Jones U.S. Financial Sector Index Fund |
11/06/14 |
(15,616 |
) |
(5,775 |
) |
||||||||||
$ |
(572,457 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.04)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRAPRO SHORT FINANCIALS 85
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 61.4% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
11,612,697 |
0.00%, due 12/02/13 |
$ |
11,612,697 |
|||||||
U.S. Treasury Bills |
|||||||||||
3,000,000 |
0.00%, due 02/06/14 |
2,999,986 |
|||||||||
2,000,000 |
0.00%, due 02/13/14 |
1,999,901 |
|||||||||
10,000,000 |
0.00%, due 02/27/14 |
9,998,766 |
|||||||||
Total U.S. Government & Agency Securities (Cost $26,611,350) |
26,611,350 |
||||||||||
Repurchase Agreements (a)(b) — 78.9% |
|||||||||||
34,222,976 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $34,223,143 |
34,222,976 |
|||||||||
Total Repurchase
Agreements (Cost $34,222,976) |
34,222,976 |
||||||||||
Total Investment Securities (Cost $60,834,326) † — 140.3% |
60,834,326 |
||||||||||
Liabilities in excess
of other assets — (40.3%) |
(17,477,042 |
) |
|||||||||
Net Assets — 100.0% |
$ |
43,357,284 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $22,410,687.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ††,‡
Short MSCI EAFE had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Swap Agreement with Credit
Suisse Securities (Europe) Limited, based on the iShares® MSCI EAFE Index Fund |
11/06/15 |
$ |
(19,658,895 |
) |
$ |
(108,330 |
) |
||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® MSCI EAFE Index Fund |
11/06/14 |
(2,133,730 |
) |
(1,026,160 |
) |
||||||||||
Swap Agreement with Goldman
Sachs International, based on the iShares® MSCI EAFE Index Fund |
12/06/13 |
(5,823,671 |
) |
(5,057,049 |
) |
||||||||||
Swap Agreement with Societe Generale, based on the
iShares® MSCI EAFE Index Fund |
11/06/14 |
(3,065,226 |
) |
(61,958 |
) |
||||||||||
Swap Agreement with UBS AG, based on the iShares® MSCI EAFE Index Fund |
01/06/14 |
(12,598,295 |
) |
(11,130,013 |
) |
||||||||||
$ |
(17,383,510 |
) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
‡ Total return based on the reference entity plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.17)%.
See accompanying notes to the financial statements.
86 :: EFZ SHORT MSCI EAFE :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 67.3% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
34,218,059 |
0.00%, due 12/02/13 |
$ |
34,218,059 |
|||||||
U.S. Treasury Bills |
|||||||||||
25,000,000 |
0.00%, due 02/06/14 |
24,999,884 |
|||||||||
50,000,000 |
0.00%, due 02/13/14 |
49,997,533 |
|||||||||
25,000,000 |
0.00%, due 05/08/14 |
24,990,674 |
|||||||||
Total U.S. Government & Agency Securities (Cost $134,206,150) |
134,206,150 |
||||||||||
Repurchase Agreements (a)(b) — 40.5% |
|||||||||||
80,744,745 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $80,745,148 |
80,744,745 |
|||||||||
Total Repurchase
Agreements (Cost $80,744,745) |
80,744,745 |
||||||||||
Total Investment Securities (Cost $214,950,895) † — 107.8% |
214,950,895 |
||||||||||
Liabilities in excess
of other assets — (7.8%) |
(15,528,843 |
) |
|||||||||
Net Assets — 100.0% |
$ |
199,422,052 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $37,443,050.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ††,‡
Short MSCI Emerging Markets had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Swap Agreement with Credit
Suisse Securities (Europe) Limited, based on the iShares® MSCI Emerging Markets Index Fund |
11/06/15 |
$ |
(86,382,297 |
) |
$ |
(715,797 |
) |
||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® MSCI Emerging Markets Index Fund |
11/06/14 |
(35,865,948 |
) |
(9,431,341 |
) |
||||||||||
Swap Agreement with Goldman
Sachs International, based on the iShares® MSCI Emerging Markets Index Fund |
12/06/13 |
(3,157,954 |
) |
(761,987 |
) |
||||||||||
Swap Agreement with Merrill Lynch International,
based on the iShares® MSCI Emerging Markets Index Fund |
12/06/13 |
(19,476,058 |
) |
(345,449 |
) |
||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares® MSCI Emerging Markets Index Fund |
11/06/14 |
(12,787,903 |
) |
(4,430,779 |
) |
||||||||||
Swap Agreement with Societe Generale, based on the
iShares® MSCI Emerging Markets Index Fund |
11/06/14 |
(25,172,737 |
) |
592,783 |
|||||||||||
Swap Agreement with UBS AG,
based on the iShares® MSCI Emerging Markets Index Fund |
11/06/15 |
(15,864,989 |
) |
(236,692 |
) |
||||||||||
$ |
(15,329,262 |
) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
‡ Total return based on the reference entity plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.94)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: SHORT MSCI EMERGING MARKETS 87
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 52.0% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
581,875 |
0.00%, due 12/02/13 |
$ |
581,875 |
|||||||
U.S. Treasury Bill |
|||||||||||
1,100,000 |
0.00%, due 03/13/14 |
1,099,922 |
|||||||||
Total U.S. Government & Agency Securities (Cost $1,681,797) |
1,681,797 |
||||||||||
Repurchase Agreements (a)(b) — 69.4% |
|||||||||||
2,245,329 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $2,245,341 |
2,245,329 |
|||||||||
Total Repurchase
Agreements (Cost $2,245,329) |
2,245,329 |
||||||||||
Total Investment Securities (Cost $3,927,126) † — 121.4% |
3,927,126 |
||||||||||
Liabilities in excess
of other assets — (21.4%) |
(691,745 |
) |
|||||||||
Net Assets — 100.0% |
$ |
3,235,381 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $1,483,381.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ††,‡
Short FTSE China 25 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Swap Agreement with
Deutsche Bank AG, based on the iShares® FTSE China
25 Index Fund |
11/06/14 |
$ |
(906,999 |
) |
$ |
(662,150 |
) |
||||||||
Swap Agreement with Goldman Sachs International,
based on the iShares® FTSE China 25 Index Fund |
12/06/13 |
(212,529 |
) |
(19,471 |
) |
||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® FTSE China 25 Index Fund |
12/06/13 |
(238,756 |
) |
(17,307 |
) |
||||||||||
Swap Agreement with Societe Generale, based on the
iShares® FTSE China 25 Index Fund |
11/06/15 |
(209,347 |
) |
(26,424 |
) |
||||||||||
Swap Agreement with UBS AG, based on the iShares® FTSE China 25 Index Fund |
11/06/14 |
(1,663,102 |
) |
55,292 |
|||||||||||
$ |
(670,060 |
) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
‡ Total return based on the reference entity plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (1.61)%.
See accompanying notes to the financial statements.
88 :: YXI SHORT FTSE CHINA 25 :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 48.4% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
1,972,966 |
0.00%, due 12/02/13 |
$ |
1,972,966 |
|||||||
U.S. Treasury Bill |
|||||||||||
2,000,000 |
0.00%, due 01/02/14 |
1,999,956 |
|||||||||
Total U.S. Government & Agency Securities (Cost $3,972,922) |
3,972,922 |
||||||||||
Repurchase Agreements (a)(b) — 111.3% |
|||||||||||
9,131,677 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $9,131,720 |
9,131,677 |
|||||||||
Total Repurchase
Agreements (Cost $9,131,677) |
9,131,677 |
||||||||||
Total Investment Securities (Cost $13,104,599) † — 159.7% |
13,104,599 |
||||||||||
Liabilities in excess
of other assets — (59.7%) |
(4,898,808 |
) |
|||||||||
Net Assets — 100.0% |
$ |
8,205,791 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $6,222,339.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ††,‡
UltraShort MSCI EAFE had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Swap Agreement with Credit
Suisse Securities (Europe) Limited, based on the iShares® MSCI EAFE Index Fund |
11/06/15 |
$ |
(3,218,362 |
) |
$ |
(17,735 |
) |
||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® MSCI EAFE Index Fund |
11/06/14 |
(7,354,706 |
) |
(2,141,346 |
) |
||||||||||
Swap Agreement with Societe Generale, based on the iShares® MSCI EAFE Index Fund |
11/06/15 |
(1,519,186 |
) |
(22,757 |
) |
||||||||||
Swap Agreement with UBS AG, based on the iShares® MSCI EAFE Index Fund |
12/06/13 |
(4,270,174 |
) |
(2,689,633 |
) |
||||||||||
$ |
(4,871,471 |
) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
‡ Total return based on the reference entity plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.32)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT MSCI EAFE 89
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 47.2% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
12,616,809 |
0.00%, due 12/02/13 |
$ |
12,616,809 |
|||||||
U.S. Treasury Bills |
|||||||||||
954,000 |
0.00%, due 02/13/14 |
953,953 |
|||||||||
4,000,000 |
0.00%, due 02/27/14 |
3,999,506 |
|||||||||
5,000,000 |
0.00%, due 04/10/14 |
4,998,998 |
|||||||||
Total U.S. Government & Agency Securities (Cost $22,569,266) |
22,569,266 |
||||||||||
Repurchase Agreements (a)(b) — 114.0% |
|||||||||||
54,472,851 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $54,473,109 |
54,472,851 |
|||||||||
Total Repurchase
Agreements (Cost $54,472,851) |
54,472,851 |
||||||||||
Total Investment Securities (Cost $77,042,117) † — 161.2% |
77,042,117 |
||||||||||
Liabilities in excess
of other assets — (61.2%) |
(29,248,271 |
) |
|||||||||
Net Assets — 100.0% |
$ |
47,793,846 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $39,624,736.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ††,‡
UltraShort MSCI Emerging Markets had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Swap Agreement with Credit
Suisse Securities (Europe) Limited, based on the iShares® MSCI Emerging Markets Index Fund |
11/06/15 |
$ |
(24,986,077 |
) |
$ |
(207,044 |
) |
||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® MSCI Emerging Markets Index Fund |
11/06/14 |
(26,227,048 |
) |
(11,718,984 |
) |
||||||||||
Swap Agreement with Goldman
Sachs International, based on the iShares® MSCI Emerging Markets Index Fund |
12/06/13 |
(5,604,352 |
) |
(1,882,974 |
) |
||||||||||
Swap Agreement with Societe Generale, based on the
iShares® MSCI Emerging Markets Index Fund |
11/06/14 |
(16,442,121 |
) |
313,362 |
|||||||||||
Swap Agreement with UBS AG,
based on the iShares® MSCI Emerging Markets Index Fund |
04/07/14 |
(22,283,595 |
) |
(15,684,034 |
) |
||||||||||
$ |
(29,179,674 |
) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
‡ Total return based on the reference entity plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (1.13)%.
See accompanying notes to the financial statements.
90 :: EEV ULTRASHORT MSCI EMERGING MARKETS :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 44.0% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
9,604,139 |
0.00%, due 12/02/13 |
$ |
9,604,139 |
|||||||
U.S. Treasury Bills |
|||||||||||
5,000,000 |
0.00%, due 02/27/14 |
4,999,383 |
|||||||||
2,073,000 |
0.00%, due 03/13/14 |
2,072,853 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $16,676,375) |
16,676,375 |
||||||||||
Repurchase Agreements (a)(b) — 91.9% |
|||||||||||
34,832,963 |
Repurchase Agreements
with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $34,833,131 |
34,832,963 |
|||||||||
Total Repurchase Agreements (Cost $34,832,963) |
34,832,963 |
||||||||||
Total Investment
Securities (Cost $51,509,338) † — 135.9% |
51,509,338 |
||||||||||
Liabilities in excess of other assets — (35.9%) |
(13,615,478 |
) |
|||||||||
Net Assets — 100.0% |
$ |
37,893,860 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $23,720,325.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ††,‡
UltraShort FTSE Europe had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Swap Agreement with Credit
Suisse Securities (Europe) Limited, based on the Vanguard® FTSE Europe ETF Shares |
11/06/15 |
$ |
(20,202,200 |
) |
$ |
(225,683 |
) |
||||||||
Swap Agreement with Deutsche Bank AG, based on the
Vanguard® FTSE Europe ETF Shares |
11/06/15 |
(9,917,378 |
) |
(54,862 |
) |
||||||||||
Swap Agreement with Goldman
Sachs International, based on the Vanguard® FTSE Europe ETF Shares |
11/06/15 |
(8,115,857 |
) |
(137,152 |
) |
||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the Vanguard® FTSE Europe ETF Shares |
11/06/14 |
(4,832,198 |
) |
(2,525,319 |
) |
||||||||||
Swap Agreement with Societe
Generale, based on the Vanguard® FTSE Europe ETF Shares |
11/06/14 |
(8,937,283 |
) |
(5,191,000 |
) |
||||||||||
Swap Agreement with UBS AG, based on the Vanguard® FTSE Europe ETF Shares |
11/06/14 |
(23,572,064 |
) |
(5,393,374 |
) |
||||||||||
$ |
(13,527,390 |
) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
‡ Total return based on the reference entity plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (1.62)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT FTSE EUROPE 91
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 26.3% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
325,120 |
0.00%, due 12/02/13 |
$ |
325,120 |
|||||||
Total U.S. Government & Agency Security (Cost $325,120) |
325,120 |
||||||||||
Repurchase Agreements (a)(b) — 87.5% |
|||||||||||
1,080,563 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $1,080,567 |
1,080,563 |
|||||||||
Total Repurchase
Agreements (Cost $1,080,563) |
1,080,563 |
||||||||||
Total Investment Securities (Cost $1,405,683) † — 113.8% |
1,405,683 |
||||||||||
Liabilities in excess
of other assets — (13.8%) |
(170,471 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,235,212 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $531,930.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ††,‡
UltraShort MSCI Pacific ex-Japan had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Swap Agreement with Credit
Suisse Securities (Europe) Limited, based on the iShares® MSCI Pacific ex-Japan Index Fund |
11/06/15 |
$ |
(746,459 |
) |
$ |
29,999 |
|||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® MSCI Pacific ex-Japan Index Fund |
11/06/14 |
(545,387 |
) |
(57,931 |
) |
||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares® MSCI Pacific ex-Japan Index Fund |
12/06/13 |
(591,649 |
) |
(32,906 |
) |
||||||||||
Swap Agreement with Societe Generale, based on the
iShares® MSCI Pacific ex-Japan Index Fund |
12/06/13 |
(228,794 |
) |
(40,763 |
) |
||||||||||
Swap Agreement with UBS AG,
based on the iShares® MSCI Pacific ex-Japan Index Fund |
11/06/14 |
(352,546 |
) |
(51,399 |
) |
||||||||||
$ |
(153,000 |
) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
‡ Total return based on the reference entity plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.50)%.
See accompanying notes to the financial statements.
92 :: JPX ULTRASHORT MSCI PACIFIC EX-JAPAN :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 39.4% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
2,198,040 |
0.00%, due 12/02/13 |
$ |
2,198,040 |
|||||||
U.S. Treasury Bill |
|||||||||||
3,000,000 |
0.00%, due 01/02/14 |
2,999,934 |
|||||||||
Total U.S. Government & Agency Securities (Cost $5,197,974) |
5,197,974 |
||||||||||
Repurchase Agreements (a)(b) — 70.9% |
|||||||||||
9,362,018 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $9,362,062 |
9,362,018 |
|||||||||
Total Repurchase
Agreements (Cost $9,362,018) |
9,362,018 |
||||||||||
Total Investment Securities (Cost $14,559,992) † — 110.3% |
14,559,992 |
||||||||||
Liabilities in excess
of other assets — (10.3%) |
(1,364,141 |
) |
|||||||||
Net Assets — 100.0% |
$ |
13,195,851 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $6,432,870.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ††,‡
UltraShort MSCI Brazil Capped had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Swap Agreement with Credit
Suisse Securities (Europe) Limited, based on the iShares® MSCI Brazil Capped Index Fund |
11/06/15 |
$ |
(3,885,530 |
) |
$ |
135,161 |
|||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® MSCI Brazil Capped Index Fund |
11/06/14 |
(7,832,107 |
) |
(2,334,098 |
) |
||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® MSCI Brazil Capped Index Fund |
12/06/13 |
(3,420,931 |
) |
50,631 |
|||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® MSCI Brazil Capped Index Fund |
11/06/15 |
(2,964,035 |
) |
102,918 |
|||||||||||
Swap Agreement with Societe
Generale, based on the iShares® MSCI Brazil Capped Index Fund |
11/06/15 |
(2,903,681 |
) |
98,543 |
|||||||||||
Swap Agreement with UBS AG, based on the
iShares® MSCI Brazil Capped Index Fund |
12/06/13 |
(5,319,985 |
) |
609,544 |
|||||||||||
$ |
(1,337,301 |
) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
‡ Total return based on the reference entity plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.41)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT MSCI BRAZIL CAPPED 93
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 82.9% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
14,198,924 |
0.00%, due 12/02/13 |
$ |
14,198,924 |
|||||||
U.S. Treasury Bills |
|||||||||||
3,000,000 |
0.00%, due 12/26/13 |
2,999,920 |
|||||||||
20,000,000 |
0.00%, due 01/16/14 |
19,999,361 |
|||||||||
18,000,000 |
0.00%, due 02/06/14 |
17,999,916 |
|||||||||
1,617,000 |
0.00%, due 02/13/14 |
1,616,920 |
|||||||||
10,000,000 |
0.00%, due 04/03/14 |
9,998,036 |
|||||||||
20,000,000 |
0.00%, due 05/08/14 |
19,992,538 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $86,805,615) |
86,805,615 |
||||||||||
Repurchase Agreements (a)(b) — 55.0% |
|||||||||||
57,674,595 |
Repurchase Agreements
with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $57,674,868 |
57,674,595 |
|||||||||
Total Repurchase Agreements (Cost $57,674,595) |
57,674,595 |
||||||||||
Total Investment
Securities (Cost $144,480,210) † — 137.9% |
144,480,210 |
||||||||||
Liabilities in excess of other assets — (37.9%) |
(39,728,049 |
) |
|||||||||
Net Assets — 100.0% |
$ |
104,752,161 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $66,565,666.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ††,‡
UltraShort FTSE China 25 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Swap Agreement with Credit
Suisse Securities (Europe) Limited, based on the iShares® FTSE China 25 Index Fund |
11/06/15 |
$ |
(48,140,386 |
) |
$ |
(3,544,291 |
) |
||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® FTSE China 25 Index Fund |
11/06/14 |
(29,105,698 |
) |
(4,323,221 |
) |
||||||||||
Swap Agreement with Goldman
Sachs International, based on the iShares® FTSE China 25 Index Fund |
01/06/14 |
(73,009,925 |
) |
(11,664,888 |
) |
||||||||||
Swap Agreement with Merill Lynch International,
based on the iShares® FTSE China 25 Index Fund |
12/06/13 |
(12,856,055 |
) |
(1,157,380 |
) |
||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares® FTSE China 25 Index Fund |
11/06/14 |
(8,793,683 |
) |
(3,065,632 |
) |
||||||||||
Swap Agreement with Societe Generale, based on the
iShares® FTSE China 25 Index Fund |
11/06/15 |
(13,506,498 |
) |
(1,464,218 |
) |
||||||||||
Swap Agreement with UBS AG, based on the iShares® FTSE China 25 Index Fund |
04/07/14 |
(23,539,543 |
) |
(14,343,736 |
) |
||||||||||
$ |
(39,563,366 |
) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
‡ Total return based on the reference entity plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (1.37)%.
See accompanying notes to the financial statements.
94 :: FXP ULTRASHORT FTSE CHINA 25 :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 48.9% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
2,401,746 |
0.00%, due 12/02/13 |
$ |
2,401,746 |
|||||||
U.S. Treasury Bills |
|||||||||||
3,000,000 |
0.00%, due 05/08/14 |
2,998,868 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $5,400,614) |
5,400,614 |
||||||||||
Repurchase Agreements (a)(b) — 106.1% |
|||||||||||
11,724,344 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $11,724,399 |
11,724,344 |
|||||||||
Total Repurchase Agreements
(Cost $11,724,344) |
11,724,344 |
||||||||||
Total Investment Securities (Cost $17,124,958) † — 155.0% |
17,124,958 |
||||||||||
Liabilities in excess of
other assets — (55.0%) |
(6,077,876 |
) |
|||||||||
Net Assets — 100.0% |
$ |
11,047,082 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $8,601,065.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ††,‡
UltraShort MSCI Japan had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Swap Agreement with Credit
Suisse Securities (Europe) Limited, based on the iShares® MSCI Japan Index Fund |
11/06/15 |
$ |
(4,661,150 |
) |
$ |
(82,781 |
) |
||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® MSCI Japan Index Fund |
01/06/14 |
(8,730,636 |
) |
(3,672,053 |
) |
||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® MSCI Japan
Index Fund |
12/06/13 |
(1,535,053 |
) |
(28,645 |
) |
||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® MSCI Japan Index Fund |
12/06/13 |
(1,371,653 |
) |
(609,749 |
) |
||||||||||
Swap Agreement with Societe
Generale, based on the iShares® MSCI Japan Index Fund |
01/06/14 |
(3,141,227 |
) |
(1,578,211 |
) |
||||||||||
Swap Agreement with UBS AG, based on the iShares® MSCI Japan Index Fund |
11/06/15 |
(2,600,622 |
) |
(80,041 |
) |
||||||||||
$ |
(6,051,480 |
) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
‡ Total return based on the reference entity plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.80)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT MSCI JAPAN 95
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 40.1% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
449,184 |
0.00%, due 12/02/13 |
$ |
449,184 |
|||||||
Total U.S. Government & Agency
Security (Cost $449,184) |
449,184 |
||||||||||
Repurchase Agreements (a)(b) — 77.2% |
|||||||||||
865,080 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $865,084 |
865,080 |
|||||||||
Total Repurchase Agreements
(Cost $865,080) |
865,080 |
||||||||||
Total Investment Securities (Cost $1,314,264) † — 117.3% |
1,314,264 |
||||||||||
Liabilities in excess of
other assets — (17.3%) |
(193,562 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,120,702 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $107,093.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ††,‡
UltraShort MSCI Mexico Capped IMI had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Swap Agreement with Credit
Suisse Securities (Europe) Limited, based on the iShares® MSCI Mexico Capped Investable Market Index Fund |
11/06/15 |
$ |
(95,227 |
) |
$ |
(4,664 |
) |
||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® MSCI Mexico Capped Investable Market Index Fund |
04/06/15 |
(383,222 |
) |
(79,290 |
) |
||||||||||
Swap Agreement with Societe
Generale, based on the iShares® MSCI Mexico Capped Investable Market Index Fund |
11/06/15 |
(1,756,930 |
) |
(92,752 |
) |
||||||||||
$ |
(176,706 |
) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
‡ Total return based on the reference entity plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (2.29)%.
See accompanying notes to the financial statements.
96 :: SMK ULTRASHORT MSCI MEXICO CAPPED IMI :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 56.0% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
13,707,544 |
0.00%, due 12/02/13 |
$ |
13,707,544 |
|||||||
U.S. Treasury Bills |
|||||||||||
6,000,000 |
0.00%, due 02/13/14 |
5,999,981 |
|||||||||
10,000,000 |
0.00%, due 02/27/14 |
9,998,766 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $29,706,291) |
29,706,291 |
||||||||||
Repurchase Agreements (a)(b) — 43.9% |
|||||||||||
23,271,746 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $23,271,868 |
23,271,746 |
|||||||||
Total Repurchase Agreements (Cost $23,271,746) |
23,271,746 |
||||||||||
Total Investment
Securities (Cost $52,978,037) † — 99.9% |
52,978,037 |
||||||||||
Other assets less liabilities — 0.1% |
62,564 |
||||||||||
Net Assets — 100.0% |
$ |
53,040,601 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $1,280,416.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
Short 7-10 Year Treasury had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
U.S. 10 Year Treasury Note Futures Contracts |
12 |
03/20/14 |
$ |
1,504,500 |
$ |
3,707 |
Cash collateral in the amount of $19,461 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
Swap Agreements ‡
Short 7-10 Year Treasury had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Bond Index Swap Agreement
with Credit Suisse International, based on the Barclays U.S. 7-10 Year Treasury Bond Index |
11/06/14 |
$ |
(36,536,472 |
) |
$ |
104,130 |
|||||||||
Bond Index Swap Agreement with Merrill Lynch
International, based on the Barclays U.S. 7-10 Year Treasury Bond Index |
12/06/13 |
(15,235,551 |
) |
877 |
|||||||||||
$ |
105,007 |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.46)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: SHORT 7-10 YEAR TREASURY 97
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 63.6% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
314,412,827 |
0.00%, due 12/02/13 |
$ |
314,412,827 |
|||||||
U.S. Treasury Bills |
|||||||||||
200,000,000 |
0.00%, due 12/12/13 |
199,998,645 |
|||||||||
38,000,000 |
0.00%, due 12/26/13 |
37,999,028 |
|||||||||
45,000,000 |
0.00%, due 01/23/14 |
44,998,708 |
|||||||||
90,000,000 |
0.00%, due 02/13/14 |
89,999,722 |
|||||||||
100,000,000 |
0.00%, due 02/27/14 |
99,986,433 |
|||||||||
50,000,000 |
0.00%, due 03/20/14 |
49,995,080 |
|||||||||
100,000,000 |
0.00%, due 04/03/14 |
99,977,450 |
|||||||||
60,000,000 |
0.00%, due 04/24/14 |
59,979,600 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $997,347,493) |
997,347,493 |
||||||||||
Repurchase Agreements (a)(b) — 34.7% |
|||||||||||
544,536,689 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $544,539,518 |
544,536,689 |
|||||||||
Total Repurchase Agreements (Cost $544,536,689) |
544,536,689 |
||||||||||
Total Investment
Securities (Cost $1,541,884,182) † — 98.3% |
1,541,884,182 |
||||||||||
Other assets less liabilities — 1.7% |
25,942,087 |
||||||||||
Net Assets — 100.0% |
$ |
1,567,826,269 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $13,972,273.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
Short 20+ Year Treasury had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
U.S. Long Bond Futures Contracts |
290 |
03/20/14 |
$ |
37,917,500 |
$ |
136,861 |
Cash collateral in the amount of $910,250 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
Swap Agreements ‡
Short 20+ Year Treasury had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Bond Index Swap Agreement
with Citibank, N.A., based on the Barclays U.S. 20+ Year Treasury Bond Index |
11/06/14 |
$ |
(519,174,977 |
) |
$ |
(98,356 |
) |
||||||||
Bond Index Swap Agreement with Deutsche Bank AG,
based on the Barclays U.S. 20+ Year Treasury Bond Index |
11/06/14 |
(305,363,586 |
) |
1,153,872 |
|||||||||||
Bond Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the
Barclays U.S. 20+ Year Treasury Bond Index |
11/06/14 |
(326,960,108 |
) |
1,258,865 |
|||||||||||
Bond Index Swap Agreement with Societe Generale,
based on the Barclays U.S. 20+ Year Treasury Bond Index |
11/06/14 |
(391,051,166 |
) |
1,527,831 |
|||||||||||
$ |
3,842,212 |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.46)%.
See accompanying notes to the financial statements.
98 :: TBF SHORT 20+ YEAR TREASURY :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 56.2% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
11,622,724 |
0.00%, due 12/02/13 |
$ |
11,622,724 |
|||||||
U.S. Treasury Bills |
|||||||||||
7,000,000 |
0.00%, due 01/02/14 |
6,999,845 |
|||||||||
13,000,000 |
0.00%, due 05/08/14 |
12,995,092 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $31,617,661) |
31,617,661 |
||||||||||
Repurchase Agreements (a)(b) — 48.0% |
|||||||||||
26,994,972 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $26,995,107 |
26,994,972 |
|||||||||
Total Repurchase Agreements (Cost $26,994,972) |
26,994,972 |
||||||||||
Total Investment
Securities (Cost $58,612,633) † — 104.2% |
58,612,633 |
||||||||||
Liabilities in excess of other assets — (4.2%) |
(2,341,735 |
) |
|||||||||
Net Assets — 100.0% |
$ |
56,270,898 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $7,381,892.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ††,‡
Short High Yield had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Swap Agreement with
Citibank, N.A., based on the iShares® iBoxx $ High Yield
Corporate Bond Fund |
01/06/14 |
$ |
(29,209,088 |
) |
$ |
(4,856,700 |
) |
||||||||
Swap Agreement with Credit Suisse Securities
(Europe) Limited, based on iShares® iBoxx $ High Yield Corporate Bond Fund |
12/08/14 |
(27,307,056 |
) |
(2,746,291 |
) |
||||||||||
$ |
(7,602,991 |
) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
‡ Total return based on the reference entity plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (2.18)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: SHORT HIGH YIELD 99
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 55.0% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
754,993 |
0.00%, due 12/02/13 |
$ |
754,993 |
|||||||
U.S. Treasury Bill |
|||||||||||
1,000,000 |
0.00%, due 03/13/14 |
999,929 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $1,754,922) |
1,754,922 |
||||||||||
Repurchase Agreements (a)(b) — 41.2% |
|||||||||||
1,313,035 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $1,313,041 |
1,313,035 |
|||||||||
Total Repurchase Agreements
(Cost $1,313,035) |
1,313,035 |
||||||||||
Total Investment Securities (Cost $3,067,957) † — 96.2% |
3,067,957 |
||||||||||
Other assets less liabilities — 3.8% |
122,374 |
||||||||||
Net Assets — 100.0% |
$ |
3,190,331 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $60,996.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ††,‡
Short Investment Grade Corporate had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Swap Agreement with
Citibank, N.A., based on the iShares® iBoxx $ Investment
Grade Corporate Bond ETF |
12/08/14 |
$ |
(913,969 |
) |
$ |
31,186 |
|||||||||
Swap Agreement with Credit Suisse Securities
(Europe) Limited, based on the iShares® iBoxx $ Investment Grade Corporate Bond ETF |
12/06/13 |
(1,872,796 |
) |
(56,529 |
) |
||||||||||
Swap Agreement with Goldman
Sachs International, based on the iShares® iBoxx $ Investment Grade Corporate Bond ETF |
12/08/14 |
(382,874 |
) |
3,885 |
|||||||||||
$ |
(21,458 |
) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
‡ Total return based on the reference entity plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (1.26)%.
See accompanying notes to the financial statements.
100 :: IGS SHORT INVESTMENT GRADE CORPORATE :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 36.1% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
1,434,012 |
0.00%, due 12/02/13 |
$ |
1,434,012 |
|||||||
Total U.S. Government & Agency
Security (Cost $1,434,012) |
1,434,012 |
||||||||||
Repurchase Agreements (a)(b) — 69.6% |
|||||||||||
2,766,000 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $2,766,013 |
2,766,000 |
|||||||||
Total Repurchase
Agreements (Cost $2,766,000) |
2,766,000 |
||||||||||
Total Investment Securities (Cost $4,200,012) † — 105.7% |
4,200,012 |
||||||||||
Liabilities in excess of
other assets — (5.7%) |
(226,469 |
) |
|||||||||
Net Assets — 100.0% |
$ |
3,973,543 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $346,138.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort 3-7 Year Treasury had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Depreciation |
|||||||||||||
Bond Index Swap Agreement
with Citibank, N.A., based on the Barclays U.S. 3-7 Year Treasury Bond Index |
06/09/14 |
$ |
(4,378,494 |
) |
$ |
(16,295 |
) |
||||||||
Bond Index Swap Agreement with Deutsche Bank AG,
based on the Barclays U.S. 3-7 Year Treasury Bond Index |
02/06/14 |
(1,437,672 |
) |
(121,619 |
) |
||||||||||
Bond Index Swap Agreement
with Merrill Lynch International, based on the Barclays U.S. 3-7 Year Treasury Bond Index |
12/06/13 |
(2,140,050 |
) |
(68,947 |
) |
||||||||||
$ |
(206,861 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.42)%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT 3-7 YEAR TREASURY 101
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 66.7% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
58,958,781 |
0.00%, due 12/02/13 |
$ |
58,958,781 |
|||||||
U.S. Treasury Bills |
|||||||||||
55,000,000 |
0.00%, due 12/12/13 |
54,999,656 |
|||||||||
20,000,000 |
0.00%, due 01/02/14 |
19,999,591 |
|||||||||
15,000,000 |
0.00%, due 02/06/14 |
14,999,930 |
|||||||||
55,000,000 |
0.00%, due 03/13/14 |
54,993,767 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $203,951,725) |
203,951,725 |
||||||||||
Repurchase Agreements (a)(b) — 33.8% |
|||||||||||
103,444,942 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $103,445,478 |
103,444,942 |
|||||||||
Total Repurchase Agreements (Cost $103,444,942) |
103,444,942 |
||||||||||
Total Investment
Securities (Cost $307,396,667) † — 100.5% |
307,396,667 |
||||||||||
Liabilities in excess of other assets — (0.5%) |
(1,593,681 |
) |
|||||||||
Net Assets — 100.0% |
$ |
305,802,986 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $13,168,488.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort 7-10 Year Treasury had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
U.S. 10 Year Treasury Note Futures Contracts |
158 |
03/20/14 |
$ |
19,809,250 |
$ |
44,388 |
Cash collateral in the amount of $256,355 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
Swap Agreements ‡
UltraShort 7-10 Year Treasury had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Bond Index Swap Agreement
with Citibank, N.A., based on the Barclays U.S. 7-10 Year Treasury Bond Index |
11/06/14 |
$ |
(96,304,713 |
) |
$ |
136,982 |
|||||||||
Bond Index Swap Agreement with Credit Suisse
International, based on the Barclays U.S. 7-10 Year Treasury Bond Index |
11/06/14 |
(6,122,886 |
) |
12,779 |
|||||||||||
Bond Index Swap Agreement
with Deutsche Bank AG, based on the Barclays U.S. 7-10 Year Treasury Bond Index |
02/06/14 |
(52,601,057 |
) |
(1,683,654 |
) |
||||||||||
Bond Index Swap Agreement with Goldman Sachs
International, based on the Barclays U.S. 7-10 Year Treasury Bond Index |
11/06/14 |
(331,424,306 |
) |
(311,438 |
) |
||||||||||
Bond Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Barclays U.S. 7-10 Year Treasury Bond Index |
11/06/14 |
(108,411,133 |
) |
313,248 |
|||||||||||
$ |
(1,532,083 |
) |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.49)%.
See accompanying notes to the financial statements.
102 :: PST ULTRASHORT 7-10 YEAR TREASURY :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 64.0% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
819,436,562 |
0.00%, due 12/02/13 |
$ |
819,436,562 |
|||||||
U.S. Treasury Bills |
|||||||||||
50,000,000 |
0.00%, due 12/12/13 |
49,999,840 |
|||||||||
300,000,000 |
0.00%, due 12/19/13 |
299,996,450 |
|||||||||
134,000,000 |
0.00%, due 12/26/13 |
133,996,384 |
|||||||||
114,000,000 |
0.00%, due 01/02/14 |
113,997,467 |
|||||||||
110,000,000 |
0.00%, due 01/09/14 |
109,996,782 |
|||||||||
197,000,000 |
0.00%, due 01/23/14 |
196,994,344 |
|||||||||
100,000,000 |
0.00%, due 02/06/14 |
99,999,535 |
|||||||||
100,000,000 |
0.00%, due 02/20/14 |
99,993,250 |
|||||||||
250,000,000 |
0.00%, due 02/27/14 |
249,966,083 |
|||||||||
300,000,000 |
0.00%, due 03/20/14 |
299,970,479 |
|||||||||
100,000,000 |
0.00%, due 04/17/14 |
99,972,409 |
|||||||||
150,000,000 |
0.00%, due 05/08/14 |
149,944,042 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $2,724,263,627) |
2,724,263,627 |
||||||||||
Repurchase Agreements (a)(b) — 34.6% |
|||||||||||
1,470,984,699 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $1,470,992,297 |
1,470,984,699 |
|||||||||
Total Repurchase Agreements (Cost $1,470,984,699) |
1,470,984,699 |
||||||||||
Total Investment
Securities (Cost $4,195,248,326) † — 98.6% |
4,195,248,326 |
||||||||||
Other assets less liabilities — 1.4% |
59,994,837 |
||||||||||
Net Assets — 100.0% |
$ |
4,255,243,163 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $92,397,187.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort 20+ Year Treasury had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
U.S. Long Bond Futures Contracts |
974 |
03/20/14 |
$ |
127,350,500 |
$ |
459,664 |
Cash collateral in the amount of $2,843,497 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT 20+ YEAR TREASURY 103
Swap Agreements ‡
UltraShort 20+ Year Treasury had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Bond Index Swap Agreement
with Citibank, N.A., based on the Barclays U.S. 20+ Year Treasury Bond Index |
11/06/14 |
$ |
(983,756,478 |
) |
$ |
1,646,188 |
|||||||||
Bond Index Swap Agreement with Deutsche Bank AG,
based on the Barclays U.S. 20+ Year Treasury Bond Index |
11/06/14 |
(1,252,643,013 |
) |
4,733,337 |
|||||||||||
Bond Index Swap Agreement
with Goldman Sachs International, based on the Barclays U.S. 20+ Year Treasury Bond Index |
11/06/14 |
(90,436,419 |
) |
(1,481,029 |
) |
||||||||||
Bond Index Swap Agreement with Merrill Lynch
International, based on the Barclays U.S. 20+ Year Treasury Bond Index |
12/06/13 |
(1,693,432,172 |
) |
(1,109,530 |
) |
||||||||||
Bond Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Barclays U.S. 20+ Year Treasury Bond Index |
11/06/14 |
(1,564,321,094 |
) |
5,710,614 |
|||||||||||
Bond Index Swap Agreement with Societe Generale,
based on the Barclays U.S. 20+ Year Treasury Bond Index |
11/06/14 |
(2,832,294,637 |
) |
11,657,738 |
|||||||||||
$ |
21,157,318 |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.41)%.
See accompanying notes to the financial statements.
104 :: TBT ULTRASHORT 20+ YEAR TREASURY :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 52.1% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
3,096,251 |
0.00%, due 12/02/13 |
$ |
3,096,251 |
|||||||
U.S. Treasury Bill |
|||||||||||
3,000,000 |
0.00%, due 03/20/14 |
2,999,709 |
|||||||||
Total U.S. Government & Agency Securities (Cost $6,095,960) |
6,095,960 |
||||||||||
Repurchase Agreements (a)(b) — 45.7% |
|||||||||||
5,356,514 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $5,356,542 |
5,356,514 |
|||||||||
Total Repurchase
Agreements (Cost $5,356,514) |
5,356,514 |
||||||||||
Total Investment Securities (Cost $11,452,474) † — 97.8% |
11,452,474 |
||||||||||
Other assets less liabilities — 2.2% |
255,705 |
||||||||||
Net Assets — 100.0% |
$ |
11,708,179 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $547,562.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
UltraShort TIPS had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Bond Index Swap Agreement
with Citibank, N.A., based on the Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L) |
01/06/15 |
$ |
(7,733,935 |
) |
$ |
267,866 |
|||||||||
Bond Index Swap Agreement with Goldman Sachs
International, based on the Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L) |
11/06/14 |
(15,723,187 |
) |
13,671 |
|||||||||||
$ |
281,537 |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.10%.
See accompanying notes to the financial statements.
PROSHARES TRUSTSCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRASHORT TIPS 105
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 32.8% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
34,645,735 |
0.00%, due 12/02/13 |
$ |
34,645,735 |
|||||||
Total U.S. Government & Agency Security (Cost $34,645,735) |
34,645,735 |
||||||||||
Repurchase Agreements (a)(b) — 59.2% |
|||||||||||
62,692,429 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $62,692,752 |
62,692,429 |
|||||||||
Total Repurchase
Agreements (Cost $62,692,429) |
62,692,429 |
||||||||||
Total Investment Securities (Cost $97,338,164) † — 92.0% |
97,338,164 |
||||||||||
Other assets less liabilities — 8.0% |
8,511,199 |
||||||||||
Net Assets — 100.0% |
$ |
105,849,363 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $4,228,547.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraPro Short 20+ Year Treasury had the following open short futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
U.S. Long Bond Futures Contracts |
21 |
03/20/14 |
$ |
2,745,750 |
$ |
9,911 |
Cash collateral in the amount of $96,250 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
Swap Agreements ‡
UltraPro Short 20+ Year Treasury had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Bond Index Swap Agreement
with Citibank, N.A., based on the Barclays U.S. 20+ Year Treasury Bond Index |
11/06/14 |
$ |
(47,247,947 |
) |
$ |
177,929 |
|||||||||
Bond Index Swap Agreement with Merrill Lynch
International, based on the Barclays U.S. 20+ Year Treasury Bond Index |
12/06/13 |
(47,670,354 |
) |
(532,312 |
) |
||||||||||
Bond Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the
Barclays U.S. 20+ Year Treasury Bond Index |
11/07/14 |
(40,618,298 |
) |
7,801,757 |
|||||||||||
Bond Index Swap Agreement with Societe Generale,
based on the Barclays U.S. 20+ Year Treasury Bond Index |
11/06/14 |
(179,783,284 |
) |
1,077,803 |
|||||||||||
$ |
8,525,177 |
‡ Total return based on the underlying index plus a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.38)%.
See accompanying notes to the financial statements.
106 :: TTT ULTRAPRO SHORT 20+ YEAR TREASURY :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage
of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 25.8% |
|||||||||||||||
35 |
3M Co. (Industrials) |
0.1 |
% |
$ |
4,673 |
||||||||||
79 |
AbbVie, Inc. (Health Care) |
0.1 |
% |
3,828 |
|||||||||||
101 |
Altria Group, Inc. (Consumer Staples) |
0.0 |
% |
3,735 |
|||||||||||
18 |
Amazon.com, Inc.*
(Consumer Discretionary) |
0.2 |
% |
7,085 |
|||||||||||
48 |
American Express Co. (Financials) |
0.1 |
% |
4,118 |
|||||||||||
38 |
Amgen, Inc. (Health Care) |
0.1 |
% |
4,335 |
|||||||||||
47 |
Apple, Inc. (Information Technology) |
0.7 |
% |
26,135 |
|||||||||||
270 |
AT&T, Inc.
(Telecommunication Services) |
0.2 |
% |
9,507 |
|||||||||||
541 |
Bank of America Corp. (Financials) |
0.2 |
% |
8,559 |
|||||||||||
90 |
Berkshire Hathaway, Inc.,
Class B* (Financials) |
0.2 |
% |
10,488 |
|||||||||||
38 |
Boeing Co. (The) (Industrials) |
0.1 |
% |
5,101 |
|||||||||||
82 |
Bristol-Myers Squibb Co.
(Health Care) |
0.1 |
% |
4,213 |
|||||||||||
97 |
Chevron Corp. (Energy) |
0.3 |
% |
11,877 |
|||||||||||
268 |
Cisco Systems, Inc.
(Information Technology) |
0.2 |
% |
5,695 |
|||||||||||
153 |
Citigroup, Inc. (Financials) |
0.2 |
% |
8,097 |
|||||||||||
192 |
Coca-Cola Co. (The)
(Consumer Staples) |
0.2 |
% |
7,716 |
|||||||||||
132 |
Comcast Corp., Class A (Consumer Discretionary) |
0.2 |
% |
6,583 |
|||||||||||
61 |
ConocoPhillips (Energy) |
0.1 |
% |
4,441 |
|||||||||||
61 |
CVS Caremark Corp. (Consumer Staples) |
0.1 |
% |
4,085 |
|||||||||||
223 |
Exxon Mobil Corp. (Energy) |
0.5 |
% |
20,846 |
|||||||||||
85 |
Facebook, Inc., Class A* (Information Technology) |
0.1 |
% |
3,996 |
|||||||||||
519 |
General Electric Co.
(Industrials) |
0.4 |
% |
13,836 |
|||||||||||
77 |
Gilead Sciences, Inc.* (Health Care) |
0.2 |
% |
5,760 |
|||||||||||
23 |
Goldman Sachs Group, Inc.
(The) (Financials) |
0.1 |
% |
3,886 |
|||||||||||
14 |
Google, Inc., Class A* (Information Technology) |
0.4 |
% |
14,834 |
|||||||||||
73 |
Home Depot, Inc. (The)
(Consumer Discretionary) |
0.2 |
% |
5,889 |
|||||||||||
249 |
Intel Corp. (Information Technology) |
0.2 |
% |
5,936 |
|||||||||||
52 |
International Business
Machines Corp. (Information Technology) |
0.2 |
% |
9,343 |
|||||||||||
141 |
Johnson & Johnson (Health Care) |
0.3 |
% |
13,347 |
Shares |
Percentage
of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
190 |
JPMorgan Chase & Co. (Financials) |
0.3 |
% |
$ |
10,872 |
||||||||||
6 |
MasterCard, Inc.,
Class A (Information Technology) |
0.1 |
% |
4,565 |
|||||||||||
50 |
McDonald's Corp. (Consumer Discretionary) |
0.1 |
% |
4,868 |
|||||||||||
152 |
Merck & Co., Inc.
(Health Care) |
0.2 |
% |
7,574 |
|||||||||||
419 |
Microsoft Corp. (Information Technology) |
0.4 |
% |
15,976 |
|||||||||||
40 |
Occidental Petroleum Corp.
(Energy) |
0.0 |
% |
3,798 |
|||||||||||
178 |
Oracle Corp. (Information Technology) |
0.2 |
% |
6,282 |
|||||||||||
78 |
PepsiCo, Inc.
(Consumer Staples) |
0.2 |
% |
6,588 |
|||||||||||
336 |
Pfizer, Inc. (Health Care) |
0.3 |
% |
10,661 |
|||||||||||
82 |
Philip Morris
International, Inc. (Consumer Staples) |
0.2 |
% |
7,014 |
|||||||||||
138 |
Procter & Gamble Co. (The) (Consumer Staples) |
0.3 |
% |
11,622 |
|||||||||||
87 |
QUALCOMM, Inc.
(Information Technology) |
0.2 |
% |
6,401 |
|||||||||||
67 |
Schlumberger Ltd. (Energy) |
0.2 |
% |
5,924 |
|||||||||||
46 |
United Technologies Corp.
(Industrials) |
0.1 |
% |
5,100 |
|||||||||||
51 |
UnitedHealth Group, Inc. (Health Care) |
0.0 |
% |
3,798 |
|||||||||||
144 |
Verizon Communications,
Inc. (Telecommunication Services) |
0.2 |
% |
7,145 |
|||||||||||
26 |
Visa, Inc., Class A (Information Technology) |
0.1 |
% |
5,290 |
|||||||||||
81 |
Wal-Mart Stores, Inc.
(Consumer Staples) |
0.2 |
% |
6,562 |
|||||||||||
90 |
Walt Disney Co. (The) (Consumer Discretionary) |
0.2 |
% |
6,349 |
|||||||||||
242 |
Wells Fargo & Co.
(Financials) |
0.3 |
% |
10,653 |
|||||||||||
15,657 |
Other Common Stocks |
16.0 |
% |
628,383 |
|||||||||||
Total Common Stocks
(Cost $1,004,388) |
1,013,369 |
||||||||||||||
Investment Company — 0.0% ‡ |
|||||||||||||||
1 |
Stellus Capital Investment
Corp. |
0.0 |
% |
15 |
|||||||||||
Total Investment Company (Cost $15) |
15 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA RUSSELL3000 107
No. of Rights |
Percentage
of Net Assets |
Value |
|||||||||||||
Rights — 0.0% ‡ |
|||||||||||||||
1 |
Omthera Pharmaceuticals, Inc., at $4.70*^ |
0.0 |
% |
$ |
— |
||||||||||
Total
Rights (Cost $—) |
— |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government & Agency Security (a) — 17.4% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
685,081 |
0.00%, due 12/02/13 |
685,081 |
||||||||||||
Total U.S. Government &
Agency Security (Cost $685,081) |
685,081 |
||||||||||||||
Repurchase Agreements (a)(b) — 39.9% |
|||||||||||||||
1,566,565 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $1,566,570 |
1,566,565 |
|||||||||||||
Total Repurchase Agreements (Cost $1,566,565) |
1,566,565 |
||||||||||||||
Total Investment Securities
(Cost $3,256,049) — 83.1% |
3,265,030 |
||||||||||||||
Other assets less liabilities — 16.9% |
663,625 |
||||||||||||||
Net Assets — 100.0% |
$ |
3,928,655 |
* Non-income producing security.
‡ Amount represents less than 0.05%.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $410,505.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
14,118 |
|||||
Aggregate gross unrealized depreciation |
(8,920 |
) |
|||||
Net unrealized appreciation |
$ |
5,198 |
|||||
Federal income tax cost of investments |
$ |
3,259,832 |
Swap Agreements ‡
Ultra Russell3000 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the Russell 3000® Index |
12/06/13 |
$ |
1,476,674 |
$ |
31,324 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Russell 3000® Index |
11/06/14 |
68,024 |
425,639 |
||||||||||||
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 3000® Index |
12/06/13 |
486,211 |
10,136 |
||||||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the Russell 3000® Index |
01/06/14 |
1,956,834 |
47,128 |
||||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Russell 3000® Index |
11/06/15 |
860,966 |
21,439 |
||||||||||||
Equity Index Swap Agreement with Societe Generale, based on the Russell 3000® Index |
11/06/15 |
1,421,409 |
33,624 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell 3000® Index |
12/06/13 |
203,754 |
2,469 |
||||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Russell 3000 Index Fund |
11/06/15 |
370,128 |
7,874 |
||||||||||||
$ |
579,633 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.37%.
See accompanying notes to the financial statements.
108 :: UWC ULTRA RUSSELL3000 :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Ultra Russell3000 invested, as a percentage of net assets, in the following industries, as of November 30, 2013:
Consumer Discretionary |
3.5 |
% |
|||||
Consumer Staples |
2.2 |
% |
|||||
Energy |
2.4 |
% |
|||||
Financials |
4.5 |
% |
|||||
Health Care |
3.3 |
% |
|||||
Industrials |
3.0 |
% |
|||||
Information Technology |
4.6 |
% |
|||||
Materials |
1.0 |
% |
|||||
Telecommunication Services |
0.5 |
% |
|||||
Utilities |
0.8 |
% |
|||||
Other1 |
74.2 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA RUSSELL3000 109
Shares |
Percentage
of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 60.5% |
|||||||||||||||
75,521 |
3M Co. (Industrials) |
0.3 |
% |
$ |
10,082,809 |
||||||||||
184,410 |
AbbVie, Inc. (Health Care) |
0.3 |
% |
8,934,665 |
|||||||||||
233,141 |
Altria Group, Inc. (Consumer Staples) |
0.3 |
% |
8,621,554 |
|||||||||||
43,052 |
Amazon.com, Inc.*
(Consumer Discretionary) |
0.6 |
% |
16,946,128 |
|||||||||||
107,916 |
American Express Co. (Financials) |
0.3 |
% |
9,259,193 |
|||||||||||
87,630 |
Amgen, Inc. (Health Care) |
0.3 |
% |
9,996,830 |
|||||||||||
105,679 |
Apple, Inc. (Information Technology) |
1.9 |
% |
58,764,922 |
|||||||||||
617,717 |
AT&T, Inc.
(Telecommunication Services) |
0.7 |
% |
21,749,816 |
|||||||||||
1,249,558 |
Bank of America Corp. (Financials) |
0.6 |
% |
19,768,008 |
|||||||||||
209,360 |
Berkshire Hathaway, Inc.,
Class B* (Financials) |
0.8 |
% |
24,396,721 |
|||||||||||
80,725 |
Boeing Co. (The) (Industrials) |
0.4 |
% |
10,837,331 |
|||||||||||
191,485 |
Bristol-Myers Squibb Co.
(Health Care) |
0.3 |
% |
9,838,499 |
|||||||||||
224,706 |
Chevron Corp. (Energy) |
0.9 |
% |
27,513,003 |
|||||||||||
623,606 |
Cisco Systems, Inc.
(Information Technology) |
0.4 |
% |
13,251,627 |
|||||||||||
353,695 |
Citigroup, Inc. (Financials) |
0.6 |
% |
18,717,539 |
|||||||||||
443,440 |
Coca-Cola Co. (The)
(Consumer Staples) |
0.6 |
% |
17,821,854 |
|||||||||||
304,216 |
Comcast Corp., Class A (Consumer Discretionary) |
0.5 |
% |
15,171,252 |
|||||||||||
142,262 |
ConocoPhillips (Energy) |
0.3 |
% |
10,356,674 |
|||||||||||
142,872 |
CVS Caremark Corp. (Consumer Staples) |
0.3 |
% |
9,566,709 |
|||||||||||
511,947 |
Exxon Mobil Corp. (Energy) |
1.5 |
% |
47,856,806 |
|||||||||||
1,184,496 |
General Electric Co. (Industrials) |
1.0 |
% |
31,578,663 |
|||||||||||
178,044 |
Gilead Sciences, Inc.*
(Health Care) |
0.4 |
% |
13,319,472 |
|||||||||||
32,551 |
Google, Inc., Class A* (Information Technology) |
1.1 |
% |
34,490,714 |
|||||||||||
166,608 |
Home Depot, Inc. (The)
(Consumer Discretionary) |
0.4 |
% |
13,440,267 |
|||||||||||
579,463 |
Intel Corp. (Information Technology) |
0.5 |
% |
13,814,398 |
|||||||||||
119,770 |
International Business
Machines Corp. (Information Technology) |
0.7 |
% |
21,520,274 |
|||||||||||
327,776 |
Johnson & Johnson (Health Care) |
1.0 |
% |
31,027,276 |
|||||||||||
437,827 |
JPMorgan Chase & Co.
(Financials) |
0.8 |
% |
25,052,461 |
|||||||||||
12,067 |
MasterCard, Inc., Class A (Information Technology) |
0.3 |
% |
9,180,694 |
|||||||||||
116,260 |
McDonald's Corp.
(Consumer Discretionary) |
0.4 |
% |
11,320,236 |
Shares |
Percentage
of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
340,355 |
Merck & Co., Inc. (Health Care) |
0.5 |
% |
$ |
16,959,890 |
||||||||||
881,670 |
Microsoft Corp.
(Information Technology) |
1.1 |
% |
33,618,077 |
|||||||||||
93,718 |
Occidental Petroleum Corp. (Energy) |
0.3 |
% |
8,899,461 |
|||||||||||
414,739 |
Oracle Corp. (Information
Technology) |
0.5 |
% |
14,636,139 |
|||||||||||
179,377 |
PepsiCo, Inc. (Consumer Staples) |
0.5 |
% |
15,150,181 |
|||||||||||
770,031 |
Pfizer, Inc. (Health Care) |
0.8 |
% |
24,433,084 |
|||||||||||
188,265 |
Philip Morris International, Inc. (Consumer Staples) |
0.5 |
% |
16,104,188 |
|||||||||||
318,555 |
Procter & Gamble Co.
(The) (Consumer Staples) |
0.9 |
% |
26,828,702 |
|||||||||||
199,516 |
QUALCOMM, Inc. (Information Technology) |
0.5 |
% |
14,680,387 |
|||||||||||
153,899 |
Schlumberger Ltd. (Energy) |
0.4 |
% |
13,607,750 |
|||||||||||
53,955 |
Union Pacific Corp. (Industrials) |
0.3 |
% |
8,742,868 |
|||||||||||
84,035 |
United Parcel Service,
Inc., Class B (Industrials) |
0.3 |
% |
8,603,503 |
|||||||||||
98,181 |
United Technologies Corp. (Industrials) |
0.4 |
% |
10,884,346 |
|||||||||||
118,253 |
UnitedHealth Group, Inc.
(Health Care) |
0.3 |
% |
8,807,483 |
|||||||||||
332,854 |
Verizon Communications, Inc. (Telecommunication Services) |
0.6 |
% |
16,516,215 |
|||||||||||
60,037 |
Visa, Inc., Class A
(Information Technology) |
0.4 |
% |
12,215,128 |
|||||||||||
189,319 |
Wal-Mart Stores, Inc. (Consumer Staples) |
0.5 |
% |
15,336,732 |
|||||||||||
193,239 |
Walt Disney Co. (The)
(Consumer Discretionary) |
0.4 |
% |
13,631,079 |
|||||||||||
562,002 |
Wells Fargo & Co. (Financials) |
0.8 |
% |
24,739,328 |
|||||||||||
19,326,134 |
Other Common Stocks |
32.0 |
% |
990,216,866 |
|||||||||||
Total Common Stocks (Cost $1,817,322,953) |
1,868,807,802 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government &
Agency Securities (a) — 22.3% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
202,488,991 |
0.00%, due 12/02/13 |
202,488,991 |
||||||||||||
U.S. Treasury Bills |
|||||||||||||||
25,000,000 |
0.00%, due 12/12/13 |
24,999,683 |
|||||||||||||
30,000,000 |
0.00%, due 01/02/14 |
29,999,334 |
|||||||||||||
10,000,000 |
0.00%, due 01/23/14 |
9,999,043 |
|||||||||||||
5,000,000 |
0.00%, due 02/13/14 |
4,999,753 |
|||||||||||||
98,328,000 |
0.00%, due 03/13/14 |
98,316,856 |
|||||||||||||
150,000,000 |
0.00%, due 04/03/14 |
149,970,531 |
See accompanying notes to the financial statements.
110 :: SSO ULTRA S&P500® :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||||||
U.S. Government &
Agency Securities (a) (continued) |
|||||||||||||||
$ |
70,000,000 |
0.00%, due 04/24/14 |
$ |
69,976,200 |
|||||||||||
100,000,000 |
0.00%, due 05/08/14 |
99,962,256 |
|||||||||||||
Total U.S. Government & Agency
Securities (Cost $690,712,647) |
690,712,647 |
||||||||||||||
Repurchase Agreements (a)(b) — 13.8% |
|||||||||||||||
427,870,287 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $427,872,449 |
427,870,287 |
|||||||||||||
Total Repurchase Agreements
(Cost $427,870,287) |
427,870,287 |
||||||||||||||
Total Investment Securities (Cost $2,935,905,887) — 96.6% |
2,987,390,736 |
||||||||||||||
Other assets less liabilities — 3.4% |
104,689,365 |
||||||||||||||
Net Assets — 100.0% |
$ |
3,092,080,101 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $295,727,484.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
90,491,160 |
|||||
Aggregate gross unrealized depreciation |
(39,584,284 |
) |
|||||
Net unrealized appreciation |
$ |
50,906,876 |
|||||
Federal income tax cost of investments |
$ |
2,936,483,860 |
Futures Contracts Purchased
Ultra S&P500® had the following open long futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
3,978 |
12/20/13 |
$ |
358,815,600 |
$ |
13,456,478 |
Cash collateral in the amount of $20,894,742 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
Swap Agreements ‡
Ultra S&P500® had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the S&P 500® Index |
12/06/13 |
$ |
291,860,973 |
$ |
6,111,654 |
||||||||||
Equity Index Swap Agreement with Credit Suisse International, based on the S&P 500® Index |
11/06/15 |
413,468,309 |
8,660,645 |
||||||||||||
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index |
12/06/13 |
520,695,768 |
11,151,581 |
||||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the S&P 500® Index |
12/06/13 |
231,782,572 |
4,173,929 |
||||||||||||
Equity Index Swap Agreement with Merrill Lynch International, based on the S&P 500® Index |
12/06/13 |
297,632,810 |
5,918,912 |
||||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the S&P 500® Index |
11/06/15 |
535,169,247 |
11,347,269 |
||||||||||||
Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index |
11/06/15 |
26,735,367 |
558,406 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on the S&P 500® Index |
12/06/13 |
283,529,863 |
5,930,417 |
||||||||||||
Swap Agreement with Deutsche Bank AG, based on the SPDR® S&P 500® ETF Trust |
12/06/13 |
912,267,236 |
17,804,951 |
||||||||||||
Swap Agreement with Goldman Sachs International, based on the SPDR® S&P 500® ETF Trust |
12/06/13 |
443,543,182 |
9,234,250 |
||||||||||||
$ |
80,892,014 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.40%.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA S&P500® 111
Ultra S&P500® invested, as a percentage of net assets, in the following industries, as of November 30, 2013:
Consumer Discretionary |
7.6 |
% |
|||||
Consumer Staples |
6.1 |
% |
|||||
Energy |
6.2 |
% |
|||||
Financials |
9.9 |
% |
|||||
Health Care |
8.0 |
% |
|||||
Industrials |
6.6 |
% |
|||||
Information Technology |
10.8 |
% |
|||||
Materials |
2.1 |
% |
|||||
Telecommunication Services |
1.4 |
% |
|||||
Utilities |
1.8 |
% |
|||||
Other1 |
39.5 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
112 :: SSO ULTRA S&P500® :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks (a) — 49.2% |
|||||||||||
Consumer Discretionary — 10.3% |
|||||||||||
39,341 |
Amazon.com, Inc.* |
$ |
15,485,404 |
||||||||
18,751 |
Bed Bath & Beyond, Inc.* |
1,463,141 |
|||||||||
8,735 |
Charter Communications,
Inc., Class A* |
1,180,098 |
|||||||||
183,719 |
Comcast Corp., Class A |
9,162,067 |
|||||||||
47,272 |
DIRECTV* |
3,125,152 |
|||||||||
12,677 |
Discovery Communications, Inc., Class A* |
1,106,322 |
|||||||||
19,203 |
Dollar Tree, Inc.* |
1,068,647 |
|||||||||
10,608 |
Expedia, Inc. |
675,623 |
|||||||||
4,862 |
Fossil Group, Inc.* |
618,787 |
|||||||||
16,818 |
Garmin Ltd. |
816,682 |
|||||||||
19,227 |
Liberty Global PLC, Class A* |
1,649,869 |
|||||||||
42,323 |
Liberty Interactive Corp., Class A* |
1,188,430 |
|||||||||
9,527 |
Liberty Media Corp.* |
1,462,013 |
|||||||||
27,170 |
Marriott International, Inc., Class A |
1,277,533 |
|||||||||
29,669 |
Mattel, Inc. |
1,372,785 |
|||||||||
5,074 |
Netflix, Inc.* |
1,856,069 |
|||||||||
1 |
News Corp., Class A* |
18 |
|||||||||
9,347 |
O'Reilly Automotive, Inc.* |
1,168,001 |
|||||||||
4,435 |
priceline.com, Inc.* |
5,287,984 |
|||||||||
18,830 |
Ross Stores, Inc. |
1,439,742 |
|||||||||
9,168 |
Sears Holdings Corp.* |
582,443 |
|||||||||
534,662 |
Sirius XM Holdings, Inc. |
2,015,676 |
|||||||||
56,873 |
Staples, Inc. |
883,238 |
|||||||||
64,701 |
Starbucks Corp. |
5,270,543 |
|||||||||
10,458 |
Tesla Motors, Inc.* |
1,331,094 |
|||||||||
130,698 |
Twenty-First Century Fox, Inc., Class A |
4,377,076 |
|||||||||
36,663 |
Viacom, Inc., Class B |
2,939,273 |
|||||||||
8,706 |
Wynn Resorts Ltd. |
1,444,064 |
|||||||||
70,247,774 |
|||||||||||
Consumer Staples — 2.3% |
|||||||||||
37,602 |
Costco Wholesale Corp. |
4,716,419 |
|||||||||
12,980 |
Green Mountain Coffee Roasters, Inc.* |
874,592 |
|||||||||
51,282 |
Kraft Foods Group, Inc. |
2,724,100 |
|||||||||
153,328 |
Mondelez International, Inc., Class A |
5,141,088 |
|||||||||
14,415 |
Monster Beverage Corp.* |
853,080 |
|||||||||
32,076 |
Whole Foods Market, Inc. |
1,815,501 |
|||||||||
16,124,780 |
|||||||||||
Health Care — 6.8% |
|||||||||||
16,839 |
Alexion Pharmaceuticals, Inc.* |
2,096,455 |
|||||||||
64,869 |
Amgen, Inc. |
7,400,256 |
|||||||||
20,465 |
Biogen Idec, Inc.* |
5,954,701 |
|||||||||
17,750 |
Catamaran Corp.* |
809,932 |
|||||||||
35,414 |
Celgene Corp.* |
5,728,923 |
|||||||||
29,544 |
Cerner Corp.* |
1,697,894 |
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
12,252 |
DENTSPLY International, Inc. |
$ |
582,705 |
||||||||
70,108 |
Express Scripts Holding Co.* |
4,721,774 |
|||||||||
131,798 |
Gilead Sciences, Inc.* |
9,859,808 |
|||||||||
7,448 |
Henry Schein, Inc.* |
849,072 |
|||||||||
3,419 |
Intuitive Surgical, Inc.* |
1,288,621 |
|||||||||
32,877 |
Mylan, Inc.* |
1,450,862 |
|||||||||
8,327 |
Regeneron Pharmaceuticals, Inc.* |
2,446,972 |
|||||||||
20,047 |
Vertex Pharmaceuticals, Inc.* |
1,391,663 |
|||||||||
46,279,638 |
|||||||||||
Industrials — 0.9% |
|||||||||||
13,721 |
C.H. Robinson Worldwide, Inc. |
804,462 |
|||||||||
17,773 |
Expeditors International of
Washington, Inc. |
772,059 |
|||||||||
25,562 |
Fastenal Co. |
1,189,400 |
|||||||||
30,480 |
PACCAR, Inc. |
1,746,809 |
|||||||||
7,396 |
Stericycle, Inc.* |
868,882 |
|||||||||
14,459 |
Verisk Analytics, Inc., Class A* |
941,426 |
|||||||||
6,323,038 |
|||||||||||
Information Technology — 27.9% |
|||||||||||
59,870 |
Activision Blizzard, Inc. |
1,030,363 |
|||||||||
43,248 |
Adobe Systems, Inc.* |
2,455,621 |
|||||||||
15,341 |
Akamai Technologies, Inc.* |
686,050 |
|||||||||
27,509 |
Altera Corp. |
887,165 |
|||||||||
26,753 |
Analog Devices, Inc. |
1,290,030 |
|||||||||
78,228 |
Apple, Inc. |
43,500,244 |
|||||||||
103,572 |
Applied Materials, Inc. |
1,791,796 |
|||||||||
19,159 |
Autodesk, Inc.* |
866,945 |
|||||||||
41,575 |
Automatic Data Processing, Inc. |
3,326,831 |
|||||||||
21,261 |
Avago Technologies Ltd. |
951,005 |
|||||||||
23,655 |
Baidu, Inc. (ADR)* |
3,940,213 |
|||||||||
45,551 |
Broadcom Corp., Class A |
1,215,756 |
|||||||||
39,233 |
CA, Inc. |
1,294,689 |
|||||||||
16,915 |
Check Point Software
Technologies Ltd.* |
1,046,362 |
|||||||||
460,186 |
Cisco Systems, Inc. |
9,778,952 |
|||||||||
16,135 |
Citrix Systems, Inc.* |
957,128 |
|||||||||
25,950 |
Cognizant Technology Solutions Corp., Class A* |
2,436,445 |
|||||||||
111,468 |
eBay, Inc.* |
5,631,363 |
|||||||||
4,255 |
Equinix, Inc.* |
683,779 |
|||||||||
6,743 |
F5 Networks, Inc.* |
554,679 |
|||||||||
156,501 |
Facebook, Inc., Class A* |
7,357,112 |
|||||||||
11,202 |
Fiserv, Inc.* |
1,230,988 |
|||||||||
23,588 |
Google, Inc., Class A* |
24,993,609 |
|||||||||
428,986 |
Intel Corp. |
10,227,026 |
|||||||||
25,567 |
Intuit, Inc. |
1,897,838 |
|||||||||
14,271 |
KLA-Tencor Corp. |
911,489 |
|||||||||
20,080 |
Linear Technology Corp. |
854,404 |
|||||||||
24,531 |
Maxim Integrated Products, Inc. |
698,643 |
|||||||||
16,989 |
Microchip Technology, Inc. |
735,454 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA QQQ® 113
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
89,420 |
Micron Technology, Inc.* |
$ |
1,886,762 |
||||||||
717,269 |
Microsoft Corp. |
27,349,467 |
|||||||||
29,285 |
NetApp, Inc. |
1,208,006 |
|||||||||
26,722 |
Nuance Communications, Inc.* |
361,281 |
|||||||||
49,821 |
NVIDIA Corp. |
777,208 |
|||||||||
31,475 |
Paychex, Inc. |
1,376,402 |
|||||||||
147,710 |
QUALCOMM, Inc. |
10,868,502 |
|||||||||
20,699 |
SanDisk Corp. |
1,410,637 |
|||||||||
30,724 |
Seagate Technology PLC |
1,506,705 |
|||||||||
60,223 |
Symantec Corp. |
1,354,415 |
|||||||||
94,819 |
Texas Instruments, Inc. |
4,077,217 |
|||||||||
20,407 |
Western Digital Corp. |
1,531,341 |
|||||||||
22,930 |
Xilinx, Inc. |
1,018,780 |
|||||||||
87,857 |
Yahoo!, Inc.* |
3,248,952 |
|||||||||
191,207,654 |
|||||||||||
Materials — 0.1% |
|||||||||||
10,353 |
Sigma-Aldrich Corp. |
892,843 |
|||||||||
Telecommunication Services — 0.9% |
|||||||||||
11,003 |
SBA Communications Corp., Class A* |
937,126 |
|||||||||
142,257 |
VimpelCom Ltd. (ADR) |
1,746,916 |
|||||||||
86,734 |
Vodafone Group PLC (ADR) |
3,216,964 |
|||||||||
5,901,006 |
|||||||||||
Total Common Stocks (Cost $316,811,664) |
336,976,733 |
||||||||||
Principal Amount |
|||||||||||
U.S. Government &
Agency Securities (a) — 23.5% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
58,920,622 |
0.00%, due 12/02/13 |
58,920,622 |
||||||||
U.S. Treasury Bills |
|||||||||||
6,000,000 |
0.00%, due 12/12/13 |
5,999,954 |
|||||||||
30,000,000 |
0.00%, due 01/09/14 |
29,999,123 |
|||||||||
6,000,000 |
0.00%, due 01/23/14 |
5,999,426 |
|||||||||
10,000,000 |
0.00%, due 03/13/14 |
9,999,093 |
|||||||||
15,000,000 |
0.00%, due 04/03/14 |
14,997,053 |
|||||||||
10,000,000 |
0.00%, due 04/24/14 |
9,996,500 |
|||||||||
25,000,000 |
0.00%, due 05/08/14 |
24,990,564 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $160,902,335) |
160,902,335 |
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a)(b) — 16.9% |
|||||||||||
$ |
115,532,814 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $115,533,403 |
$ |
115,532,814 |
|||||||
Total Repurchase
Agreements (Cost $115,532,814) |
115,532,814 |
||||||||||
Total Investment Securities (Cost $593,246,813) — 89.6% |
613,411,882 |
||||||||||
Other assets less liabilities — 10.4% |
71,129,713 |
||||||||||
Net Assets — 100.0% |
$ |
684,541,595 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $60,238,136.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
ADR American Depositary Receipt
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
30,423,052 |
|||||
Aggregate gross unrealized depreciation |
(10,366,338 |
) |
|||||
Net unrealized appreciation |
$ |
20,056,714 |
|||||
Federal income tax cost of investments |
$ |
593,355,168 |
Futures Contracts Purchased
Ultra QQQ® had the following open long futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts |
1,498 |
12/20/13 |
$ |
104,545,420 |
$ |
5,704,522 |
Cash collateral in the amount of $4,805,955 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
114 :: QLD ULTRA QQQ® :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements ‡
Ultra QQQ® had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the NASDAQ-100 Index® |
12/06/13 |
$ |
103,482,325 |
$ |
3,261,181 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the NASDAQ-100 Index® |
11/06/15 |
115,656,310 |
3,548,383 |
||||||||||||
Equity Index Swap Agreement with Deutsche Bank AG, based on the NASDAQ-100 Index® |
12/06/13 |
177,163,915 |
5,488,103 |
||||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the NASDAQ-100 Index® |
12/06/13 |
3,058,246 |
93,629 |
||||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the
NASDAQ-100 Index® |
11/06/15 |
28,161,004 |
818,406 |
||||||||||||
Equity Index Swap Agreement with Societe Generale, based on the NASDAQ-100 Index® |
03/06/14 |
53,222,138 |
6,911,678 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on the NASDAQ-100 Index® |
12/06/13 |
78,257,065 |
2,398,638 |
||||||||||||
Swap Agreement with Deutsche Bank AG, based on the
PowerShares QQQ TrustSM, Series 1 |
03/06/14 |
76,452,040 |
7,716,733 |
||||||||||||
Swap Agreement with Goldman
Sachs International, based on the PowerShares QQQ TrustSM, Series 1 |
03/06/14 |
73,603,087 |
12,631,667 |
||||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the PowerShares QQQ TrustSM, Series 1 |
03/06/14 |
218,566,937 |
32,817,002 |
||||||||||||
$ |
75,685,420 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.44%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA QQQ® 115
Shares |
Value |
||||||||||
Common Stocks (a) — 57.5% |
|||||||||||
Consumer Discretionary — 7.5% |
|||||||||||
63,491 |
Home Depot, Inc. (The) |
$ |
5,121,819 |
||||||||
63,491 |
McDonald's Corp. |
6,182,118 |
|||||||||
63,491 |
NIKE, Inc., Class B |
5,024,678 |
|||||||||
63,491 |
Walt Disney Co. (The) |
4,478,655 |
|||||||||
20,807,270 |
|||||||||||
Consumer Staples — 4.7% |
|||||||||||
63,491 |
Coca-Cola Co. (The) |
2,551,703 |
|||||||||
63,491 |
Procter & Gamble Co. (The) |
5,347,212 |
|||||||||
63,491 |
Wal-Mart Stores, Inc. |
5,143,406 |
|||||||||
13,042,321 |
|||||||||||
Energy — 5.0% |
|||||||||||
63,491 |
Chevron Corp. |
7,773,838 |
|||||||||
63,491 |
Exxon Mobil Corp. |
5,935,139 |
|||||||||
13,708,977 |
|||||||||||
Financials — 9.2% |
|||||||||||
63,491 |
American Express Co. |
5,447,528 |
|||||||||
63,491 |
Goldman Sachs Group, Inc. (The) |
10,726,170 |
|||||||||
63,491 |
JPMorgan Chase & Co. |
3,632,955 |
|||||||||
63,491 |
Travelers Cos., Inc. (The) |
5,761,173 |
|||||||||
25,567,826 |
|||||||||||
Health Care — 5.8% |
|||||||||||
63,491 |
Johnson & Johnson |
6,010,058 |
|||||||||
63,491 |
Merck & Co., Inc. |
3,163,757 |
|||||||||
63,491 |
Pfizer, Inc. |
2,014,569 |
|||||||||
63,491 |
UnitedHealth Group, Inc. |
4,728,810 |
|||||||||
15,917,194 |
|||||||||||
Industrials — 11.2% |
|||||||||||
63,491 |
3M Co. |
8,476,683 |
|||||||||
63,491 |
Boeing Co. (The) |
8,523,667 |
|||||||||
63,491 |
Caterpillar, Inc. |
5,371,339 |
|||||||||
63,491 |
General Electric Co. |
1,692,670 |
|||||||||
63,491 |
United Technologies Corp. |
7,038,612 |
|||||||||
31,102,971 |
|||||||||||
Information Technology — 10.7% |
|||||||||||
63,491 |
Cisco Systems, Inc. |
1,349,184 |
|||||||||
63,491 |
Intel Corp. |
1,513,625 |
|||||||||
63,491 |
International Business
Machines Corp. |
11,408,063 |
|||||||||
63,491 |
Microsoft Corp. |
2,420,912 |
|||||||||
63,491 |
Visa, Inc., Class A |
12,917,879 |
|||||||||
29,609,663 |
|||||||||||
Materials — 1.4% |
|||||||||||
63,491 |
E.I. du Pont de Nemours & Co. |
3,897,078 |
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
Telecommunication Services — 2.0% |
|||||||||||
63,491 |
AT&T, Inc. |
$ |
2,235,518 |
||||||||
63,491 |
Verizon Communications, Inc. |
3,150,424 |
|||||||||
5,385,942 |
|||||||||||
Total Common Stocks (Cost $145,024,855) |
159,039,242 |
||||||||||
Principal Amount |
|||||||||||
U.S. Government &
Agency Securities (a) — 20.9% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
21,714,768 |
0.00%, due 12/02/13 |
21,714,768 |
||||||||
U.S. Treasury Bills |
|||||||||||
15,000,000 |
0.00%, due 01/16/14 |
14,999,521 |
|||||||||
5,000,000 |
0.00%, due 03/20/14 |
4,999,508 |
|||||||||
4,000,000 |
0.00%, due 04/24/14 |
3,998,600 |
|||||||||
12,000,000 |
0.00%, due 05/08/14 |
11,995,470 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $57,707,867) |
57,707,867 |
||||||||||
Repurchase Agreements (a)(b) — 15.5% |
|||||||||||
42,874,265 |
Repurchase Agreements
with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $42,874,483 |
42,874,265 |
|||||||||
Total Repurchase Agreements (Cost $42,874,265) |
42,874,265 |
||||||||||
Total Investment
Securities (Cost $245,606,987) — 93.9% |
259,621,374 |
||||||||||
Other assets less liabilities — 6.1% |
16,985,460 |
||||||||||
Net Assets — 100.0% |
$ |
276,606,834 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $33,218,952.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
16,469,986 |
|||||
Aggregate gross unrealized depreciation |
(2,455,599 |
) |
|||||
Net unrealized appreciation |
$ |
14,014,387 |
|||||
Federal income tax cost of investments |
$ |
245,606,987 |
See accompanying notes to the financial statements.
116 :: DDM ULTRA DOW30SM :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Futures Contracts Purchased
Ultra Dow30SM had the following open long futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Dow Jones Futures Contracts |
620 |
12/20/13 |
$ |
49,807,700 |
$ |
2,310,077 |
Cash collateral in the amount of $2,096,876 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
Swap Agreements ‡
Ultra Dow30SM had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement
with Citibank, N.A., based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
$ |
11,071,053 |
$ |
258,281 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Dow Jones Industrial AverageSM Index |
03/06/14 |
106,878,751 |
7,179,574 |
||||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
40,265,829 |
932,208 |
||||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
3,430,347 |
79,720 |
||||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
4,212,017 |
97,911 |
||||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Dow Jones Industrial AverageSM Index |
11/06/15 |
26,678,185 |
620,952 |
||||||||||||
Equity Index Swap Agreement
with UBS AG, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
31,501,084 |
705,097 |
||||||||||||
Swap Agreement with Deutsche Bank AG, based on the
SPDR® Dow Jones Industrial AverageSM ETF Trust |
11/06/14 |
120,365,466 |
4,662,719 |
||||||||||||
$ |
14,536,462 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.36%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA DOW30SM 117
Shares |
Percentage
of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 63.8% |
|||||||||||||||
65,100 |
3D Systems Corp.* (Information Technology) |
0.3 |
% |
$ |
4,892,916 |
||||||||||
50,177 |
Advance Auto Parts, Inc.
(Consumer Discretionary) |
0.3 |
% |
5,068,379 |
|||||||||||
36,409 |
Affiliated Managers Group, Inc.* (Financials) |
0.5 |
% |
7,290,902 |
|||||||||||
11,592 |
Alleghany Corp.*
(Financials) |
0.3 |
% |
4,568,407 |
|||||||||||
33,579 |
Alliance Data Systems Corp.* (Information Technology) |
0.5 |
% |
8,134,849 |
|||||||||||
63,679 |
ANSYS, Inc.*
(Information Technology) |
0.3 |
% |
5,455,380 |
|||||||||||
87,970 |
Arthur J. Gallagher & Co. (Financials) |
0.2 |
% |
4,094,124 |
|||||||||||
49,560 |
Ashland, Inc. (Materials) |
0.3 |
% |
4,513,925 |
|||||||||||
67,858 |
B/E Aerospace, Inc.* (Industrials) |
0.4 |
% |
5,903,646 |
|||||||||||
95,456 |
Church & Dwight Co.,
Inc. (Consumer Staples) |
0.4 |
% |
6,228,504 |
|||||||||||
59,591 |
Cimarex Energy Co. (Energy) |
0.3 |
% |
5,636,117 |
|||||||||||
33,720 |
Cooper Cos., Inc.
(The) (Health Care) |
0.3 |
% |
4,442,273 |
|||||||||||
82,740 |
Cree, Inc.* (Information Technology) |
0.3 |
% |
4,616,892 |
|||||||||||
78,675 |
Endo Health Solutions,
Inc.* (Health Care) |
0.3 |
% |
5,286,173 |
|||||||||||
42,899 |
Energizer Holdings, Inc. (Consumer Staples) |
0.3 |
% |
4,733,905 |
|||||||||||
34,000 |
Equinix, Inc.*
(Information Technology) |
0.3 |
% |
5,463,800 |
|||||||||||
33,497 |
Everest Re Group Ltd. (Financials) |
0.3 |
% |
5,253,335 |
|||||||||||
45,257 |
Federal Realty Investment
Trust (REIT) (Financials) |
0.3 |
% |
4,685,005 |
|||||||||||
168,518 |
Fidelity National Financial, Inc., Class A (Financials) |
0.3 |
% |
4,898,818 |
|||||||||||
114,360 |
Fortune Brands Home &
Security, Inc. (Industrials) |
0.3 |
% |
4,986,096 |
|||||||||||
64,177 |
Gartner, Inc.* (Information Technology) |
0.2 |
% |
4,149,043 |
|||||||||||
90,343 |
Green Mountain Coffee
Roasters, Inc.* (Consumer Staples) |
0.4 |
% |
6,087,311 |
|||||||||||
68,202 |
Hanesbrands, Inc. (Consumer Discretionary) |
0.3 |
% |
4,780,960 |
|||||||||||
59,583 |
Henry Schein, Inc.*
(Health Care) |
0.4 |
% |
6,792,462 |
|||||||||||
137,680 |
HollyFrontier Corp. (Energy) |
0.4 |
% |
6,605,886 |
|||||||||||
186,305 |
Hologic, Inc.* (Health Care) |
0.2 |
% |
4,171,369 |
|||||||||||
62,904 |
J.B. Hunt Transport Services, Inc. (Industrials) |
0.3 |
% |
4,729,752 |
|||||||||||
81,446 |
Jarden Corp.*
(Consumer Discretionary) |
0.3 |
% |
4,580,523 |
Shares |
Percentage
of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
206,750 |
LKQ Corp.* (Consumer Discretionary) |
0.4 |
% |
$ |
6,853,763 |
||||||||||
53,933 |
Manpowergroup, Inc.
(Industrials) |
0.3 |
% |
4,310,865 |
|||||||||||
20,629 |
Mettler-Toledo International, Inc.* (Health Care) |
0.3 |
% |
5,086,492 |
|||||||||||
41,963 |
Mohawk Industries, Inc.*
(Consumer Discretionary) |
0.4 |
% |
5,875,659 |
|||||||||||
303,714 |
New York Community Bancorp, Inc. (Financials) |
0.3 |
% |
5,017,355 |
|||||||||||
74,536 |
Oceaneering International,
Inc. (Energy) |
0.4 |
% |
5,753,434 |
|||||||||||
136,645 |
OGE Energy Corp. (Utilities) |
0.3 |
% |
4,703,321 |
|||||||||||
67,716 |
Packaging Corp. of America
(Materials) |
0.2 |
% |
4,148,282 |
|||||||||||
44,115 |
Polaris Industries, Inc. (Consumer Discretionary) |
0.4 |
% |
5,888,029 |
|||||||||||
135,139 |
Realty Income Corp.
(REIT) (Financials) |
0.3 |
% |
5,150,147 |
|||||||||||
97,860 |
ResMed, Inc. (Health Care) |
0.3 |
% |
4,776,547 |
|||||||||||
49,578 |
Rock-Tenn Co., Class A
(Materials) |
0.3 |
% |
4,681,155 |
|||||||||||
55,476 |
Signet Jewelers Ltd. (Consumer Discretionary) |
0.3 |
% |
4,262,776 |
|||||||||||
63,362 |
SL Green Realty Corp.
(REIT) (Financials) |
0.4 |
% |
5,732,360 |
|||||||||||
44,337 |
Towers Watson & Co., Class A (Industrials) |
0.3 |
% |
4,992,346 |
|||||||||||
96,182 |
Tractor Supply Co.
(Consumer Discretionary) |
0.4 |
% |
7,041,484 |
|||||||||||
176,853 |
Trimble Navigation Ltd.* (Information Technology) |
0.3 |
% |
5,641,611 |
|||||||||||
55,228 |
Under Armour, Inc.,
Class A* (Consumer Discretionary) |
0.3 |
% |
4,456,900 |
|||||||||||
64,263 |
United Rentals, Inc.* (Industrials) |
0.3 |
% |
4,416,796 |
|||||||||||
61,558 |
Universal Health Services,
Inc., Class B (Health Care) |
0.3 |
% |
5,074,226 |
|||||||||||
66,320 |
Wabtec Corp. (Industrials) |
0.3 |
% |
4,576,080 |
|||||||||||
22,816,618 |
Other Common Stocks |
48.0 |
% |
775,407,564 |
|||||||||||
Total Common Stocks (Cost $995,126,896) |
1,031,897,944 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government &
Agency Securities (a) — 22.1% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
99,423,202 |
0.00%, due 12/02/13 |
99,423,202 |
||||||||||||
U.S. Treasury Bills |
|||||||||||||||
29,835,000 |
0.00%, due 12/12/13 |
29,834,544 |
|||||||||||||
7,000,000 |
0.00%, due 12/26/13 |
6,999,813 |
|||||||||||||
10,000,000 |
0.00%, due 02/06/14 |
9,998,669 |
See accompanying notes to the financial statements.
118 :: MVV ULTRA MIDCAP400 :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||||||
U.S. Government &
Agency Securities (a) (continued) |
|||||||||||||||
$ |
130,000,000 |
0.00%, due 02/20/14 |
$ |
129,998,538 |
|||||||||||
80,000,000 |
0.00%, due 04/10/14 |
79,983,967 |
|||||||||||||
Total U.S. Government & Agency
Securities (Cost $356,238,733) |
356,238,733 |
||||||||||||||
Repurchase Agreements (a)(b) — 12.2% |
|||||||||||||||
197,428,994 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $197,429,999 |
197,428,994 |
|||||||||||||
Total Repurchase Agreements
(Cost $197,428,994) |
197,428,994 |
||||||||||||||
Total Investment Securities (Cost $1,548,794,623) — 98.1% |
1,585,565,671 |
||||||||||||||
Other assets less liabilities — 1.9% |
29,987,594 |
||||||||||||||
Net Assets — 100.0% |
$ |
1,615,553,265 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $182,307,023.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,613,898 |
|||||
Aggregate gross unrealized depreciation |
(19,716,255 |
) |
|||||
Net unrealized depreciation |
$ |
(18,102,357 |
) |
||||
Federal income tax cost of investments |
$ |
1,603,668,028 |
Futures Contracts Purchased
Ultra MidCap400 had the following open long futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini S&P MidCap 400 Futures Contracts |
1,326 |
12/20/13 |
$ |
172,830,840 |
$ |
5,373,043 |
Cash collateral in the amount of $8,556,233 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
Swap Agreements ‡
Ultra MidCap400 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the S&P MidCap 400® Index |
01/06/14 |
$ |
480,020,587 |
$ |
6,384,930 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the S&P MidCap 400® Index |
01/06/14 |
176,189,278 |
2,250,560 |
||||||||||||
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P MidCap 400® Index |
12/06/13 |
78,541,807 |
791,135 |
||||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the S&P MidCap 400® Index |
12/06/13 |
262,939,910 |
2,263,278 |
||||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the S&P MidCap 400® Index |
12/06/13 |
190,712,310 |
1,927,918 |
||||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the S&P MidCap 400® Index |
11/06/15 |
53,750,441 |
43,548 |
||||||||||||
Equity Index Swap Agreement with Societe Generale, based on the S&P MidCap 400® Index |
01/06/14 |
45,000,240 |
568,396 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on the S&P MidCap 400® Index |
12/06/13 |
74,641,123 |
847,990 |
||||||||||||
Swap Agreement with Deutsche Bank AG, based on the SPDR® S&P MidCap 400® ETF Trust |
01/06/14 |
205,762,998 |
2,322,748 |
||||||||||||
Swap Agreement with Goldman Sachs International,
based on the SPDR® S&P MidCap 400® ETF Trust |
12/06/13 |
458,949,228 |
5,089,906 |
||||||||||||
$ |
22,490,409 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.36%.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA MIDCAP400 119
Ultra MidCap400 invested, as a percentage of net assets, in the following industries, as of November 30, 2013:
Consumer Discretionary |
9.1 |
% |
|||||
Consumer Staples |
2.4 |
% |
|||||
Energy |
3.7 |
% |
|||||
Financials |
14.4 |
% |
|||||
Health Care |
5.8 |
% |
|||||
Industrials |
10.6 |
% |
|||||
Information Technology |
10.1 |
% |
|||||
Materials |
4.4 |
% |
|||||
Telecommunication Services |
0.3 |
% |
|||||
Utilities |
3.0 |
% |
|||||
Other1 |
36.2 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
120 :: MVV ULTRA MIDCAP400 :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
No. of Rights |
Value |
||||||||||
Rights — 0.0% ‡ |
|||||||||||
3,327 |
Omthera Pharmaceuticals, Inc., at $4.70*^ |
$ |
— |
||||||||
4,828 |
Peapack Gladstone Financial
Corp., expiring 12/09/13 at $17.00*^ |
1,738 |
|||||||||
Total Rights (Cost $—) |
1,738 |
||||||||||
No. of Warrants |
|||||||||||
Warrants — 0.0% ‡ |
|||||||||||
9,763 |
Magnum Hunter Resources Corp., expiring 04/15/16 at $8.50*^ |
— |
|||||||||
Total
Warrants (Cost $—) |
— |
||||||||||
Principal Amount |
|||||||||||
U.S. Government & Agency Securities (a) — 52.6% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
52,390,283 |
0.00%, due 12/02/13 |
52,390,283 |
||||||||
U.S. Treasury Bills |
|||||||||||
20,000,000 |
0.00%, due 12/12/13 |
19,999,797 |
|||||||||
2,191,000 |
0.00%, due 01/02/14 |
2,190,951 |
|||||||||
7,809,000 |
0.00%, due 01/09/14 |
7,808,645 |
|||||||||
20,000,000 |
0.00%, due 03/20/14 |
19,998,032 |
|||||||||
37,000,000 |
0.00%, due 04/24/14 |
36,987,050 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $139,374,758) |
139,374,758 |
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a)(b) — 35.1% |
|||||||||||
$ |
93,041,427 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $93,041,909 |
$ |
93,041,427 |
|||||||
Total Repurchase Agreements
(Cost $93,041,427) |
93,041,427 |
||||||||||
Total Investment Securities (Cost $232,416,185) — 87.7% |
232,417,923 |
||||||||||
Other assets less liabilities — 12.3% |
32,689,842 |
||||||||||
Net Assets — 100.0% |
$ |
265,107,765 |
* Non-income producing security.
^ Security fair valued in accordance with procedures adopted by the Board of Trustees. At November 30, 2013, the value of these securities amounted to $1,738 or 0.00% of net assets.
‡ Amount represents less than 0.05%.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $7,710,723.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,063,533 |
|||||
Aggregate gross unrealized depreciation |
(1,061,795 |
) |
|||||
Net unrealized appreciation |
$ |
1,738 |
|||||
Federal income tax cost of investments |
$ |
232,416,185 |
Futures Contracts Purchased
Ultra Russell2000 had the following open long futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Russell 2000 Futures Contracts |
229 |
12/20/13 |
$ |
26,131,190 |
$ |
519,511 |
Cash collateral in the amount of $1,094,621 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA RUSSELL2000 121
Swap Agreements ‡
Ultra Russell2000 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the Russell 2000® Index |
12/06/13 |
$ |
3,724,069 |
$ |
974,235 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Russell 2000® Index |
11/06/15 |
22,052,970 |
899,296 |
||||||||||||
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Index |
11/06/15 |
9,119,304 |
1,151,035 |
||||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Russell 2000® Index |
11/06/15 |
79,974,913 |
3,859,806 |
||||||||||||
Equity Index Swap Agreement
with Merill Lynch International, based on the Russell 2000® Index |
01/06/14 |
939,424 |
88,732 |
||||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Russell 2000® Index |
11/06/15 |
178,682,424 |
11,391,730 |
||||||||||||
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Index |
11/06/15 |
188,300,187 |
7,966,447 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Index |
11/06/15 |
13,508,457 |
1,127,286 |
||||||||||||
Swap Agreement with Deutsche Bank AG, based on the iShares® Russell 2000 Index Fund |
11/06/15 |
4,437,817 |
666,383 |
||||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Russell 2000 Index Fund |
11/06/15 |
3,342,232 |
501,412 |
||||||||||||
$ |
28,626,362 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.01%.
See accompanying notes to the financial statements.
122 :: UWM ULTRA RUSSELL2000 :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 13.8% |
|||||||||||||||
454 |
Actuant Corp., Class A (Industrials) |
0.1 |
% |
$ |
17,742 |
||||||||||
435 |
Align Technology, Inc.*
(Health Care) |
0.1 |
% |
23,768 |
|||||||||||
270 |
Belden, Inc. (Information Technology) |
0.1 |
% |
18,905 |
|||||||||||
225 |
Bristow Group, Inc.
(Energy) |
0.1 |
% |
18,045 |
|||||||||||
561 |
Brunswick Corp. (Consumer Discretionary) |
0.1 |
% |
25,638 |
|||||||||||
116 |
Buffalo Wild Wings, Inc.*
(Consumer Discretionary) |
0.0 |
% |
17,428 |
|||||||||||
238 |
Casey's General Stores, Inc. (Consumer Staples) |
0.1 |
% |
17,712 |
|||||||||||
338 |
Centene Corp.* (Health Care) |
0.1 |
% |
20,189 |
|||||||||||
512 |
Cognex Corp. (Information Technology) |
0.0 |
% |
16,870 |
|||||||||||
147 |
Cracker Barrel Old Country
Store, Inc. (Consumer Discretionary) |
0.0 |
% |
15,948 |
|||||||||||
291 |
Curtiss-Wright Corp. (Industrials) |
0.0 |
% |
15,356 |
|||||||||||
732 |
Darling International,
Inc.* (Consumer Staples) |
0.0 |
% |
15,174 |
|||||||||||
415 |
EMCOR Group, Inc. (Industrials) |
0.0 |
% |
16,488 |
|||||||||||
295 |
EnerSys, Inc. (Industrials) |
0.1 |
% |
21,048 |
|||||||||||
314 |
EPR Properties (REIT) (Financials) |
0.0 |
% |
15,791 |
|||||||||||
258 |
FEI Co. (Information Technology) |
0.1 |
% |
23,491 |
|||||||||||
760 |
Fifth & Pacific Cos., Inc.* (Consumer Discretionary) |
0.1 |
% |
24,822 |
|||||||||||
308 |
Financial Engines, Inc.
(Financials) |
0.1 |
% |
20,867 |
|||||||||||
446 |
Geo Group, Inc. (The) (REIT) (Financials) |
0.0 |
% |
14,629 |
|||||||||||
311 |
H.B. Fuller Co. (Materials) |
0.0 |
% |
15,933 |
|||||||||||
295 |
Hain Celestial Group, Inc. (The)* (Consumer Staples) |
0.1 |
% |
24,394 |
|||||||||||
638 |
LaSalle Hotel Properties
(REIT) (Financials) |
0.1 |
% |
19,982 |
|||||||||||
873 |
Live Nation Entertainment, Inc.* (Consumer Discretionary) |
0.0 |
% |
16,037 |
|||||||||||
170 |
Lumber Liquidators
Holdings, Inc.* (Consumer Discretionary) |
0.0 |
% |
17,117 |
|||||||||||
233 |
MarketAxess Holdings, Inc. (Financials) |
0.0 |
% |
16,396 |
|||||||||||
422 |
MAXIMUS, Inc.
(Information Technology) |
0.1 |
% |
19,201 |
|||||||||||
155 |
Medidata Solutions, Inc.* (Health Care) |
0.1 |
% |
18,431 |
|||||||||||
281 |
Moog, Inc., Class A*
(Industrials) |
0.1 |
% |
19,296 |
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
432 |
Old Dominion Freight Line, Inc.* (Industrials) |
0.1 |
% |
$ |
22,261 |
||||||||||
470 |
Piedmont Natural Gas
Co., Inc. (Utilities) |
0.0 |
% |
15,581 |
|||||||||||
600 |
PolyOne Corp. (Materials) |
0.1 |
% |
19,476 |
|||||||||||
289 |
Pool Corp. (Consumer Discretionary) |
0.0 |
% |
16,196 |
|||||||||||
314 |
Portfolio Recovery Associates, Inc.* (Financials) |
0.1 |
% |
18,338 |
|||||||||||
383 |
ProAssurance Corp.
(Financials) |
0.1 |
% |
18,415 |
|||||||||||
1,770 |
Prospect Capital Corp. (Financials) |
0.1 |
% |
20,196 |
|||||||||||
342 |
Questcor Pharmaceuticals,
Inc. (Health Care) |
0.1 |
% |
19,839 |
|||||||||||
287 |
Southwest Gas Corp. (Utilities) |
0.0 |
% |
15,228 |
|||||||||||
366 |
Stifel Financial Corp.*
(Financials) |
0.0 |
% |
16,386 |
|||||||||||
1,159 |
Susquehanna Bancshares, Inc. (Financials) |
0.1 |
% |
14,592 |
|||||||||||
585 |
Tanger Factory Outlet
Centers (REIT) (Financials) |
0.0 |
% |
19,346 |
|||||||||||
232 |
Teledyne Technologies, Inc.* (Industrials) |
0.1 |
% |
21,513 |
|||||||||||
354 |
Toro Co. (The) (Industrials) |
0.1 |
% |
21,845 |
|||||||||||
225 |
TreeHouse Foods, Inc.* (Consumer Staples) |
0.0 |
% |
15,784 |
|||||||||||
174 |
Tyler Technologies, Inc.*
(Information Technology) |
0.1 |
% |
17,854 |
|||||||||||
229 |
UMB Financial Corp. (Financials) |
0.0 |
% |
14,683 |
|||||||||||
259 |
ViaSat, Inc.*
(Information Technology) |
0.0 |
% |
15,584 |
|||||||||||
406 |
ViroPharma, Inc.* (Health Care) |
0.1 |
% |
20,101 |
|||||||||||
432 |
West Pharmaceutical
Services, Inc. (Health Care) |
0.1 |
% |
21,565 |
|||||||||||
622 |
Wolverine World Wide, Inc. (Consumer Discretionary) |
0.1 |
% |
20,470 |
|||||||||||
130,695 |
Other Common Stocks |
10.9 |
% |
3,366,894 |
|||||||||||
Total Common Stocks (Cost $4,362,641) |
4,278,845 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government &
Agency Security (a) — 27.1% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
8,385,236 |
0.00%, due 12/02/13 |
8,385,236 |
||||||||||||
Total U.S. Government & Agency
Security (Cost $8,385,236) |
8,385,236 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA SMALLCAP600 123
Principal Amount |
Value |
||||||||||||||
Repurchase Agreements (a)(b) — 48.1% |
|||||||||||||||
$ |
14,912,095 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $14,912,171 |
$ |
14,912,095 |
|||||||||||
Total Repurchase Agreements
(Cost $14,912,095) |
14,912,095 |
||||||||||||||
Total Investment Securities (Cost $27,659,972) — 89.0% |
27,576,176 |
||||||||||||||
Other assets less liabilities — 11.0% |
3,418,762 |
||||||||||||||
Net Assets — 100.0% |
$ |
30,994,938 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $2,446,591.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
289,603 |
|||||
Aggregate gross unrealized depreciation |
(479,199 |
) |
|||||
Net unrealized depreciation |
$ |
(189,596 |
) |
||||
Federal income tax cost of investments |
$ |
27,765,772 |
Swap Agreements ‡
Ultra SmallCap600 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank N.A., based on the S&P SmallCap 600® Index |
01/06/14 |
$ |
5,267,769 |
$ |
1,128,588 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the S&P SmallCap 600® Index |
11/06/15 |
2,521,335 |
95,555 |
||||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the S&P SmallCap 600® Index |
12/06/13 |
4,651,447 |
174,247 |
||||||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the S&P SmallCap 600® Index |
12/06/13 |
3,368,734 |
77,479 |
||||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the
S&P SmallCap 600® Index |
01/06/14 |
8,858,228 |
701,007 |
||||||||||||
Equity Index Swap Agreement with Societe Generale, based on the S&P SmallCap 600® Index |
11/06/15 |
26,228,264 |
988,647 |
||||||||||||
Swap Agreement with Deutsche Bank AG, based on the iShares® Core S&P Small-Cap ETF |
12/06/13 |
6,811,733 |
259,507 |
||||||||||||
$ |
3,425,030 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.33%.
Ultra SmallCap600 invested, as a percentage of net assets, in the following industries, as of November 30, 2013:
Consumer Discretionary |
2.2 |
% |
|||||
Consumer Staples |
0.6 |
% |
|||||
Energy |
0.5 |
% |
|||||
Financials |
3.0 |
% |
|||||
Health Care |
1.6 |
% |
|||||
Industrials |
2.1 |
% |
|||||
Information Technology |
2.5 |
% |
|||||
Materials |
0.8 |
% |
|||||
Telecommunication Services |
0.0 |
%‡ |
|||||
Utilities |
0.5 |
% |
|||||
Other1 |
86.2 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
124 :: SAA ULTRA SMALLCAP600 :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 3.8% |
|||||||||||||||
915 |
3M Co. (Industrials) |
0.0 |
% |
$ |
122,162 |
||||||||||
2,233 |
AbbVie, Inc. (Health Care) |
0.0 |
% |
108,189 |
|||||||||||
2,823 |
Altria Group, Inc. (Consumer Staples) |
0.0 |
% |
104,395 |
|||||||||||
521 |
Amazon.com, Inc.*
(Consumer Discretionary) |
0.0 |
% |
205,076 |
|||||||||||
1,307 |
American Express Co. (Financials) |
0.0 |
% |
112,141 |
|||||||||||
1,061 |
Amgen, Inc. (Health Care) |
0.0 |
% |
121,039 |
|||||||||||
1,280 |
Apple, Inc. (Information Technology) |
0.1 |
% |
711,770 |
|||||||||||
7,481 |
AT&T, Inc.
(Telecommunication Services) |
0.1 |
% |
263,406 |
|||||||||||
15,132 |
Bank of America Corp. (Financials) |
0.1 |
% |
239,388 |
|||||||||||
2,535 |
Berkshire Hathaway, Inc.,
Class B* (Financials) |
0.1 |
% |
295,404 |
|||||||||||
978 |
Boeing Co. (The) (Industrials) |
0.0 |
% |
131,296 |
|||||||||||
2,319 |
Bristol-Myers Squibb Co.
(Health Care) |
0.0 |
% |
119,150 |
|||||||||||
2,721 |
Chevron Corp. (Energy) |
0.1 |
% |
333,159 |
|||||||||||
7,552 |
Cisco Systems, Inc.
(Information Technology) |
0.0 |
% |
160,480 |
|||||||||||
4,284 |
Citigroup, Inc. (Financials) |
0.1 |
% |
226,709 |
|||||||||||
5,370 |
Coca-Cola Co. (The)
(Consumer Staples) |
0.1 |
% |
215,820 |
|||||||||||
3,684 |
Comcast Corp., Class A (Consumer Discretionary) |
0.0 |
% |
183,721 |
|||||||||||
1,723 |
ConocoPhillips (Energy) |
0.0 |
% |
125,434 |
|||||||||||
1,730 |
CVS Caremark Corp. (Consumer Staples) |
0.0 |
% |
115,841 |
|||||||||||
6,200 |
Exxon Mobil Corp. (Energy) |
0.1 |
% |
579,576 |
|||||||||||
14,345 |
General Electric Co. (Industrials) |
0.1 |
% |
382,438 |
|||||||||||
2,156 |
Gilead Sciences, Inc.*
(Health Care) |
0.0 |
% |
161,290 |
|||||||||||
394 |
Google, Inc., Class A* (Information Technology) |
0.1 |
% |
417,478 |
|||||||||||
2,018 |
Home Depot, Inc. (The)
(Consumer Discretionary) |
0.0 |
% |
162,792 |
|||||||||||
7,018 |
Intel Corp. (Information Technology) |
0.0 |
% |
167,309 |
|||||||||||
1,450 |
International Business
Machines Corp. (Information Technology) |
0.1 |
% |
260,536 |
|||||||||||
3,969 |
Johnson & Johnson (Health Care) |
0.1 |
% |
375,706 |
|||||||||||
5,302 |
JPMorgan Chase & Co.
(Financials) |
0.1 |
% |
303,380 |
|||||||||||
146 |
MasterCard, Inc., Class A (Information Technology) |
0.0 |
% |
111,078 |
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
1,408 |
McDonald's Corp. (Consumer Discretionary) |
0.0 |
% |
$ |
137,097 |
||||||||||
4,122 |
Merck & Co., Inc.
(Health Care) |
0.1 |
% |
205,399 |
|||||||||||
10,677 |
Microsoft Corp. (Information Technology) |
0.1 |
% |
407,114 |
|||||||||||
1,135 |
Occidental Petroleum Corp.
(Energy) |
0.0 |
% |
107,780 |
|||||||||||
5,023 |
Oracle Corp. (Information Technology) |
0.0 |
% |
177,262 |
|||||||||||
2,172 |
PepsiCo, Inc.
(Consumer Staples) |
0.0 |
% |
183,447 |
|||||||||||
9,325 |
Pfizer, Inc. (Health Care) |
0.1 |
% |
295,882 |
|||||||||||
2,280 |
Philip Morris
International, Inc. (Consumer Staples) |
0.0 |
% |
195,031 |
|||||||||||
3,858 |
Procter & Gamble Co. (The) (Consumer Staples) |
0.1 |
% |
324,921 |
|||||||||||
2,416 |
QUALCOMM, Inc.
(Information Technology) |
0.0 |
% |
177,769 |
|||||||||||
1,864 |
Schlumberger Ltd. (Energy) |
0.0 |
% |
164,815 |
|||||||||||
653 |
Union Pacific Corp.
(Industrials) |
0.0 |
% |
105,812 |
|||||||||||
1,018 |
United Parcel Service, Inc., Class B (Industrials) |
0.0 |
% |
104,223 |
|||||||||||
1,189 |
United Technologies Corp.
(Industrials) |
0.0 |
% |
131,813 |
|||||||||||
1,432 |
UnitedHealth Group, Inc. (Health Care) |
0.0 |
% |
106,655 |
|||||||||||
4,031 |
Verizon Communications,
Inc. (Telecommunication Services) |
0.0 |
% |
200,018 |
|||||||||||
727 |
Visa, Inc., Class A (Information Technology) |
0.0 |
% |
147,915 |
|||||||||||
2,293 |
Wal-Mart Stores, Inc.
(Consumer Staples) |
0.0 |
% |
185,756 |
|||||||||||
2,340 |
Walt Disney Co. (The) (Consumer Discretionary) |
0.0 |
% |
165,064 |
|||||||||||
6,806 |
Wells Fargo & Co.
(Financials) |
0.1 |
% |
299,600 |
|||||||||||
234,035 |
Other Common Stocks |
2.0 |
% |
11,991,151 |
|||||||||||
Total Common Stocks
(Cost $22,311,183) |
22,630,687 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government & Agency Security (a) — 20.6% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
125,650,895 |
0.00%, due 12/02/13 |
125,650,895 |
||||||||||||
Total U.S. Government &
Agency Security (Cost $125,650,895) |
125,650,895 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRAPRO S&P500® 125
Principal Amount |
Value |
||||||||||||||
Repurchase Agreements (a)(b) — 53.5% |
|||||||||||||||
$ |
326,044,438 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $326,046,047 |
$ |
326,044,438 |
|||||||||||
Total Repurchase Agreements
(Cost $326,044,438) |
326,044,438 |
||||||||||||||
Total Investment Securities (Cost $474,006,516) — 77.9% |
474,326,020 |
||||||||||||||
Other assets less liabilities — 22.1% |
134,906,938 |
||||||||||||||
Net Assets — 100.0% |
$ |
609,232,958 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $135,409,699.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
505,242 |
|||||
Aggregate gross unrealized depreciation |
(530,328 |
) |
|||||
Net unrealized depreciation |
$ |
(25,086 |
) |
||||
Federal income tax cost of investments |
$ |
474,351,106 |
Futures Contracts Purchased
UltraPro S&P500® had the following open long futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
1,067 |
12/20/13 |
$ |
96,243,400 |
$ |
1,606,146 |
Cash collateral in the amount of $4,648,642 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
Swap Agreements ‡
UltraPro S&P500® had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the S&P 500® Index |
12/06/13 |
$ |
48,201,488 |
$ |
1,009,353 |
||||||||||
Equity Index Swap Agreement with Credit Suisse International, based on the S&P 500® Index |
11/06/15 |
18,180,606 |
380,817 |
||||||||||||
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index |
12/06/13 |
32,063,202 |
674,294 |
||||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the S&P 500® Index |
12/06/13 |
33,800,642 |
501,779 |
||||||||||||
Equity Index Swap Agreement with Merrill Lynch International, based on the S&P 500® Index |
12/06/13 |
59,886,610 |
1,068,939 |
||||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the S&P 500® Index |
11/06/15 |
28,816,421 |
659,547 |
||||||||||||
Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index |
11/06/15 |
189,404,179 |
3,955,975 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on the S&P 500® Index |
12/06/13 |
79,854,077 |
1,670,258 |
||||||||||||
Swap Agreement with Deutsche Bank AG, based on the SPDR® S&P 500® ETF Trust |
12/06/13 |
162,262,936 |
2,481,861 |
||||||||||||
Swap Agreement with Goldman Sachs International, based on the SPDR® S&P 500® ETF Trust |
01/06/14 |
369,962,473 |
30,816,240 |
||||||||||||
Swap Agreement with Merrill Lynch International, based on the SPDR® S&P 500® ETF Trust |
12/06/13 |
263,206,569 |
5,489,232 |
||||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the SPDR® S&P 500® ETF Trust |
01/06/14 |
423,243,052 |
26,210,737 |
||||||||||||
$ |
74,919,032 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.42%.
See accompanying notes to the financial statements.
126 :: UPRO ULTRAPRO S&P500® :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTSPROSHARES TRUST
UltraPro S&P500® invested, as a percentage of net assets, in the following industries, as of November 30, 2013:
Consumer Discretionary |
0.5 |
% |
|||||
Consumer Staples |
0.4 |
% |
|||||
Energy |
0.4 |
% |
|||||
Financials |
0.6 |
% |
|||||
Health Care |
0.5 |
% |
|||||
Industrials |
0.4 |
% |
|||||
Information Technology |
0.7 |
% |
|||||
Materials |
0.1 |
% |
|||||
Telecommunication Services |
0.1 |
% |
|||||
Utilities |
0.1 |
% |
|||||
Other1 |
96.2 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRAPRO S&P500® 127
Shares |
Value |
||||||||||
Common Stocks (a) — 46.0% |
|||||||||||
Consumer Discretionary — 9.6% |
|||||||||||
21,711 |
Amazon.com, Inc.* |
$ |
8,545,884 |
||||||||
10,348 |
Bed Bath & Beyond, Inc.* |
807,454 |
|||||||||
4,820 |
Charter Communications,
Inc., Class A* |
651,182 |
|||||||||
101,386 |
Comcast Corp., Class A |
5,056,120 |
|||||||||
26,088 |
DIRECTV* |
1,724,678 |
|||||||||
6,996 |
Discovery Communications, Inc., Class A* |
610,541 |
|||||||||
10,597 |
Dollar Tree, Inc.* |
589,723 |
|||||||||
5,854 |
Expedia, Inc. |
372,841 |
|||||||||
2,683 |
Fossil Group, Inc.* |
341,465 |
|||||||||
9,281 |
Garmin Ltd. |
450,685 |
|||||||||
10,610 |
Liberty Global PLC, Class A* |
910,444 |
|||||||||
23,356 |
Liberty Interactive Corp., Class A* |
655,837 |
|||||||||
5,257 |
Liberty Media Corp.* |
806,739 |
|||||||||
14,994 |
Marriott International, Inc., Class A |
705,018 |
|||||||||
16,373 |
Mattel, Inc. |
757,579 |
|||||||||
2,800 |
Netflix, Inc.* |
1,024,240 |
|||||||||
2 |
News Corp., Class A* |
36 |
|||||||||
5,158 |
O'Reilly Automotive, Inc.* |
644,544 |
|||||||||
2,447 |
priceline.com, Inc.* |
2,917,632 |
|||||||||
10,391 |
Ross Stores, Inc. |
794,496 |
|||||||||
5,059 |
Sears Holdings Corp.* |
321,398 |
|||||||||
295,056 |
Sirius XM Holdings, Inc. |
1,112,361 |
|||||||||
31,386 |
Staples, Inc. |
487,425 |
|||||||||
35,706 |
Starbucks Corp. |
2,908,611 |
|||||||||
5,771 |
Tesla Motors, Inc.* |
734,533 |
|||||||||
72,127 |
Twenty-First Century Fox, Inc., Class A |
2,415,533 |
|||||||||
20,232 |
Viacom, Inc., Class B |
1,621,999 |
|||||||||
4,804 |
Wynn Resorts Ltd. |
796,839 |
|||||||||
38,765,837 |
|||||||||||
Consumer Staples — 2.2% |
|||||||||||
20,751 |
Costco Wholesale Corp. |
2,602,798 |
|||||||||
7,163 |
Green Mountain Coffee Roasters, Inc.* |
482,643 |
|||||||||
28,300 |
Kraft Foods Group, Inc. |
1,503,296 |
|||||||||
84,615 |
Mondelez International, Inc., Class A |
2,837,141 |
|||||||||
7,955 |
Monster Beverage Corp.* |
470,777 |
|||||||||
17,701 |
Whole Foods Market, Inc. |
1,001,876 |
|||||||||
8,898,531 |
|||||||||||
Health Care — 6.3% |
|||||||||||
9,293 |
Alexion Pharmaceuticals, Inc.* |
1,156,978 |
|||||||||
35,799 |
Amgen, Inc. |
4,083,950 |
|||||||||
11,294 |
Biogen Idec, Inc.* |
3,286,215 |
|||||||||
9,795 |
Catamaran Corp.* |
446,946 |
|||||||||
19,543 |
Celgene Corp.* |
3,161,471 |
|||||||||
16,304 |
Cerner Corp.* |
936,991 |
|||||||||
6,761 |
DENTSPLY International, Inc. |
321,553 |
|||||||||
38,690 |
Express Scripts Holding Co.* |
2,605,772 |
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
72,733 |
Gilead Sciences, Inc.* |
$ |
5,441,156 |
||||||||
4,110 |
Henry Schein, Inc.* |
468,540 |
|||||||||
1,887 |
Intuitive Surgical, Inc.* |
711,210 |
|||||||||
18,143 |
Mylan, Inc.* |
800,651 |
|||||||||
4,596 |
Regeneron Pharmaceuticals, Inc.* |
1,350,581 |
|||||||||
11,063 |
Vertex Pharmaceuticals, Inc.* |
767,993 |
|||||||||
25,540,007 |
|||||||||||
Industrials — 0.9% |
|||||||||||
7,572 |
C.H. Robinson Worldwide, Inc. |
443,946 |
|||||||||
9,808 |
Expeditors International of
Washington, Inc. |
426,059 |
|||||||||
14,107 |
Fastenal Co. |
656,399 |
|||||||||
16,820 |
PACCAR, Inc. |
963,954 |
|||||||||
4,081 |
Stericycle, Inc.* |
479,436 |
|||||||||
7,979 |
Verisk Analytics, Inc., Class A* |
519,513 |
|||||||||
3,489,307 |
|||||||||||
Information Technology — 26.1% |
|||||||||||
33,039 |
Activision Blizzard, Inc. |
568,601 |
|||||||||
23,867 |
Adobe Systems, Inc.* |
1,355,168 |
|||||||||
8,466 |
Akamai Technologies, Inc.* |
378,600 |
|||||||||
15,181 |
Altera Corp. |
489,587 |
|||||||||
14,764 |
Analog Devices, Inc. |
711,920 |
|||||||||
43,171 |
Apple, Inc. |
24,006,098 |
|||||||||
57,157 |
Applied Materials, Inc. |
988,816 |
|||||||||
10,573 |
Autodesk, Inc.* |
478,428 |
|||||||||
22,943 |
Automatic Data Processing, Inc. |
1,835,899 |
|||||||||
11,733 |
Avago Technologies Ltd. |
524,817 |
|||||||||
13,054 |
Baidu, Inc. (ADR)* |
2,174,405 |
|||||||||
25,137 |
Broadcom Corp., Class A |
670,907 |
|||||||||
21,651 |
CA, Inc. |
714,483 |
|||||||||
9,334 |
Check Point Software
Technologies Ltd.* |
577,401 |
|||||||||
253,956 |
Cisco Systems, Inc. |
5,396,565 |
|||||||||
8,904 |
Citrix Systems, Inc.* |
528,185 |
|||||||||
14,321 |
Cognizant Technology Solutions Corp.,
Class A* |
1,344,599 |
|||||||||
61,515 |
eBay, Inc.* |
3,107,738 |
|||||||||
2,348 |
Equinix, Inc.* |
377,324 |
|||||||||
3,721 |
F5 Networks, Inc.* |
306,089 |
|||||||||
86,366 |
Facebook, Inc., Class A* |
4,060,066 |
|||||||||
6,182 |
Fiserv, Inc.* |
679,340 |
|||||||||
13,017 |
Google, Inc., Class A* |
13,792,683 |
|||||||||
236,738 |
Intel Corp. |
5,643,834 |
|||||||||
14,110 |
Intuit, Inc. |
1,047,385 |
|||||||||
7,875 |
KLA-Tencor Corp. |
502,976 |
|||||||||
11,081 |
Linear Technology Corp. |
471,497 |
|||||||||
13,537 |
Maxim Integrated Products, Inc. |
385,534 |
|||||||||
9,376 |
Microchip Technology, Inc. |
405,887 |
|||||||||
49,347 |
Micron Technology, Inc.* |
1,041,222 |
|||||||||
395,829 |
Microsoft Corp. |
15,092,960 |
|||||||||
16,161 |
NetApp, Inc. |
666,641 |
See accompanying notes to the financial statements.
128 :: TQQQ ULTRAPRO QQQ® :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
14,746 |
Nuance Communications, Inc.* |
$ |
199,366 |
||||||||
27,494 |
NVIDIA Corp. |
428,906 |
|||||||||
17,370 |
Paychex, Inc. |
759,590 |
|||||||||
81,515 |
QUALCOMM, Inc. |
5,997,874 |
|||||||||
11,423 |
SanDisk Corp. |
778,477 |
|||||||||
16,955 |
Seagate Technology PLC |
831,473 |
|||||||||
33,235 |
Symantec Corp. |
747,455 |
|||||||||
52,326 |
Texas Instruments, Inc. |
2,250,018 |
|||||||||
11,262 |
Western Digital Corp. |
845,101 |
|||||||||
12,654 |
Xilinx, Inc. |
562,217 |
|||||||||
48,484 |
Yahoo!, Inc.* |
1,792,938 |
|||||||||
105,519,070 |
|||||||||||
Materials — 0.1% |
|||||||||||
5,714 |
Sigma-Aldrich Corp. |
492,775 |
|||||||||
Telecommunication Services — 0.8% |
|||||||||||
6,072 |
SBA Communications Corp.,
Class A* |
517,152 |
|||||||||
78,505 |
VimpelCom Ltd. (ADR) |
964,042 |
|||||||||
47,865 |
Vodafone Group PLC (ADR) |
1,775,313 |
|||||||||
3,256,507 |
|||||||||||
Total Common
Stocks (Cost $183,076,713) |
185,962,034 |
||||||||||
Principal Amount |
|||||||||||
U.S. Government & Agency Security (a) — 7.6% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
30,821,847 |
0.00%, due 12/02/13 |
30,821,847 |
||||||||
Total U.S. Government &
Agency Security (Cost $30,821,847) |
30,821,847 |
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a)(b) — 19.3% |
|||||||||||
$ |
78,031,342 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $78,031,728 |
$ |
78,031,342 |
|||||||
Total Repurchase Agreements
(Cost $78,031,342) |
78,031,342 |
||||||||||
Total Investment Securities (Cost $291,929,902) — 72.9% |
294,815,223 |
||||||||||
Other assets less liabilities — 27.1% |
109,831,602 |
||||||||||
Net Assets — 100.0% |
$ |
404,646,825 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $57,671,124.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
ADR American Depositary Receipt
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
5,497,754 |
|||||
Aggregate gross unrealized depreciation |
(2,666,512 |
) |
|||||
Net unrealized appreciation |
$ |
2,831,242 |
|||||
Federal income tax cost of investments |
$ |
291,983,981 |
Futures Contracts Purchased
UltraPro QQQ® had the following open long futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts |
553 |
12/20/13 |
$ |
38,593,870 |
$ |
1,275,724 |
Cash collateral in the amount of $1,846,515 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRAPRO QQQ® 129
Swap Agreements ‡
UltraPro QQQ® had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement
with Citibank, N.A., based on the NASDAQ-100 Index® |
01/06/14 |
$ |
353,209,941 |
$ |
20,052,470 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the NASDAQ-100 Index® |
11/06/14 |
5,588,935 |
30,247,002 |
||||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the NASDAQ-100 Index® |
12/06/13 |
3,464,661 |
106,465 |
||||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the NASDAQ-100 Index® |
12/06/13 |
2,409,581 |
73,770 |
||||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the NASDAQ-100 Index® |
12/06/13 |
64,448,377 |
2,188,655 |
||||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the NASDAQ-100 Index® |
11/06/15 |
19,292,521 |
369,364 |
||||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the NASDAQ-100 Index® |
11/06/15 |
188,962,111 |
5,786,226 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on the NASDAQ-100 Index® |
12/06/13 |
2,572,839 |
1,465 |
||||||||||||
Swap Agreement with
Deutsche Bank AG, based on the PowerShares QQQ TrustSM, Series 1 |
03/06/14 |
84,919,148 |
19,674,106 |
||||||||||||
Swap Agreement with Goldman Sachs International,
based on the PowerShares QQQ TrustSM, Series 1 |
11/06/14 |
144,013,541 |
32,098,412 |
||||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the PowerShares QQQ TrustSM, Series 1 |
11/06/14 |
120,557,792 |
20,413,515 |
||||||||||||
$ |
131,011,450 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.46%.
See accompanying notes to the financial statements.
130 :: TQQQ ULTRAPRO QQQ® :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks (a) — 78.1% |
|||||||||||
Consumer Discretionary — 10.2% |
|||||||||||
28,990 |
Home Depot, Inc. (The) |
$ |
2,338,623 |
||||||||
28,990 |
McDonald's Corp. |
2,822,756 |
|||||||||
28,990 |
NIKE, Inc., Class B |
2,294,269 |
|||||||||
28,990 |
Walt Disney Co. (The) |
2,044,955 |
|||||||||
9,500,603 |
|||||||||||
Consumer Staples — 6.4% |
|||||||||||
28,990 |
Coca-Cola Co. (The) |
1,165,108 |
|||||||||
28,990 |
Procter & Gamble Co. (The) |
2,441,538 |
|||||||||
28,990 |
Wal-Mart Stores, Inc. |
2,348,480 |
|||||||||
5,955,126 |
|||||||||||
Energy — 6.7% |
|||||||||||
28,990 |
Chevron Corp. |
3,549,536 |
|||||||||
28,990 |
Exxon Mobil Corp. |
2,709,985 |
|||||||||
6,259,521 |
|||||||||||
Financials — 12.6% |
|||||||||||
28,990 |
American Express Co. |
2,487,342 |
|||||||||
28,990 |
Goldman Sachs Group, Inc. (The) |
4,897,570 |
|||||||||
28,990 |
JPMorgan Chase & Co. |
1,658,808 |
|||||||||
28,990 |
Travelers Cos., Inc. (The) |
2,630,553 |
|||||||||
11,674,273 |
|||||||||||
Health Care — 7.8% |
|||||||||||
28,990 |
Johnson & Johnson |
2,744,193 |
|||||||||
28,990 |
Merck & Co., Inc. |
1,444,572 |
|||||||||
28,990 |
Pfizer, Inc. |
919,853 |
|||||||||
28,990 |
UnitedHealth Group, Inc. |
2,159,175 |
|||||||||
7,267,793 |
|||||||||||
Industrials — 15.3% |
|||||||||||
28,990 |
3M Co. |
3,870,455 |
|||||||||
28,990 |
Boeing Co. (The) |
3,891,908 |
|||||||||
28,990 |
Caterpillar, Inc. |
2,452,554 |
|||||||||
28,990 |
General Electric Co. |
772,873 |
|||||||||
28,990 |
United Technologies Corp. |
3,213,831 |
|||||||||
14,201,621 |
|||||||||||
Information Technology — 14.5% |
|||||||||||
28,990 |
Cisco Systems, Inc. |
616,037 |
|||||||||
28,990 |
Intel Corp. |
691,122 |
|||||||||
28,990 |
International Business
Machines Corp. |
5,208,923 |
|||||||||
28,990 |
Microsoft Corp. |
1,105,389 |
|||||||||
28,990 |
Visa, Inc., Class A |
5,898,305 |
|||||||||
13,519,776 |
|||||||||||
Materials — 1.9% |
|||||||||||
28,990 |
E.I. du Pont de Nemours & Co. |
1,779,406 |
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
Telecommunication Services — 2.7% |
|||||||||||
28,990 |
AT&T, Inc. |
$ |
1,020,738 |
||||||||
28,990 |
Verizon Communications, Inc. |
1,438,484 |
|||||||||
2,459,222 |
|||||||||||
Total Common Stocks (Cost $68,502,062) |
72,617,341 |
||||||||||
Principal Amount |
|||||||||||
U.S. Government &
Agency Security (a) — 4.4% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
4,123,845 |
0.00%, due 12/02/13 |
4,123,845 |
||||||||
Total U.S. Government & Agency
Security (Cost $4,123,845) |
4,123,845 |
||||||||||
Repurchase Agreements (a)(b) — 9.6% |
|||||||||||
8,887,021 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $8,887,066 |
8,887,021 |
|||||||||
Total Repurchase Agreements
(Cost $8,887,021) |
8,887,021 |
||||||||||
Total Investment Securities (Cost $81,512,928) — 92.1% |
85,628,207 |
||||||||||
Other assets less liabilities — 7.9% |
7,388,766 |
||||||||||
Net Assets — 100.0% |
$ |
93,016,973 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $40,405,157.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
4,517,944 |
|||||
Aggregate gross unrealized depreciation |
(418,263 |
) |
|||||
Net unrealized appreciation |
$ |
4,099,681 |
|||||
Federal income tax cost of investments |
$ |
81,528,526 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRAPRO DOW30SM 131
Futures Contracts Purchased
UltraPro Dow30SM had the following open long futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Dow Jones Futures Contracts |
204 |
12/20/13 |
$ |
16,388,340 |
$ |
290,137 |
Cash collateral in the amount of $704,550 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
Swap Agreements ‡
UltraPro Dow30SM had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement
with Citibank, N.A., based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
$ |
21,102,394 |
$ |
438,752 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Dow Jones Industrial AverageSM Index |
03/06/14 |
2,428,163 |
1,446,118 |
||||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
1,482,572 |
26,593 |
||||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
5,566,992 |
109,999 |
||||||||||||
Equity Index Swap Agreement
with Merill Lynch International, based on the Dow Jones Industrial AverageSM Index |
12/06/13 |
27,228,855 |
632,954 |
||||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones Industrial AverageSM Index |
11/06/15 |
3,340,440 |
78,250 |
||||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones Industrial AverageSM Index |
11/06/15 |
27,391,247 |
637,549 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones Industrial AverageSM Index |
12/06/13 |
2,441,804 |
37,539 |
||||||||||||
Swap Agreement with
Deutsche Bank AG, based on the SPDR® Dow Jones Industrial AverageSM ETF Trust |
12/06/13 |
31,927,924 |
750,550 |
||||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the SPDR® Dow Jones Industrial AverageSM ETF Trust |
11/06/15 |
67,139,981 |
1,568,692 |
||||||||||||
$ |
5,726,996 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.44%.
See accompanying notes to the financial statements.
132 :: UDOW ULTRAPRO DOW30SM :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 64.8% |
|||||||||||||||
1,399 |
3D Systems Corp.* (Information Technology) |
0.3 |
% |
$ |
105,149 |
||||||||||
1,079 |
Advance Auto Parts, Inc.
(Consumer Discretionary) |
0.3 |
% |
108,990 |
|||||||||||
783 |
Affiliated Managers Group, Inc.* (Financials) |
0.5 |
% |
156,796 |
|||||||||||
249 |
Alleghany Corp.* (Financials) |
0.3 |
% |
98,131 |
|||||||||||
722 |
Alliance Data Systems Corp.* (Information Technology) |
0.5 |
% |
174,912 |
|||||||||||
1,369 |
ANSYS, Inc.* (Information
Technology) |
0.3 |
% |
117,282 |
|||||||||||
1,891 |
Arthur J. Gallagher & Co. (Financials) |
0.3 |
% |
88,007 |
|||||||||||
1,065 |
Ashland, Inc. (Materials) |
0.3 |
% |
97,000 |
|||||||||||
1,459 |
B/E Aerospace, Inc.* (Industrials) |
0.4 |
% |
126,933 |
|||||||||||
2,052 |
Church & Dwight Co.,
Inc. (Consumer Staples) |
0.4 |
% |
133,893 |
|||||||||||
1,281 |
Cimarex Energy Co. (Energy) |
0.3 |
% |
121,157 |
|||||||||||
725 |
Cooper Cos., Inc.
(The) (Health Care) |
0.3 |
% |
95,511 |
|||||||||||
1,779 |
Cree, Inc.* (Information Technology) |
0.3 |
% |
99,268 |
|||||||||||
1,691 |
Endo Health Solutions,
Inc.* (Health Care) |
0.3 |
% |
113,618 |
|||||||||||
922 |
Energizer Holdings, Inc. (Consumer Staples) |
0.3 |
% |
101,743 |
|||||||||||
731 |
Equinix, Inc.* (Information
Technology) |
0.3 |
% |
117,472 |
|||||||||||
720 |
Everest Re Group Ltd. (Financials) |
0.3 |
% |
112,918 |
|||||||||||
973 |
Federal Realty Investment
Trust (REIT) (Financials) |
0.3 |
% |
100,725 |
|||||||||||
3,623 |
Fidelity National Financial, Inc., Class A (Financials) |
0.3 |
% |
105,321 |
|||||||||||
2,458 |
Fortune Brands Home &
Security, Inc. (Industrials) |
0.3 |
% |
107,169 |
|||||||||||
1,380 |
Gartner, Inc.* (Information Technology) |
0.3 |
% |
89,217 |
|||||||||||
1,942 |
Green Mountain Coffee
Roasters, Inc.* (Consumer Staples) |
0.4 |
% |
130,852 |
|||||||||||
1,466 |
Hanesbrands, Inc. (Consumer Discretionary) |
0.3 |
% |
102,767 |
|||||||||||
1,281 |
Henry Schein, Inc.*
(Health Care) |
0.4 |
% |
146,034 |
|||||||||||
2,960 |
HollyFrontier Corp. (Energy) |
0.4 |
% |
142,021 |
|||||||||||
4,005 |
Hologic, Inc.* (Health Care) |
0.3 |
% |
89,672 |
|||||||||||
1,352 |
J.B. Hunt Transport Services, Inc. (Industrials) |
0.3 |
% |
101,657 |
|||||||||||
1,751 |
Jarden Corp.* (Consumer
Discretionary) |
0.3 |
% |
98,476 |
|||||||||||
4,445 |
LKQ Corp.* (Consumer Discretionary) |
0.4 |
% |
147,352 |
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
1,159 |
Manpowergroup, Inc. (Industrials) |
0.3 |
% |
$ |
92,639 |
||||||||||
443 |
Mettler-Toledo
International, Inc.* (Health Care) |
0.3 |
% |
109,231 |
|||||||||||
902 |
Mohawk Industries, Inc.* (Consumer Discretionary) |
0.4 |
% |
126,298 |
|||||||||||
6,529 |
New York Community
Bancorp, Inc. (Financials) |
0.3 |
% |
107,859 |
|||||||||||
1,602 |
Oceaneering International, Inc. (Energy) |
0.4 |
% |
123,658 |
|||||||||||
2,937 |
OGE Energy Corp. (Utilities) |
0.3 |
% |
101,092 |
|||||||||||
1,456 |
Packaging Corp. of America (Materials) |
0.3 |
% |
89,195 |
|||||||||||
948 |
Polaris Industries, Inc.
(Consumer Discretionary) |
0.4 |
% |
126,530 |
|||||||||||
2,905 |
Realty Income Corp. (REIT) (Financials) |
0.3 |
% |
110,710 |
|||||||||||
2,104 |
ResMed, Inc. (Health Care) |
0.3 |
% |
102,696 |
|||||||||||
1,066 |
Rock-Tenn Co., Class A (Materials) |
0.3 |
% |
100,652 |
|||||||||||
1,193 |
Signet Jewelers Ltd.
(Consumer Discretionary) |
0.3 |
% |
91,670 |
|||||||||||
1,362 |
SL Green Realty Corp. (REIT) (Financials) |
0.4 |
% |
123,220 |
|||||||||||
953 |
Towers Watson & Co.,
Class A (Industrials) |
0.3 |
% |
107,308 |
|||||||||||
2,068 |
Tractor Supply Co. (Consumer Discretionary) |
0.4 |
% |
151,398 |
|||||||||||
3,802 |
Trimble Navigation Ltd.*
(Information Technology) |
0.3 |
% |
121,284 |
|||||||||||
1,187 |
Under Armour, Inc., Class A* (Consumer Discretionary) |
0.3 |
% |
95,791 |
|||||||||||
1,381 |
United Rentals, Inc.*
(Industrials) |
0.3 |
% |
94,916 |
|||||||||||
1,323 |
Universal Health Services, Inc., Class B (Health Care) |
0.3 |
% |
109,055 |
|||||||||||
1,426 |
Wabtec Corp. (Industrials) |
0.3 |
% |
98,394 |
|||||||||||
490,488 |
Other Common Stocks |
48.6 |
% |
16,668,591 |
|||||||||||
Total Common Stocks
(Cost $22,064,642) |
22,182,230 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government & Agency Security (a) — 0.9% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
319,925 |
0.00%, due 12/02/13 |
319,925 |
||||||||||||
Total U.S. Government &
Agency Security (Cost $319,925) |
319,925 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRAPRO MIDCAP400 133
Principal Amount |
Value |
||||||||||||||
Repurchase Agreements (a)(b) — 19.6% |
|||||||||||||||
$ |
6,721,530 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $6,721,560 |
$ |
6,721,530 |
|||||||||||
Total Repurchase Agreements
(Cost $6,721,530) |
6,721,530 |
||||||||||||||
Total Investment Securities (Cost $29,106,097 — 85.3% |
29,223,685 |
||||||||||||||
Other assets less liabilities — 14.7% |
5,053,298 |
||||||||||||||
Net Assets — 100.0% |
$ |
34,276,983 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $7,899,857.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
665,338 |
|||||
Aggregate gross unrealized depreciation |
(557,152 |
) |
|||||
Net unrealized appreciation |
$ |
108,186 |
|||||
Federal income tax cost of investments |
$ |
29,115,499 |
Futures Contracts Purchased
UltraPro MidCap400 had the following open long futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini S&P MidCap 400 Futures Contracts |
26 |
12/20/13 |
$ |
3,388,840 |
$ |
79,913 |
Cash collateral in the amount of $197,123 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
Swap Agreements ‡
UltraPro MidCap400 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the S&P MidCap 400® Index |
01/06/14 |
$ |
19,547,989 |
$ |
1,379,570 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the S&P MidCap 400® Index |
11/06/15 |
584,133 |
6,716 |
||||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the S&P MidCap 400® Index |
12/06/13 |
874,396 |
10,114 |
||||||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the S&P MidCap 400® Index |
12/06/13 |
13,615,102 |
97,400 |
||||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the S&P MidCap 400® Index |
11/06/15 |
1,409,336 |
17,069 |
||||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the S&P MidCap 400® Index |
01/06/14 |
5,963,050 |
2,413,778 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on the S&P MidCap 400® Index |
01/06/14 |
882,262 |
492,066 |
||||||||||||
Swap Agreement with Deutsche Bank AG, based on the
SPDR® S&P MidCap 400® ETF Trust |
12/06/13 |
31,991,643 |
358,664 |
||||||||||||
Swap Agreement with Goldman
Sachs International, based on the SPDR® S&P MidCap 400® ETF Trust |
12/06/13 |
2,396,306 |
26,576 |
||||||||||||
$ |
4,801,953 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.27%.
See accompanying notes to the financial statements.
134 :: UMDD ULTRAPRO MIDCAP400 :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
UltraPro MidCap400 invested, as a percentage of net assets, in the following industries, as of November 30, 2013:
Consumer Discretionary |
9.3 |
% |
|||||
Consumer Staples |
2.4 |
% |
|||||
Energy |
3.7 |
% |
|||||
Financials |
14.6 |
% |
|||||
Health Care |
5.9 |
% |
|||||
Industrials |
10.7 |
% |
|||||
Information Technology |
10.3 |
% |
|||||
Materials |
4.5 |
% |
|||||
Telecommunication Services |
0.3 |
% |
|||||
Utilities |
3.1 |
% |
|||||
Other1 |
35.2 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRAPRO MIDCAP400 135
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 26.8% |
|||||||||||||||
1,386 |
Acuity Brands, Inc. (Industrials) |
0.1 |
% |
$ |
142,107 |
||||||||||
2,366 |
Align Technology, Inc.*
(Health Care) |
0.1 |
% |
129,278 |
|||||||||||
1,880 |
Alnylam Pharmaceuticals, Inc.* (Health Care) |
0.1 |
% |
115,056 |
|||||||||||
3,032 |
Aspen Technology, Inc.*
(Information Technology) |
0.1 |
% |
119,855 |
|||||||||||
1,189 |
athenahealth, Inc.* (Health Care) |
0.1 |
% |
155,961 |
|||||||||||
2,258 |
Axiall Corp. (Materials) |
0.0 |
% |
102,287 |
|||||||||||
1,425 |
Belden, Inc. (Information Technology) |
0.0 |
% |
99,778 |
|||||||||||
2,927 |
Brunswick Corp. (Consumer
Discretionary) |
0.1 |
% |
133,764 |
|||||||||||
1,761 |
Centene Corp.* (Health Care) |
0.0 |
% |
105,185 |
|||||||||||
2,171 |
Cepheid, Inc.* (Health Care) |
0.0 |
% |
98,607 |
|||||||||||
7,188 |
CNO Financial Group, Inc. (Financials) |
0.1 |
% |
121,621 |
|||||||||||
1,504 |
CommVault Systems, Inc.*
(Information Technology) |
0.1 |
% |
112,574 |
|||||||||||
923 |
CoStar Group, Inc.* (Information Technology) |
0.1 |
% |
171,900 |
|||||||||||
1,557 |
EnerSys, Inc. (Industrials) |
0.1 |
% |
111,092 |
|||||||||||
1,351 |
FEI Co. (Information Technology) |
0.1 |
% |
123,009 |
|||||||||||
3,881 |
Fifth & Pacific Cos.,
Inc.* (Consumer Discretionary) |
0.1 |
% |
126,753 |
|||||||||||
1,582 |
Financial Engines, Inc. (Financials) |
0.1 |
% |
107,181 |
|||||||||||
5,362 |
FirstMerit Corp. (Financials) |
0.1 |
% |
123,112 |
|||||||||||
1,243 |
Hain Celestial Group, Inc. (The)* (Consumer Staples) |
0.0 |
% |
102,784 |
|||||||||||
2,822 |
HealthSouth Corp.
(Health Care) |
0.0 |
% |
100,999 |
|||||||||||
2,146 |
HEICO Corp. (Industrials) |
0.1 |
% |
122,494 |
|||||||||||
2,907 |
Highwoods Properties, Inc.
(REIT) (Financials) |
0.0 |
% |
104,419 |
|||||||||||
3,634 |
Isis Pharmaceuticals, Inc.* (Health Care) |
0.1 |
% |
140,854 |
|||||||||||
3,364 |
LaSalle Hotel Properties
(REIT) (Financials) |
0.0 |
% |
105,360 |
|||||||||||
2,210 |
MAXIMUS, Inc. (Information Technology) |
0.0 |
% |
100,555 |
|||||||||||
860 |
Medidata Solutions, Inc.*
(Health Care) |
0.0 |
% |
102,263 |
|||||||||||
608 |
Middleby Corp. (The)* (Industrials) |
0.1 |
% |
134,271 |
|||||||||||
1,466 |
Moog, Inc., Class A*
(Industrials) |
0.0 |
% |
100,670 |
|||||||||||
3,215 |
PolyOne Corp. (Materials) |
0.0 |
% |
104,359 |
|||||||||||
9,007 |
Prospect Capital Corp.
(Financials) |
0.0 |
% |
102,770 |
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
1,950 |
Prosperity Bancshares, Inc. (Financials) |
0.1 |
% |
$ |
125,054 |
||||||||||
3,870 |
PTC, Inc.* (Information
Technology) |
0.1 |
% |
125,930 |
|||||||||||
1,679 |
Questcor Pharmaceuticals, Inc. (Health Care) |
0.0 |
% |
97,399 |
|||||||||||
23,625 |
Rite Aid Corp.*
(Consumer Staples) |
0.1 |
% |
139,860 |
|||||||||||
1,977 |
Rosetta Resources, Inc.* (Energy) |
0.0 |
% |
99,977 |
|||||||||||
2,209 |
Sotheby's (Consumer
Discretionary) |
0.1 |
% |
113,233 |
|||||||||||
8,621 |
SunEdison, Inc.* (Information Technology) |
0.1 |
% |
109,573 |
|||||||||||
2,222 |
Team Health Holdings, Inc.*
(Health Care) |
0.0 |
% |
103,834 |
|||||||||||
1,209 |
Teledyne Technologies, Inc.* (Industrials) |
0.1 |
% |
112,111 |
|||||||||||
1,968 |
Tenneco, Inc.* (Consumer
Discretionary) |
0.1 |
% |
112,963 |
|||||||||||
1,019 |
Tyler Technologies, Inc.* (Information Technology) |
0.0 |
% |
104,560 |
|||||||||||
894 |
Ultimate Software Group,
Inc. (The)* (Information Technology) |
0.1 |
% |
140,081 |
|||||||||||
1,596 |
United Natural Foods, Inc.* (Consumer Staples) |
0.1 |
% |
109,885 |
|||||||||||
6,213 |
US Airways Group, Inc.*
(Industrials) |
0.1 |
% |
145,881 |
|||||||||||
2,113 |
ViroPharma, Inc.* (Health Care) |
0.0 |
% |
104,615 |
|||||||||||
1,406 |
WellCare Health Plans,
Inc.* (Health Care) |
0.0 |
% |
104,466 |
|||||||||||
2,238 |
West Pharmaceutical Services, Inc. (Health Care) |
0.1 |
% |
111,721 |
|||||||||||
1,255 |
WEX, Inc.* (Information
Technology) |
0.1 |
% |
124,571 |
|||||||||||
3,247 |
Wolverine World Wide, Inc. (Consumer Discretionary) |
0.0 |
% |
106,859 |
|||||||||||
2,519,591 |
Other Common Stocks |
23.9 |
% |
47,189,174 |
|||||||||||
Total Common Stocks (Cost $52,633,299) |
52,902,665 |
||||||||||||||
Investment Companies (a) — 0.0% ‡ |
|||||||||||||||
277 |
Firsthand Technology Value Fund, Inc.* |
0.0 |
% |
5,858 |
|||||||||||
390 |
Stellus Capital Investment
Corp. |
0.0 |
% |
6,022 |
|||||||||||
Total Investment Companies (Cost $12,342) |
11,880 |
See accompanying notes to the financial statements.
136 :: URTY ULTRAPRO RUSSELL2000 :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
No. of Rights |
Percentage of
Net Assets |
Value |
|||||||||||||
Rights — 0.0% ‡ |
|||||||||||||||
363 |
Omthera Pharmaceuticals, Inc., at $4.70*^ |
0.0 |
% |
$ |
— |
||||||||||
379 |
Peapack Gladstone Financial
Corp., expiring 12/09/13 at $17.00*^ |
0.0 |
% |
137 |
|||||||||||
Total Rights (Cost $—) |
137 |
||||||||||||||
No. of Warrants |
|||||||||||||||
Warrants — 0.0% ‡ |
|||||||||||||||
999 |
Magnum Hunter Resources Corp., expiring 04/15/16 at $8.50*^ |
0.0 |
% |
— |
|||||||||||
3 |
Tejon Ranch Co., expiring
08/31/16 at $40.00* |
0.0 |
% |
17 |
|||||||||||
Total Warrants (Cost $—) |
17 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government &
Agency Security (a) — 19.0% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
37,590,604 |
0.00%, due 12/02/13 |
37,590,604 |
||||||||||||
Total U.S. Government & Agency
Security (Cost $37,590,604) |
37,590,604 |
Principal Amount |
Value |
||||||||||||||
Repurchase Agreements (a)(b) — 37.7% |
|||||||||||||||
$ |
74,469,747 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $74,470,124 |
$ |
74,469,747 |
|||||||||||
Total Repurchase Agreements
(Cost $74,469,747) |
74,469,747 |
||||||||||||||
Total Investment Securities (Cost $164,705,992) — 83.5% |
164,975,050 |
||||||||||||||
Other assets less liabilities — 16.5% |
32,569,225 |
||||||||||||||
Net Assets — 100.0% |
$ |
197,544,275 |
* Non-income producing security.
^ Security fair valued in accordance with procedures adopted by the Board of Trustees. At November 30, 2013, the value of these securities amounted to $610 or 0.00% of net assets.
‡ Amount represents less than 0.05%.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $13,995,584.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,337,655 |
|||||
Aggregate gross unrealized depreciation |
(1,093,389 |
) |
|||||
Net unrealized appreciation |
$ |
244,266 |
|||||
Federal income tax cost of investments |
$ |
164,730,784 |
Futures Contracts Purchased
UltraPro Russell2000 had the following open long futures contracts as of November 30, 2013:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Russell 2000 Futures Contracts |
105 |
12/20/13 |
$ |
11,981,550 |
$ |
425,192 |
Cash collateral in the amount of $659,640 was pledged to cover margin requirements for open futures contracts as of November 30, 2013.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRAPRO RUSSELL2000 137
Swap Agreements ‡
UltraPro Russell2000 had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement with Citibank, N.A., based on the Russell 2000® Index |
12/06/13 |
$ |
187,566,679 |
$ |
7,440,853 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Russell 2000® Index |
03/06/14 |
5,897,054 |
5,366,511 |
||||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the Russell 2000® Index |
12/06/13 |
4,911,269 |
207,469 |
||||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Russell 2000® Index |
03/06/14 |
20,318,849 |
3,934,072 |
||||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Russell 2000® Index |
01/06/14 |
26,654,256 |
1,124,810 |
||||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Russell 2000® Index |
11/06/15 |
46,799,966 |
1,586,817 |
||||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Russell 2000® Index |
11/06/15 |
23,421,289 |
925,832 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Index |
12/06/13 |
24,315,519 |
672,034 |
||||||||||||
Swap Agreement with
Deutsche Bank AG, based on the iShares® Russell 2000 Index Fund |
03/06/14 |
33,326,898 |
1,311,836 |
||||||||||||
Swap Agreement with Goldman Sachs International,
based on the iShares® Russell 2000 Index Fund |
03/06/14 |
144,857,982 |
8,107,879 |
||||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares® Russell 2000 Index Fund |
03/06/14 |
9,685,167 |
5,385,004 |
||||||||||||
$ |
36,063,117 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.15)%.
UltraPro Russell2000 invested, as a percentage of net assets, in the following industries, as of November 30, 2013:
Consumer Discretionary |
3.7 |
% |
|||||
Consumer Staples |
1.1 |
% |
|||||
Energy |
1.5 |
% |
|||||
Financials |
6.1 |
% |
|||||
Health Care |
3.5 |
% |
|||||
Industrials |
3.9 |
% |
|||||
Information Technology |
4.7 |
% |
|||||
Materials |
1.3 |
% |
|||||
Telecommunication Services |
0.2 |
% |
|||||
Utilities |
0.8 |
% |
|||||
Other1 |
73.2 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
138 :: URTY ULTRAPRO RUSSELL2000 :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 53.6% |
|||||||||||||||
805 |
Abbott Laboratories (Health Care) |
0.4 |
% |
$ |
30,743 |
||||||||||
762 |
American International
Group, Inc. (Financials) |
0.4 |
% |
37,910 |
|||||||||||
245 |
Anadarko Petroleum Corp. (Energy) |
0.2 |
% |
21,761 |
|||||||||||
202 |
Apache Corp. (Energy) |
0.2 |
% |
18,481 |
|||||||||||
118 |
Apple, Inc. (Information Technology) |
0.7 |
% |
65,616 |
|||||||||||
2,778 |
AT&T, Inc.
(Telecommunication Services) |
1.1 |
% |
97,813 |
|||||||||||
5,567 |
Bank of America Corp. (Financials) |
1.0 |
% |
88,070 |
|||||||||||
599 |
Bank of New York Mellon
Corp. (The) (Financials) |
0.2 |
% |
20,186 |
|||||||||||
929 |
Berkshire Hathaway, Inc., Class B* (Financials) |
1.1 |
% |
108,256 |
|||||||||||
302 |
Capital One Financial Corp.
(Financials) |
0.2 |
% |
21,632 |
|||||||||||
278 |
Caterpillar, Inc. (Industrials) |
0.3 |
% |
23,519 |
|||||||||||
1,001 |
Chevron Corp. (Energy) |
1.4 |
% |
122,562 |
|||||||||||
2,760 |
Cisco Systems, Inc. (Information Technology) |
0.7 |
% |
58,650 |
|||||||||||
1,571 |
Citigroup, Inc. (Financials) |
0.9 |
% |
83,137 |
|||||||||||
631 |
ConocoPhillips (Energy) |
0.5 |
% |
45,937 |
|||||||||||
560 |
CVS Caremark Corp.
(Consumer Staples) |
0.4 |
% |
37,498 |
|||||||||||
246 |
Danaher Corp. (Industrials) |
0.2 |
% |
18,401 |
|||||||||||
298 |
Dominion Resources, Inc.
(Utilities) |
0.2 |
% |
19,343 |
|||||||||||
543 |
Dow Chemical Co. (The) (Materials) |
0.2 |
% |
21,210 |
|||||||||||
364 |
Duke Energy Corp. (Utilities) |
0.3 |
% |
25,465 |
|||||||||||
400 |
Eli Lilly & Co. (Health Care) |
0.2 |
% |
20,088 |
|||||||||||
2,296 |
Exxon Mobil Corp. (Energy) |
2.4 |
% |
214,631 |
|||||||||||
164 |
FedEx Corp. (Industrials) |
0.3 |
% |
22,747 |
|||||||||||
1,294 |
Ford Motor Co. (Consumer
Discretionary) |
0.3 |
% |
22,102 |
|||||||||||
534 |
Freeport-McMoRan Copper & Gold, Inc. (Materials) |
0.2 |
% |
18,524 |
|||||||||||
5,340 |
General Electric Co.
(Industrials) |
1.6 |
% |
142,364 |
|||||||||||
237 |
Goldman Sachs Group, Inc. (The) (Financials) |
0.5 |
% |
40,039 |
|||||||||||
1,004 |
Hewlett-Packard Co.
(Information Technology) |
0.3 |
% |
27,459 |
|||||||||||
2,400 |
Intel Corp. (Information Technology) |
0.6 |
% |
57,216 |
|||||||||||
1,263 |
Johnson & Johnson
(Health Care) |
1.4 |
% |
119,556 |
|||||||||||
1,952 |
JPMorgan Chase & Co. (Financials) |
1.3 |
% |
111,693 |
|||||||||||
525 |
Medtronic, Inc. (Health Care) |
0.4 |
% |
30,093 |
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
1,559 |
Merck & Co., Inc. (Health Care) |
0.9 |
% |
$ |
77,685 |
||||||||||
462 |
MetLife, Inc. (Financials) |
0.3 |
% |
24,112 |
|||||||||||
922 |
Mondelez International, Inc., Class A (Consumer Staples) |
0.4 |
% |
30,915 |
|||||||||||
786 |
Morgan Stanley (Financials) |
0.3 |
% |
24,602 |
|||||||||||
219 |
NextEra Energy, Inc. (Utilities) |
0.2 |
% |
18,525 |
|||||||||||
416 |
Occidental Petroleum
Corp. (Energy) |
0.5 |
% |
39,503 |
|||||||||||
3,454 |
Pfizer, Inc. (Health Care) |
1.3 |
% |
109,595 |
|||||||||||
320 |
Phillips 66 (Energy) |
0.3 |
% |
22,275 |
|||||||||||
273 |
PNC Financial Services Group, Inc. (The) (Financials) |
0.2 |
% |
21,007 |
|||||||||||
1,415 |
Procter & Gamble Co.
(The) (Consumer Staples) |
1.4 |
% |
119,171 |
|||||||||||
185 |
Thermo Fisher Scientific, Inc. (Health Care) |
0.2 |
% |
18,657 |
|||||||||||
481 |
Time Warner, Inc.
(Consumer Discretionary) |
0.4 |
% |
31,607 |
|||||||||||
955 |
U.S. Bancorp/MN (Financials) |
0.4 |
% |
37,455 |
|||||||||||
527 |
UnitedHealth Group, Inc.
(Health Care) |
0.5 |
% |
39,251 |
|||||||||||
280 |
Wal-Mart Stores, Inc. (Consumer Staples) |
0.3 |
% |
22,683 |
|||||||||||
724 |
Walt Disney Co. (The)
(Consumer Discretionary) |
0.6 |
% |
51,071 |
|||||||||||
2,493 |
Wells Fargo & Co. (Financials) |
1.3 |
% |
109,742 |
|||||||||||
57,473 |
Other Common Stocks |
24.0 |
% |
2,108,830 |
|||||||||||
Total Common Stocks (Cost $3,848,913) |
4,699,388 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government &
Agency Security (a) — 13.8% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
1,213,928 |
0.00%, due 12/02/13 |
1,213,928 |
||||||||||||
Total U.S. Government & Agency
Security (Cost $1,213,928) |
1,213,928 |
||||||||||||||
Repurchase Agreements (a)(b) — 27.2% |
|||||||||||||||
2,385,169 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $2,385,180 |
2,385,169 |
|||||||||||||
Total Repurchase Agreements
(Cost $2,385,169) |
2,385,169 |
||||||||||||||
Total Investment Securities (Cost $7,448,010) — 94.6% |
8,298,485 |
||||||||||||||
Other assets less liabilities — 5.4% |
477,309 |
||||||||||||||
Net Assets — 100.0% |
$ |
8,775,794 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA RUSSELL1000 VALUE 139
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $723,477.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
749,846 |
|||||
Aggregate gross unrealized depreciation |
(46,963 |
) |
|||||
Net unrealized appreciation |
$ |
702,883 |
|||||
Federal income tax cost of investments |
$ |
7,595,602 |
Swap Agreements ‡
Ultra Russell1000 Value had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Russell 1000® Value Index |
11/06/15 |
$ |
206,543 |
$ |
3,039 |
||||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Russell 1000® Value Index |
12/06/13 |
5,867,889 |
102,461 |
||||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Russell 1000® Value Index |
11/06/15 |
1,525,228 |
26,012 |
||||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Russell 1000® Value Index |
03/06/14 |
2,462,800 |
230,210 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell 1000® Value Index |
03/06/14 |
1,320,431 |
112,611 |
||||||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® Russell 1000 Value Index Fund |
12/06/13 |
51,828 |
983 |
||||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares® Russell 1000 Value Index Fund |
11/06/15 |
1,418,401 |
26,785 |
||||||||||||
$ |
502,101 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.25%.
Ultra Russell1000 Value invested, as a percentage of net assets, in the following industries, as of November 30, 2013:
Consumer Discretionary |
3.5 |
% |
|||||
Consumer Staples |
3.2 |
% |
|||||
Energy |
8.0 |
% |
|||||
Financials |
15.6 |
% |
|||||
Health Care |
7.1 |
% |
|||||
Industrials |
5.5 |
% |
|||||
Information Technology |
4.7 |
% |
|||||
Materials |
1.5 |
% |
|||||
Telecommunication Services |
1.4 |
% |
|||||
Utilities |
3.1 |
% |
|||||
Other1 |
46.4 |
% |
|||||
100.0 |
% |
See accompanying notes to the financial statements.
140 :: UVG ULTRA RUSSELL1000 VALUE :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 41.3% |
|||||||||||||||
401 |
3M Co. (Industrials) |
0.3 |
% |
$ |
53,538 |
||||||||||
1,088 |
AbbVie, Inc. (Health Care) |
0.3 |
% |
52,714 |
|||||||||||
442 |
Accenture PLC, Class A (Information Technology) |
0.2 |
% |
34,242 |
|||||||||||
1,380 |
Altria Group, Inc.
(Consumer Staples) |
0.3 |
% |
51,032 |
|||||||||||
253 |
Amazon.com, Inc.* (Consumer Discretionary) |
0.6 |
% |
99,586 |
|||||||||||
651 |
American Express Co.
(Financials) |
0.4 |
% |
55,856 |
|||||||||||
515 |
Amgen, Inc. (Health Care) |
0.4 |
% |
58,751 |
|||||||||||
488 |
Apple, Inc. (Information
Technology) |
1.7 |
% |
271,361 |
|||||||||||
163 |
Biogen Idec, Inc.* (Health Care) |
0.3 |
% |
47,428 |
|||||||||||
521 |
Boeing Co. (The) (Industrials) |
0.4 |
% |
69,944 |
|||||||||||
972 |
Bristol-Myers Squibb Co. (Health Care) |
0.3 |
% |
49,941 |
|||||||||||
287 |
Celgene Corp.* (Health Care) |
0.3 |
% |
46,428 |
|||||||||||
2,628 |
Coca-Cola Co. (The) (Consumer Staples) |
0.7 |
% |
105,619 |
|||||||||||
641 |
Colgate-Palmolive Co.
(Consumer Staples) |
0.3 |
% |
42,184 |
|||||||||||
1,666 |
Comcast Corp., Class A (Consumer Discretionary) |
0.5 |
% |
83,083 |
|||||||||||
300 |
Costco Wholesale Corp.
(Consumer Staples) |
0.2 |
% |
37,629 |
|||||||||||
632 |
E.I. du Pont de Nemours & Co. (Materials) |
0.3 |
% |
38,792 |
|||||||||||
892 |
eBay, Inc.* (Information
Technology) |
0.3 |
% |
45,064 |
|||||||||||
491 |
Express Scripts Holding Co.* (Health Care) |
0.2 |
% |
33,069 |
|||||||||||
1,171 |
Facebook, Inc., Class A*
(Information Technology) |
0.4 |
% |
55,049 |
|||||||||||
1,048 |
Gilead Sciences, Inc.* (Health Care) |
0.5 |
% |
78,401 |
|||||||||||
185 |
Google, Inc., Class A*
(Information Technology) |
1.3 |
% |
196,024 |
|||||||||||
640 |
Halliburton Co. (Energy) |
0.2 |
% |
33,715 |
|||||||||||
1,004 |
Home Depot, Inc. (The)
(Consumer Discretionary) |
0.5 |
% |
80,993 |
|||||||||||
541 |
Honeywell International, Inc. (Industrials) |
0.3 |
% |
47,884 |
|||||||||||
715 |
International Business
Machines Corp. (Information Technology) |
0.8 |
% |
128,471 |
|||||||||||
748 |
Lowe's Cos., Inc. (Consumer Discretionary) |
0.2 |
% |
35,515 |
|||||||||||
80 |
MasterCard, Inc., Class A
(Information Technology) |
0.4 |
% |
60,865 |
|||||||||||
689 |
McDonald's Corp. (Consumer Discretionary) |
0.4 |
% |
67,088 |
Shares |
Percentage of
Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
5,738 |
Microsoft Corp. (Information Technology) |
1.4 |
% |
$ |
218,790 |
||||||||||
367 |
Monsanto Co. (Materials) |
0.3 |
% |
41,592 |
|||||||||||
487 |
NIKE, Inc., Class B (Consumer Discretionary) |
0.3 |
% |
38,541 |
|||||||||||
2,440 |
Oracle Corp. (Information
Technology) |
0.5 |
% |
86,108 |
|||||||||||
1,063 |
PepsiCo, Inc. (Consumer Staples) |
0.6 |
% |
89,781 |
|||||||||||
1,124 |
Philip Morris
International, Inc. (Consumer Staples) |
0.6 |
% |
96,147 |
|||||||||||
35 |
priceline.com, Inc.* (Consumer Discretionary) |
0.3 |
% |
41,732 |
|||||||||||
1,187 |
QUALCOMM, Inc.
(Information Technology) |
0.6 |
% |
87,339 |
|||||||||||
913 |
Schlumberger Ltd. (Energy) |
0.5 |
% |
80,727 |
|||||||||||
514 |
Starbucks Corp. (Consumer
Discretionary) |
0.3 |
% |
41,870 |
|||||||||||
762 |
Texas Instruments, Inc. (Information Technology) |
0.2 |
% |
32,766 |
|||||||||||
495 |
TJX Cos., Inc. (Consumer
Discretionary) |
0.2 |
% |
31,126 |
|||||||||||
1,006 |
Twenty-First Century Fox, Inc., Class A (Consumer Discretionary) |
0.2 |
% |
33,691 |
|||||||||||
321 |
Union Pacific Corp.
(Industrials) |
0.3 |
% |
52,015 |
|||||||||||
498 |
United Parcel Service, Inc., Class B (Industrials) |
0.3 |
% |
50,985 |
|||||||||||
592 |
United Technologies Corp.
(Industrials) |
0.4 |
% |
65,629 |
|||||||||||
1,966 |
Verizon Communications, Inc. (Telecommunication Services) |
0.6 |
% |
97,553 |
|||||||||||
359 |
Visa, Inc., Class A
(Information Technology) |
0.5 |
% |
73,042 |
|||||||||||
490 |
Walgreen Co. (Consumer Staples) |
0.2 |
% |
29,008 |
|||||||||||
734 |
Wal-Mart Stores, Inc.
(Consumer Staples) |
0.4 |
% |
59,461 |
|||||||||||
54,213 |
Other Common Stocks |
19.6 |
% |
3,069,287 |
|||||||||||
Total Common Stocks
(Cost $5,106,039) |
6,477,456 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government & Agency Security (a) — 19.6% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
3,077,938 |
0.00%, due 12/02/13 |
3,077,938 |
||||||||||||
Total U.S. Government &
Agency Security (Cost $3,077,938) |
3,077,938 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA RUSSELL1000 GROWTH 141
Principal Amount |
Value |
||||||||||||||
Repurchase Agreements (a)(b) — 36.0% |
|||||||||||||||
$ |
5,638,902 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $5,638,932 |
$ |
5,638,902 |
|||||||||||
Total Repurchase Agreements
(Cost $5,638,902) |
5,638,902 |
||||||||||||||
Total Investment Securities (Cost $13,822,879) — 96.9% |
15,194,296 |
||||||||||||||
Other assets less liabilities — 3.1% |
481,423 |
||||||||||||||
Net Assets — 100.0% |
$ |
15,675,719 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $1,227,733.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,275,933 |
|||||
Aggregate gross unrealized depreciation |
(34,096 |
) |
|||||
Net unrealized appreciation |
$ |
1,241,837 |
|||||
Federal income tax cost of investments |
$ |
13,952,459 |
Swap Agreements ‡
Ultra Russell1000 Growth had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Russell 1000® Growth Index |
11/06/15 |
$ |
372,950 |
$ |
7,821 |
||||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Russell 1000® Growth Index |
12/06/13 |
8,485,618 |
171,079 |
||||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Russell 1000® Growth Index |
11/06/15 |
6,351,124 |
124,827 |
||||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Russell 1000® Growth Index |
11/06/15 |
6,386,183 |
132,391 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell 1000® Growth Index |
12/06/13 |
2,411,725 |
49,883 |
||||||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® Russell 1000 Growth Index Fund |
12/06/13 |
106,692 |
2,217 |
||||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares® Russell 1000 Growth Index Fund |
11/06/15 |
759,532 |
17,719 |
||||||||||||
$ |
505,937 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.32%.
See accompanying notes to the financial statements.
142 :: UKF ULTRA RUSSELL1000 GROWTH :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Ultra Russell1000 Growth invested, as a percentage of net assets, in the following industries, as of November 30, 2013:
Consumer Discretionary |
8.3 |
% |
|||||
Consumer Staples |
5.0 |
% |
|||||
Energy |
1.9 |
% |
|||||
Financials |
2.2 |
% |
|||||
Health Care |
5.1 |
% |
|||||
Industrials |
5.1 |
% |
|||||
Information Technology |
11.0 |
% |
|||||
Materials |
1.8 |
% |
|||||
Telecommunication Services |
0.8 |
% |
|||||
Utilities |
0.1 |
% |
|||||
Other1 |
58.7 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA RUSSELL1000 GROWTH 143
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 34.4% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
1,829,710 |
0.00%, due 12/02/13 |
$ |
1,829,710 |
|||||||
Total U.S. Government & Agency
Security (Cost $1,829,710) |
1,829,710 |
||||||||||
Repurchase Agreements (a)(b) — 62.6% |
|||||||||||
3,334,414 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $3,334,431 |
3,334,414 |
|||||||||
Total Repurchase Agreements
(Cost $3,334,414) |
3,334,414 |
||||||||||
Total Investment Securities (Cost $5,164,124) † — 97.0% |
5,164,124 |
||||||||||
Other assets less liabilities — 3.0% |
161,790 |
||||||||||
Net Assets — 100.0% |
$ |
5,325,914 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $246,821.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
Ultra Russell MidCap Value had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Russell Midcap® Value Index |
11/06/15 |
$ |
195,588 |
$ |
(16,698 |
) |
|||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Russell Midcap® Value Index |
12/06/13 |
509,657 |
213 |
||||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Russell Midcap® Value Index |
01/06/14 |
225,765 |
(87,569 |
) |
|||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Russell Midcap® Value Index |
11/06/15 |
125,686 |
(14,133 |
) |
|||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Russell Midcap® Value Index |
11/06/14 |
2,736,641 |
284,683 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Russell Midcap® Value Index |
12/06/13 |
296,533 |
(3,586 |
) |
|||||||||||
Swap Agreement with
Deutsche Bank AG, based on the iShares® Russell Midcap
Value Index Fund |
12/06/13 |
4,119,855 |
19,522 |
||||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Russell Midcap Value Index Fund |
11/06/15 |
2,442,890 |
11,516 |
||||||||||||
$ |
193,948 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.27%.
See accompanying notes to the financial statements.
144 :: UVU ULTRA RUSSELL MIDCAP VALUE :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage
of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 52.6% |
|||||||||||||||
320 |
Actavis PLC* (Health Care) |
0.4 |
% |
$ |
52,182 |
||||||||||
468 |
Alexion
Pharmaceuticals, Inc.* (Health Care) |
0.4 |
% |
58,266 |
|||||||||||
554 |
AmerisourceBergen Corp. (Health Care) |
0.3 |
% |
39,074 |
|||||||||||
572 |
Aon PLC (Financials) |
0.3 |
% |
46,698 |
|||||||||||
85 |
AutoZone, Inc.*(Consumer Discretionary) |
0.3 |
% |
39,236 |
|||||||||||
524 |
Bed Bath & Beyond,
Inc.* (Consumer Discretionary) |
0.3 |
% |
40,888 |
|||||||||||
1,011 |
Cabot Oil & Gas Corp. (Energy) |
0.2 |
% |
34,829 |
|||||||||||
711 |
Cerner Corp.* (Health Care) |
0.3 |
% |
40,861 |
|||||||||||
74 |
Chipotle Mexican Grill, Inc.* (Consumer Discretionary) |
0.3 |
% |
38,766 |
|||||||||||
674 |
Coach, Inc.
(Consumer Discretionary) |
0.3 |
% |
39,025 |
|||||||||||
801 |
Crown Castle International Corp.* (Telecommunication Services) |
0.4 |
% |
59,458 |
|||||||||||
750 |
Delphi Automotive
PLC (Consumer Discretionary) |
0.3 |
% |
43,913 |
|||||||||||
587 |
Discovery Communications, Inc., Class A* (Consumer Discretionary) |
0.4 |
% |
51,228 |
|||||||||||
785 |
Dollar General Corp.*
(Consumer Discretionary) |
0.3 |
% |
44,698 |
|||||||||||
319 |
Fiserv, Inc.* (Information Technology) |
0.3 |
% |
35,055 |
|||||||||||
538 |
Harley-Davidson,
Inc. (Consumer Discretionary) |
0.3 |
% |
36,057 |
|||||||||||
360 |
Hershey Co. (The) (Consumer Staples) |
0.3 |
% |
34,880 |
|||||||||||
511 |
Ingersoll-Rand
PLC (Industrials) |
0.3 |
% |
36,496 |
|||||||||||
273 |
IntercontinentalExchange Group, Inc.* (Financials) |
0.4 |
% |
58,228 |
|||||||||||
918 |
International Paper
Co. (Materials) |
0.3 |
% |
42,825 |
|||||||||||
712 |
Intuit, Inc. (Information Technology) |
0.4 |
% |
52,852 |
|||||||||||
1,248 |
Kroger Co. (The)
(Consumer Staples) |
0.4 |
% |
52,104 |
|||||||||||
576 |
L Brands, Inc. (Consumer Discretionary) |
0.3 |
% |
37,434 |
|||||||||||
232 |
LinkedIn Corp., Class
A* (Information Technology) |
0.4 |
% |
51,975 |
|||||||||||
906 |
Lorillard, Inc. (Consumer Staples) |
0.3 |
% |
46,505 |
|||||||||||
713 |
Macy's, Inc.
(Consumer Discretionary) |
0.3 |
% |
37,974 |
|||||||||||
829 |
Mattel, Inc. (Consumer Discretionary) |
0.3 |
% |
38,358 |
Shares |
Percentage
of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
486 |
Mead Johnson Nutrition Co. (Consumer Staples) |
0.3 |
% |
$ |
41,072 |
||||||||||
483 |
Michael Kors Holdings
Ltd.* (Consumer Discretionary) |
0.3 |
% |
39,389 |
|||||||||||
467 |
Moody's Corp. (Financials) |
0.3 |
% |
34,852 |
|||||||||||
549 |
Motorola Solutions,
Inc. (Information Technology) |
0.3 |
% |
36,168 |
|||||||||||
914 |
Mylan, Inc.* (Health Care) |
0.3 |
% |
40,335 |
|||||||||||
816 |
NetApp, Inc.
(Information Technology) |
0.2 |
% |
33,660 |
|||||||||||
121 |
Netflix, Inc.* (Consumer Discretionary) |
0.3 |
% |
44,262 |
|||||||||||
620 |
Omnicom Group,
Inc. (Consumer Discretionary) |
0.3 |
% |
44,299 |
|||||||||||
226 |
Perrigo Co. (Health Care) |
0.3 |
% |
35,231 |
|||||||||||
242 |
Pioneer Natural
Resources Co. (Energy) |
0.3 |
% |
43,016 |
|||||||||||
335 |
Rockwell Automation, Inc. (Industrials) |
0.3 |
% |
38,049 |
|||||||||||
527 |
Ross Stores,
Inc. (Consumer Discretionary) |
0.3 |
% |
40,294 |
|||||||||||
848 |
Seadrill Ltd. (Energy) |
0.3 |
% |
36,218 |
|||||||||||
212 |
Sherwin-Williams Co.
(The) (Materials) |
0.3 |
% |
38,802 |
|||||||||||
622 |
T. Rowe Price Group, Inc. (Financials) |
0.3 |
% |
50,046 |
|||||||||||
854 |
United Continental
Holdings, Inc.* (Industrials) |
0.1 |
% |
33,520 |
|||||||||||
559 |
Vertex Pharmaceuticals, Inc.* (Health Care) |
0.3 |
% |
38,806 |
|||||||||||
210 |
VF Corp.
(Consumer Discretionary) |
0.3 |
% |
49,262 |
|||||||||||
141 |
W.W. Grainger, Inc. (Industrials) |
0.3 |
% |
36,367 |
|||||||||||
1,397 |
Weyerhaeuser Co.
(REIT) (Financials) |
0.3 |
% |
42,092 |
|||||||||||
890 |
Whole Foods Market, Inc. (Consumer Staples) |
0.4 |
% |
50,374 |
|||||||||||
1,199 |
Zoetis, Inc. (Health Care) |
0.3 |
% |
37,349 |
|||||||||||
106,143 |
Other Common Stocks |
37.4 |
% |
5,111,255 |
|||||||||||
Total Common
Stocks (Cost $5,854,552) |
7,184,583 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government & Agency Security (a) — 14.2% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
1,933,762 |
0.00%, due 12/02/13 |
1,933,762 |
||||||||||||
Total U.S. Government &
Agency Security (Cost $1,933,762) |
1,933,762 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA RUSSELL MIDCAP GROWTH 145
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a)(b) — 26.9% |
|||||||||||
$ |
3,670,936 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $3,670,956 |
$ |
3,670,936 |
|||||||
Total Repurchase
Agreements (Cost $3,670,936) |
3,670,936 |
||||||||||
Total Investment Securities (Cost $11,459,250) — 93.7% |
12,789,281 |
||||||||||
Other assets less liabilities — 6.3% |
860,251 |
||||||||||
Net Assets — 100.0% |
$ |
13,649,532 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $758,569.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,412,356 |
|||||
Aggregate gross unrealized depreciation |
(93,267 |
) |
|||||
Net unrealized appreciation |
$ |
1,319,089 |
|||||
Federal income tax cost of investments |
$ |
11,470,192 |
Swap Agreements ‡
Ultra Russell MidCap Growth had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Russell Midcap® Growth Index |
11/06/15 |
$ |
39,368 |
$ |
727 |
||||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Russell Midcap® Growth Index |
12/06/13 |
10,096,648 |
173,660 |
||||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Russell Midcap® Growth Index |
11/06/15 |
441,074 |
(1,120 |
) |
|||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Russell Midcap® Growth Index |
03/06/14 |
5,123,945 |
633,577 |
||||||||||||
Equity Index Swap Agreement
with UBS AG, based on the Russell Midcap® Growth Index |
12/06/13 |
2,322,896 |
42,775 |
||||||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® Russell Midcap Growth Index Fund |
12/06/13 |
32,829 |
598 |
||||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares® Russell Midcap Growth Index Fund |
11/06/15 |
2,057,954 |
39,456 |
||||||||||||
$ |
889,673 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.33%.
Ultra Russell MidCap Growth invested, as a percentage of net assets, in the following industries, as of November 30, 2013:
Consumer Discretionary |
13.3 |
% |
|||||
Consumer Staples |
4.3 |
% |
|||||
Energy |
3.1 |
% |
|||||
Financials |
4.5 |
% |
|||||
Health Care |
6.9 |
% |
|||||
Industrials |
7.8 |
% |
|||||
Information Technology |
8.5 |
% |
|||||
Materials |
3.0 |
% |
|||||
Telecommunication Services |
0.8 |
% |
|||||
Utilities |
0.4 |
% |
|||||
Other1 |
47.4 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
146 :: UKW ULTRA RUSSELL MIDCAP GROWTH :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage
of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 54.4% |
|||||||||||||||
632 |
Actuant Corp., Class A (Industrials) |
0.2 |
% |
$ |
24,699 |
||||||||||
602 |
Axiall Corp. (Materials) |
0.2 |
% |
27,271 |
|||||||||||
821 |
BancorpSouth, Inc. (Financials) |
0.1 |
% |
19,630 |
|||||||||||
384 |
Black Hills Corp. (Utilities) |
0.1 |
% |
19,304 |
|||||||||||
312 |
Bristow Group, Inc. (Energy) |
0.2 |
% |
25,022 |
|||||||||||
681 |
Cathay General Bancorp
(Financials) |
0.1 |
% |
18,816 |
|||||||||||
522 |
Cleco Corp. (Utilities) |
0.2 |
% |
23,861 |
|||||||||||
1,917 |
CNO Financial Group, Inc.
(Financials) |
0.3 |
% |
32,436 |
|||||||||||
1,009 |
Commercial Metals Co. (Materials) |
0.1 |
% |
19,595 |
|||||||||||
1,150 |
CubeSmart (REIT) (Financials) |
0.1 |
% |
18,653 |
|||||||||||
404 |
Curtiss-Wright Corp. (Industrials) |
0.2 |
% |
21,319 |
|||||||||||
1,162 |
Dana Holding Corp.
(Consumer Discretionary) |
0.2 |
% |
23,565 |
|||||||||||
2,509 |
DCT Industrial Trust, Inc. (REIT) (Financials) |
0.1 |
% |
18,717 |
|||||||||||
1,687 |
DiamondRock Hospitality
Co. (REIT) (Financials) |
0.1 |
% |
19,282 |
|||||||||||
643 |
DigitalGlobe, Inc.* (Industrials) |
0.2 |
% |
25,463 |
|||||||||||
579 |
EMCOR Group, Inc.
(Industrials) |
0.2 |
% |
23,004 |
|||||||||||
280 |
EnerSys, Inc. (Industrials) |
0.2 |
% |
19,978 |
|||||||||||
446 |
EPR Properties (REIT)
(Financials) |
0.2 |
% |
22,429 |
|||||||||||
270 |
Esterline Technologies Corp.* (Industrials) |
0.2 |
% |
23,765 |
|||||||||||
1,035 |
Fifth & Pacific Cos.,
Inc.* (Consumer Discretionary) |
0.3 |
% |
33,803 |
|||||||||||
934 |
First American Financial Corp. (Financials) |
0.2 |
% |
24,714 |
|||||||||||
1,430 |
FirstMerit Corp. (Financials) |
0.3 |
% |
32,833 |
|||||||||||
733 |
Hancock Holding Co. (Financials) |
0.2 |
% |
25,802 |
|||||||||||
378 |
Harris Teeter
Supermarkets, Inc. (Consumer Staples) |
0.1 |
% |
18,666 |
|||||||||||
914 |
Helix Energy Solutions Group, Inc.* (Energy) |
0.2 |
% |
20,300 |
|||||||||||
536 |
Highwoods Properties, Inc.
(REIT) (Financials) |
0.1 |
% |
19,253 |
|||||||||||
434 |
IDACORP, Inc. (Utilities) |
0.2 |
% |
22,429 |
|||||||||||
897 |
LaSalle Hotel Properties
(REIT) (Financials) |
0.2 |
% |
28,094 |
|||||||||||
1,215 |
Live Nation Entertainment, Inc.* (Consumer Discretionary) |
0.2 |
% |
22,320 |
|||||||||||
434 |
Men's Wearhouse, Inc.
(The) (Consumer Discretionary) |
0.2 |
% |
22,186 |
|||||||||||
355 |
Moog, Inc., Class A* (Industrials) |
0.2 |
% |
24,378 |
Shares |
Percentage
of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
2,069 |
NorthStar Realty Finance Corp. (REIT) (Financials) |
0.2 |
% |
$ |
20,442 |
||||||||||
3,613 |
Office Depot, Inc.*
(Consumer Discretionary) |
0.1 |
% |
19,656 |
|||||||||||
652 |
Piedmont Natural Gas Co., Inc. (Utilities) |
0.2 |
% |
21,614 |
|||||||||||
653 |
Portland General Electric
Co. (Utilities) |
0.1 |
% |
19,466 |
|||||||||||
492 |
Primerica, Inc. (Financials) |
0.2 |
% |
21,171 |
|||||||||||
2,422 |
Prospect Capital Corp.
(Financials) |
0.2 |
% |
27,635 |
|||||||||||
520 |
Prosperity Bancshares, Inc. (Financials) |
0.3 |
% |
33,348 |
|||||||||||
1,067 |
RLJ Lodging Trust (REIT)
(Financials) |
0.2 |
% |
25,757 |
|||||||||||
432 |
Sensient Technologies Corp. (Materials) |
0.2 |
% |
21,228 |
|||||||||||
400 |
Southwest Gas Corp.
(Utilities) |
0.2 |
% |
21,224 |
|||||||||||
550 |
Stifel Financial Corp.* (Financials) |
0.2 |
% |
24,601 |
|||||||||||
1,609 |
Susquehanna Bancshares,
Inc. (Financials) |
0.2 |
% |
20,257 |
|||||||||||
222 |
Teledyne Technologies, Inc.* (Industrials) |
0.2 |
% |
20,586 |
|||||||||||
352 |
Texas Capital Bancshares,
Inc.* (Financials) |
0.2 |
% |
19,772 |
|||||||||||
308 |
UMB Financial Corp. (Financials) |
0.1 |
% |
19,749 |
|||||||||||
1,003 |
US Airways Group, Inc.*
(Industrials) |
0.2 |
% |
23,550 |
|||||||||||
779 |
Webster Financial Corp. (Financials) |
0.2 |
% |
22,965 |
|||||||||||
375 |
WellCare Health Plans,
Inc.* (Health Care) |
0.2 |
% |
27,863 |
|||||||||||
362,028 |
Other Common Stocks |
45.4 |
% |
5,735,664 |
|||||||||||
Total Common Stocks
(Cost $6,250,094) |
6,868,135 |
||||||||||||||
Investment Companies (a) — 0.0% ‡ |
|||||||||||||||
74 |
Firsthand Technology
Value Fund, Inc.* |
0.0 |
% |
1,565 |
|||||||||||
104 |
Stellus Capital Investment Corp. |
0.0 |
% |
1,606 |
|||||||||||
Total Investment
Companies (Cost $3,079) |
3,171 |
||||||||||||||
No. of Rights |
|||||||||||||||
Rights — 0.0% ‡ |
|||||||||||||||
78 |
Peapack Gladstone Financial
Corp., expiring 12/09/13 at $17.00*^ |
0.0 |
% |
28 |
|||||||||||
Total Rights (Cost $—) |
28 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA RUSSELL2000 VALUE 147
No. of Warrants |
Percentage
of Net Assets |
Value |
|||||||||||||
Warrants — 0.0% ‡ |
|||||||||||||||
101 |
Magnum Hunter Resources Corp., expiring 04/15/16 at $8.50*^ |
0.0 |
% |
$ |
— |
||||||||||
Total
Warrant (Cost $—) |
— |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government & Agency Security (a) — 13.7% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
1,726,230 |
0.00%, due 12/02/13 |
1,726,230 |
||||||||||||
Total U.S. Government &
Agency Security (Cost $1,726,230) |
1,726,230 |
||||||||||||||
Repurchase Agreements (a)(b) — 25.6% |
|||||||||||||||
3,230,576 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $3,230,592 |
3,230,576 |
|||||||||||||
Total Repurchase Agreements (Cost $3,230,576) |
3,230,576 |
||||||||||||||
Total Investment Securities
(Cost $11,209,979) — 93.7% |
11,828,140 |
||||||||||||||
Other assets less liabilities — 6.3% |
797,093 |
||||||||||||||
Net Assets — 100.0% |
$ |
12,625,233 |
* Non-income producing security.
^ Security fair valued in accordance with procedures adopted by the Board of Trustees. At November 30, 2013, the value of these securities amounted to $419 or 0.00% of net assets.
‡ Amount represents less than 0.05%.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $722,886.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,193,445 |
|||||
Aggregate gross unrealized depreciation |
(612,211 |
) |
|||||
Net unrealized appreciation |
$ |
581,234 |
|||||
Federal income tax cost of investments |
$ |
11,246,906 |
Swap Agreements ‡
Ultra Russell2000 Value had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Russell 2000® Value Index |
11/06/15 |
$ |
231,466 |
$ |
8,505 |
||||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Russell 2000® Value Index |
12/06/13 |
9,273,548 |
315,974 |
||||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Russell 2000® Value Index |
11/06/15 |
5,080,182 |
179,440 |
||||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Russell 2000® Value Index |
11/06/14 |
1,906,161 |
264,232 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Value Index |
12/06/13 |
1,725,419 |
62,735 |
||||||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® Russell 2000 Value Index Fund |
12/06/13 |
110,399 |
3,822 |
||||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares®
Russell 2000 Value Index Fund |
11/06/15 |
51,017 |
1,768 |
||||||||||||
$ |
836,476 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was (0.06)%.
See accompanying notes to the financial statements.
148 :: UVT ULTRA RUSSELL2000 VALUE :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Ultra Russell2000 Value invested, as a percentage of net assets, in the following industries, as of November 30, 2013:
Consumer Discretionary |
5.8 |
% |
|||||
Consumer Staples |
1.5 |
% |
|||||
Energy |
4.1 |
% |
|||||
Financials |
21.2 |
% |
|||||
Health Care |
2.6 |
% |
|||||
Industrials |
7.5 |
% |
|||||
Information Technology |
5.7 |
% |
|||||
Materials |
2.5 |
% |
|||||
Telecommunication Services |
0.3 |
% |
|||||
Utilities |
3.2 |
% |
|||||
Other1 |
45.6 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA RUSSELL2000 VALUE 149
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 33.3% |
|||||||||||||||
243 |
Acuity Brands, Inc. (Industrials) |
0.2 |
% |
$ |
24,915 |
||||||||||
415 |
Align Technology, Inc.*
(Health Care) |
0.2 |
% |
22,676 |
|||||||||||
311 |
Alnylam Pharmaceuticals, Inc.* (Health Care) |
0.1 |
% |
19,033 |
|||||||||||
501 |
Aspen Technology, Inc.*
(Information Technology) |
0.2 |
% |
19,805 |
|||||||||||
209 |
athenahealth, Inc.* (Health Care) |
0.2 |
% |
27,414 |
|||||||||||
222 |
Belden, Inc. (Information
Technology) |
0.1 |
% |
15,544 |
|||||||||||
486 |
Brunswick Corp. (Consumer Discretionary) |
0.2 |
% |
22,210 |
|||||||||||
106 |
Buffalo Wild Wings, Inc.*
(Consumer Discretionary) |
0.1 |
% |
15,925 |
|||||||||||
217 |
Casey's General Stores, Inc. (Consumer Staples) |
0.1 |
% |
16,149 |
|||||||||||
309 |
Centene Corp.* (Health Care) |
0.1 |
% |
18,457 |
|||||||||||
381 |
Cepheid, Inc.* (Health Care) |
0.1 |
% |
17,305 |
|||||||||||
172 |
Chart Industries, Inc.*
(Industrials) |
0.1 |
% |
16,736 |
|||||||||||
282 |
CLARCOR, Inc. (Industrials) |
0.1 |
% |
17,069 |
|||||||||||
494 |
Cognex Corp. (Information
Technology) |
0.1 |
% |
16,277 |
|||||||||||
264 |
CommVault Systems, Inc.* (Information Technology) |
0.2 |
% |
19,760 |
|||||||||||
162 |
CoStar Group, Inc.*
(Information Technology) |
0.2 |
% |
30,171 |
|||||||||||
237 |
FEI Co. (Information Technology) |
0.2 |
% |
21,579 |
|||||||||||
277 |
Financial Engines, Inc.
(Financials) |
0.1 |
% |
18,767 |
|||||||||||
293 |
Generac Holdings, Inc. (Industrials) |
0.1 |
% |
15,605 |
|||||||||||
218 |
Hain Celestial Group, Inc.
(The)* (Consumer Staples) |
0.1 |
% |
18,026 |
|||||||||||
377 |
HEICO Corp. (Industrials) |
0.2 |
% |
21,519 |
|||||||||||
637 |
Isis Pharmaceuticals, Inc.*
(Health Care) |
0.2 |
% |
24,690 |
|||||||||||
1,507 |
Kodiak Oil & Gas Corp.* (Energy) |
0.1 |
% |
17,089 |
|||||||||||
156 |
Lumber Liquidators
Holdings, Inc.* (Consumer Discretionary) |
0.1 |
% |
15,708 |
|||||||||||
212 |
MarketAxess Holdings, Inc. (Financials) |
0.1 |
% |
14,918 |
|||||||||||
388 |
MAXIMUS, Inc.
(Information Technology) |
0.1 |
% |
17,654 |
|||||||||||
150 |
Medidata Solutions, Inc.* (Health Care) |
0.1 |
% |
17,836 |
|||||||||||
107 |
Middleby Corp. (The)*
(Industrials) |
0.2 |
% |
23,630 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
564 |
PolyOne Corp. (Materials) |
0.1 |
% |
$ |
18,307 |
||||||||||
288 |
Portfolio Recovery
Associates, Inc.* (Financials) |
0.1 |
% |
16,819 |
|||||||||||
679 |
PTC, Inc.* (Information Technology) |
0.2 |
% |
22,095 |
|||||||||||
295 |
Questcor Pharmaceuticals,
Inc. (Health Care) |
0.1 |
% |
17,113 |
|||||||||||
347 |
Rosetta Resources, Inc.* (Energy) |
0.1 |
% |
17,548 |
|||||||||||
387 |
Sotheby's (Consumer
Discretionary) |
0.2 |
% |
19,838 |
|||||||||||
342 |
Spirit Airlines, Inc.* (Industrials) |
0.1 |
% |
15,688 |
|||||||||||
335 |
STERIS Corp. (Health Care) |
0.1 |
% |
15,457 |
|||||||||||
1,513 |
SunEdison, Inc.* (Information Technology) |
0.1 |
% |
19,230 |
|||||||||||
187 |
Targa Resources Corp.
(Energy) |
0.1 |
% |
15,164 |
|||||||||||
390 |
Team Health Holdings, Inc.* (Health Care) |
0.1 |
% |
18,225 |
|||||||||||
346 |
Tenneco, Inc.* (Consumer
Discretionary) |
0.2 |
% |
19,860 |
|||||||||||
179 |
Tyler Technologies, Inc.* (Information Technology) |
0.1 |
% |
18,367 |
|||||||||||
156 |
Ultimate Software Group,
Inc. (The)* (Information Technology) |
0.2 |
% |
24,444 |
|||||||||||
280 |
United Natural Foods, Inc.* (Consumer Staples) |
0.1 |
% |
19,278 |
|||||||||||
204 |
Vail Resorts, Inc.
(Consumer Discretionary) |
0.1 |
% |
15,461 |
|||||||||||
371 |
ViroPharma, Inc.* (Health Care) |
0.1 |
% |
18,368 |
|||||||||||
393 |
West Pharmaceutical
Services, Inc. (Health Care) |
0.1 |
% |
19,619 |
|||||||||||
220 |
WEX, Inc.* (Information Technology) |
0.2 |
% |
21,837 |
|||||||||||
570 |
Wolverine World Wide, Inc.
(Consumer Discretionary) |
0.1 |
% |
18,759 |
|||||||||||
390 |
Woodward, Inc. (Industrials) |
0.1 |
% |
16,731 |
|||||||||||
183,781 |
Other Common Stocks |
26.8 |
% |
3,828,201 |
|||||||||||
Total Common Stocks (Cost $4,919,096) |
4,762,876 |
||||||||||||||
No. of Rights |
|||||||||||||||
Rights — 0.0% ‡ |
|||||||||||||||
81 |
Omthera Pharmaceuticals, Inc., at $4.70*^ |
0.0 |
% |
— |
|||||||||||
Total Rights
(Cost $—) |
— |
See accompanying notes to the financial statements.
150 :: UKK ULTRA RUSSELL2000 GROWTH :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
No. of Warrants |
Percentage of Net Assets |
Value |
|||||||||||||
Warrants — 0.0% ‡ |
|||||||||||||||
73 |
Magnum Hunter Resources Corp., expiring 04/15/16 at $8.50*^ |
0.0 |
% |
$ |
— |
||||||||||
1 |
Tejon Ranch Co.,
expiring 08/31/16 at $40.00* |
0.0 |
% |
6 |
|||||||||||
Total Warrants (Cost $—) |
6 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government &
Agency Securities (a) — 25.1% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
1,594,055 |
0.00%, due 12/02/13 |
1,594,055 |
||||||||||||
U.S. Treasury Bill |
|||||||||||||||
2,000,000 |
0.00%, due 03/13/14 |
1,999,833 |
|||||||||||||
Total U.S. Government & Agency
Securities (Cost $3,593,888) |
3,593,888 |
||||||||||||||
Repurchase Agreements (a)(b) — 22.1% |
|||||||||||||||
3,163,003 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $3,163,020 |
3,163,003 |
|||||||||||||
Total Repurchase Agreements
(Cost $3,163,003) |
3,163,003 |
||||||||||||||
Total Investment Securities (Cost $11,675,987) — 80.5% |
11,519,773 |
||||||||||||||
Other assets less liabilities — 19.5% |
2,790,802 |
||||||||||||||
Net Assets — 100.0% |
$ |
14,310,575 |
* Non-income producing security.
^ Security fair valued in accordance with procedures adopted by the Board of Trustees. At November 30, 2013, the value of these securities amounted to $— or 0.00% of net assets.
‡ Amount represents less than 0.05%.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $675,077.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
170,163 |
|||||
Aggregate gross unrealized depreciation |
(398,802 |
) |
|||||
Net unrealized depreciation |
$ |
(228,639 |
) |
||||
Federal income tax cost of investments |
$ |
11,748,412 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA RUSSELL2000 GROWTH 151
Swap Agreements ‡
Ultra Russell2000 Growth had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Russell 2000® Growth Index |
11/06/15 |
$ |
116,956 |
$ |
4,991 |
||||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Russell 2000® Growth Index |
12/06/13 |
3,205,103 |
— |
||||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Russell 2000® Growth Index |
01/06/14 |
17,529,618 |
— |
||||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Russell 2000® Growth Index |
11/06/15 |
218,738 |
9,297 |
||||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Russell 2000®
Growth Index |
11/06/14 |
2,062,645 |
1,008,432 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Growth Index |
12/06/13 |
318,504 |
14,629 |
||||||||||||
Swap Agreement with
Deutsche Bank AG, based on the iShares® Russell 2000 Growth
Index Fund |
12/06/13 |
76,174 |
3,297 |
||||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Russell 2000 Growth Index Fund |
01/06/14 |
334,719 |
— |
||||||||||||
$ |
1,040,646 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.05%.
Ultra Russell2000 Growth invested, as a percentage of net assets, in the following industries, as of November 30, 2013:
Consumer Discretionary |
5.6 |
% |
|||||
Consumer Staples |
1.7 |
% |
|||||
Energy |
1.3 |
% |
|||||
Financials |
2.4 |
% |
|||||
Health Care |
7.0 |
% |
|||||
Industrials |
5.2 |
% |
|||||
Information Technology |
8.1 |
% |
|||||
Materials |
1.7 |
% |
|||||
Telecommunication Services |
0.3 |
% |
|||||
Utilities |
0.0 |
%‡ |
|||||
Other1 |
66.7 |
% |
|||||
100.0 |
% |
‡ Amount represents less than 0.05%.
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
152 :: UKK ULTRA RUSSELL2000 GROWTH :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 30.4% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
35,819,713 |
0.00%, due 12/02/13 |
$ |
35,819,713 |
|||||||
Total U.S. Government & Agency
Security (Cost $35,819,713) |
35,819,713 |
||||||||||
Repurchase Agreements (a)(b) — 60.0% |
|||||||||||
70,805,142 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $70,805,504 |
70,805,142 |
|||||||||
Total Repurchase Agreements
(Cost $70,805,142) |
70,805,142 |
||||||||||
Total Investment Securities (Cost $106,624,855) † — 90.4% |
106,624,855 |
||||||||||
Other assets less liabilities — 9.6% |
11,324,294 |
||||||||||
Net Assets — 100.0% |
$ |
117,949,149 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $10,360,199.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
Ultra Basic Materials had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Citibank, N.A., based on the Dow Jones U.S. Basic MaterialsSM Index |
12/06/13 |
$ |
1,907,436 |
$ |
15,569 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Dow Jones U.S. Basic MaterialsSM Index |
01/06/15 |
1,517,236 |
1,568,493 |
||||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the Dow Jones U.S. Basic MaterialsSM Index |
12/06/13 |
79,177,903 |
652,603 |
||||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Dow Jones U.S. Basic MaterialsSM Index |
12/06/13 |
1,061,842 |
8,538 |
||||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. Basic MaterialsSM Index |
12/06/13 |
2,274,166 |
(17,979 |
) |
|||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. Basic MaterialsSM Index |
03/06/14 |
2,874,049 |
3,020,004 |
||||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. Basic MaterialsSM Index |
11/06/15 |
84,587,115 |
778,988 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. Basic MaterialsSM Index |
12/06/13 |
3,523,232 |
1,952 |
||||||||||||
Swap Agreement with
Deutsche Bank AG, based on the iShares® Dow Jones
U.S. Basic Materials Sector Index Fund |
01/06/14 |
9,575,504 |
3,414,716 |
||||||||||||
Swap Agreement with Goldman Sachs International,
based on the iShares® Dow Jones U.S. Basic Materials Sector Index Fund |
12/06/13 |
10,639,936 |
84,743 |
||||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® Dow Jones
U.S. Basic Materials Sector Index Fund |
12/06/13 |
36,685,747 |
295,523 |
||||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Dow Jones U.S. Basic Materials Sector Index Fund |
01/06/15 |
1,759,878 |
1,551,832 |
||||||||||||
$ |
11,374,982 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.38%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA BASIC MATERIALS 153
Shares |
Value |
||||||||||
Common Stocks (a) — 71.0% |
|||||||||||
Biotechnology — 54.3% |
|||||||||||
33,685 |
ACADIA Pharmaceuticals, Inc.* |
$ |
784,524 |
||||||||
36,666 |
Achillion Pharmaceuticals, Inc.* |
126,864 |
|||||||||
15,439 |
Acorda Therapeutics, Inc.* |
537,432 |
|||||||||
10,991 |
Aegerion Pharmaceuticals, Inc.* |
779,592 |
|||||||||
48,027 |
Alexion Pharmaceuticals, Inc.* |
5,979,361 |
|||||||||
51,482 |
Alkermes PLC* |
2,078,843 |
|||||||||
23,887 |
Alnylam Pharmaceuticals, Inc.* |
1,461,884 |
|||||||||
8,228 |
AMAG Pharmaceuticals, Inc.* |
201,833 |
|||||||||
62,429 |
Amarin Corp. PLC (ADR)* |
113,621 |
|||||||||
95,013 |
Amgen, Inc. |
10,839,083 |
|||||||||
18,830 |
Amicus Therapeutics, Inc.* |
46,134 |
|||||||||
15,410 |
Anacor Pharmaceuticals, Inc.* |
215,740 |
|||||||||
82,806 |
Arena Pharmaceuticals, Inc.* |
539,895 |
|||||||||
70,230 |
Ariad Pharmaceuticals, Inc.* |
340,616 |
|||||||||
23,797 |
Arqule, Inc.* |
57,827 |
|||||||||
44,397 |
Array BioPharma, Inc.* |
253,951 |
|||||||||
19,793 |
AVEO Pharmaceuticals, Inc.* |
41,961 |
|||||||||
48,590 |
Biogen Idec, Inc.* |
14,138,232 |
|||||||||
53,156 |
BioMarin Pharmaceutical, Inc.* |
3,741,119 |
|||||||||
73,944 |
Celgene Corp.* |
11,961,921 |
|||||||||
30,727 |
Celldex Therapeutics, Inc.* |
852,982 |
|||||||||
12,856 |
Clovis Oncology, Inc.* |
774,960 |
|||||||||
28,080 |
Cubist Pharmaceuticals, Inc.* |
1,923,761 |
|||||||||
30,995 |
Curis, Inc.* |
99,184 |
|||||||||
28,558 |
Cytori Therapeutics, Inc.* |
77,678 |
|||||||||
59,833 |
Dendreon Corp.* |
177,704 |
|||||||||
45,897 |
Dyax Corp.* |
390,125 |
|||||||||
16,660 |
Enzon Pharmaceuticals, Inc. |
27,656 |
|||||||||
69,855 |
Exelixis, Inc.* |
407,255 |
|||||||||
11,618 |
Genomic Health, Inc.* |
408,721 |
|||||||||
48,810 |
Geron Corp.* |
262,110 |
|||||||||
171,739 |
Gilead Sciences, Inc.* |
12,847,795 |
|||||||||
37,576 |
Grifols S.A. (ADR) |
1,290,172 |
|||||||||
23,973 |
GTx, Inc.* |
40,514 |
|||||||||
42,981 |
Halozyme Therapeutics, Inc.* |
634,400 |
|||||||||
7,621 |
Hyperion Therapeutics, Inc.* |
194,640 |
|||||||||
50,826 |
Idenix Pharmaceuticals, Inc.* |
272,936 |
|||||||||
32,291 |
ImmunoGen, Inc.* |
469,188 |
|||||||||
31,466 |
Immunomedics, Inc.* |
135,933 |
|||||||||
58,072 |
Incyte Corp.* |
2,706,155 |
|||||||||
18,205 |
Infinity Pharmaceuticals, Inc.* |
265,975 |
|||||||||
31,091 |
InterMune, Inc.* |
429,989 |
|||||||||
36,165 |
Ironwood Pharmaceuticals, Inc.* |
413,004 |
|||||||||
43,748 |
Isis Pharmaceuticals, Inc.* |
1,695,672 |
|||||||||
194,806 |
Lexicon Pharmaceuticals, Inc.* |
467,534 |
|||||||||
7,755 |
Ligand Pharmaceuticals, Inc., Class B* |
431,798 |
|||||||||
135,566 |
MannKind Corp.* |
676,474 |
|||||||||
28,536 |
Medivation, Inc.* |
1,798,053 |
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
38,779 |
Merrimack Pharmaceuticals, Inc.* |
$ |
152,789 |
||||||||
19,837 |
Momenta Pharmaceuticals, Inc.* |
352,900 |
|||||||||
30,522 |
Myriad Genetics, Inc.* |
908,030 |
|||||||||
25,444 |
Neurocrine Biosciences, Inc.* |
249,860 |
|||||||||
9,751 |
NewLink Genetics Corp.* |
219,398 |
|||||||||
79,196 |
Novavax, Inc.* |
294,609 |
|||||||||
38,483 |
NPS Pharmaceuticals, Inc.* |
1,016,336 |
|||||||||
24,078 |
Oncothyreon, Inc.* |
48,878 |
|||||||||
37,551 |
Orexigen Therapeutics, Inc.* |
256,473 |
|||||||||
12,517 |
Osiris Therapeutics, Inc.* |
220,111 |
|||||||||
53,133 |
PDL BioPharma, Inc. |
519,109 |
|||||||||
23,077 |
Progenics Pharmaceuticals, Inc.* |
118,154 |
|||||||||
19,381 |
QLT, Inc. |
108,146 |
|||||||||
22,634 |
Raptor Pharmaceutical Corp.* |
314,386 |
|||||||||
34,818 |
Regeneron Pharmaceuticals, Inc.* |
10,231,617 |
|||||||||
12,073 |
Repligen Corp.* |
162,623 |
|||||||||
33,171 |
Rigel Pharmaceuticals, Inc.* |
88,235 |
|||||||||
22,842 |
Sangamo Biosciences, Inc.* |
278,901 |
|||||||||
14,259 |
Sarepta Therapeutics, Inc.* |
265,788 |
|||||||||
46,228 |
Seattle Genetics, Inc.* |
1,899,509 |
|||||||||
19,912 |
SIGA Technologies, Inc.* |
70,289 |
|||||||||
20,902 |
Sinovac Biotech Ltd.* |
130,637 |
|||||||||
24,019 |
Spectrum Pharmaceuticals, Inc. |
231,303 |
|||||||||
11,635 |
Synageva BioPharma Corp.* |
702,870 |
|||||||||
34,215 |
Synergy Pharmaceuticals, Inc.* |
157,047 |
|||||||||
31,531 |
Synta Pharmaceuticals Corp.* |
159,862 |
|||||||||
12,762 |
Targacept, Inc.* |
73,382 |
|||||||||
40,686 |
Theravance, Inc.* |
1,536,303 |
|||||||||
18,941 |
United Therapeutics Corp.* |
1,748,444 |
|||||||||
12,582 |
Vanda Pharmaceuticals, Inc.* |
147,713 |
|||||||||
68,867 |
Vertex Pharmaceuticals, Inc.* |
4,780,747 |
|||||||||
32,899 |
Vical, Inc.* |
38,163 |
|||||||||
34,865 |
XOMA Corp.* |
166,655 |
|||||||||
112,062,068 |
|||||||||||
Health Care Equipment & Supplies — 0.1% |
|||||||||||
26,458 |
Cerus Corp.* |
177,004 |
|||||||||
Life Sciences Tools & Services — 4.4% |
|||||||||||
27,154 |
Affymetrix, Inc.* |
230,537 |
|||||||||
11,982 |
Albany Molecular Research, Inc.* |
144,743 |
|||||||||
3,907 |
Furiex Pharmaceuticals, Inc.* |
175,815 |
|||||||||
47,471 |
Illumina, Inc.* |
4,652,158 |
|||||||||
15,705 |
Luminex Corp.* |
307,347 |
|||||||||
24,756 |
Pacific Biosciences of California, Inc.* |
104,718 |
|||||||||
88,909 |
QIAGEN N.V.* |
2,070,691 |
|||||||||
43,769 |
Sequenom, Inc.* |
115,112 |
|||||||||
13,979 |
Techne Corp. |
1,195,764 |
|||||||||
8,996,885 |
See accompanying notes to the financial statements.
154 :: BIB ULTRA NASDAQ BIOTECHNOLOGY :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
Pharmaceuticals — 12.2% |
|||||||||||
36,501 |
Akorn, Inc.* |
$ |
939,901 |
||||||||
18,737 |
Auxilium Pharmaceuticals, Inc.* |
382,422 |
|||||||||
55,191 |
AVANIR Pharmaceuticals,
Inc., Class A* |
245,048 |
|||||||||
32,654 |
Cadence Pharmaceuticals, Inc.* |
294,539 |
|||||||||
21,535 |
Depomed, Inc.* |
189,939 |
|||||||||
43,330 |
Endo Health Solutions, Inc.* |
2,911,343 |
|||||||||
13,677 |
Endocyte, Inc.* |
157,832 |
|||||||||
5,158 |
Hi-Tech Pharmacal Co., Inc. |
224,012 |
|||||||||
26,136 |
Impax Laboratories, Inc.* |
628,309 |
|||||||||
22,064 |
Jazz Pharmaceuticals PLC* |
2,579,723 |
|||||||||
23,671 |
Medicines Co. (The)* |
866,595 |
|||||||||
144,861 |
Mylan, Inc.* |
6,392,716 |
|||||||||
43,919 |
Nektar Therapeutics* |
551,623 |
|||||||||
11,324 |
Omeros Corp.* |
89,346 |
|||||||||
12,640 |
Pacira Pharmaceuticals, Inc.* |
697,601 |
|||||||||
17,239 |
Pain Therapeutics, Inc.* |
78,955 |
|||||||||
22,762 |
Questcor Pharmaceuticals, Inc. |
1,320,424 |
|||||||||
23,400 |
Salix Pharmaceuticals Ltd.* |
1,984,554 |
|||||||||
25,181 |
Santarus, Inc.* |
810,324 |
|||||||||
20,608 |
Sciclone Pharmaceuticals, Inc.* |
100,567 |
|||||||||
12,523 |
Shire PLC (ADR) |
1,700,749 |
|||||||||
16,113 |
Sucampo Pharmaceuticals, Inc., Class A* |
119,881 |
|||||||||
11,739 |
Supernus Pharmaceuticals, Inc.* |
84,873 |
|||||||||
24,860 |
ViroPharma, Inc.* |
1,230,819 |
|||||||||
38,264 |
Vivus, Inc.* |
383,405 |
|||||||||
18,093 |
XenoPort, Inc.* |
96,617 |
|||||||||
51,014 |
Zogenix, Inc.* |
164,775 |
|||||||||
25,226,892 |
|||||||||||
Total Common
Stocks (Cost $133,107,614) |
146,462,849 |
||||||||||
Principal Amount |
|||||||||||
U.S. Government & Agency Security (a) — 2.5% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
5,153,981 |
0.00%, due 12/02/13 |
5,153,981 |
||||||||
Total U.S. Government &
Agency Security (Cost $5,153,981) |
5,153,981 |
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a)(b) — 8.9% |
|||||||||||
$ |
18,441,722 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $18,441,811 |
$ |
18,441,722 |
|||||||
Total Repurchase Agreements
(Cost $18,441,722) |
18,441,722 |
||||||||||
Total Investment Securities (Cost $156,703,317) — 82.4% |
170,058,552 |
||||||||||
Other assets less liabilities — 17.6% |
36,326,678 |
||||||||||
Net Assets — 100.0% |
$ |
206,385,230 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $39,246,359.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
ADR American Depositary Receipt
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
16,973,037 |
|||||
Aggregate gross unrealized depreciation |
(3,898,093 |
) |
|||||
Net unrealized appreciation |
$ |
13,074,944 |
|||||
Federal income tax cost of investments |
$ |
156,983,608 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA NASDAQ BIOTECHNOLOGY 155
Swap Agreements ‡
Ultra Nasdaq Biotechnology had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement
with Citibank, N.A., based on the NASDAQ Biotechnology Index® |
12/06/13 |
$ |
4,331,878 |
$ |
444,178 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the NASDAQ Biotechnology Index® |
11/06/14 |
33,875,302 |
9,429,695 |
||||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the NASDAQ Biotechnology Index® |
12/06/13 |
39,482,768 |
3,428,984 |
||||||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the NASDAQ Biotechnology Index® |
12/06/13 |
34,256,591 |
3,175,940 |
||||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the NASDAQ Biotechnology Index® |
11/06/15 |
12,165,782 |
1,247,509 |
||||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the NASDAQ Biotechnology Index® |
11/06/15 |
13,407,166 |
1,372,597 |
||||||||||||
Equity Index Swap Agreement
with UBS AG, based on the NASDAQ Biotechnology Index® |
12/06/13 |
42,040,038 |
4,040,372 |
||||||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® Nasdaq Biotechnology Index Fund |
12/06/13 |
49,062,766 |
5,048,258 |
||||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® Nasdaq
Biotechnology Index Fund |
12/06/13 |
2,785,685 |
203,566 |
||||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Nasdaq Biotechnology Index Fund |
11/06/14 |
35,096,635 |
8,117,205 |
||||||||||||
$ |
36,508,304 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.02%.
See accompanying notes to the financial statements.
156 :: BIB ULTRA NASDAQ BIOTECHNOLOGY :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks (a) — 70.1% |
|||||||||||
Auto Components — 4.0% |
|||||||||||
406 |
Autoliv, Inc. |
$ |
37,701 |
||||||||
485 |
BorgWarner, Inc. |
51,977 |
|||||||||
257 |
Cooper Tire & Rubber Co. |
6,322 |
|||||||||
623 |
Dana Holding Corp. |
12,634 |
|||||||||
1,197 |
Delphi Automotive PLC |
70,084 |
|||||||||
612 |
Gentex Corp. |
18,244 |
|||||||||
1,043 |
Goodyear Tire & Rubber Co. (The) |
23,217 |
|||||||||
2,901 |
Johnson Controls, Inc. |
146,530 |
|||||||||
342 |
Lear Corp. |
28,355 |
|||||||||
259 |
Tenneco, Inc.* |
14,867 |
|||||||||
496 |
TRW Automotive Holdings Corp.* |
38,490 |
|||||||||
212 |
Visteon Corp.* |
16,672 |
|||||||||
465,093 |
|||||||||||
Automobiles — 4.8% |
|||||||||||
16,702 |
Ford Motor Co. |
285,270 |
|||||||||
3,990 |
General Motors Co.* |
154,533 |
|||||||||
946 |
Harley-Davidson, Inc. |
63,401 |
|||||||||
345 |
Tesla Motors, Inc.* |
43,912 |
|||||||||
189 |
Thor Industries, Inc. |
10,219 |
|||||||||
557,335 |
|||||||||||
Beverages — 12.9% |
|||||||||||
686 |
Beam, Inc. |
46,326 |
|||||||||
689 |
Brown-Forman Corp., Class B |
51,689 |
|||||||||
16,163 |
Coca-Cola Co. (The) |
649,591 |
|||||||||
1,054 |
Coca-Cola Enterprises, Inc. |
44,205 |
|||||||||
703 |
Constellation Brands, Inc., Class A* |
49,498 |
|||||||||
863 |
Dr. Pepper Snapple Group, Inc. |
41,648 |
|||||||||
669 |
Molson Coors Brewing Co., Class B |
35,236 |
|||||||||
575 |
Monster Beverage Corp.* |
34,029 |
|||||||||
6,538 |
PepsiCo, Inc. |
552,199 |
|||||||||
1,504,421 |
|||||||||||
Chemicals — 0.1% |
|||||||||||
186 |
Scotts Miracle-Gro Co.
(The), Class A |
10,896 |
|||||||||
Commercial Services & Supplies — 0.1% |
|||||||||||
249 |
Herman Miller, Inc. |
7,945 |
|||||||||
192 |
HNI Corp. |
7,611 |
|||||||||
15,556 |
|||||||||||
Distributors — 0.9% |
|||||||||||
657 |
Genuine Parts Co. |
54,426 |
|||||||||
1,272 |
LKQ Corp.* |
42,167 |
|||||||||
198 |
Pool Corp. |
11,096 |
|||||||||
107,689 |
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
Diversified Financial Services — 0.3% |
|||||||||||
1,329 |
Leucadia National Corp. |
$ |
38,089 |
||||||||
Food Products — 11.1% |
|||||||||||
2,795 |
Archer-Daniels-Midland Co. |
112,499 |
|||||||||
224 |
B&G Foods, Inc. |
7,757 |
|||||||||
624 |
Bunge Ltd. |
49,995 |
|||||||||
757 |
Campbell Soup Co. |
29,319 |
|||||||||
1,789 |
ConAgra Foods, Inc. |
59,019 |
|||||||||
501 |
Darling International, Inc.* |
10,386 |
|||||||||
398 |
Dean Foods Co.* |
7,156 |
|||||||||
742 |
Flowers Foods, Inc. |
16,124 |
|||||||||
2,721 |
General Mills, Inc. |
137,220 |
|||||||||
556 |
Green Mountain Coffee Roasters, Inc.* |
37,463 |
|||||||||
202 |
Hain Celestial Group, Inc. (The)* |
16,703 |
|||||||||
634 |
Hershey Co. (The) |
61,428 |
|||||||||
522 |
Hillshire Brands Co. (The) |
17,445 |
|||||||||
571 |
Hormel Foods Corp. |
25,707 |
|||||||||
329 |
Ingredion, Inc. |
22,754 |
|||||||||
446 |
J.M. Smucker Co. (The) |
46,491 |
|||||||||
1,091 |
Kellogg Co. |
66,158 |
|||||||||
2,525 |
Kraft Foods Group, Inc. |
134,128 |
|||||||||
82 |
Lancaster Colony Corp. |
7,106 |
|||||||||
560 |
McCormick & Co., Inc. (Non-Voting) |
38,640 |
|||||||||
858 |
Mead Johnson Nutrition Co. |
72,510 |
|||||||||
7,549 |
Mondelez International, Inc., Class A |
253,118 |
|||||||||
139 |
Post Holdings, Inc.* |
7,040 |
|||||||||
154 |
TreeHouse Foods, Inc.* |
10,803 |
|||||||||
1,180 |
Tyson Foods, Inc., Class A |
37,394 |
|||||||||
734 |
WhiteWave Foods Co., Class A* |
15,612 |
|||||||||
1,299,975 |
|||||||||||
Household Durables — 3.0% |
|||||||||||
1,204 |
D.R. Horton, Inc. |
23,936 |
|||||||||
289 |
Harman International Industries, Inc. |
23,421 |
|||||||||
501 |
Jarden Corp.* |
28,176 |
|||||||||
602 |
Leggett & Platt, Inc. |
18,186 |
|||||||||
704 |
Lennar Corp., Class A |
25,175 |
|||||||||
166 |
MDC Holdings, Inc. |
5,017 |
|||||||||
258 |
Mohawk Industries, Inc.* |
36,125 |
|||||||||
1,221 |
Newell Rubbermaid, Inc. |
37,057 |
|||||||||
18 |
NVR, Inc.* |
17,460 |
|||||||||
1,482 |
PulteGroup, Inc. |
27,802 |
|||||||||
196 |
Ryland Group, Inc. (The) |
7,746 |
|||||||||
256 |
Tempur Sealy International, Inc.* |
13,061 |
|||||||||
644 |
Toll Brothers, Inc.* |
21,960 |
|||||||||
219 |
Tupperware Brands Corp. |
20,004 |
|||||||||
336 |
Whirlpool Corp. |
51,327 |
|||||||||
356,453 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA CONSUMER GOODS 157
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
Household Products — 13.0% |
|||||||||||
587 |
Church & Dwight Co., Inc. |
$ |
38,302 |
||||||||
553 |
Clorox Co. (The) |
51,523 |
|||||||||
3,736 |
Colgate-Palmolive Co. |
245,866 |
|||||||||
264 |
Energizer Holdings, Inc. |
29,132 |
|||||||||
1,624 |
Kimberly-Clark Corp. |
177,276 |
|||||||||
11,611 |
Procter & Gamble Co. (The) |
977,878 |
|||||||||
1,519,977 |
|||||||||||
Leisure Equipment & Products — 1.3% |
|||||||||||
384 |
Brunswick Corp. |
17,549 |
|||||||||
489 |
Hasbro, Inc. |
26,318 |
|||||||||
1,461 |
Mattel, Inc. |
67,601 |
|||||||||
271 |
Polaris Industries, Inc. |
36,170 |
|||||||||
147,638 |
|||||||||||
Machinery — 1.0% |
|||||||||||
81 |
Middleby Corp. (The)* |
17,888 |
|||||||||
247 |
Snap-on, Inc. |
26,219 |
|||||||||
679 |
Stanley Black & Decker, Inc. |
55,264 |
|||||||||
265 |
WABCO Holdings, Inc.* |
23,479 |
|||||||||
122,850 |
|||||||||||
Personal Products — 1.5% |
|||||||||||
1,838 |
Avon Products, Inc. |
32,772 |
|||||||||
1,084 |
Estee Lauder Cos., Inc. (The), Class A |
81,257 |
|||||||||
358 |
Herbalife Ltd. |
24,945 |
|||||||||
249 |
Nu Skin Enterprises, Inc., Class A |
31,832 |
|||||||||
170,806 |
|||||||||||
Software — 0.6% |
|||||||||||
1,810 |
Activision Blizzard, Inc. |
31,150 |
|||||||||
1,300 |
Electronic Arts, Inc.* |
28,834 |
|||||||||
374 |
Take-Two Interactive Software, Inc.* |
6,118 |
|||||||||
537 |
TiVo, Inc.* |
6,890 |
|||||||||
72,992 |
|||||||||||
Textiles, Apparel & Luxury Goods — 6.5% |
|||||||||||
231 |
Carter's, Inc. |
16,325 |
|||||||||
1,195 |
Coach, Inc. |
69,191 |
|||||||||
375 |
Crocs, Inc.* |
5,175 |
|||||||||
146 |
Deckers Outdoor Corp.* |
12,065 |
|||||||||
520 |
Fifth & Pacific Cos., Inc.* |
16,983 |
|||||||||
213 |
Fossil Group, Inc.* |
27,109 |
|||||||||
420 |
Hanesbrands, Inc. |
29,442 |
|||||||||
230 |
Iconix Brand Group, Inc.* |
9,126 |
|||||||||
447 |
Lululemon Athletica, Inc.* |
31,165 |
|||||||||
758 |
Michael Kors Holdings Ltd.* |
61,815 |
|||||||||
3,171 |
NIKE, Inc., Class B |
250,953 |
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
346 |
PVH Corp. |
$ |
46,336 |
||||||||
257 |
Ralph Lauren Corp. |
45,034 |
|||||||||
255 |
Steven Madden Ltd.* |
9,935 |
|||||||||
340 |
Under Armour, Inc., Class A* |
27,438 |
|||||||||
373 |
VF Corp. |
87,498 |
|||||||||
426 |
Wolverine World Wide, Inc. |
14,020 |
|||||||||
759,610 |
|||||||||||
Tobacco — 9.0% |
|||||||||||
8,498 |
Altria Group, Inc. |
314,256 |
|||||||||
1,585 |
Lorillard, Inc. |
81,358 |
|||||||||
6,862 |
Philip Morris International, Inc. |
586,975 |
|||||||||
1,342 |
Reynolds American, Inc. |
67,704 |
|||||||||
98 |
Universal Corp. |
5,112 |
|||||||||
1,055,405 |
|||||||||||
Total Common Stocks (Cost $8,056,976) |
8,204,785 |
||||||||||
Principal Amount |
|||||||||||
U.S. Government &
Agency Security (a) — 4.8% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
565,465 |
0.00%, due 12/02/13 |
565,465 |
||||||||
Total U.S. Government & Agency
Security (Cost $565,465) |
565,465 |
||||||||||
Repurchase Agreements (a)(b) — 8.2% |
|||||||||||
961,546 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $961,551 |
961,546 |
|||||||||
Total Repurchase Agreements
(Cost $961,546) |
961,546 |
||||||||||
Total Investment Securities (Cost $9,583,987) — 83.1% |
9,731,796 |
||||||||||
Other assets less liabilities — 16.9% |
1,974,358 |
||||||||||
Net Assets — 100.0% |
$ |
11,706,154 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $6,366,617.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
See accompanying notes to the financial statements.
158 :: UGE ULTRA CONSUMER GOODS :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
218,181 |
|||||
Aggregate gross unrealized depreciation |
(80,771 |
) |
|||||
Net unrealized appreciation |
$ |
137,410 |
|||||
Federal income tax cost of investments |
$ |
9,594,386 |
Swap Agreements ‡
Ultra Consumer Goods had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Citibank, N.A., based on the Dow Jones U.S. Consumer GoodsSM Index |
12/06/13 |
$ |
936,488 |
$ |
5,168 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Dow Jones U.S. Consumer GoodsSM Index |
11/06/14 |
431,162 |
70,963 |
||||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the Dow Jones U.S. Consumer GoodsSM Index |
12/06/13 |
33,996 |
(3,563 |
) |
|||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Dow Jones U.S. Consumer GoodsSM Index |
12/06/13 |
3,812,692 |
20,575 |
||||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. Consumer GoodsSM Index |
12/06/13 |
96,263 |
526 |
||||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. Consumer GoodsSM Index |
03/06/14 |
3,009,268 |
2,266,171 |
||||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. Consumer GoodsSM Index |
11/06/15 |
345,153 |
1,875 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. Consumer GoodsSM Index |
12/06/13 |
1,523,197 |
9,140 |
||||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® Dow Jones
U.S. Consumer Goods Sector Index Fund |
12/06/13 |
4,639,946 |
856,209 |
||||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Dow Jones U.S. Consumer Goods Sector Index Fund |
11/06/14 |
355,347 |
119,383 |
||||||||||||
$ |
3,346,447 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.28%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA CONSUMER GOODS 159
Shares |
Value |
||||||||||
Common Stocks (a) — 74.0% |
|||||||||||
Airlines — 1.9% |
|||||||||||
541 |
Alaska Air Group, Inc. |
$ |
42,057 |
||||||||
6,653 |
Delta Air Lines, Inc. |
192,804 |
|||||||||
1,686 |
JetBlue Airways Corp.* |
14,988 |
|||||||||
5,476 |
Southwest Airlines Co. |
101,799 |
|||||||||
563 |
Spirit Airlines, Inc.* |
25,825 |
|||||||||
2,760 |
United Continental Holdings, Inc.* |
108,330 |
|||||||||
1,489 |
US Airways Group, Inc.* |
34,962 |
|||||||||
520,765 |
|||||||||||
Commercial Services & Supplies — 0.3% |
|||||||||||
866 |
Copart, Inc.* |
29,816 |
|||||||||
1,070 |
KAR Auction Services, Inc. |
29,521 |
|||||||||
498 |
Rollins, Inc. |
14,009 |
|||||||||
73,346 |
|||||||||||
Diversified Consumer Services — 0.7% |
|||||||||||
770 |
Apollo Education Group, Inc.* |
20,243 |
|||||||||
440 |
DeVry Education Group, Inc. |
15,638 |
|||||||||
2,124 |
H&R Block, Inc. |
59,238 |
|||||||||
487 |
Hillenbrand, Inc. |
13,685 |
|||||||||
218 |
Outerwall, Inc.* |
14,911 |
|||||||||
1,643 |
Service Corp. International |
29,689 |
|||||||||
530 |
Sotheby's |
27,168 |
|||||||||
209 |
Weight Watchers International, Inc. |
6,774 |
|||||||||
187,346 |
|||||||||||
Electronic Equipment, Instruments &
Components — 0.1% |
|||||||||||
379 |
Dolby Laboratories, Inc., Class A |
13,618 |
|||||||||
Food & Staples Retailing — 11.4% |
|||||||||||
298 |
Casey's General Stores, Inc. |
22,177 |
|||||||||
3,386 |
Costco Wholesale Corp. |
424,706 |
|||||||||
9,525 |
CVS Caremark Corp. |
637,794 |
|||||||||
311 |
Fresh Market, Inc. (The)* |
12,661 |
|||||||||
383 |
Harris Teeter Supermarkets, Inc. |
18,913 |
|||||||||
4,019 |
Kroger Co. (The) |
167,793 |
|||||||||
6,489 |
Rite Aid Corp.* |
38,415 |
|||||||||
1,871 |
Safeway, Inc. |
65,429 |
|||||||||
4,562 |
Sysco Corp. |
153,420 |
|||||||||
382 |
United Natural Foods, Inc.* |
26,301 |
|||||||||
6,741 |
Walgreen Co. |
399,067 |
|||||||||
12,622 |
Wal-Mart Stores, Inc. |
1,022,508 |
|||||||||
2,889 |
Whole Foods Market, Inc. |
163,517 |
|||||||||
3,152,701 |
|||||||||||
Health Care Providers & Services — 2.4% |
|||||||||||
1,791 |
AmerisourceBergen Corp. |
126,319 |
|||||||||
2,632 |
Cardinal Health, Inc. |
170,027 |
|||||||||
137 |
Chemed Corp. |
10,676 |
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
1,773 |
McKesson Corp. |
$ |
294,123 |
||||||||
802 |
Omnicare, Inc. |
45,939 |
|||||||||
687 |
VCA Antech, Inc.* |
20,576 |
|||||||||
667,660 |
|||||||||||
Hotels, Restaurants & Leisure — 10.5% |
|||||||||||
302 |
Bally Technologies, Inc.* |
22,520 |
|||||||||
212 |
Bob Evans Farms, Inc. |
11,785 |
|||||||||
514 |
Brinker International, Inc. |
24,173 |
|||||||||
3,394 |
Carnival Corp. |
122,557 |
|||||||||
385 |
Cheesecake Factory, Inc. (The) |
18,769 |
|||||||||
239 |
Chipotle Mexican Grill, Inc.* |
125,203 |
|||||||||
245 |
Choice Hotels International, Inc. |
11,444 |
|||||||||
184 |
Cracker Barrel Old Country Store, Inc. |
19,962 |
|||||||||
1,010 |
Darden Restaurants, Inc. |
53,863 |
|||||||||
432 |
Domino's Pizza, Inc. |
29,864 |
|||||||||
825 |
Dunkin' Brands Group, Inc. |
40,408 |
|||||||||
449 |
Hyatt Hotels Corp., Class A* |
21,718 |
|||||||||
2,022 |
International Game Technology |
35,365 |
|||||||||
336 |
Jack in the Box, Inc.* |
15,910 |
|||||||||
3,006 |
Las Vegas Sands Corp. |
215,470 |
|||||||||
306 |
Life Time Fitness, Inc.* |
14,844 |
|||||||||
1,763 |
Marriott International, Inc., Class A |
82,896 |
|||||||||
236 |
Marriott Vacations Worldwide Corp.* |
12,329 |
|||||||||
7,751 |
McDonald's Corp. |
754,715 |
|||||||||
2,582 |
MGM Resorts International* |
49,549 |
|||||||||
364 |
Norwegian Cruise Line
Holdings Ltd.* |
12,412 |
|||||||||
217 |
Panera Bread Co., Class A* |
38,385 |
|||||||||
125 |
Papa John's International, Inc. |
10,609 |
|||||||||
532 |
Penn National Gaming, Inc.* |
7,682 |
|||||||||
1,260 |
Royal Caribbean Cruises Ltd. |
55,503 |
|||||||||
741 |
Six Flags Entertainment Corp. |
27,573 |
|||||||||
5,826 |
Starbucks Corp. |
474,586 |
|||||||||
1,512 |
Starwood Hotels & Resorts Worldwide, Inc. |
112,614 |
|||||||||
278 |
Vail Resorts, Inc. |
21,070 |
|||||||||
2,196 |
Wendy's Co. (The) |
18,908 |
|||||||||
1,031 |
Wyndham Worldwide Corp. |
73,933 |
|||||||||
627 |
Wynn Resorts Ltd. |
104,000 |
|||||||||
3,460 |
Yum! Brands, Inc. |
268,773 |
|||||||||
2,909,392 |
|||||||||||
Internet & Catalog Retail — 7.5% |
|||||||||||
2,870 |
Amazon.com, Inc.* |
1,129,689 |
|||||||||
833 |
Expedia, Inc. |
53,054 |
|||||||||
2,890 |
Groupon, Inc.* |
26,154 |
|||||||||
260 |
HSN, Inc. |
14,924 |
|||||||||
3,753 |
Liberty Interactive Corp., Class A* |
105,384 |
|||||||||
274 |
Liberty Ventures* |
33,305 |
See accompanying notes to the financial statements.
160 :: UCC ULTRA CONSUMER SERVICES :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
457 |
Netflix, Inc.* |
$ |
167,171 |
||||||||
399 |
priceline.com, Inc.* |
475,740 |
|||||||||
293 |
Shutterfly, Inc.* |
13,838 |
|||||||||
865 |
TripAdvisor, Inc.* |
76,397 |
|||||||||
2,095,656 |
|||||||||||
Internet Software & Services — 1.7% |
|||||||||||
9,034 |
eBay, Inc.* |
456,398 |
|||||||||
178 |
OpenTable, Inc.* |
14,875 |
|||||||||
487 |
ValueClick, Inc.* |
10,422 |
|||||||||
481,695 |
|||||||||||
IT Services — 0.1% |
|||||||||||
574 |
Acxiom Corp.* |
19,103 |
|||||||||
Media — 19.6% |
|||||||||||
460 |
AMC Networks, Inc., Class A* |
29,527 |
|||||||||
1,659 |
Cablevision Systems Corp., Class A |
27,821 |
|||||||||
4,361 |
CBS Corp. (Non-Voting), Class B |
255,380 |
|||||||||
523 |
Charter Communications, Inc., Class A* |
70,657 |
|||||||||
805 |
Cinemark Holdings, Inc. |
26,557 |
|||||||||
20,281 |
Comcast Corp., Class A |
1,011,413 |
|||||||||
3,959 |
DIRECTV* |
261,730 |
|||||||||
1,790 |
Discovery Communications, Inc., Class A* |
156,213 |
|||||||||
1,629 |
DISH Network Corp., Class A |
88,227 |
|||||||||
552 |
DreamWorks Animation SKG, Inc., Class A* |
17,587 |
|||||||||
1,777 |
Gannett Co., Inc. |
48,086 |
|||||||||
34 |
Graham Holdings Co. |
22,899 |
|||||||||
3,273 |
Interpublic Group of Cos., Inc. (The) |
56,950 |
|||||||||
359 |
John Wiley & Sons, Inc., Class A |
18,295 |
|||||||||
506 |
Lamar Advertising Co., Class A* |
25,260 |
|||||||||
2,912 |
Liberty Global PLC, Class A* |
249,879 |
|||||||||
779 |
Liberty Media Corp.* |
119,545 |
|||||||||
1,093 |
Live Nation Entertainment, Inc.* |
20,078 |
|||||||||
473 |
Madison Square Garden Co.
(The), Class A* |
26,658 |
|||||||||
287 |
Meredith Corp. |
15,309 |
|||||||||
166 |
Morningstar, Inc. |
13,846 |
|||||||||
973 |
New York Times Co. (The), Class A |
13,583 |
|||||||||
3,861 |
News Corp., Class A* |
69,344 |
|||||||||
1,994 |
Omnicom Group, Inc. |
142,471 |
|||||||||
612 |
Regal Entertainment Group, Class A |
11,922 |
|||||||||
848 |
Scripps Networks Interactive, Inc.,
Class A |
63,252 |
|||||||||
565 |
Sinclair Broadcast Group,
Inc., Class A |
18,543 |
|||||||||
24,433 |
Sirius XM Holdings, Inc. |
92,112 |
|||||||||
744 |
Starz, Class A* |
21,040 |
|||||||||
2,216 |
Time Warner Cable, Inc. |
306,296 |
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
7,134 |
Time Warner, Inc. |
$ |
468,775 |
||||||||
15,401 |
Twenty-First Century Fox,
Inc., Class A |
515,780 |
|||||||||
3,147 |
Viacom, Inc., Class B |
252,295 |
|||||||||
12,883 |
Walt Disney Co. (The) |
908,767 |
|||||||||
5,446,097 |
|||||||||||
Multiline Retail — 3.5% |
|||||||||||
452 |
Big Lots, Inc.* |
17,325 |
|||||||||
187 |
Dillard's, Inc., Class A |
17,111 |
|||||||||
2,309 |
Dollar General Corp.* |
131,475 |
|||||||||
1,614 |
Dollar Tree, Inc.* |
89,819 |
|||||||||
749 |
Family Dollar Stores, Inc. |
52,258 |
|||||||||
2,362 |
J.C. Penney Co., Inc.* |
24,069 |
|||||||||
1,583 |
Kohl's Corp. |
87,508 |
|||||||||
2,917 |
Macy's, Inc. |
155,359 |
|||||||||
1,118 |
Nordstrom, Inc. |
69,551 |
|||||||||
338 |
Sears Holdings Corp.* |
21,473 |
|||||||||
4,894 |
Target Corp. |
312,873 |
|||||||||
978,821 |
|||||||||||
Professional Services — 0.6% |
|||||||||||
301 |
Dun & Bradstreet Corp. (The) |
35,172 |
|||||||||
479 |
IHS, Inc., Class A* |
54,812 |
|||||||||
1,959 |
Nielsen Holdings N.V. |
84,550 |
|||||||||
174,534 |
|||||||||||
Road & Rail — 0.4% |
|||||||||||
838 |
Avis Budget Group, Inc.* |
30,889 |
|||||||||
3,481 |
Hertz Global Holdings, Inc.* |
84,449 |
|||||||||
115,338 |
|||||||||||
Software — 0.1% |
|||||||||||
313 |
FactSet Research Systems, Inc. |
35,369 |
|||||||||
Specialty Retail — 13.1% |
|||||||||||
589 |
Aaron's, Inc. |
16,869 |
|||||||||
592 |
Abercrombie & Fitch Co., Class A |
20,294 |
|||||||||
565 |
Advance Auto Parts, Inc. |
57,071 |
|||||||||
609 |
Aeropostale, Inc.* |
6,285 |
|||||||||
1,315 |
American Eagle Outfitters, Inc. |
21,395 |
|||||||||
355 |
Ann, Inc.* |
12,663 |
|||||||||
987 |
Ascena Retail Group, Inc.* |
21,023 |
|||||||||
499 |
AutoNation, Inc.* |
24,471 |
|||||||||
275 |
AutoZone, Inc.* |
126,940 |
|||||||||
1,689 |
Bed Bath & Beyond, Inc.* |
131,793 |
|||||||||
2,092 |
Best Buy Co., Inc. |
84,831 |
|||||||||
217 |
Buckle, Inc. (The) |
11,514 |
|||||||||
361 |
Cabela's, Inc.* |
22,111 |
|||||||||
1,734 |
CarMax, Inc.* |
87,307 |
|||||||||
1,247 |
Chico's FAS, Inc. |
23,306 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA CONSUMER SERVICES 161
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
173 |
Children's Place Retail Stores, Inc. (The)* |
$ |
9,515 |
||||||||
586 |
CST Brands, Inc.* |
19,274 |
|||||||||
788 |
Dick's Sporting Goods, Inc. |
44,538 |
|||||||||
565 |
DSW, Inc., Class A |
25,329 |
|||||||||
689 |
Express, Inc.* |
16,956 |
|||||||||
1,151 |
Foot Locker, Inc. |
44,762 |
|||||||||
906 |
GameStop Corp., Class A |
43,715 |
|||||||||
2,139 |
Gap, Inc. (The) |
87,635 |
|||||||||
186 |
Genesco, Inc.* |
13,933 |
|||||||||
763 |
GNC Holdings, Inc., Class A |
45,917 |
|||||||||
165 |
Group 1 Automotive, Inc. |
11,294 |
|||||||||
461 |
Guess?, Inc. |
15,794 |
|||||||||
11,107 |
Home Depot, Inc. (The) |
896,002 |
|||||||||
1,888 |
L Brands, Inc. |
122,701 |
|||||||||
8,156 |
Lowe's Cos., Inc. |
387,247 |
|||||||||
213 |
Lumber Liquidators Holdings, Inc.* |
21,447 |
|||||||||
352 |
Men's Wearhouse, Inc. (The) |
17,994 |
|||||||||
344 |
Murphy USA, Inc.* |
15,566 |
|||||||||
842 |
O'Reilly Automotive, Inc.* |
105,216 |
|||||||||
806 |
PetSmart, Inc. |
59,733 |
|||||||||
828 |
Pier 1 Imports, Inc. |
18,456 |
|||||||||
414 |
Rent-A-Center, Inc. |
14,101 |
|||||||||
1,680 |
Ross Stores, Inc. |
128,453 |
|||||||||
1,159 |
Sally Beauty Holdings, Inc.* |
32,614 |
|||||||||
624 |
Signet Jewelers Ltd. |
47,948 |
|||||||||
5,122 |
Staples, Inc. |
79,545 |
|||||||||
853 |
Tiffany & Co. |
76,036 |
|||||||||
5,546 |
TJX Cos., Inc. |
348,732 |
|||||||||
1,083 |
Tractor Supply Co. |
79,286 |
|||||||||
494 |
Ulta Salon Cosmetics &
Fragrance, Inc.* |
62,708 |
|||||||||
846 |
Urban Outfitters, Inc.* |
33,011 |
|||||||||
236 |
Vitamin Shoppe, Inc.* |
12,808 |
|||||||||
690 |
Williams-Sonoma, Inc. |
40,793 |
|||||||||
3,646,932 |
|||||||||||
Trading Companies & Distributors — 0.1% |
|||||||||||
379 |
Beacon Roofing Supply, Inc.* |
14,091 |
|||||||||
Total Common Stocks (Cost $19,663,083) |
20,532,464 |
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 2.2% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
615,709 |
0.00%, due 12/02/13 |
$ |
615,709 |
|||||||
Total U.S. Government & Agency
Security (Cost $615,709) |
615,709 |
||||||||||
Repurchase Agreements (a)(b) — 11.2% |
|||||||||||
3,107,684 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $3,107,698 |
3,107,684 |
|||||||||
Total Repurchase Agreements
(Cost $3,107,684) |
3,107,684 |
||||||||||
Total Investment Securities (Cost $23,386,476) — 87.4% |
24,255,857 |
||||||||||
Other assets less liabilities — 12.6% |
3,510,875 |
||||||||||
Net Assets — 100.0% |
$ |
27,766,732 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $9,403,566.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,046,884 |
|||||
Aggregate gross unrealized depreciation |
(184,703 |
) |
|||||
Net unrealized appreciation |
$ |
862,181 |
|||||
Federal income tax cost of investments |
$ |
23,393,676 |
See accompanying notes to the financial statements.
162 :: UCC ULTRA CONSUMER SERVICES :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements ‡
Ultra Consumer Services had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement
with Citibank, N.A., based on the Dow Jones U.S. Consumer ServicesSM Index |
12/06/13 |
$ |
877,271 |
$ |
23,733 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Dow Jones U.S. Consumer ServicesSM Index |
11/06/14 |
415,902 |
169,125 |
||||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the Dow Jones U.S. Consumer ServicesSM Index |
12/06/13 |
1,863,707 |
24,464 |
||||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Dow Jones U.S. Consumer ServicesSM Index |
12/06/13 |
11,592,182 |
312,231 |
||||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. Consumer ServicesSM Index |
12/06/13 |
2,051,510 |
47,158 |
||||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. Consumer ServicesSM Index |
03/06/14 |
2,154,907 |
1,242,840 |
||||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. Consumer ServicesSM Index |
11/06/15 |
926,322 |
24,983 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. Consumer ServicesSM Index |
12/06/13 |
5,886,867 |
125,792 |
||||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® Dow Jones
U.S. Consumer Services Sector Index Fund |
12/06/13 |
9,010,254 |
1,472,937 |
||||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Dow Jones U.S. Consumer Services Sector Index Fund |
11/06/14 |
187,932 |
90,869 |
||||||||||||
$ |
3,534,132 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.32%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA CONSUMER SERVICES 163
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 70.5% |
|||||||||||||||
57,693 |
ACE Ltd. (Insurance) |
0.7 |
% |
$ |
5,929,687 |
||||||||||
78,891 |
Aflac, Inc. (Insurance) |
0.6 |
% |
5,235,996 |
|||||||||||
78,612 |
Allstate Corp. (The) (Insurance) |
0.5 |
% |
4,266,273 |
|||||||||||
157,383 |
American Express Co.
(Consumer Finance) |
1.6 |
% |
13,503,462 |
|||||||||||
250,429 |
American International Group, Inc. (Insurance) |
1.5 |
% |
12,458,843 |
|||||||||||
67,002 |
American Tower Corp.
(Real Estate Investment Trusts) |
0.6 |
% |
5,210,746 |
|||||||||||
33,561 |
Ameriprise Financial, Inc. (Capital Markets) |
0.5 |
% |
3,632,978 |
|||||||||||
52,154 |
Aon PLC (Insurance) |
0.5 |
% |
4,257,853 |
|||||||||||
1,822,320 |
Bank of America Corp. (Diversified Financial Services) |
3.5 |
% |
28,829,102 |
|||||||||||
195,152 |
Bank of New York Mellon
Corp. (The) (Capital Markets) |
0.8 |
% |
6,576,622 |
|||||||||||
119,394 |
BB&T Corp. (Commercial Banks) |
0.5 |
% |
4,147,748 |
|||||||||||
305,315 |
Berkshire Hathaway, Inc.,
Class B* (Insurance) |
4.3 |
% |
35,578,357 |
|||||||||||
21,363 |
BlackRock, Inc. (Capital Markets) |
0.8 |
% |
6,467,648 |
|||||||||||
99,289 |
Capital One Financial Corp.
(Consumer Finance) |
0.9 |
% |
7,112,071 |
|||||||||||
196,159 |
Charles Schwab Corp. (The) (Capital Markets) |
0.6 |
% |
4,801,972 |
|||||||||||
43,342 |
Chubb Corp. (The)
(Insurance) |
0.5 |
% |
4,180,336 |
|||||||||||
515,838 |
Citigroup, Inc. (Diversified Financial Services) |
3.3 |
% |
27,298,147 |
|||||||||||
53,303 |
CME Group, Inc.
(Diversified Financial Services) |
0.5 |
% |
4,368,181 |
|||||||||||
82,064 |
Discover Financial Services (Consumer Finance) |
0.5 |
% |
4,374,011 |
|||||||||||
56,843 |
Equity Residential (Real
Estate Investment Trusts) |
0.4 |
% |
2,929,688 |
|||||||||||
150,456 |
Fifth Third Bancorp (Commercial Banks) |
0.4 |
% |
3,057,266 |
|||||||||||
68,959 |
Franklin Resources, Inc.
(Capital Markets) |
0.5 |
% |
3,819,639 |
|||||||||||
70,847 |
Goldman Sachs Group, Inc. (The) (Capital Markets) |
1.4 |
% |
11,968,892 |
|||||||||||
77,186 |
Hartford Financial Services
Group, Inc. (Insurance) |
0.3 |
% |
2,750,137 |
|||||||||||
77,197 |
HCP, Inc. (Real Estate Investment Trusts) |
0.4 |
% |
2,838,534 |
|||||||||||
48,640 |
Health Care REIT, Inc.
(Real Estate Investment Trusts) |
0.3 |
% |
2,723,354 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
19,377 |
IntercontinentalExchange Group, Inc.* (Diversified Financial Services) |
0.5 |
% |
$ |
4,132,948 |
||||||||||
75,114 |
Invesco Ltd. (Capital
Markets) |
0.3 |
% |
2,617,723 |
|||||||||||
638,507 |
JPMorgan Chase & Co. (Diversified Financial Services) |
4.4 |
% |
36,535,371 |
|||||||||||
93,230 |
Marsh & McLennan Cos.,
Inc. (Insurance) |
0.5 |
% |
4,423,764 |
|||||||||||
17,596 |
MasterCard, Inc., Class A (IT Services) |
1.6 |
% |
13,387,213 |
|||||||||||
46,682 |
McGraw Hill Financial, Inc.
(Diversified Financial Services) |
0.4 |
% |
3,477,809 |
|||||||||||
189,953 |
MetLife, Inc. (Insurance) |
1.2 |
% |
9,913,647 |
|||||||||||
235,877 |
Morgan Stanley (Capital
Markets) |
0.9 |
% |
7,382,950 |
|||||||||||
90,159 |
PNC Financial Services Group, Inc. (The) (Commercial Banks) |
0.8 |
% |
6,937,735 |
|||||||||||
93,821 |
Progressive Corp. (The)
(Insurance) |
0.3 |
% |
2,620,421 |
|||||||||||
84,576 |
Prologis, Inc. (Real Estate Investment Trusts) |
0.4 |
% |
3,207,968 |
|||||||||||
78,877 |
Prudential Financial, Inc.
(Insurance) |
0.8 |
% |
7,001,123 |
|||||||||||
24,510 |
Public Storage (Real Estate Investment Trusts) |
0.5 |
% |
3,742,677 |
|||||||||||
52,641 |
Simon Property Group, Inc.
(Real Estate Investment Trusts) |
0.9 |
% |
7,888,254 |
|||||||||||
75,648 |
State Street Corp. (Capital Markets) |
0.7 |
% |
5,492,801 |
|||||||||||
91,422 |
SunTrust Banks, Inc.
(Commercial Banks) |
0.4 |
% |
3,312,219 |
|||||||||||
44,126 |
T. Rowe Price Group, Inc. (Capital Markets) |
0.4 |
% |
3,550,378 |
|||||||||||
63,349 |
Travelers Cos., Inc. (The)
(Insurance) |
0.7 |
% |
5,748,288 |
|||||||||||
311,989 |
U.S. Bancorp/MN (Commercial Banks) |
1.5 |
% |
12,236,209 |
|||||||||||
49,740 |
Ventas, Inc. (Real Estate
Investment Trusts) |
0.3 |
% |
2,826,724 |
|||||||||||
87,560 |
Visa, Inc., Class A (IT Services) |
2.2 |
% |
17,814,958 |
|||||||||||
819,620 |
Wells Fargo & Co.
(Commercial Banks) |
4.3 |
% |
36,079,672 |
|||||||||||
99,063 |
Weyerhaeuser Co. (Real Estate Investment Trusts) |
0.4 |
% |
2,984,768 |
|||||||||||
5,993,005 |
Other Common Stocks |
19.7 |
% |
164,243,458 |
|||||||||||
Total Common Stocks (Cost $506,878,017) |
585,876,621 |
See accompanying notes to the financial statements.
164 :: UYG ULTRA FINANCIALS :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||||||
U.S. Government &
Agency Securities (a) — 7.9% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
25,858,373 |
0.00%, due 12/02/13 |
$ |
25,858,373 |
|||||||||||
U.S. Treasury Bills |
|||||||||||||||
18,000,000 |
0.00%, due 02/06/14 |
17,999,916 |
|||||||||||||
7,000,000 |
0.00%, due 01/23/14 |
6,999,330 |
|||||||||||||
15,000,000 |
0.00%, due 02/13/14 |
14,999,260 |
|||||||||||||
Total U.S. Government & Agency
Securities (Cost $65,856,879) |
65,856,879 |
||||||||||||||
Repurchase Agreements (a)(b) — 12.4% |
|||||||||||||||
103,559,194 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $103,559,686 |
103,559,194 |
|||||||||||||
Total Repurchase Agreements
(Cost $103,559,194) |
103,559,194 |
||||||||||||||
Total Investment Securities (Cost $676,294,090) — 90.8% |
755,292,694 |
||||||||||||||
Other assets less liabilities — 9.2% |
76,595,629 |
||||||||||||||
Net Assets — 100.0% |
$ |
831,888,323 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $193,258,318.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
101,555,365 |
|||||
Aggregate gross unrealized depreciation |
(25,281,416 |
) |
|||||
Net unrealized appreciation |
$ |
76,273,949 |
|||||
Federal income tax cost of investments |
$ |
679,018,745 |
Swap Agreements ‡
Ultra Financials had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement
with Citibank, N.A., based on the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
$ |
41,723,549 |
$ |
1,371,684 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Dow Jones U.S. FinancialsSM Index |
11/06/14 |
137,536,194 |
17,553,430 |
||||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
136,252,012 |
4,467,953 |
||||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
59,909,887 |
1,958,938 |
||||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
78,159,378 |
1,903,344 |
||||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. FinancialsSM Index |
01/06/14 |
67,706,563 |
5,993,304 |
||||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. FinancialsSM Index |
03/06/14 |
129,880,138 |
11,915,409 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. FinancialsSM Index |
12/06/13 |
143,478,915 |
4,715,456 |
||||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® Dow Jones
U.S. Financial Sector Index Fund |
12/06/13 |
169,779,434 |
5,513,484 |
||||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Dow Jones U.S. Financial Sector Index Fund |
11/06/14 |
114,284,577 |
21,134,017 |
||||||||||||
$ |
76,527,019 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.38%.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA FINANCIALS 165
Ultra Financials invested, as a percentage of net assets, in the following industries as of November 30, 2013:
Capital Markets |
8.3 |
% |
|||||
Commercial Banks |
11.6 |
% |
|||||
Consumer Finance |
3.3 |
% |
|||||
Diversified Financial Services |
13.3 |
% |
|||||
Insurance |
17.3 |
% |
|||||
IT Services |
4.0 |
% |
|||||
Real Estate Investment Trusts |
11.4 |
% |
|||||
Real Estate Management & Development |
0.6 |
% |
|||||
Thrifts & Mortgage Finance |
0.7 |
% |
|||||
Other1 |
29.5 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
166 :: UYG ULTRA FINANCIALS :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks (a) — 70.1% |
|||||||||||
Biotechnology — 14.6% |
|||||||||||
1,137 |
Acorda Therapeutics, Inc.* |
$ |
39,579 |
||||||||
680 |
Aegerion Pharmaceuticals, Inc.* |
48,232 |
|||||||||
5,462 |
Alexion Pharmaceuticals, Inc.* |
680,019 |
|||||||||
3,790 |
Alkermes PLC* |
153,040 |
|||||||||
1,477 |
Alnylam Pharmaceuticals, Inc.* |
90,392 |
|||||||||
21,042 |
Amgen, Inc. |
2,400,471 |
|||||||||
6,096 |
Arena Pharmaceuticals, Inc.* |
39,746 |
|||||||||
5,170 |
Ariad Pharmaceuticals, Inc.* |
25,075 |
|||||||||
6,638 |
Biogen Idec, Inc.* |
1,931,459 |
|||||||||
3,913 |
BioMarin Pharmaceutical, Inc.* |
275,397 |
|||||||||
11,487 |
Celgene Corp.* |
1,858,252 |
|||||||||
1,884 |
Cepheid, Inc.* |
85,571 |
|||||||||
2,069 |
Cubist Pharmaceuticals, Inc.* |
141,747 |
|||||||||
42,751 |
Gilead Sciences, Inc.* |
3,198,202 |
|||||||||
4,050 |
Incyte Corp.* |
188,730 |
|||||||||
3,221 |
Isis Pharmaceuticals, Inc.* |
124,846 |
|||||||||
2,101 |
Medivation, Inc.* |
132,384 |
|||||||||
2,088 |
Myriad Genetics, Inc.* |
62,118 |
|||||||||
3,912 |
PDL BioPharma, Inc. |
38,220 |
|||||||||
1,859 |
Pharmacyclics, Inc.* |
231,483 |
|||||||||
2,179 |
Regeneron Pharmaceuticals, Inc.* |
640,321 |
|||||||||
3,097 |
Seattle Genetics, Inc.* |
127,256 |
|||||||||
2,160 |
Theravance, Inc.* |
81,562 |
|||||||||
1,283 |
United Therapeutics Corp.* |
118,434 |
|||||||||
6,503 |
Vertex Pharmaceuticals, Inc.* |
451,438 |
|||||||||
13,163,974 |
|||||||||||
Commercial Services & Supplies — 0.1% |
|||||||||||
1,952 |
Healthcare Services Group, Inc. |
56,589 |
|||||||||
Health Care Equipment & Supplies — 11.9% |
|||||||||||
43,407 |
Abbott Laboratories |
1,657,713 |
|||||||||
2,146 |
Alere, Inc.* |
70,217 |
|||||||||
1,962 |
Align Technology, Inc.* |
107,204 |
|||||||||
15,160 |
Baxter International, Inc. |
1,037,702 |
|||||||||
5,424 |
Becton, Dickinson and Co. |
588,992 |
|||||||||
37,507 |
Boston Scientific Corp.* |
434,331 |
|||||||||
2,211 |
C.R. Bard, Inc. |
307,064 |
|||||||||
5,988 |
CareFusion Corp.* |
238,622 |
|||||||||
1,367 |
Cooper Cos., Inc. (The) |
180,089 |
|||||||||
12,848 |
Covidien PLC |
877,005 |
|||||||||
3,974 |
DENTSPLY International, Inc. |
189,003 |
|||||||||
3,136 |
Edwards Lifesciences Corp.* |
205,502 |
|||||||||
1,436 |
Haemonetics Corp.* |
60,685 |
|||||||||
1,639 |
Hill-Rom Holdings, Inc. |
67,871 |
|||||||||
7,554 |
Hologic, Inc.* |
169,134 |
|||||||||
1,468 |
IDEXX Laboratories, Inc.* |
152,907 |
|||||||||
1,109 |
Intuitive Surgical, Inc.* |
417,982 |
|||||||||
1,435 |
Masimo Corp.* |
41,084 |
|||||||||
27,860 |
Medtronic, Inc. |
1,596,935 |
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
3,968 |
ResMed, Inc. |
$ |
193,678 |
||||||||
1,587 |
Sirona Dental Systems, Inc.* |
109,154 |
|||||||||
8,021 |
St. Jude Medical, Inc. |
468,587 |
|||||||||
1,650 |
STERIS Corp. |
76,131 |
|||||||||
8,238 |
Stryker Corp. |
613,072 |
|||||||||
1,149 |
Teleflex, Inc. |
112,958 |
|||||||||
1,607 |
Thoratec Corp.* |
63,268 |
|||||||||
3,007 |
Varian Medical Systems, Inc.* |
234,696 |
|||||||||
1,949 |
West Pharmaceutical Services, Inc. |
97,294 |
|||||||||
4,736 |
Zimmer Holdings, Inc. |
432,918 |
|||||||||
10,801,798 |
|||||||||||
Health Care Providers & Services — 10.2% |
|||||||||||
10,393 |
Aetna, Inc. |
716,390 |
|||||||||
2,807 |
Brookdale Senior Living, Inc.* |
81,852 |
|||||||||
1,526 |
Centene Corp.* |
91,148 |
|||||||||
7,900 |
Cigna Corp. |
690,855 |
|||||||||
2,648 |
Community Health Systems, Inc. |
109,230 |
|||||||||
4,929 |
DaVita HealthCare Partners, Inc.* |
293,522 |
|||||||||
22,741 |
Express Scripts Holding Co.* |
1,531,606 |
|||||||||
8,542 |
HCA Holdings, Inc. |
396,520 |
|||||||||
7,268 |
Health Management Associates, Inc., Class A* |
95,138 |
|||||||||
2,218 |
Health Net, Inc.* |
67,760 |
|||||||||
2,438 |
HealthSouth Corp. |
87,256 |
|||||||||
2,416 |
Henry Schein, Inc.* |
275,424 |
|||||||||
4,370 |
Humana, Inc. |
454,436 |
|||||||||
2,517 |
Laboratory Corp. of America
Holdings* |
256,356 |
|||||||||
1,328 |
LifePoint Hospitals, Inc.* |
68,033 |
|||||||||
750 |
Magellan Health Services, Inc.* |
45,900 |
|||||||||
1,414 |
MEDNAX, Inc.* |
156,671 |
|||||||||
1,768 |
Owens & Minor, Inc. |
67,485 |
|||||||||
2,323 |
Patterson Cos., Inc. |
96,381 |
|||||||||
4,242 |
Quest Diagnostics, Inc. |
258,508 |
|||||||||
1,944 |
Team Health Holdings, Inc.* |
90,843 |
|||||||||
2,838 |
Tenet Healthcare Corp.* |
122,460 |
|||||||||
28,397 |
UnitedHealth Group, Inc. |
2,115,009 |
|||||||||
2,496 |
Universal Health Services,
Inc., Class B |
205,745 |
|||||||||
1,216 |
WellCare Health Plans, Inc.* |
90,349 |
|||||||||
8,350 |
WellPoint, Inc. |
775,548 |
|||||||||
9,240,425 |
|||||||||||
Health Care Technology — 0.1% |
|||||||||||
2,452 |
HMS Holdings Corp.* |
56,175 |
|||||||||
Life Sciences Tools & Services — 2.6% |
|||||||||||
559 |
Bio-Rad Laboratories, Inc., Class A* |
68,545 |
|||||||||
1,370 |
Charles River Laboratories
International, Inc.* |
71,473 |
|||||||||
1,561 |
Covance, Inc.* |
131,717 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA HEALTH CARE 167
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
3,495 |
Illumina, Inc.* |
$ |
342,510 |
||||||||
4,823 |
Life Technologies Corp.* |
365,101 |
|||||||||
1,570 |
PAREXEL International Corp.* |
64,715 |
|||||||||
926 |
Techne Corp. |
79,210 |
|||||||||
10,069 |
Thermo Fisher Scientific, Inc. |
1,015,459 |
|||||||||
2,380 |
Waters Corp.* |
236,881 |
|||||||||
2,375,611 |
|||||||||||
Pharmaceuticals — 30.6% |
|||||||||||
44,282 |
AbbVie, Inc. |
2,145,463 |
|||||||||
4,842 |
Actavis PLC* |
789,585 |
|||||||||
8,290 |
Allergan, Inc. |
804,544 |
|||||||||
45,983 |
Bristol-Myers Squibb Co. |
2,362,607 |
|||||||||
27,691 |
Eli Lilly & Co. |
1,390,642 |
|||||||||
3,190 |
Endo Health Solutions, Inc.* |
214,336 |
|||||||||
6,598 |
Forest Laboratories, Inc.* |
338,543 |
|||||||||
4,627 |
Hospira, Inc.* |
181,887 |
|||||||||
1,789 |
Impax Laboratories, Inc.* |
43,008 |
|||||||||
1,490 |
Jazz Pharmaceuticals PLC* |
174,211 |
|||||||||
78,710 |
Johnson & Johnson |
7,450,689 |
|||||||||
1,612 |
Mallinckrodt PLC* |
83,760 |
|||||||||
81,735 |
Merck & Co., Inc. |
4,072,855 |
|||||||||
10,664 |
Mylan, Inc.* |
470,602 |
|||||||||
3,233 |
Nektar Therapeutics* |
40,606 |
|||||||||
2,629 |
Perrigo Co. |
409,835 |
|||||||||
184,908 |
Pfizer, Inc. |
5,867,131 |
|||||||||
1,542 |
Questcor Pharmaceuticals, Inc. |
89,451 |
|||||||||
1,723 |
Salix Pharmaceuticals Ltd.* |
146,128 |
|||||||||
1,830 |
ViroPharma, Inc.* |
90,603 |
|||||||||
2,817 |
Vivus, Inc.* |
28,226 |
|||||||||
13,965 |
Zoetis, Inc. |
435,010 |
|||||||||
27,629,722 |
|||||||||||
Total Common
Stocks (Cost $61,638,583) |
63,324,294 |
||||||||||
Principal Amount |
|||||||||||
U.S. Government & Agency Security (a) — 7.7% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
6,954,094 |
0.00%, due 12/02/13 |
6,954,094 |
||||||||
Total U.S. Government &
Agency Security (Cost $6,954,094) |
6,954,094 |
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a)(b) — 14.6% |
|||||||||||
$ |
13,156,687 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $13,156,754 |
$ |
13,156,687 |
|||||||
Total Repurchase Agreements
(Cost $13,156,687) |
13,156,687 |
||||||||||
Total Investment Securities (Cost $81,749,364) — 92.4% |
83,435,075 |
||||||||||
Other assets less liabilities — 7.6% |
6,897,803 |
||||||||||
Net Assets — 100.0% |
$ |
90,332,878 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $14,368,259.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
2,081,533 |
|||||
Aggregate gross unrealized depreciation |
(426,053 |
) |
|||||
Net unrealized appreciation |
$ |
1,655,480 |
|||||
Federal income tax cost of investments |
$ |
81,779,595 |
See accompanying notes to the financial statements.
168 :: RXL ULTRA HEALTH CARE :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements ‡
Ultra Health Care had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. Health CareSM Index |
11/06/14 |
$ |
7,519,431 |
$ |
4,602,765 |
||||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. Health CareSM Index |
12/06/13 |
37,554,550 |
1,675,794 |
||||||||||||
Equity Index Swap Agreement
with Goldman Sachs International, based on the Dow Jones U.S. Health CareSM Index |
12/06/13 |
20,868,964 |
929,768 |
||||||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the Dow Jones U.S. Health CareSM Index |
12/06/13 |
3,219,076 |
87,136 |
||||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Dow Jones U.S. Health CareSM Index |
11/06/15 |
4,672,134 |
208,593 |
||||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Dow Jones U.S. Health CareSM Index |
03/06/14 |
1,545,144 |
437,178 |
||||||||||||
Equity Index Swap Agreement
with UBS AG, based on the Dow Jones U.S. Health CareSM Index |
12/06/13 |
5,068,338 |
232,077 |
||||||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® Dow Jones U.S. Healthcare Sector Index Fund |
01/06/14 |
13,628,613 |
3,714,876 |
||||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® Dow Jones
U.S. Healthcare Sector Index Fund |
12/06/13 |
4,516,172 |
201,405 |
||||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Dow Jones U.S. Healthcare Sector Index Fund |
11/06/14 |
18,729,826 |
2,965,605 |
||||||||||||
$ |
15,055,197 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.50%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA HEALTH CARE 169
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 70.2% |
|||||||||||||||
5,296 |
3M Co. (Industrial Conglomerates) |
2.4 |
% |
$ |
707,069 |
||||||||||
5,259 |
Accenture PLC, Class A
(IT Services) |
1.4 |
% |
407,415 |
|||||||||||
2,698 |
Agilent Technologies, Inc. (Life Sciences Tools & Services) |
0.5 |
% |
144,532 |
|||||||||||
398 |
Alliance Data Systems
Corp.* (IT Services) |
0.3 |
% |
96,419 |
|||||||||||
1,992 |
AMETEK, Inc. (Electrical Equipment) |
0.3 |
% |
98,046 |
|||||||||||
1,298 |
Amphenol Corp., Class A
(Electronic Equipment, Instruments & Components) |
0.4 |
% |
110,330 |
|||||||||||
3,938 |
Automatic Data Processing, Inc. (IT Services) |
1.1 |
% |
315,119 |
|||||||||||
5,661 |
Boeing Co. (The)
(Aerospace & Defense) |
2.6 |
% |
759,989 |
|||||||||||
5,189 |
Caterpillar, Inc. (Machinery) |
1.5 |
% |
438,989 |
|||||||||||
8,310 |
CSX Corp. (Road & Rail) |
0.8 |
% |
226,614 |
|||||||||||
1,420 |
Cummins, Inc. (Machinery) |
0.7 |
% |
187,951 |
|||||||||||
4,879 |
Danaher Corp. (Industrial
Conglomerates) |
1.3 |
% |
364,949 |
|||||||||||
3,122 |
Deere & Co. (Machinery) |
0.9 |
% |
262,997 |
|||||||||||
1,392 |
Dover Corp. (Machinery) |
0.4 |
% |
126,310 |
|||||||||||
3,865 |
Eaton Corp. PLC (Electrical Equipment) |
1.0 |
% |
280,831 |
|||||||||||
5,828 |
Emerson Electric Co.
(Electrical Equipment) |
1.4 |
% |
390,418 |
|||||||||||
2,228 |
Fastenal Co. (Trading Companies & Distributors) |
0.4 |
% |
103,669 |
|||||||||||
2,424 |
FedEx Corp. (Air Freight
& Logistics) |
1.2 |
% |
336,209 |
|||||||||||
2,382 |
Fidelity National Information Services, Inc. (IT Services) |
0.4 |
% |
120,720 |
|||||||||||
1,061 |
Fiserv, Inc.* (IT Services) |
0.4 |
% |
116,593 |
|||||||||||
1,147 |
Flowserve Corp. (Machinery) |
0.3 |
% |
81,873 |
|||||||||||
1,330 |
Fluor Corp. (Construction
& Engineering) |
0.4 |
% |
103,487 |
|||||||||||
2,711 |
General Dynamics Corp. (Aerospace & Defense) |
0.8 |
% |
248,490 |
|||||||||||
83,058 |
General Electric Co.
(Industrial Conglomerates) |
7.7 |
% |
2,214,327 |
|||||||||||
6,401 |
Honeywell International, Inc. (Aerospace & Defense) |
2.0 |
% |
566,552 |
|||||||||||
3,361 |
Illinois Tool Works, Inc.
(Machinery) |
0.9 |
% |
267,468 |
|||||||||||
2,207 |
Ingersoll-Rand PLC (Machinery) |
0.5 |
% |
157,624 |
|||||||||||
899 |
Kansas City Southern
(Road & Rail) |
0.4 |
% |
108,797 |
|||||||||||
789 |
LinkedIn Corp., Class A* (Internet Software & Services) |
0.6 |
% |
176,760 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
2,199 |
Lockheed Martin Corp. (Aerospace & Defense) |
1.1 |
% |
$ |
311,532 |
||||||||||
2,544 |
Norfolk Southern Corp.
(Road & Rail) |
0.8 |
% |
223,083 |
|||||||||||
1,877 |
Northrop Grumman Corp. (Aerospace & Defense) |
0.7 |
% |
211,500 |
|||||||||||
2,887 |
PACCAR, Inc. (Machinery) |
0.6 |
% |
165,454 |
|||||||||||
1,217 |
Parker Hannifin Corp. (Machinery) |
0.5 |
% |
143,411 |
|||||||||||
2,653 |
Paychex, Inc. (IT Services) |
0.4 |
% |
116,016 |
|||||||||||
1,624 |
Pentair Ltd. (Machinery) |
0.4 |
% |
114,849 |
|||||||||||
1,187 |
Precision Castparts Corp.
(Aerospace & Defense) |
1.1 |
% |
306,780 |
|||||||||||
2,630 |
Raytheon Co. (Aerospace & Defense) |
0.8 |
% |
233,228 |
|||||||||||
1,131 |
Rockwell Automation, Inc.
(Electrical Equipment) |
0.4 |
% |
128,459 |
|||||||||||
809 |
Roper Industries, Inc. (Electrical Equipment) |
0.4 |
% |
104,927 |
|||||||||||
712 |
Sherwin-Williams Co. (The)
(Chemicals) |
0.4 |
% |
130,317 |
|||||||||||
701 |
Stericycle, Inc.* (Commercial Services & Supplies) |
0.3 |
% |
82,353 |
|||||||||||
3,373 |
TE Connectivity Ltd.
(Electronic Equipment, Instruments & Components) |
0.6 |
% |
177,825 |
|||||||||||
3,770 |
Tyco International Ltd. (Commercial Services & Supplies) |
0.5 |
% |
143,788 |
|||||||||||
3,783 |
Union Pacific Corp.
(Road & Rail) |
2.1 |
% |
612,997 |
|||||||||||
5,892 |
United Parcel Service, Inc., Class B (Air Freight & Logistics) |
2.1 |
% |
603,223 |
|||||||||||
6,884 |
United Technologies Corp.
(Aerospace & Defense) |
2.6 |
% |
763,160 |
|||||||||||
504 |
W.W. Grainger, Inc. (Trading Companies & Distributors) |
0.4 |
% |
129,991 |
|||||||||||
3,556 |
Waste Management, Inc.
(Commercial Services & Supplies) |
0.6 |
% |
162,438 |
|||||||||||
123,871 |
Other Common Stocks |
20.4 |
% |
5,893,430 |
|||||||||||
Total Common Stocks
(Cost $19,064,551) |
20,279,308 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government & Agency Security (a) — 0.7% |
|||||||||||||||
Federal Home Loan Bank |
|||||||||||||||
$ |
208,290 |
0.00%, due 12/02/13 |
208,290 |
||||||||||||
Total U.S. Government &
Agency Security (Cost $208,290) |
208,290 |
See accompanying notes to the financial statements.
170 :: UXI ULTRA INDUSTRIALS :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||||||
Repurchase Agreements (a)(b) — 6.3% |
|||||||||||||||
$ |
1,830,918 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $1,830,926 |
$ |
1,830,918 |
|||||||||||
Total Repurchase Agreements
(Cost $1,830,918) |
1,830,918 |
||||||||||||||
Total Investment Securities (Cost $21,103,759) — 77.2% |
22,318,516 |
||||||||||||||
Other assets less liabilities — 22.8% |
6,592,576 |
||||||||||||||
Net Assets — 100.0% |
$ |
28,911,092 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $10,325,402.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,215,607 |
|||||
Aggregate gross unrealized depreciation |
(94,007 |
) |
|||||
Net unrealized appreciation |
$ |
1,121,600 |
|||||
Federal income tax cost of investments |
$ |
21,196,916 |
Swap Agreements ‡
Ultra Industrials had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation |
|||||||||||||
Equity Index Swap Agreement
with Citibank, N.A., based on the Dow Jones U.S. IndustrialsSM Index |
12/06/13 |
$ |
3,232,843 |
$ |
71,713 |
||||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Dow Jones U.S. IndustrialsSM Index |
01/06/15 |
1,692,601 |
699,481 |
||||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the Dow Jones U.S. IndustrialsSM Index |
12/06/13 |
726,102 |
25,275 |
||||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Dow Jones U.S. IndustrialsSM Index |
12/06/13 |
3,881,535 |
85,639 |
||||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. IndustrialsSM Index |
12/06/13 |
3,240,253 |
64,099 |
||||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. IndustrialsSM Index |
01/06/14 |
7,002,635 |
4,259,295 |
||||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. IndustrialsSM Index |
01/06/14 |
685,589 |
710,615 |
||||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. IndustrialsSM Index |
12/06/13 |
6,326,993 |
139,070 |
||||||||||||
Swap Agreement with
Deutsche Bank AG, based on the iShares® Dow Jones
U.S. Industrials Sector Index Fund |
12/06/13 |
3,995,921 |
86,671 |
||||||||||||
Swap Agreement with Merrill Lynch International,
based on the iShares® Dow Jones U.S. Industrials Sector Index Fund |
12/06/13 |
5,266,988 |
113,831 |
||||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the
iShares® Dow Jones U.S. Industrials Sector Index Fund |
01/06/15 |
1,466,462 |
835,159 |
||||||||||||
$ |
7,090,848 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.34%.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA INDUSTRIALS 171
Ultra Industrials invested, as a percentage of net assets, in the following industries as of November 30, 2013:
Aerospace & Defense |
14.2 |
% |
|||||
Air Freight & Logistics |
3.9 |
% |
|||||
Building Products |
0.9 |
% |
|||||
Chemicals |
0.6 |
% |
|||||
Commercial Services & Supplies |
2.8 |
% |
|||||
Construction & Engineering |
1.5 |
% |
|||||
Construction Materials |
0.5 |
% |
|||||
Containers & Packaging |
1.8 |
% |
|||||
Diversified Financial Services |
0.0 |
%‡ |
|||||
Electrical Equipment |
4.4 |
% |
|||||
Electronic Equipment, Instruments & Components |
2.6 |
% |
|||||
Industrial Conglomerates |
11.5 |
% |
|||||
Internet Software & Services |
0.8 |
% |
|||||
IT Services |
5.5 |
% |
|||||
Life Sciences Tools & Services |
0.8 |
% |
|||||
Machinery |
10.2 |
% |
|||||
Marine |
0.2 |
% |
|||||
Multi-Utilities |
0.2 |
% |
|||||
Office Electronics |
0.1 |
% |
|||||
Oil, Gas & Consumable Fuels |
0.1 |
% |
|||||
Paper & Forest Products |
0.1 |
% |
|||||
Professional Services |
1.2 |
% |
|||||
Road & Rail |
4.7 |
% |
|||||
Semiconductors & Semiconductor Equipment |
0.0 |
%‡ |
|||||
Trading Companies & Distributors |
1.6 |
% |
|||||
Other1 |
29.8 |
% |
|||||
100.0 |
% |
‡ Amount represents less than 0.05%.
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
172 :: UXI ULTRA INDUSTRIALS :: NOVEMBER 30, 2013 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks (a) — 71.2% |
|||||||||||
Electric Utilities — 0.3% |
|||||||||||
10,833 |
OGE Energy Corp. |
$ |
372,872 |
||||||||
Energy Equipment & Services — 15.0% |
|||||||||||
3,144 |
Atwood Oceanics, Inc.* |
165,249 |
|||||||||
24,198 |
Baker Hughes, Inc. |
1,378,318 |
|||||||||
1,986 |
Bristow Group, Inc. |
159,277 |
|||||||||
13,442 |
Cameron International Corp.* |
744,552 |
|||||||||
1,084 |
CARBO Ceramics, Inc. |
133,364 |
|||||||||
2,507 |
Core Laboratories N.V. |
456,625 |
|||||||||
3,797 |
Diamond Offshore Drilling, Inc. |
228,010 |
|||||||||
4,165 |
Dresser-Rand Group, Inc.* |
235,073 |
|||||||||
2,217 |
Dril-Quip, Inc.* |
240,677 |
|||||||||
12,757 |
Ensco PLC, Class A |
753,684 |
|||||||||
3,197 |
Exterran Holdings, Inc.* |
103,966 |
|||||||||
12,939 |
FMC Technologies, Inc.* |
622,366 |
|||||||||
46,183 |
Halliburton Co. |
2,432,920 |
|||||||||
5,372 |
Helix Energy Solutions Group, Inc.* |
119,312 |
|||||||||
5,816 |
Helmerich & Payne, Inc. |
447,832 |
|||||||||
12,921 |
McDermott International, Inc.* |
105,306 |
|||||||||
14,181 |
Nabors Industries Ltd. |
234,696 |
|||||||||
23,350 |
National Oilwell Varco, Inc. |
1,903,025 |
|||||||||
13,838 |
Noble Corp. PLC |
527,505 |
|||||||||
5,909 |
Oceaneering International, Inc. |
456,116 |
|||||||||
3,012 |
Oil States International, Inc.* |
308,278 |
|||||||||
8,047 |
Patterson-UTI Energy, Inc. |
187,576 |
|||||||||
6,784 |
Rowan Cos. PLC, Class A* |
234,862 |
|||||||||
72,268 |
Schlumberger Ltd. |
6,389,937 |
|||||||||
1,028 |
SEACOR Holdings, Inc. |
95,655 |
|||||||||
8,715 |
Superior Energy Services, Inc.* |
222,058 |
|||||||||
2,703 |
Tidewater, Inc. |
154,179 |
|||||||||
18,503 |
Transocean Ltd. |
932,181 |
|||||||||
2,387 |
Unit Corp.* |
114,958 |
|||||||||
41,930 |
Weatherford International Ltd.* |
656,624 |
|||||||||
20,744,181 |
|||||||||||
Machinery — 0.1% |
|||||||||||
1,657 |
Chart Industries, Inc.* |
161,226 |
|||||||||
Oil, Gas & Consumable Fuels — 55.6% |
|||||||||||
27,456 |
Anadarko Petroleum Corp. |
2,438,642 |
|||||||||
22,056 |
Apache Corp. |
2,017,903 |
|||||||||
2,676 |
Berry Petroleum Co., Class A |
134,656 |
|||||||||
22,978 |
Cabot Oil & Gas Corp. |
791,592 |
|||||||||
12,126 |
Cheniere Energy, Inc.* |
480,068 |
|||||||||
27,671 |
Chesapeake Energy Corp. |
743,520 |
|||||||||
105,521 |
Chevron Corp. |
12,919,991 |
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
4,725 |
Cimarex Energy Co. |
$ |
446,890 |
||||||||
16,172 |
Cobalt International Energy, Inc.* |
359,504 |
|||||||||
5,720 |
Concho Resources, Inc.* |
594,480 |
|||||||||
66,797 |
ConocoPhillips |
4,862,822 |
|||||||||
2,332 |
Continental Resources, Inc.* |
250,713 |
|||||||||
20,367 |
Denbury Resources, Inc.* |
339,722 |
|||||||||
20,844 |
Devon Energy Corp. |
1,263,563 |
|||||||||
3,945 |
Energen Corp. |
284,711 |
|||||||||
4,140 |
Energy XXI Bermuda Ltd. |
112,442 |
|||||||||
14,879 |
EOG Resources, Inc. |
2,455,035 |
|||||||||
8,225 |
EQT Corp. |
700,030 |
|||||||||
7,367 |
EXCO Resources, Inc. |
38,971 |
|||||||||
240,404 |
Exxon Mobil Corp. |
22,472,966 |
|||||||||
4,590 |
Gulfport Energy Corp.* |
268,194 |
|||||||||
15,755 |
Hess Corp. |
1,278,203 |
|||||||||
10,916 |
HollyFrontier Corp. |
523,750 |
|||||||||
36,774 |
Kinder Morgan, Inc. |
1,306,948 |
|||||||||
14,504 |
Kodiak Oil & Gas Corp.* |
164,475 |
|||||||||
38,760 |
Marathon Oil Corp. |
1,396,910 |
|||||||||
17,099 |
Marathon Petroleum Corp. |
1,414,771 |
|||||||||
9,596 |
Murphy Oil Corp. |
623,068 |
|||||||||
7,410 |
Newfield Exploration Co.* |
208,221 |
|||||||||
19,615 |
Noble Energy, Inc. |
1,377,758 |
|||||||||
4,854 |
Oasis Petroleum, Inc.* |
223,915 |
|||||||||
44,008 |
Occidental Petroleum Corp. |
4,179,000 |
|||||||||
33,373 |
Phillips 66 |
2,323,095 |
|||||||||
7,567 |
Pioneer Natural Resources Co. |
1,345,034 |
|||||||||
9,792 |
QEP Resources, Inc. |
313,540 |
|||||||||
8,924 |
Range Resources Corp. |
692,949 |
|||||||||
3,338 |
Rosetta Resources, Inc.* |
168,803 |
|||||||||
19,567 |
SandRidge Energy, Inc.* |
109,380 |
|||||||||
2,319 |
SemGroup Corp., Class A |
142,340 |
|||||||||
3,655 |
SM Energy Co. |
322,152 |
|||||||||
19,199 |
Southwestern Energy Co.* |
742,233 |
|||||||||
7,378 |
Tesoro Corp. |
432,572 |
|||||||||
8,355 |
Ultra Petroleum Corp.* |
171,027 |
|||||||||
29,610 |
Valero Energy Corp. |
1,353,769 |
|||||||||
2,942 |
Western Refining, Inc. |
114,944 |
|||||||||
6,521 |
Whiting Petroleum Corp.* |
393,868 |
|||||||||
37,314 |
Williams Cos., Inc. (The) |
1,314,199 |
|||||||||
10,956 |
WPX Energy, Inc.* |
203,672 |
|||||||||
76,817,011 |
|||||||||||
Semiconductors & Semiconductor
Equipment — 0.2% |
|||||||||||
3,787 |
First Solar, Inc.* |
226,539 |
|||||||||
Total Common Stocks (Cost $98,200,865) |
98,321,829 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA OIL & GAS 173
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 22.7% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
12,184,786 |
0.00%, due 12/02/13 |
$ |
12,184,786 |
|||||||
U.S. Treasury Bills |
|||||||||||
3,915,000 |
0.00%, due 01/09/14 |
3,914,822 |
|||||||||
1,000,000 |
0.00%, due 02/13/14 |
999,950 |
|||||||||
9,200,000 |
0.00%, due 03/13/14 |
9,199,166 |
|||||||||
5,000,000 |
0.00%, due 04/10/14 |
4,998,998 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $31,297,722) |
31,297,722 |
||||||||||
Repurchase Agreements (a)(b) — 17.7% |
|||||||||||
24,440,948 |
Repurchase Agreements with
various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $24,441,072 |
24,440,948 |
|||||||||
Total Repurchase Agreements (Cost $24,440,948) |
24,440,948 |
||||||||||
Total Investment
Securities (Cost $153,939,535) — 111.6% |
154,060,499 |
||||||||||
Liabilities in excess of other assets — (11.6%) |
(15,969,280 |
) |
|||||||||
Net Assets — 100.0% |
$ |
138,091,219 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $28,819,543.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
2,093,430 |
|||||
Aggregate gross unrealized depreciation |
(2,038,876 |
) |
|||||
Net unrealized appreciation |
$ |
54,554 |
|||||
Federal income tax cost of investments |
$ |
154,005,945 |
Swap Agreements ‡
Ultra Oil & Gas had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Credit Suisse International, based on the Dow Jones U.S. Oil & GasSM Index |
01/06/15 |
$ |
8,270,462 |
$ |
3,884,410 |
||||||||||
Equity Index Swap Agreement with Deutsche Bank AG,
based on the Dow Jones U.S. Oil & GasSM Index |
12/06/13 |
25,781,403 |
(56,082 |
) |
|||||||||||
Equity Index Swap Agreement
with Goldman Sachs International, based on the Dow Jones U.S. Oil & GasSM Index |
12/06/13 |
8,021,433 |
(22,217 |
) |
|||||||||||
Equity Index Swap Agreement with Merrill Lynch
International, based on the Dow Jones U.S. Oil & GasSM Index |
12/06/13 |
25,486,690 |
(105,272 |
) |
|||||||||||
Equity Index Swap Agreement
with Morgan Stanley & Co. International PLC, based on the Dow Jones U.S. Oil & GasSM Index |
01/06/14 |
23,349,607 |
6,803,014 |
||||||||||||
Equity Index Swap Agreement with Societe Generale,
based on the Dow Jones U.S. Oil & GasSM Index |
01/06/14 |
29,622,901 |
5,741,259 |
||||||||||||
Equity Index Swap Agreement
with UBS AG, based on the Dow Jones U.S. Oil & GasSM Index |
12/06/13 |
5,400,599 |
(15,141 |
) |
|||||||||||
Swap Agreement with Deutsche Bank AG, based on the
iShares® Dow Jones U.S. Energy Sector Index Fund |
01/06/14 |
10,879,990 |
1,541,924 |
||||||||||||
Swap Agreement with Goldman
Sachs International, based on the iShares® Dow Jones U.S. Energy Sector Index Fund |
01/06/14 |
24,054,698 |
937,531 |
||||||||||||
Swap Agreement with Merrill Lynch International,
based on the iShares® Dow Jones U.S. Energy Sector Index Fund |
12/06/13 |
12,673,117 |
(127,007 |
) |
|||||||||||
Swap Agreement with Morgan
Stanley & Co. International PLC, based on the iShares® Dow Jones U.S. Energy Sector Index Fund |
11/06/14 |
4,324,217 |
926,681 |
||||||||||||
$ |
19,509,100 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.42%.
See accompanying notes to the financial statements.
174 :: DIG ULTRA OIL & GAS :: NOVEMBER 30, 2013 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 49.0% |
|||||||||||
Federal Home Loan Bank |
|||||||||||
$ |
64,527,828 |
0.00%, due 12/02/13 |
$ |
64,527,828 |
|||||||
U.S. Treasury Bills |
|||||||||||
1,550,000 |
0.00%, due 12/26/13 |
1,549,959 |
|||||||||
8,000,000 |
0.00%, due 01/09/14 |
7,999,636 |
|||||||||
10,000,000 |
0.00%, due 03/13/14 |
9,999,093 |
|||||||||
2,595,000 |
0.00%, due 03/20/14 |
2,594,682 |
|||||||||
3,700,000 |
0.00%, due 04/10/14 |
3,699,258 |
|||||||||
53,271,000 |
0.00%, due 04/17/14 |
53,258,634 |
|||||||||
10,000,000 |
0.00%, due 04/24/14 |
9,996,600 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $153,625,690) |
153,625,690 |
||||||||||
Repurchase Agreements (a)(b) — 46.5% |
|||||||||||
145,853,518 |
Repurchase Agreements with various counterparties, rates 0.01% - 0.09%, dated 11/29/13, due 12/02/13, total to be received $145,854,250 |
145,853,518 |
|||||||||
Total Repurchase Agreements
(Cost $145,853,518) |
145,853,518 |
||||||||||
Total Investment Securities (Cost $299,479,208) † — 95.5% |
299,479,208 |
||||||||||
Other assets less liabilities — 4.5% |
14,029,800 |
||||||||||
Net Assets — 100.0% |
$ |
313,509,008 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2013, the aggregate value of segregated securities was $119,936,698.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements ‡
Ultra Real Estate had the following open swap agreements as of November 30, 2013:
Termination Date |
Notional
Amount at Value |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Equity Index Swap Agreement
with Citibank, N.A., based on the Dow Jones U.S. Real EstateSM Index |
12/06/13 |
$ |
7,409,196 |
$ |
(306,752 |
) |
|||||||||
Equity Index Swap Agreement with Credit Suisse
International, based on the Dow Jones U.S. Real EstateSM Index |
11/06/14 |
86,157,292 |
(365,936 |
) |
|||||||||||
Equity Index Swap Agreement
with Deutsche Bank AG, based on the Dow Jones U.S. Real EstateSM Index |
12/06/13 |
58,197,689 |
(2,205,775 |
) |
|||||||||||
Equity Index Swap Agreement with Goldman Sachs
International, based on the Dow Jones U.S. Real EstateSM Index |
12/06/13 |
6,299,937 |
(260,024 |
) |
|||||||||||
Equity Index Swap Agreement
with Merrill Lynch International, based on the Dow Jones U.S. Real EstateSM Index |
12/06/13 |
58,178,163 |
(2,723,045 |
) |
|||||||||||
Equity Index Swap Agreement with Morgan Stanley
& Co. International PLC, based on the Dow Jones U.S. Real EstateSM Index |
01/06/14 |
12,510,797 |
7,375,323 |
||||||||||||
Equity Index Swap Agreement
with Societe Generale, based on the Dow Jones U.S. Real EstateSM Index |
11/06/15 |
26,463,467 |
(1,091,241 |
) |
|||||||||||
Equity Index Swap Agreement with UBS AG, based on
the Dow Jones U.S. Real EstateSM Index |
12/06/13 |
32,253,040 |
(1,125,736 |
) |
|||||||||||
Swap Agreement with
Deutsche Bank AG, based on the iShares® Dow Jones
U.S. Real Estate Index Fund |
01/06/14 |
8,966,804 |
7,347,014 |
||||||||||||
Swap Agreement with Goldman Sachs International,
based on the iShares® Dow Jones U.S. Real Estate Index Fund |
01/06/14 |
247,620,901 |
(11,738,087 |
) |
|||||||||||
Swap Agreement with Merrill
Lynch International, based on the iShares® Dow Jones
U.S. Real Estate Index Fund |
12/06/13 |
44,750,100 |
(2,592,725 |
) |
|||||||||||
Swap Agreement with Morgan Stanley & Co.
International PLC, based on the iShares® Dow Jones U.S. Real Estate Index Fund |
11/06/14 |
38,949,210 |
13,327,578 |
||||||||||||
$ |
5,640,594 |
‡ Total return based on the underlying index less a variable financing rate, net of trading spreads or commissions, if applicable. The weighted average variable financing rate paid (received) by the Fund as of November 30, 2013 was 0.26%.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2013 (UNAUDITED) :: ULTRA REAL ESTATE 175