ANNUAL REPORT
MAY 31, 2022
Geared
Short 7-10 Year Treasury TBX
Short 20+ Year Treasury TBF
Short Dow30SM DOG
Short Financials SEF
Short FTSE China 50 YXI
Short High Yield SJB
Short MidCap400 MYY
Short MSCI EAFE EFZ
Short MSCI Emerging Markets EUM
Short QQQ PSQ
Short Real Estate REK
Short Russell2000 RWM
Short S&P500® SH
Short SmallCap600 SBB
Ultra 7-10 Year Treasury UST
Ultra 20+ Year Treasury UBT
Ultra Basic Materials UYM
Ultra Consumer Goods UGE
Ultra Consumer Services UCC
Ultra Dow30SM DDM
Ultra Financials UYG
Ultra FTSE China 50 XPP
Ultra FTSE Europe UPV
Ultra Health Care RXL
Ultra High Yield UJB
Ultra Industrials UXI
Ultra MidCap400 MVV
Ultra MSCI Brazil Capped UBR
Ultra MSCI EAFE EFO
Ultra MSCI Emerging Markets EET
Ultra MSCI Japan EZJ
Ultra Nasdaq Biotechnology BIB
Ultra Nasdaq Cloud Computing SKYU
Ultra Nasdaq Cybersecurity UCYB
Ultra Oil & Gas DIG
Ultra QQQ QLD
Ultra Real Estate URE
Ultra Russell2000 UWM
Ultra S&P500® SSO
Ultra Semiconductors USD
Ultra SmallCap600 SAA
Ultra Technology ROM
Ultra Telecommunications LTL
Ultra Utilities UPW
UltraPro Dow30SM UDOW
UltraPro MidCap400 UMDD
UltraPro QQQ TQQQ
UltraPro Russell2000 URTY
UltraPro S&P500® UPRO
UltraPro Short 20+ Year Treasury TTT
UltraPro Short Dow30SM SDOW
UltraPro Short MidCap400 SMDD
UltraPro Short QQQ SQQQ
UltraPro Short Russell2000 SRTY
UltraPro Short S&P500® SPXU
UltraShort 7-10 Year Treasury PST
UltraShort 20+ Year Treasury TBT
UltraShort Basic Materials SMN
UltraShort Consumer Goods SZK
UltraShort Consumer Services SCC
UltraShort Dow30SM DXD
UltraShort Financials SKF
UltraShort FTSE China 50 FXP
UltraShort FTSE Europe EPV
UltraShort Health Care RXD
UltraShort Industrials SIJ
UltraShort MidCap400 MZZ
UltraShort MSCI Brazil Capped BZQ
UltraShort MSCI EAFE EFU
UltraShort MSCI Emerging Markets EEV
UltraShort MSCI Japan EWV
UltraShort Nasdaq Biotechnology BIS
UltraShort Oil & Gas DUG
UltraShort QQQ QID
UltraShort Real Estate SRS
UltraShort Russell2000 TWM
UltraShort S&P500® SDS
UltraShort Semiconductors SSG
UltraShort SmallCap600 SDD
UltraShort Technology REW
UltraShort Utilities SDP
I | Shareholder Letter | ||||||
II | Management Discussion of Fund Performance | ||||||
LXXXVII | Expense Examples | ||||||
1 | Schedule of Portfolio Investments | ||||||
174 | Statements of Assets and Liabilities | ||||||
189 | Statements of Operations | ||||||
204 | Statements of Changes in Net Assets |
232 | Financial Highlights | ||||||
262 | Notes to Financial Statements | ||||||
297 | Report of Independent Registered Public Accounting Firm | ||||||
299 | Miscellaneous Information | ||||||
300 | Trustees and Executive Officers of ProShares Trust |
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During these times of geopolitical and economic uncertainty, I want to reaffirm our commitment to providing you, our investors, with products and services to help you meet your investment objectives. ProShares remains focused on ensuring the effective management of our funds. The following is the ProShares Trust Annual Report for the 12 months ended May 31, 2022.
U.S. Stocks Decline Sharply After a Strong Year
U.S. stock performance during the reporting period could effectively be split into two parts. Buoyed by the federal stimulus packages, near-zero interest rates, the robust rollout of COVID-19 vaccines, and strong corporate earnings, U.S. stocks ended 2021 on a winning streak. The S&P 500® rose 28.7% for the year, clocking in its third-best yearly performance of the century. The Dow® and Nasdaq-100 Index® gained 20.95% and 27.51%, respectively. The first months of 2022, however, saw a sharp reversal of this trend as volatility returned amid mounting inflationary pressures, rising interest rates, tightening monetary policy, and Russia's invasion of Ukraine. The S&P 500 hit correction territory for the first time since the official declaration of a global pandemic by the World Health Organization in March 2020, declining by more than 10% at its lowest points in February relative to its January peak. With the notable exception of commodities like oil and gas, whose prices have surged amid sanctions against Russia, nearly all asset classes experienced selloffs in the past five months. The technology sector, in particular, has seen a sharp turnaround after its strong performance during the first half of the period.
The large-cap S&P 500 declined 0.3% over the reporting period, and the Dow lost 2.7%. The Nasdaq-100 declined 7.0%. The S&P MidCap 400® dropped 6.5%, and the small-cap Russell 2000® Index declined 17.0%. Of the 11 Dow Jones U.S. Industry Index sectors, four sectors rose. The best performers were oil & gas (72.8%), utilities (17.3%), and health care (4.6%). The biggest laggards were consumer services (-19.8%) and industrials (-12.8%), with technology, financials, and telecom also declining by over 3%.
Boom in International Equities Comes to an End
Equities in developed markets outside the United States followed a similar pattern, rising in the second half of 2021 before dropping as Russia's invasion of Ukraine sent shockwaves throughout the world economy. Emerging markets, however, largely declined throughout the 12 months, driven by a selloff in China amid a regulatory crackdown. Most major international indexes posted negative returns over the reporting period: The MSCI EAFE Index®, which tracks developed markets outside North America, fell 10.7%. The MSCI Europe Index® dropped 9.9%, while the MSCI Japan Index® lost 13.5%. The MSCI Emerging Markets Index® fell 18.9%, and the FTSE China 50 Index® declined 28.1%.
U.S. Fixed-Income Markets Decline Sharply
Bonds struggled in the latter half of 2021 as the market acknowledged the beginning of the Fed's tapering program and interest rates began to rise. In response to the fastest inflation in 40 years, the Fed raised interest rates by 25 basis points in March and 50 basis points in May. This spurred a selloff in the bond markets, overriding investors' typical flight-to-quality in times of geopolitical distress. Over the 12 months, the Barclays U.S. Aggregate Bond Index® declined 8.2%. The Ryan Labs Treasury 30-Year and 10-Year Indexes lost 18.7% and 10.8%, respectively. Investment-grade corporate bonds, as measured by the Markit iBoxx $ Liquid Investment Grade Index®, declined 11.5%, while their high-yield peers lost 4.9%, based on the Markit iBoxx $ Liquid High Yield Index®.
Economy Slows
Geopolitical headwinds jolted the world economy, adding to the mounting inflationary pressures and supply chain disruptions from the pandemic. After increasing at a steady clip in the second half of 2021, U.S. GDP contracted at an estimated annual rate of 1.5% in the first quarter of 2022. The labor market, however, remains strong, with a national unemployment rate of 3.6% for May. The U.S. dollar rose 9.7%, based on the Bloomberg Dollar Spot Index.
Investors Find Opportunities Amid Complex Markets
Investors in ProShares' leveraged ETFs based on the NASDAQ-100 Index saw broad opportunities during the first half of the period. Yet, when the market turned in 2022, ProShares investors were presented with opportunities across a number of inverse ETFs and in other funds designed to outperform amid rising rates or volatile environments.
In October, ProShares launched Bitcoin Strategy ETF (BITO), the industry's first U.S. bitcoin-linked ETF. BITO provides investors with a way to gain bitcoin futures exposure through their existing brokerage accounts — with the transparency, liquidity, and additional benefits of an ETF structure. Net flows into ProShares increased overall ($15.2 billion) over the reporting period.
During these uncertain times, many investors turn to ProShares ETFs because our strong lineup of funds offers short and leveraged market exposure across a broad array of market segments. This enables investors to choose the investments that most effectively align with their market views. We thank you for the trust and confidence you have placed in us by choosing ProShares and appreciate the opportunity to continue serving your investment needs.
Sincerely,
Michael L. Sapir
Chairman of the Board of
Trustees
PROSHARES.COM :: I
II :: MAY 31, 2022 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
Investment Strategies and Techniques — Geared Funds:
Eighty one (81) ProShares Geared exchange-traded funds ("ETFs") were in existence for the entire period covered by this annual report (each ProShares Geared ETF, a "Fund" and, collectively, the "Funds").
Each Fund seeks daily investment results, before fees and expenses, that correspond to the performance of a daily benchmark such as the multiple (i.e., 3x or 2x), the inverse (-1x) or an inverse multiple (i.e., -3x or -2x) of an underlying index for a single day, not for any other period. This means the Funds seek investment results for a single day only, as measured from the time a Fund calculates its net asset value ("NAV") to the time of the Fund's next NAV calculation, not for longer periods. The return of a Fund for a period longer than a single day will be the result of each day's returns compounded over the period, which will very likely differ from the Fund's stated leveraged, inverse, or inverse leveraged multiple times the return of the Fund's index for that period. During periods of higher market volatility, the volatility of a Fund's index may affect the Fund's return as much as or more than the return of the index.
ProShare Advisors LLC ("PSA"), the Funds' investment adviser, uses a passive approach in seeking to achieve the investment objective of each Fund. Using this approach, PSA determines the type, quantity and mix of investment positions that a Fund should hold to approximate the daily performance of its index.
When managing the Funds, PSA does not invest the assets of the Funds in securities or financial instruments based on its view of the investment merit of a particular security, instrument, or company. In addition, PSA does not conduct conventional investment research or analysis, forecast market movements, trends or market conditions, or take defensive positions in managing assets of the Funds.
The Funds make significant use of investment techniques that may be considered aggressive, including the use of swap agreements, futures contracts, and similar instruments (collectively, "derivatives"). Funds using derivatives are exposed to risks different from, or possibly greater than, the risks associated with investing directly in securities, including one or more of the following: counterparty risk (i.e., the risk that a counterparty is unable or unwilling to make timely payments to meet its contractual obligations) on the amount a Fund expects to receive from a derivatives counterparty, liquidity risk (i.e., the risk that a Fund might not be able to acquire or dispose of certain holdings quickly or at prices that represent true market value in the judgment of PSA), and increased correlation risk (i.e., the risk that a Fund may not be able to achieve a high degree of correlation with its index or a multiple or inverse thereof). If a counterparty becomes bankrupt, or fails to perform its obligations, the value of an investment in a Fund may decline. With respect to swaps and forward contracts, the Funds seek to mitigate counterparty risk by generally requiring derivatives counterparties to post collateral for the benefit of each Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owes the Fund, subject to certain minimum thresholds.
The Funds primarily enter into derivatives with counterparties that are major global financial institutions. Any costs associated with using derivatives will have the effect of lowering a Fund's return.
Factors that Materially Affected the Performance of Each Fund during the Year Ended May 31, 20221:
Primary factors affecting Fund performance, before fees and expenses, include the following: the total return of the securities and derivatives (if any) held by a Fund, including the performance of the reference assets to which any derivatives are linked, financing rates paid or earned by a Fund associated with cash and, in certain cases, derivative positions; stock dividends, premiums and bond yields paid or earned by a Fund (including those included in the total return of derivatives contracts); the types of derivative contracts (if any) used by a Fund and their correlation to the relevant index or asset fees, expenses, and transaction costs; the volatility of a Fund's index (and its impact on compounding); and other miscellaneous factors.
• Index Performance: The performance of each Fund's index and, in turn, the factors and market conditions affecting that index are principal factors driving Fund performance.2
• Compounding of Daily Returns and Volatility: Each Fund seeks daily investment results, before fees and expenses, that correspond to the performance of a daily benchmark such as the multiple (i.e., 3x or 2x), the inverse (-1x) or an inverse multiple (i.e., -3x or -2x) of its underlying index for a single day only, not for any other period. For longer periods, performance may be greater than or less than a Fund's one-day multiple times the index performance over the period, before fees and expenses. This is due to the effects of compounding, which exists in all investments, but has a more significant impact on geared funds. In general, during periods of higher index volatility, compounding will cause Fund performance for periods longer than a single day to be more or less than the multiple of the return of the index. This effect becomes more pronounced as volatility increases. Conversely, in periods of lower index volatility (particularly when combined with higher index returns), Fund returns over longer periods can be higher than the multiple of the return of the index. Actual results for a particular period, before fees and expenses, are also dependent on the following factors: a) period of time; b) financing rates associated with derivatives; c) other Fund expenses; d) dividends and interest paid with respect to the securities in the index, e) the index's volatility; and f) the index's performance. Longer holding periods, higher index volatility, inverse exposure and/or greater leverage each exacerbates the impact of compounding on a Fund's performance. During periods of higher index volatility, the volatility of an index may affect a Fund's return as much as or more than the return of its index. Daily volatility for the U.S. equity markets increased from a year ago. The volatility for the S&P 500 for the year ended May 31, 2022, was 18.10%, which was slightly higher than the prior year's volatility of 17.28%. The volatility of each index utilized by a Fund is shown below.
1 Past performance is not a guarantee of future results.
2 Indexes do not actually hold a portfolio of securities and/or financial instruments. Indexes do not incur fees, expenses and transaction costs. Fees, expenses and transaction costs incurred by the Funds negatively impact the performance of the Funds relative to their respective indexes. Performance of each Fund will generally differ from the performance of the Fund's index.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: MAY 31, 2022 :: III
Underlying Index | One Year Index Volatility | ||||||
MSCI Brazil 25/50 Index® | 27.84 | % | |||||
NASDAQ Biotechnology Index® | 25.44 | % | |||||
FTSE China 50 Index® | 35.56 | % | |||||
Dow Jones U.S. Oil & GasSM Index | 29.93 | % | |||||
Dow Jones U.S. SemiconductorsSM Index | 37.53 | % | |||||
Dow Jones U.S. Basic MaterialsSM Index | 20.95 | % | |||||
ISE Cloud Computing Total Return Index | 33.15 | % | |||||
Russell 2000® Index | 23.87 | % | |||||
Dow Jones U.S. FinancialsSM Index | 19.40 | % | |||||
S&P SmallCap 600® Index | 21.84 | % | |||||
FTSE Developed Europe All-Cap Index® | 19.82 | % | |||||
MSCI Japan Index® | 17.57 | % | |||||
S&P MidCap 400® Index | 20.78 | % | |||||
Dow Jones U.S. TechnologySM Index | 27.46 | % | |||||
Dow Jones U.S. Real EstateSM Index | 18.45 | % | |||||
Dow Jones U.S. IndustrialsSM Index | 18.10 | % | |||||
NASDAQ-100® Index | 25.13 | % | |||||
Dow Jones U.S. Select TelecommunicationsSM Index | 17.05 | % | |||||
Dow Jones U.S. Health CareSM Index | 15.55 | % | |||||
MSCI Emerging Markets Index® | 17.62 | % | |||||
MSCI EAFE Index® | 15.65 | % | |||||
S&P 500® Index | 18.10 | % | |||||
Dow Jones U.S. Consumer ServicesSM Index | 22.86 | % | |||||
Dow Jones Industrial AverageSM | 15.59 | % | |||||
ICE U.S. Treasury 20+ Year Bond Index | 15.95 | % | |||||
Dow Jones U.S. UtilitiesSM Index | 15.12 | % | |||||
Dow Jones U.S. Consumer GoodsSM Index | 19.89 | % | |||||
NASDAQ CTA Cybersecurity Index | 26.12 | % | |||||
ICE U.S. Treasury 7-10 Year Bond Index | 7.14 | % | |||||
Markit iBoxx® $ Liquid High Yield Index | 4.87 | % |
• Financing Rates Associated with Derivatives: The performance of each Fund was impacted by the related financing costs. Financial instruments such as futures contracts carry implied financing costs. Swap financing rates are negotiated between the Funds and their counterparties, and are set at the Fed Funds rate ("FEDL01") plus or minus a negotiated spread. This rate was changed from the one week/one month London Interbank Offered Rate ("LIBOR") in the third and fourth quarters of 2021. The Fed Funds rate appreciated from 0.05% to 0.83% during the fiscal year. Each Fund with long exposure via derivatives was generally negatively affected by financing rates. Conversely, most Funds with short/inverse derivative exposure generally benefited from financing rates. However, in low interest rate environments, LIBOR adjusted by the spread may actually result in a Fund with short/inverse exposure also being negatively affected by financing rates.
• Stock Dividends and Bond Yields: The performance of Funds that provide long or leveraged long exposure was positively impacted by capturing the dividend, premium or income yield of the underlying assets to which they have exposure. The performance of Funds that provide inverse or leveraged inverse exposure was negatively impacted by virtue of effectively having to pay out the dividend, premium or income yield (or a multiple thereof, as applicable) associated with the assets to which they have short exposure.
• Fees, Expenses, and Transaction Costs: Fees and expenses are listed in the financial statements of each Fund and may generally be higher, and thus have a more negative impact on Fund performance compared to many traditional index-based funds. Daily repositioning of each Fund's portfolio to maintain exposure consistent with its investment objective, high levels of shareholder creation and redemption activity, and use of leverage may lead to commensurate increases in portfolio transactions and transaction costs, which negatively impact the daily NAV of each Fund. Transaction costs are not reflected in the Funds' expense ratio. Transaction costs are generally higher for Funds whose indexes are more volatile, that seek to return a larger daily multiple of its index's return, that seek to return an inverse or inverse multiple of its index's return, that invest in foreign securities, and for Funds that hold or have exposure to assets that are comparatively less liquid than assets held by other Funds.
• Miscellaneous factors: Each Fund holds a mix of securities and/or derivatives that is designed to provide returns that seek to achieve its investment objective. Certain Funds may obtain exposure to only a representative sample of the securities of their index and may not have investment exposure to all securities of the index or may have weightings that are different from that of its index. Certain Funds may also obtain exposure to securities not contained in their respective index or in financial instruments, with the intent of obtaining exposure with aggregate characteristics similar to those of the inverse or a multiple of the Index.
IV :: MAY 31, 2022 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
In addition, certain Funds invested in swap agreements that were based on ETFs that are designed to track the performance of the Fund's index rather than swap agreements that were based on the Fund's index. Because the closing price of an ETF may not perfectly track the performance of its index, there are deviations between the return of a swap whose reference asset is an ETF and the return of a swap based directly on the Fund's index. Thus, the performance of a Fund investing significantly in swap agreements based on an ETF may correlate less with its index than a Fund investing in swap agreements based directly on the Fund's index.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: MAY 31, 2022 :: V
ProShares Short 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the ICE U.S. Treasury 7-10 Year Bond Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 7.67%1. For the same period, the Index had a total return of –8.59%2 with a volatility of 7.14%. For the period, the Fund had an average daily volume of 145,860 shares and an average daily statistical correlation of over 0.99 the inverse of the return of the Index.3
The Fund invests in financial instruments that ProShare Advisors LLC (the "Advisor") believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by ICE Data Indices, LLC. The Index includes publicly-issued U.S. Treasury securities that have a remaining maturity of greater than or equal to seven years and less than or equal to ten years and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. In addition, the securities in the Underlying Index must be fixed-rate and denominated in U.S. dollars. Excluded from the Underlying Index are inflation-linked securities, Treasury bills, cash management bills, any government agency debt issued with or without a government guarantee and zero-coupon issues that have been stripped from coupon-paying bonds. The Underlying Index is weighted by market capitalization, and the securities in the Underlying Index are updated on the last business day of each month.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short 7-10 Year Treasury from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through October 13, 2016 reflects the performance of the Bloomberg Barclays U.S. 7-10 Year Treasury Bond Index. Index performance beginning on October 14, 2016 reflects the performance of the ICE U.S. Treasury 7-10 Year Bond Index.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Short 7-10 Year Treasury | 7.67 | % | -0.52 | % | -1.77 | % | |||||||||
ICE U.S. Treasury 7-10 Year Bond Index |
-8.59 | % | 0.96 | % | 1.33 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Short 7-10 Year Treasury | 1.10 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (99 | %) | |||||
Futures Contracts | (1 | %) | |||||
Total Exposure | (100 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
ICE U.S. Treasury 7-10 Year Bond Index – Composition
% of Index | |||||||
7-10 Year U.S. Treasury | 100 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
VI :: TBX SHORT 7-10 YEAR TREASURY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the ICE U.S. Treasury 20+ Year Bond Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 12.81%1. For the same period, the Index had a total return of –14.42%2 and a volatility of 15.95%. For the period, the Fund had an average daily volume of 2,063,782 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by ICE Data Indices, LLC. The Index includes publicly-issued U.S. Treasury securities that have a remaining maturity of greater than or equal to twenty years and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. In addition, the securities in the Underlying Index must be fixed-rate and denominated in U.S. dollars. Excluded from the Underlying Index are inflation-linked securities, Treasury bills, cash management bills, any government agency debt issued with or without a government guarantee and zero-coupon issues that have been stripped from coupon-paying bonds. The Underlying Index is weighted by market capitalization, and the securities in the Underlying Index are updated on the last business day of each month.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short 20+ Treasury from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through October 13, 2016 reflects the performance of the Bloomberg Barclays U.S. 20+ Year Treasury Bond Index. Index performance beginning on October 14, 2016 reflects the performance of the ICE U.S. Treasury 20+ Year Bond Index.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Short 20+ Year Treasury | 12.81 | % | -2.04 | % | -3.45 | % | |||||||||
ICE U.S. Treasury 20+ Year Bond Index |
-14.42 | % | 0.88 | % | 1.62 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Short 20+ Year Treasury | 0.92 | % | 0.92 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (100 | %) | |||||
Futures Contracts | (2 | %) | |||||
Total Exposure | (102 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
ICE U.S. Treasury 20+ Year Bond Index – Composition
% of Index | |||||||
20+ Year U.S. Treasury | 100 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT 20+ YEAR TREASURY TBF :: VII
ProShares Short Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –0.39%1. For the same period, the Index had a total return of –2.65%2 and a volatility of 15.59%. For the period, the Fund had an average daily volume of 1,231,112 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a price-weighted index and includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally negatively affected from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Dow30SM from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Short Dow30SM | -0.39 | % | -13.25 | % | -13.58 | % | |||||||||
Dow Jones Industrial Average Index | -2.65 | % | 11.87 | % | 12.90 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Short Dow30SM | 0.96 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (94 | %) | |||||
Futures Contracts | (6 | %) | |||||
Total Exposure | (100 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average – Composition
% of Index | |||||||
Health Care | 20.5 | % | |||||
Information Technology | 20.4 | % | |||||
Financials | 16.1 | % | |||||
Industrials | 13.8 | % | |||||
Consumer Discretionary | 13.5 | % | |||||
Consumer Staples | 7.7 | % | |||||
Energy | 3.4 | % | |||||
Communication Services | 3.2 | % | |||||
Materials | 1.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
VIII :: DOG SHORT DOW30SM :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –1.41%1. For the same period, the Index had a total return of –3.03%2 and a volatility of 19.40%. For the period, the Fund had an average daily volume of 42,260 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained S&P Dow Jones Indices LLC. The Index seeks to measure the performance of certain companies in the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Financials from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Short Financials | -1.41 | % | -14.08 | % | -15.40 | % | |||||||||
Dow Jones U.S. Financials Index | -3.03 | % | 11.08 | % | 13.82 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Short Financials | 1.29 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (100 | %) | |||||
Total Exposure | (100 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index – Composition
% of Index | |||||||
Diversified Financials | 32.4 | % | |||||
Banks | 23.4 | % | |||||
Real Estate | 20.0 | % | |||||
Insurance | 13.8 | % | |||||
Software & Services | 10.0 | % | |||||
Commercial & Professional Services | 0.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT FINANCIALS SEF :: IX
ProShares Short FTSE China 50 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the FTSE China 50 Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 20.55%1. For the same period, the Index had a total return of –29.48%2 and a volatility of 35.56%. For the period, the Fund had an average daily volume of 18,077 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained FTSE International Limited. The Index consists of 50 of the largest and most liquid Chinese stocks listed and traded on the Stock Exchange of Hong Kong.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short FTSE China 50 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Short FTSE China 50 | 20.55 | % | -5.59 | % | -9.23 | % | |||||||||
FTSE China 50 Index | -29.48 | % | -1.27 | % | 2.98 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Short FTSE China 50 | 2.34 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (100 | %) | |||||
Total Exposure | (100 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 50 Index – Composition
% of Index | |||||||
Consumer Discretionary | 33.7 | % | |||||
Financials | 28.7 | % | |||||
Communication Services | 17.9 | % | |||||
Real Estate | 4.0 | % | |||||
Energy | 3.8 | % | |||||
Information Technology | 3.3 | % | |||||
Health Care | 3.1 | % | |||||
Consumer Staples | 2.6 | % | |||||
Materials | 1.7 | % | |||||
Industrials | 1.2 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
X :: YXI SHORT FTSE CHINA 50 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short High Yield (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the Markit iBoxx® $ Liquid High Yield Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 1.17%1. For the same period, the Index had a total return of –4.90%2 with a volatility of 4.87%. For the period, the Fund had an average daily volume of 240,395 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. IHS Markit Benchmark Administration Limited (IMBA) is the Index Administrator of the Index. The Index is a market-value weighted index designed to provide a balanced representation of U.S. dollar denominated high yield corporate bonds for sale within the United States by means of including the most liquid high yield corporate bonds available as determined by a set of transparent and objective Index rules. Currently, the bonds eligible for inclusion in the Index include U.S. dollar denominated, corporate bonds for sale in the United States that are issued by companies domiciled in developed countries; are rated sub-investment grade using an average of Moody's Investor Service, Fitch Ratings or S&P Global Ratings; are from issuers with at least $1 billion par outstanding; have at least $400 million of outstanding face value; and have at issuance an expected remaining life of 15 years of less, and at rebalancing minimum one year to expected maturity with new insertions minimum of at least one year and 6 months to maturity. There is no limit to the number of issues in the Index.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short High Yield from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Short High Yield | 1.17 | % | -4.41 | % | -6.40 | % | |||||||||
Markit iBoxx $ Liquid High Yield Index | -4.90 | % | 3.14 | % | 4.74 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Short High Yield | 1.05 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (100 | %) | |||||
Total Exposure | (100 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid High Yield Index – Composition
% of Index | |||||||
High Yield | 100 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT HIGH YIELD SJB :: XI
ProShares Short MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the S&P MidCap 400® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 1.68%1. For the same period, the Index had a total return of –6.52%2 and a volatility of 20.78%. For the period, the Fund had an average daily volume of 15,975 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of midsize company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability, and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short MidCap400 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Short MidCap400 | 1.68 | % | -12.83 | % | -14.09 | % | |||||||||
S&P MidCap 400 Index | -6.52 | % | 9.56 | % | 12.23 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Short MidCap400 | 1.22 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (92 | %) | |||||
Futures Contracts | (8 | %) | |||||
Total Exposure | (100 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 – Composition
% of Index | |||||||
Industrials | 18.5 | % | |||||
Financials | 14.7 | % | |||||
Consumer Discretionary | 14.0 | % | |||||
Information Technology | 13.1 | % | |||||
Real Estate | 9.3 | % | |||||
Health Care | 9.2 | % | |||||
Materials | 7.6 | % | |||||
Energy | 4.5 | % | |||||
Consumer Staples | 3.8 | % | |||||
Utilities | 3.7 | % | |||||
Communication Services | 1.6 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XII :: MYY SHORT MIDCAP400 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the MSCI EAFE Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 7.41%1. For the same period, the Index had a total return of –10.38%2 and a volatility of 15.65%. For the period, the Fund had an average daily volume of 94,903 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index includes 85% of the free float-adjusted, market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short MSCI EAFE from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Short MSCI EAFE | 7.41 | % | -6.46 | % | -9.23 | % | |||||||||
MSCI EAFE Index | -10.38 | % | 4.17 | % | 7.15 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Short MSCI EAFE | 1.28 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (99 | %) | |||||
Total Exposure | (99 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index – Country
% of Index | |||||||
Japan | 22.1 | % | |||||
United Kingdom | 15.9 | % | |||||
France | 11.4 | % | |||||
Others | 10.8 | % | |||||
Switzerland | 10.1 | % | |||||
Germany | 8.2 | % | |||||
Australia | 8.1 | % | |||||
Netherlands | 4.2 | % | |||||
Sweden | 3.5 | % | |||||
Hong Kong | 3.0 | % | |||||
Denmark | 2.7 | % |
MSCI EAFE Index – Composition
% of Index | |||||||
Financials | 17.6 | % | |||||
Industrials | 15.0 | % | |||||
Health Care | 13.3 | % | |||||
Consumer Discretionary | 11.2 | % | |||||
Consumer Staples | 10.4 | % | |||||
Materials | 8.2 | % | |||||
Information Technology | 8.1 | % | |||||
Communication Services | 5.0 | % | |||||
Energy | 4.8 | % | |||||
Utilities | 3.5 | % | |||||
Real Estate | 2.9 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT MSCI EAFE EFZ :: XIII
ProShares Short MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the MSCI Emerging Markets Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 19.04%1. For the same period, the Index had a total return of –19.83%2 and a volatility of 17.62%. For the period, the Fund had an average daily volume of 204,915 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index includes 85% of the free float-adjusted, market capitalization in emerging market countries.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short MSCI Emerging Markets from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Short MSCI Emerging Markets |
19.04 | % | -7.28 | % | -7.90 | % | |||||||||
MSCI Emerging Markets Index | -19.83 | % | 3.80 | % | 4.17 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Short MSCI Emerging Markets |
1.12 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (99 | %) | |||||
Total Exposure | (99 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index – Country
% of Index | |||||||
China | 30.8 | % | |||||
Taiwan | 16.0 | % | |||||
India | 12.8 | % | |||||
Korea | 12.7 | % | |||||
Others | 7.9 | % | |||||
Brazil | 5.5 | % | |||||
Saudi Arabia | 4.4 | % | |||||
South Africa | 3.8 | % | |||||
Mexico | 2.3 | % | |||||
Thailand | 1.9 | % | |||||
Indonesia | 1.9 | % |
MSCI Emerging Markets Index – Composition
% of Index | |||||||
Financials | 21.8 | % | |||||
Information Technology | 21.1 | % | |||||
Consumer Discretionary | 12.9 | % | |||||
Communication Services | 10.2 | % | |||||
Materials | 9.1 | % | |||||
Consumer Staples | 6.0 | % | |||||
Industrials | 5.5 | % | |||||
Energy | 5.0 | % | |||||
Health Care | 3.6 | % | |||||
Utilities | 2.7 | % | |||||
Real Estate | 2.1 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XIV :: EUM SHORT MSCI EMERGING MARKETS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short QQQ (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the NASDAQ-100® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 0.35%1. For the same period, the Index had a total return of –6.96%2 and a volatility of 25.13%. For the period, the Fund had an average daily volume of 15,948,162 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. The Index includes 100 of the largest domestic and international non-financial companies listed on The Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short QQQ from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Short QQQ | 0.35 | % | -19.18 | % | -18.91 | % | |||||||||
NASDAQ-100 Index | -6.96 | % | 17.99 | % | 18.79 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Short QQQ | 1.00 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (98 | %) | |||||
Futures Contracts | (2 | %) | |||||
Total Exposure | (100 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index – Composition
% of Index | |||||||
Information Technology | 51.0 | % | |||||
Communication Services | 16.9 | % | |||||
Consumer Discretionary | 15.0 | % | |||||
Health Care | 6.2 | % | |||||
Consumer Staples | 6.1 | % | |||||
Industrials | 3.4 | % | |||||
Utilities | 1.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT QQQ PSQ :: XV
ProShares Short Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –5.60%1. For the same period, the Index had a total return of 1.53%2 and a volatility of 18.45%. For the period, the Fund had an average daily volume of 12,737 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to track the performance of real estate investment trusts ("REITs") and other companies that invest directly or indirectly in real estate through development management or ownership, including of the property agencies. Component companies include, among others, real estate holding and development and real estate services companies and REITs. REITs are passive investment vehicles that invest primarily in income producing real estate or real estate related loans or interests. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Real Estate from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Short Real Estate | -5.60 | % | -11.33 | % | -11.46 | % | |||||||||
Dow Jones U.S. Real Estate Index | 1.53 | % | 8.16 | % | 9.08 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Short Real Estate | 1.37 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (100 | %) | |||||
Total Exposure | (100 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Real Estate Index – Composition
% of Index | |||||||
Equity Real Estate Investment Trusts (REITs) | 91.9 | % | |||||
Real Estate Management & Development | 3.9 | % | |||||
Mortgage Real Estate Investment Trusts (REITs) | 2.5 | % | |||||
Professional Services | 1.7 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XVI :: REK SHORT REAL ESTATE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the Russell 2000® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 12.47%1. For the same period, the Index had a total return of –16.92%2 and a volatility of 23.87%. For the period, the Fund had an average daily volume of 2,391,253 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE Russell. The Index is a measure of small-cap U.S. stock market performance. It is a float adjusted, market capitalization-weighted index containing approximately 2,000 of the smallest companies in the Russell 3000® Index or approximately 10% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the U.S. equity market and includes approximately 3,000 of the largest companies in the U.S. The Russell 3000® Index includes large-, mid-, and small-capitalization companies..
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Russell2000 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Short Russell2000 | 12.47 | % | -12.39 | % | -14.05 | % | |||||||||
Russell 2000 Index | -16.92 | % | 7.71 | % | 10.83 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Short Russell2000 | 1.02 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (95 | %) | |||||
Futures Contracts | (5 | %) | |||||
Total Exposure | (100 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
% of Index | |||||||
Financials | 16.4 | % | |||||
Industrials | 15.6 | % | |||||
Health Care | 14.8 | % | |||||
Information Technology | 12.9 | % | |||||
Consumer Discretionary | 10.1 | % | |||||
Energy | 8.3 | % | |||||
Real Estate | 7.7 | % | |||||
Materials | 4.2 | % | |||||
Consumer Staples | 3.8 | % | |||||
Utilities | 3.3 | % | |||||
Communication Services | 2.9 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT RUSSELL2000 RWM :: XVII
ProShares Short S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the S&P 500® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –3.46%1. For the same period, the Index had a total return of –0.30%2 and a volatility of 18.10%. For the period, the Fund had an average daily volume of 18,551,048 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short S&P500® from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Short S&P500® | -3.46 | % | -14.20 | % | -14.63 | % | |||||||||
S&P 500 Index | -0.30 | % | 13.38 | % | 14.39 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Short S&P500® | 0.88 | % | 0.88 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (99 | %) | |||||
Futures Contracts | (1 | %) | |||||
Total Exposure | (100 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 – Composition
% of Index | |||||||
Information Technology | 27.1 | % | |||||
Health Care | 14.4 | % | |||||
Financials | 11.2 | % | |||||
Consumer Discretionary | 10.9 | % | |||||
Communication Services | 8.8 | % | |||||
Industrials | 7.7 | % | |||||
Consumer Staples | 6.5 | % | |||||
Energy | 4.8 | % | |||||
Utilities | 3.0 | % | |||||
Materials | 2.8 | % | |||||
Real Estate | 2.8 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XVIII :: SH SHORT S&P500® :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the S&P SmallCap 600® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 3.51%1. For the same period, the Index had a total return of –8.73%2 and a volatility of 21.84%. For the period, the Fund had an average daily volume of 7,225 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization weighted index of 600 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short SmallCap600 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Short SmallCap600 | 3.51 | % | -14.18 | % | -15.38 | % | |||||||||
S&P SmallCap 600 Index | -8.73 | % | 9.78 | % | 12.71 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Short SmallCap600 | 1.66 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (100 | %) | |||||
Total Exposure | (100 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P SmallCap 600 – Composition
% of Index | |||||||
Financials | 17.8 | % | |||||
Industrials | 16.4 | % | |||||
Information Technology | 13.1 | % | |||||
Consumer Discretionary | 12.0 | % | |||||
Health Care | 11.5 | % | |||||
Real Estate | 7.6 | % | |||||
Energy | 7.0 | % | |||||
Materials | 5.7 | % | |||||
Consumer Staples | 5.1 | % | |||||
Utilities | 2.0 | % | |||||
Communication Services | 1.8 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT SMALLCAP600 SBB :: XIX
ProShares Ultra 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the ICE U.S. Treasury 7-10 Year Bond Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –17.88%1. For the same period, the Index had a total return of –8.59%2 and a volatility of 7.14%. For the period, the Fund had an average daily volume of 8,137 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by ICE Data Indices, LLC. The Index is part of a series of indices designed to measure the performance of the U.S. Treasury market. The Index includes publicly-issued U.S. Treasury securities that have a remaining maturity greater than or equal to seven years and less than or equal to ten years and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve System (the "Fed"). In addition, the securities in the Underlying Index must be fixed-rate and denominated in U.S. dollars. Excluded from the Underlying Index are inflation linked securities, Treasury bills, cash management bills, any government agency debt issued with or without a government guarantee and zero-coupon issues that have been stripped from coupon-paying bonds. The Underlying Index is weighted by market capitalization, and the securities in the Underlying Index are updated on the last business day of each month.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra 7-10 Year Treasury from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through October 13, 2016 reflects the performance of the Bloomberg Barclays U.S. 7-10 Year Treasury Bond Index. Index performance beginning on October 14, 2016 reflects the performance of the ICE U.S. Treasury 7-10 Year Bond Index.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra 7-10 Year Treasury | -17.88 | % | -0.45 | % | 0.80 | % | |||||||||
ICE U.S. Treasury 7-10 Year Bond Index |
-8.59 | % | 0.96 | % | 1.33 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra 7-10 Year Treasury | 1.25 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | 199 | % | |||||
Futures Contracts | 1 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
ICE U.S. Treasury 7-10 Year Bond Index – Composition
% of Index | |||||||
7-10 Year U.S. Treasury | 100 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XX :: UST ULTRA 7-10 YEAR TREASURY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the ICE U.S. Treasury 20+ Year Bond Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –29.86%1. For the same period, the Index had a total return of –14.42%2 and a volatility of 15.95%. For the period, the Fund had an average daily volume of 52,277 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by ICE Data Indices, LLC. The Index is part of a series of indices designed to measure the performance of the U.S. Treasury market. The Index includes publicly-issued U.S. Treasury securities that have a remaining maturity greater than or equal to twenty years and has $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. In addition, the securities in the Underlying Index must be fixed-rate and denominated in U.S. dollars. Excluded from the Underlying Index are inflation linked securities, Treasury bills, cash management bills, any government agency debt issued with or without a government guarantee and zero-coupon issues that have been stripped from coupon-paying bonds. The Underlying Index is weighted by market capitalization, and the securities in the Underlying Index are updated on the last business day of each month.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra 20+ Year Treasury from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through October 13, 2016 reflects the performance of the Bloomberg Barclays U.S. 20+ Year Treasury Bond Index. Index performance beginning on October 14, 2016 reflects the performance of the ICE U.S. Treasury 20+ Year Bond Index.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra 20+ Year Treasury | -29.86 | % | -2.55 | % | -0.27 | % | |||||||||
ICE U.S. Treasury 20+ Year Bond Index |
-14.42 | % | 0.88 | % | 1.62 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra 20+ Year Treasury | 1.14 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | 199 | % | |||||
Futures Contracts | 1 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
ICE U.S. Treasury 20+ Year Bond Index – Composition
% of Index | |||||||
20+ Year U.S. Treasury | 100 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA 20+ YEAR TREASURY UBT :: XXI
ProShares Ultra Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 0.54%1. For the same period, the Index had a total return of 3.41%2 and a volatility of 20.95%. For the period, the Fund had an average daily volume of 35,740 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index designed to measure the stock performance of U.S. companies in the basic materials industry. Component companies are involved in the production of aluminum, steel, non-ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Basic Materials from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra Basic Materials | 0.54 | % | 15.14 | % | 14.77 | % | |||||||||
Dow Jones U.S. Basic Materials Index | 3.41 | % | 12.09 | % | 10.82 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Basic Materials | 1.15 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 77 | % | |||||
Swap Agreements | 123 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Linde plc | 14.2 | % | |||||
Freeport-McMoRan, Inc. | 4.9 | % | |||||
Air Products and Chemicals, Inc. | 4.6 | % | |||||
Newmont Corp. | 4.6 | % | |||||
Dow, Inc. | 4.3 | % |
Dow Jones U.S. Basic Materials
Index – Composition
% of Index | |||||||
Chemicals | 75.4 | % | |||||
Metals & Mining | 24.4 | % | |||||
Paper & Forest Products | 0.2 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXII :: UYM ULTRA BASIC MATERIALS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Consumer Goods (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Consumer GoodsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –6.57%1. For the same period, the Index had a total return of –0.46%2 and a volatility of 19.89%. For the period, the Fund had an average daily volume of 6,576 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the consumer goods industry. Component companies include, among others, automobiles and auto parts and tires, brewers and distillers, farming and fishing, durable and non-durable household product manufacturers, cosmetic companies, food and tobacco products, clothing, accessories and footwear.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Consumer Goods from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra Consumer Goods | -6.57 | % | 13.81 | % | 20.16 | % | |||||||||
Dow Jones U.S. Consumer Goods Index | -0.46 | % | 10.29 | % | 12.30 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Consumer Goods | 1.94 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 85 | % | |||||
Swap Agreements | 115 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Tesla, Inc. | 16.2 | % | |||||
Procter & Gamble Co. (The) | 9.0 | % | |||||
Coca-Cola Co. (The) | 6.3 | % | |||||
PepsiCo, Inc. | 5.9 | % | |||||
Philip Morris International, Inc. | 4.2 | % |
Dow Jones U.S. Consumer Goods Index – Composition
% of Index | |||||||
Food, Beverage & Tobacco | 38.9 | % | |||||
Automobiles & Components | 25.2 | % | |||||
Household & Personal Products | 17.2 | % | |||||
Consumer Durables & Apparel | 12.9 | % | |||||
Media & Entertainment | 3.7 | % | |||||
Retailing | 1.1 | % | |||||
Capital Goods | 0.6 | % | |||||
Food & Staples Retailing | 0.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA CONSUMER GOODS UGE :: XXIII
ProShares Ultra Consumer Services (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Consumer ServicesSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –39.97%1. For the same period, the Index had a total return of –19.77%2 and a volatility of 22.86%. For the period, the Fund had an average daily volume of 4,724 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the consumer services industry. Component companies include, among others, airlines, broadcasting and entertainment, apparel and broadline retailers, food and drug retailers, media agencies, publishing, gambling, hotels, restaurants and bars, and travel and tourism. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Ultra Consumer Services from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra Consumer Services | -39.97 | % | 10.71 | % | 22.16 | % | |||||||||
Dow Jones U.S. Consumer Services Index |
-19.77 | % | 9.23 | % | 13.57 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Consumer Services | 1.40 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 89 | % | |||||
Swap Agreements | 111 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Amazon.com, Inc. | 21.1 | % | |||||
Home Depot, Inc. (The) | 6.3 | % | |||||
Costco Wholesale Corp. | 4.2 | % | |||||
Walt Disney Co. (The) | 4.0 | % | |||||
Comcast Corp., Class A | 4.0 | % |
Dow Jones U.S. Consumer Services Index – Composition
% of Index | |||||||
Retailing | 46.7 | % | |||||
Consumer Services | 18.4 | % | |||||
Media & Entertainment | 18.3 | % | |||||
Food & Staples Retailing | 11.7 | % | |||||
Transportation | 3.2 | % | |||||
Health Care Equipment & Services |
0.9 | % | |||||
Commercial & Professional Services |
0.8 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXIV :: UCC ULTRA CONSUMER SERVICES :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –9.21%1. For the same period, the Index had a total return of –2.65%2 and a volatility of 15.59%. For the period, the Fund had an average daily volume of 538,172 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a price-weighted index and includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Dow30SM from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra Dow30SM | -9.21 | % | 16.29 | % | 21.05 | % | |||||||||
Dow Jones Industrial Average Index | -2.65 | % | 11.87 | % | 12.90 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Dow30SM | 0.96 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 87 | % | |||||
Swap Agreements | 103 | % | |||||
Futures Contracts | 10 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
UnitedHealth Group, Inc. | 8.7 | % | |||||
Goldman Sachs Group, Inc. (The) |
5.7 | % | |||||
Home Depot, Inc. (The) | 5.3 | % | |||||
Microsoft Corp. | 4.7 | % | |||||
Amgen, Inc. | 4.5 | % |
Dow Jones Industrial
Average –
Composition
% of Index | |||||||
Health Care | 20.5 | % | |||||
Information Technology | 20.4 | % | |||||
Financials | 16.1 | % | |||||
Industrials | 13.8 | % | |||||
Consumer Discretionary | 13.5 | % | |||||
Consumer Staples | 7.7 | % | |||||
Energy | 3.4 | % | |||||
Communication Services | 3.2 | % | |||||
Materials | 1.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA DOW30SM DDM :: XXV
ProShares Ultra Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –11.16%1. For the same period, the Index had a total return of –3.03%2 and a volatility of 19.40%. For the period, the Fund had an average daily volume of 67,878 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the financials industry. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly, in real estate; diversified financial companies such as credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Financials from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra Financials | -11.16 | % | 13.14 | % | 21.69 | % | |||||||||
Dow Jones U.S. Financials Index | -3.03 | % | 11.08 | % | 13.82 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Financials | 0.95 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 76 | % | |||||
Swap Agreements | 124 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Berkshire Hathaway, Inc., Class B |
6.7 | % | |||||
JPMorgan Chase & Co. | 4.5 | % | |||||
Visa, Inc., Class A | 4.0 | % | |||||
Mastercard, Inc., Class A | 3.6 | % | |||||
Bank of America Corp. | 3.0 | % |
Dow Jones U.S. Financials Index – Composition
% of Index | |||||||
Diversified Financials | 32.4 | % | |||||
Banks | 23.4 | % | |||||
Real Estate | 20.0 | % | |||||
Insurance | 13.8 | % | |||||
Software & Services | 10.0 | % | |||||
Commercial & Professional Services |
0.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXVI :: UYG ULTRA FINANCIALS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra FTSE China 50 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the FTSE China 50 Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –57.59%1. For the same period, the Index had a total return of –29.48%2 and a volatility of 35.56%. For the period, the Fund had an average daily volume of 8,991 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE International Limited. The Index consists of 50 of the largest and most liquid Chinese stocks listed and traded on the Stock Exchange of Hong Kong.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra FTSE China 50 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra FTSE China 50 | -57.59 | % | -12.56 | % | -2.61 | % | |||||||||
FTSE China 50 Index | -29.48 | % | -1.27 | % | 2.98 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra FTSE China 50 | 1.19 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | 201 | % | |||||
Total Exposure | 201 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 50 Index – Composition
% of Index | |||||||
Consumer Discretionary | 33.7 | % | |||||
Financials | 28.7 | % | |||||
Communication Services | 17.9 | % | |||||
Real Estate | 4.0 | % | |||||
Energy | 3.8 | % | |||||
Information Technology | 3.3 | % | |||||
Health Care | 3.1 | % | |||||
Consumer Staples | 2.6 | % | |||||
Materials | 1.7 | % | |||||
Industrials | 1.2 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA FTSE CHINA 50 XPP :: XXVII
ProShares Ultra FTSE Europe (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the FTSE Developed Europe All Cap Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –24.25%1. For the same period, the Index had a total return of –10.85%2 and a volatility of 19.82%. For the period, the Fund had an average daily volume of 1,196 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE International Limited. The Index is a free float-adjusted market cap weighted index representing the performance of large, mid- and small cap companies in Developed European markets, including the United Kingdom.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra FTSE Europe from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through April 22, 2013 reflects the performance of the MSCI Europe Index. Index performance beginning on April 23, 2013 through August 31, 2016 reflects the performance of the FTSE Developed Europe Index. Index performance beginning on September 1, 2016 reflects the performance of the FTSE Developed Europe All Cap Index.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra FTSE Europe | -24.25 | % | 1.65 | % | 10.02 | % | |||||||||
FTSE Developed Europe All Cap Index® | -10.85 | % | 4.34 | % | 7.57 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra FTSE Europe | 2.94 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | 200 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE Developed Europe All Cap
Index
– Country
% of Index | |||||||
United Kingdom | 23.9 | % | |||||
Switzerland | 15.8 | % | |||||
France | 15.4 | % | |||||
Germany | 12.3 | % | |||||
Others | 6.7 | % | |||||
Netherlands | 6.6 | % | |||||
Sweden | 5.8 | % | |||||
Spain | 4.0 | % | |||||
Denmark | 3.9 | % | |||||
Italy | 3.5 | % | |||||
Finland | 2.1 | % |
FTSE Developed Europe All Cap
Index
– Composition
% of Index | |||||||
Financials | 16.2 | % | |||||
Industrials | 15.3 | % | |||||
Health Care | 14.5 | % | |||||
Consumer Staples | 11.8 | % | |||||
Consumer Discretionary | 9.8 | % | |||||
Materials | 8.0 | % | |||||
Information Technology | 7.4 | % | |||||
Energy | 6.1 | % | |||||
Utilities | 4.5 | % | |||||
Communication Services | 4.1 | % | |||||
Real Estate | 2.3 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXVIII :: UPV ULTRA FTSE EUROPE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Health Care (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Health CareSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 4.70%1. For the same period, the Index had a total return of 4.58%2 and a volatility of 15.55%. For the period, the Fund had an average daily volume of 16,287 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund takes positions in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the healthcare industry. Component companies include, among others, health care providers, biotechnology companies, medical supplies, advanced medical devices and pharmaceuticals.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Health Care from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra Health Care | 4.70 | % | 20.73 | % | 27.43 | % | |||||||||
Dow Jones U.S. Health Care Index | 4.58 | % | 13.49 | % | 15.87 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Health Care | 1.04 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 90 | % | |||||
Swap Agreements | 110 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Johnson & Johnson | 7.9 | % | |||||
UnitedHealth Group, Inc. | 7.8 | % | |||||
Pfizer, Inc. | 5.0 | % | |||||
AbbVie, Inc. | 4.4 | % | |||||
Eli Lilly & Co. | 4.2 | % |
Dow Jones U.S. Health Care
Index –
Composition
% of Index | |||||||
Pharmaceuticals | 29.4 | % | |||||
Health Care Providers & Services |
21.5 | % | |||||
Health Care Equipment & Supplies |
19.6 | % | |||||
Biotechnology | 16.6 | % | |||||
Life Sciences Tools & Services | 12.7 | % | |||||
Health Care Technology | 0.2 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA HEALTH CARE RXL :: XXIX
ProShares Ultra High Yield (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Markit iBoxx® $ Liquid High Yield Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –10.74%1. For the same period, the Index had a total return of –4.90%2 and a volatility of 4.87%. For the period, the Fund had an average daily volume of 18,359 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. IHS Markit Benchmark Administration Limited (IMBA) is the Index Administrator of the Index. The Index is a market-value weighted index designed to provide a balanced representation of U.S. dollar denominated high yield corporate bonds for sale within the United States by means of including the most liquid high yield corporate bonds available as determined by a set of transparent and objective Index rules. Currently, the bonds eligible for inclusion in the Index include U.S. dollar denominated, corporate bonds for sale in the United States that are issued by companies domiciled in developed countries; are rated sub-investment grade using an average of Moody's Investor Service, Fitch Ratings or S&P Global Ratings; are from issuers with at least $1 billion par outstanding; have at least $400 million of outstanding face value; and have at issuance an expected remaining life of 15 years or less, and at rebalancing minimum one year to expected maturity with new insertions minimum of at least one year and 6 months to maturity. There is no limit to the number of issues in the Index.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra High Yield from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra High Yield | -10.74 | % | 3.30 | % | 7.06 | % | |||||||||
Markit iBoxx $ Liquid High Yield Index |
-4.90 | % | 3.14 | % | 4.74 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra High Yield | 1.94 | % | 0.96 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | 200 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
*The most recent annual and semi-annual reports can be found at www.ishares.com
Markit iBoxx $ Liquid High
Yield
Index – Composition
% of Index | |||||||
High Yield | 100 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXX :: UJB ULTRA HIGH YIELD :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Industrials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. IndustrialsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –27.77%1. For the same period, the Index had a total return of –12.82%2 and a volatility of 18.10%. For the period, the Fund had an average daily volume of 6,323 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the industrials industry. Component companies include, among others, building materials, heavy construction, factory equipment, heavy machinery, industrial services, pollution control, containers and packaging, industrial diversified, air freight, marine transportation, railroads, trucking, land-transportation equipment, shipbuilding, transportation services, advanced industrial equipment, electric components and equipment, and aerospace.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Industrials from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra Industrials | -27.77 | % | 11.39 | % | 20.94 | % | |||||||||
Dow Jones U.S. Industrials Index | -12.82 | % | 9.89 | % | 13.31 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Industrials | 1.55 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 93 | % | |||||
Swap Agreements | 107 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Accenture plc, Class A | 4.0 | % | |||||
Raytheon Technologies Corp. | 3.0 | % | |||||
Union Pacific Corp. | 3.0 | % | |||||
United Parcel Service, Inc., Class B |
2.8 | % | |||||
Honeywell International, Inc. | 2.8 | % |
Dow Jones U.S. Industrials
Index –
Composition
% of Index | |||||||
Capital Goods | 49.6 | % | |||||
Software & Services | 17.1 | % | |||||
Transportation | 12.9 | % | |||||
Commercial & Professional Services |
7.7 | % | |||||
Materials | 6.4 | % | |||||
Technology Hardware & Equipment |
5.9 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences |
0.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA INDUSTRIALS UXI :: XXXI
ProShares Ultra MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P MidCap 400® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –17.73%1. For the same period, the Index had a total return of –6.52%2 and a volatility of 20.78%. For the period, the Fund had an average daily volume of 42,641 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MidCap400 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra MidCap400 | -17.73 | % | 10.38 | % | 18.48 | % | |||||||||
S&P MidCap 400 Index | -6.52 | % | 9.56 | % | 12.23 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra MidCap400 | 1.06 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 91 | % | |||||
Swap Agreements | 100 | % | |||||
Futures Contracts | 9 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Targa Resources Corp. | 0.7 | % | |||||
Steel Dynamics, Inc. | 0.7 | % | |||||
EQT Corp. | 0.6 | % | |||||
Carlisle Cos., Inc. | 0.6 | % | |||||
Darling Ingredients, Inc. | 0.5 | % |
S&P MidCap 400 – Composition
% of Index | |||||||
Industrials | 18.5 | % | |||||
Financials | 14.7 | % | |||||
Consumer Discretionary | 14.0 | % | |||||
Information Technology | 13.1 | % | |||||
Real Estate | 9.3 | % | |||||
Health Care | 9.2 | % | |||||
Materials | 7.6 | % | |||||
Energy | 4.5 | % | |||||
Consumer Staples | 3.8 | % | |||||
Utilities | 3.7 | % | |||||
Communication Services | 1.6 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXII :: MVV ULTRA MIDCAP400 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra MSCI Brazil Capped (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Brazil 25/50 Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –12.21%1. For the same period, the Index had a total return of 0.22%2 and a volatility of 27.84%. For the period, the Fund had an average daily volume of 13,629 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The MSCI Brazil 25/50 Index is designed to measure the performance of the large and mid cap segments of the Brazilian market. It applies certain investment limits that are imposed on regulated investment companies, or RICs, under the current US Internal Revenue Code. The Index covers approximately 85% of the free float-adjusted market capitalization in Brazil.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Ultra MSCI Brazil Capped from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through February 10, 2013 reflects the performance of the MSCI Brazil Index. Index performance beginning on February 11, 2013 reflects the performance of the MSCI Brazil 25/50 Index.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra MSCI Brazil Capped | -12.21 | % | -11.05 | % | -15.55 | % | |||||||||
MSCI Brazil 25/50 Index | 0.22 | % | 4.75 | % | 0.10 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra MSCI Brazil Capped | 2.00 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | 201 | % | |||||
Total Exposure | 201 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Brazil 25/50 Index – Composition
% of Index | |||||||
Materials | 25.9 | % | |||||
Financials | 23.9 | % | |||||
Energy | 17.3 | % | |||||
Consumer Staples | 8.9 | % | |||||
Industrials | 7.1 | % | |||||
Utilities | 6.5 | % | |||||
Consumer Discretionary | 4.3 | % | |||||
Health Care | 3.1 | % | |||||
Communication Services | 2.3 | % | |||||
Information Technology | 0.7 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex- date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA MSCI BRAZIL CAPPED UBR :: XXXIII
ProShares Ultra MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI EAFE Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –23.76%1. For the same period, the Index had a total return of –10.38%2 and a volatility of 15.65%. For the period, the Fund had an average daily volume of 4,306 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index includes 85% of the free float-adjusted, market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MSCI EAFE from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra MSCI EAFE | -23.76 | % | 1.44 | % | 8.53 | % | |||||||||
MSCI EAFE Index | -10.38 | % | 4.17 | % | 7.15 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra MSCI EAFE | 1.56 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | 201 | % | |||||
Total Exposure | 201 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index – Country
% of Index | |||||||
Japan | 22.1 | % | |||||
United Kingdom | 15.9 | % | |||||
France | 11.4 | % | |||||
Others | 10.8 | % | |||||
Switzerland | 10.1 | % | |||||
Germany | 8.2 | % | |||||
Australia | 8.1 | % | |||||
Netherlands | 4.2 | % | |||||
Sweden | 3.5 | % | |||||
Hong Kong | 3.0 | % | |||||
Denmark | 2.7 | % |
MSCI EAFE Index – Composition
% of Index | |||||||
Financials | 17.6 | % | |||||
Industrials | 15.0 | % | |||||
Health Care | 13.3 | % | |||||
Consumer Discretionary | 11.2 | % | |||||
Consumer Staples | 10.4 | % | |||||
Materials | 8.2 | % | |||||
Information Technology | 8.1 | % | |||||
Communication Services | 5.0 | % | |||||
Energy | 4.8 | % | |||||
Utilities | 3.5 | % | |||||
Real Estate | 2.9 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXIV :: EFO ULTRA MSCI EAFE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Emerging Markets Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –40.57%1. For the same period, the Index had a total return of –19.83%2 and a volatility of 17.62%. For the period, the Fund had an average daily volume of 7,357 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index includes 85% of the free float-adjusted, market capitalization in emerging market countries.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MSCI Emerging Markets from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra MSCI Emerging Markets |
-40.57 | % | -1.92 | % | 0.43 | % | |||||||||
MSCI Emerging Markets Index | -19.83 | % | 3.80 | % | 4.17 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra MSCI Emerging Markets |
1.09 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | 201 | % | |||||
Total Exposure | 201 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets
Index –
Country
% of Index | |||||||
China | 30.8 | % | |||||
Taiwan | 16.0 | % | |||||
India | 12.8 | % | |||||
Korea | 12.7 | % | |||||
Others | 7.9 | % | |||||
Brazil | 5.5 | % | |||||
Saudi Arabia | 4.4 | % | |||||
South Africa | 3.8 | % | |||||
Mexico | 2.3 | % | |||||
Thailand | 1.9 | % | |||||
Indonesia | 1.9 | % |
MSCI Emerging Markets
Index –
Composition
% of Index | |||||||
Financials | 21.8 | % | |||||
Information Technology | 21.1 | % | |||||
Consumer Discretionary | 12.9 | % | |||||
Communication Services | 10.2 | % | |||||
Materials | 9.1 | % | |||||
Consumer Staples | 6.0 | % | |||||
Industrials | 5.5 | % | |||||
Energy | 5.0 | % | |||||
Health Care | 3.6 | % | |||||
Utilities | 2.7 | % | |||||
Real Estate | 2.1 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA MSCI EMERGING MARKETS EET :: XXXV
ProShares Ultra MSCI Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Japan Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –30.24%1. For the same period, the Index had a total return of –13.32%2 and a volatility of 17.57%. For the period, the Fund had an average daily volume of 3,494 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund take positions in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index adjusts the market capitalization of Index constituents for free float and targets for Index inclusion 85% of the free float-adjusted market capitalization in each industry group in Japan.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MSCI Japan from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra MSCI Japan | -30.24 | % | 0.17 | % | 7.71 | % | |||||||||
MSCI Japan Index | -13.32 | % | 3.67 | % | 6.99 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra MSCI Japan | 2.55 | % | 1.16 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 50 | % | |||||
Swap Agreements | 151 | % | |||||
Total Exposure | 201 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Japan Index – Composition
% of Index | |||||||
Industrials | 22.1 | % | |||||
Consumer Discretionary | 18.7 | % | |||||
Information Technology | 14.2 | % | |||||
Financials | 10.2 | % | |||||
Health Care | 9.4 | % | |||||
Communication Services | 8.6 | % | |||||
Consumer Staples | 6.4 | % | |||||
Materials | 5.0 | % | |||||
Real Estate | 3.5 | % | |||||
Utilities | 1.0 | % | |||||
Energy | 0.9 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXVI :: EZJ ULTRA MSCI JAPAN :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Nasdaq Biotechnology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the NASDAQ Biotechnology® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –43.17%1. For the same period, the Index had a total return of –21.52%2 and a volatility of 25.44%. For the period, the Fund had an average daily volume of 62,302 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. (the "Index Provider"). The Index is a modified capitalization-weighted index that includes securities of Nasdaq listed companies that are classified as either biotechnology or pharmaceutical. The securities also meet other eligibility criteria determined by the Index Provider, including minimum market capitalization and liquidity requirements.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Nasdaq Biotechnology from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra Nasdaq Biotechnology | -43.17 | % | 1.05 | % | 14.99 | % | |||||||||
NASDAQ Biotechnology Index | -21.52 | % | 5.04 | % | 11.72 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Nasdaq Biotechnology | 1.08 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 86 | % | |||||
Swap Agreements | 115 | % | |||||
Total Exposure | 201 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Amgen, Inc. | 8.4 | % | |||||
Gilead Sciences, Inc. | 7.3 | % | |||||
Regeneron Pharmaceuticals, Inc. |
6.4 | % | |||||
Vertex Pharmaceuticals, Inc. | 6.2 | % | |||||
Moderna, Inc. | 5.3 | % |
NASDAQ Biotechnology
Index –
Composition
% of Index | |||||||
Biotechnology | 78.7 | % | |||||
Pharmaceuticals | 13.8 | % | |||||
Life Sciences Tools & Services | 5.9 | % | |||||
Health Care Equipment & Supplies |
1.0 | % | |||||
Health Care Providers & Services |
0.6 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA NASDAQ BIOTECHNOLOGY BIB :: XXXVII
ProShares Ultra Nasdaq Cloud Computing (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the ISE CTA Cloud Computing Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –53.30%1. For the same period, the Index had a total return of –27.37%2 and a volatility of 33.15%. For the period, the Fund had an average daily volume of 1,702 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. (the "Index Provider"). The Index is comprised of companies classified as "cloud computing" companies by the Consumer Technology Association ("CTA"). CTA classifies companies as cloud computing if the company is engaged in one or more of the following activities: Infrastructure-as-a-Service, Platform-as-a-Service or Software-as-a-Service. The companies must also meet other eligibility criteria determined by the Index Provider, including minimum market capitalization and liquidity requirements. The Index includes large-, mid-, and small-capitalization companies.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Nasdaq Cloud Computing from January 19, 2021 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Since Inception (1/19/21) | ||||||||||
ProShares Ultra Nasdaq Cloud Computing |
-53.30 | % | -43.69 | % | |||||||
ISE CTA Cloud Computing Index | -27.37 | % | -20.73 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Nasdaq Cloud Computing |
3.85 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 86 | % | |||||
Swap Agreements | 115 | % | |||||
Total Exposure | 201 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
VMware, Inc., Class A | 4.0 | % | |||||
Lumen Technologies, Inc. | 3.6 | % | |||||
Oracle Corp. | 3.5 | % | |||||
Pure Storage, Inc., Class A | 3.3 | % | |||||
Alibaba Group Holding Ltd. (ADR) |
3.3 | % |
ISE CTA Cloud Computing
Index –
Composition
% of Index | |||||||
Software & Services | 70.9 | % | |||||
Technology Hardware & Equipment |
13.7 | % | |||||
Retailing | 7.2 | % | |||||
Commercial & Telecommunication Services |
4.2 | % | |||||
Media & Entertainment | 3.6 | % | |||||
Health Care Equipment & Services |
0.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXVIII :: SKYU ULTRA NASDAQ CLOUD COMPUTING :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Nasdaq Cybersecurity (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Nasdaq CTA Cybersecurity IndexSM (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –16.75%1. For the same period, the Index had a total return of –2.72%2 and a volatility of 26.12%. For the period, the Fund had an average daily volume of 3,435 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is maintained by Nasdaq Inc. (the "Index Provider"). The Index was jointly constructed by the Index Provider and Consumer Technology Association ("CTA"). The Index is a modified liquidity weighted index comprised of companies classified as "cybersecurity" companies by CTA. CTA classifies companies as cybersecurity if they meet one of three elements: (1)companies focused on developing technologies that are designed and implemented to protect computer and communication networks from attacks and other unauthorized use; (2) companies involved in the development of technologies for cybersecurity industry use including government, private and public corporations, financial institutions and various other industries; or (3) companies focused on the protection of priority data from being accessed and exploited by unauthorized external parties. The companies must also meet other eligibility criteria determined by the Index Provider, including minimum market capitalization and liquidity requirements. The Index includes large-, mid-, and small-capitalization companies.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Nasdaq Cybersecurity from January 19, 2021 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Since Inception (1/19/21) | ||||||||||
ProShares Ultra Nasdaq Cybersecurity |
-16.75 | % | -16.58 | % | |||||||
Nasdaq CTA Cybersecurity Index | -2.72 | % | -3.09 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Nasdaq Cybersecurity | 3.56 | % | 0.99 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 9 | % | |||||
Swap Agreements | 192 | % | |||||
Total Exposure | 201 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Nasdaq CTA Cybersecurity Index – Composition
% of Index | |||||||
Software & Services | 75.6 | % | |||||
Technology Hardware & Equipment | 12.4 | % | |||||
Commercial & Professional Services | 10.0 | % | |||||
Capital Goods | 2.0 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA NASDAQ CYBERSECURITY UCYB :: XXXIX
ProShares Ultra Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 168.23%1. For the same period, the Index had a total return of 72.84%2 and a volatility of 29.93%. For the period, the Fund had an average daily volume of 324,544 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the oil and gas sector. Component companies typically are engaged in the following activities related to oil and gas sector, among others, exploration and production, integrated oil and gas, oil equipment and services, pipelines, renewable energy equipment companies and alternative fuel producers.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Oil & Gas from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra Oil & Gas | 168.23 | % | 4.33 | % | 1.18 | % | |||||||||
Dow Jones U.S. Oil & Gas Index | 72.84 | % | 10.19 | % | 6.06 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Oil & Gas | 1.03 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 48 | % | |||||
Swap Agreements | 152 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Exxon Mobil Corp. | 10.7 | % | |||||
Chevron Corp. | 8.8 | % | |||||
ConocoPhillips | 3.8 | % | |||||
EOG Resources, Inc. | 2.1 | % | |||||
Schlumberger NV | 1.7 | % |
Dow Jones U.S. Oil & Gas Index – Composition
% of Index | |||||||
Oil, Gas & Consumable Fuels | 90.7 | % | |||||
Energy Equipment & Services | 8.0 | % | |||||
Electric Equipment | 0.5 | % | |||||
Electric Utilities | 0.4 | % | |||||
Semiconductors & Semiconductor Equipment |
0.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XL :: DIG ULTRA OIL & GAS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra QQQ (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the NASDAQ-100® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –20.35%1. For the same period, the Index had a total return of –6.96%2 and a volatility of 25.13%. For the period, the Fund had an average daily volume of 5,368,151 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. The Index includes 100 of the largest /domestic and international non-financial companies listed on the Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra QQQ from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra QQQ | -20.35 | % | 27.31 | % | 32.34 | % | |||||||||
NASDAQ-100 Index | -6.96 | % | 17.99 | % | 18.79 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra QQQ | 0.97 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 85 | % | |||||
Swap Agreements | 104 | % | |||||
Futures Contracts | 11 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Apple, Inc. | 10.7 | % | |||||
Microsoft Corp. | 9.0 | % | |||||
Amazon.com, Inc. | 5.4 | % | |||||
Tesla, Inc. | 3.4 | % | |||||
Alphabet, Inc., Class C | 3.2 | % |
NASDAQ-100 Index – Composition
% of Index | |||||||
Information Technology | 51.0 | % | |||||
Communication Services | 16.9 | % | |||||
Consumer Discretionary | 15.0 | % | |||||
Health Care | 6.2 | % | |||||
Consumer Staples | 6.1 | % | |||||
Industrials | 3.4 | % | |||||
Utilities | 1.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA QQQ QLD :: XLI
ProShares Ultra Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –1.39%1. For the same period, the Index had a total return of 1.53%2 and a volatility of 18.45%. For the period, the Fund had an average daily volume of 10,404 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to track the performance of real estate investment trusts ("REITs") and other companies that invest directly or indirectly in real estate through development, management or ownership including property agencies. Component companies include, among others, real estate holding and development and real estate services companies and REITs. REITs are passive investment vehicles that invest primarily in income producing real estate or real estate related loans or interests. The Index is a market cap weighted index that is updated in March, June, September, and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Real Estate from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra Real Estate | -1.39 | % | 7.61 | % | 11.95 | % | |||||||||
Dow Jones U.S. Real Estate Index | 1.53 | % | 8.16 | % | 9.08 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Real Estate | 1.07 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 91 | % | |||||
Swap Agreements | 109 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
American Tower Corp. | 7.7 | % | |||||
Prologis, Inc. | 6.2 | % | |||||
Crown Castle International Corp. |
5.4 | % | |||||
Equinix, Inc. | 4.1 | % | |||||
Public Storage | 3.3 | % |
Dow Jones U.S. Real Estate
Index –
Composition
% of Index | |||||||
Equity Real Estate Investment Trusts (REITs) |
91.9 | % | |||||
Real Estate Management & Development |
3.9 | % | |||||
Mortgage Real Estate Investment Trusts (REITs) |
2.5 | % | |||||
Professional Services | 1.7 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLII :: URE ULTRA REAL ESTATE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 2000® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –35.82%1. For the same period, the Index had a total return of –16.92%2 and a volatility of 23.87%. For the period, the Fund had an average daily volume of 651,564 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE Russell. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2,000 of the smallest companies in the Russell 3000® Index or approximately 10% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the U.S. equity market and includes approximately 3,000 of the largest companies in the U.S. The Russell 3000® Index includes large-, mid-, and small-capitalization companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Russell2000 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra Russell2000 | -35.82 | % | 5.87 | % | 15.19 | % | |||||||||
Russell 2000 Index | -16.92 | % | 7.71 | % | 10.83 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Russell2000 | 1.15 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 71 | % | |||||
Swap Agreements | 121 | % | |||||
Futures Contracts | 8 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Ovintiv, Inc. | 0.4 | % | |||||
Antero Resources Corp. | 0.4 | % | |||||
Chesapeake Energy Corp. | 0.3 | % | |||||
Southwestern Energy Co. | 0.3 | % | |||||
Range Resources Corp. | 0.2 | % |
Russell 2000 Index – Composition
% of Index | |||||||
Financials | 16.4 | % | |||||
Industrials | 15.6 | % | |||||
Health Care | 14.8 | % | |||||
Information Technology | 12.9 | % | |||||
Consumer Discretionary | 10.1 | % | |||||
Energy | 8.3 | % | |||||
Real Estate | 7.7 | % | |||||
Materials | 4.2 | % | |||||
Consumer Staples | 3.8 | % | |||||
Utilities | 3.3 | % | |||||
Communication Services | 2.9 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA RUSSELL2000 UWM :: XLIII
ProShares Ultra S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P 500® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –5.49%1. For the same period, the Index had a total return of –0.30%2 and a volatility of 18.10%. For the period, the Fund had an average daily volume of 5,524,052 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra S&P500® from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra S&P500® | -5.49 | % | 19.98 | % | 24.45 | % | |||||||||
S&P 500 Index | -0.30 | % | 13.38 | % | 14.39 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra S&P500® | 0.89 | % | 0.89 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 91 | % | |||||
Swap Agreements | 102 | % | |||||
Futures Contracts | 7 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Apple, Inc. | 6.0 | % | |||||
Microsoft Corp. | 5.3 | % | |||||
Amazon.com, Inc. | 2.7 | % | |||||
Alphabet, Inc., Class A | 1.8 | % | |||||
Tesla, Inc. | 1.7 | % |
S&P 500 – Composition
% of Index | |||||||
Information Technology | 27.1 | % | |||||
Health Care | 14.4 | % | |||||
Financials | 11.2 | % | |||||
Consumer Discretionary | 10.9 | % | |||||
Communication Services | 8.8 | % | |||||
Industrials | 7.7 | % | |||||
Consumer Staples | 6.5 | % | |||||
Energy | 4.8 | % | |||||
Utilities | 3.0 | % | |||||
Materials | 2.8 | % | |||||
Real Estate | 2.8 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLIV :: SSO ULTRA S&P500® :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Semiconductors (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. SemiconductorsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –9.81%1. For the same period, the Index had a total return of 2.84%2 and a volatility of 37.53%. For the period, the Fund had an average daily volume of 208,675 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the semiconductors subsector. Component companies are engaged in the production and distribution of semiconductors and other integrated chips, as well as other related products such as semiconductor capital equipment and mother-boards.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Semiconductors from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra Semiconductors | -9.81 | % | 31.01 | % | 35.85 | % | |||||||||
Dow Jones U.S. Semiconductors Index | 2.84 | % | 23.18 | % | 22.66 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Semiconductors | 1.01 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 66 | % | |||||
Swap Agreements | 134 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
NVIDIA Corp. | 14.6 | % | |||||
Broadcom, Inc. | 7.5 | % | |||||
Intel Corp. | 5.7 | % | |||||
Advanced Micro Devices, Inc. | 5.2 | % | |||||
Texas Instruments, Inc. | 5.1 | % |
Dow Jones U.S. Semiconductors
Index
– Composition
% of Index | |||||||
Semiconductors & Semiconductor Equipment |
100 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA SEMICONDUCTORS USD :: XLV
ProShares Ultra SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P SmallCap 600® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –21.84%1. For the same period, the Index had a total return of –8.73%2 and a volatility of 21.84%. For the period, the Fund had an average daily volume of 9,323 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 600 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Ultra SmallCap600 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra SmallCap600 | -21.84 | % | 9.61 | % | 18.89 | % | |||||||||
S&P SmallCap 600 Index | -8.73 | % | 9.78 | % | 12.71 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra SmallCap600 | 1.35 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 90 | % | |||||
Swap Agreements | 110 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Southwestern Energy Co. | 1.0 | % | |||||
SM Energy Co. | 0.6 | % | |||||
Civitas Resources, Inc. | 0.5 | % | |||||
Helmerich & Payne, Inc. | 0.5 | % | |||||
Livent Corp. | 0.5 | % |
S&P SmallCap 600 – Composition
% of Index | |||||||
Financials | 17.8 | % | |||||
Industrials | 16.4 | % | |||||
Information Technology | 13.1 | % | |||||
Consumer Discretionary | 12.0 | % | |||||
Health Care | 11.5 | % | |||||
Real Estate | 7.6 | % | |||||
Energy | 7.0 | % | |||||
Materials | 5.7 | % | |||||
Consumer Staples | 5.1 | % | |||||
Utilities | 2.0 | % | |||||
Communication Services | 1.8 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLVI :: SAA ULTRA SMALLCAP600 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Technology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. TechnologySM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –16.16%1. For the same period, the Index had a total return of –4.05%2 and a volatility of 27.46%. For the period, the Fund had an average daily volume of 166,048 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the technology industry. Component companies include, among others, those involved in computers and office equipment, software, communications technology, semiconductors, diversified technology services and Internet services.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Technology from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra Technology | -16.16 | % | 32.29 | % | 32.25 | % | |||||||||
Dow Jones U.S. Technology Index | -4.05 | % | 20.92 | % | 19.16 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Technology | 0.95 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 89 | % | |||||
Swap Agreements | 111 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Apple, Inc. | 19.0 | % | |||||
Microsoft Corp. | 16.8 | % | |||||
Alphabet, Inc., Class A | 5.6 | % | |||||
Alphabet, Inc., Class C | 5.2 | % | |||||
NVIDIA Corp. | 3.8 | % |
Dow Jones U.S. Technology
Index –
Composition
% of Index | |||||||
Software & Services | 36.3 | % | |||||
Technology Hardware & Equipment |
25.6 | % | |||||
Semiconductors & Semiconductor Equipment |
19.7 | % | |||||
Media & Entertainment | 17.1 | % | |||||
Retailing | 0.5 | % | |||||
Health Care Equipment & Services |
0.5 | % | |||||
Telecommunication Services | 0.2 | % | |||||
Consumer Durables & Apparel | 0.1 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA TECHNOLOGY ROM :: XLVII
ProShares Ultra Telecommunications (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Select TelecommunicationsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –16.64%1. For the same period, the Index had a total return of –6.48%2 and a volatility of 17.05%. For the period, the Fund had an average daily volume of 1,904 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the telecommunications sector.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Telecommunications from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra Telecommunications | -16.64 | % | -4.24 | % | 7.22 | % | |||||||||
Dow Jones U.S. Select Telecommunications Index |
-6.48 | % | 1.24 | % | 6.46 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Telecommunications | 8.63 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 87 | % | |||||
Swap Agreements | 113 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Verizon Communications, Inc. |
20.4 | % | |||||
Cisco Systems, Inc. | 17.0 | % | |||||
T-Mobile US, Inc. | 4.6 | % | |||||
Motorola Solutions, Inc. | 4.2 | % | |||||
Garmin Ltd. | 4.0 | % |
Dow Jones U.S. Select
Telecommunications
Index – Composition
% of Index | |||||||
Communications Equipment | 46.6 | % | |||||
Diversified Telecommunication Services |
42.3 | % | |||||
Wireless Telecommunication Services |
6.5 | % | |||||
Household Durables | 4.6 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLVIII :: LTL ULTRA TELECOMMUNICATIONS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Utilities (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. UtilitiesSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 32.18%1. For the same period, the Index had a total return of 17.25%2 and a volatility of 15.12%. For the period, the Fund had an average daily volume of 5,980 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the utilities industry. Component companies include, among others, electric utilities, gas utilities, multi-utilities and water utilities. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Utilities from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares Ultra Utilities | 32.18 | % | 12.25 | % | 17.82 | % | |||||||||
Dow Jones U.S. Utilities Index | 17.25 | % | 9.92 | % | 11.58 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares Ultra Utilities | 1.91 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 76 | % | |||||
Swap Agreements | 124 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
NextEra Energy, Inc. | 9.7 | % | |||||
Duke Energy Corp. | 5.7 | % | |||||
Southern Co. (The) | 5.2 | % | |||||
Dominion Energy, Inc. | 4.5 | % | |||||
Sempra Energy | 3.4 | % |
Dow Jones U.S. Utilities
Index –
Composition
% of Index | |||||||
Electric Utilities | 60.5 | % | |||||
Multi-Utilities | 29.1 | % | |||||
Gas Utilities | 4.4 | % | |||||
Water Utilities | 3.3 | % | |||||
Independent Power and Renewable Electricity Producers |
2.7 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA UTILITIES UPW :: XLIX
ProShares UltraPro Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –16.40%1. For the same period, the Index had a total return of –2.65%2 and volatility of 15.59%. For the period, the Fund had an average daily volume of 5,061,890 shares and an average daily statistical correlation of over 0.99 to three times that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a price weighted index and includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Dow30SM from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraPro Dow30SM | -16.40 | % | 16.84 | % | 27.15 | % | |||||||||
Dow Jones Industrial Average Index | -2.65 | % | 11.87 | % | 12.90 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraPro Dow30SM | 0.95 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 83 | % | |||||
Swap Agreements | 209 | % | |||||
Futures Contracts | 8 | % | |||||
Total Exposure | 300 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
UnitedHealth Group, Inc. | 8.2 | % | |||||
Goldman Sachs Group, Inc. (The) |
5.4 | % | |||||
Home Depot, Inc. (The) | 5.0 | % | |||||
Microsoft Corp. | 4.5 | % | |||||
Amgen, Inc. | 4.2 | % |
Dow Jones Industrial
Average –
Composition
% of Index | |||||||
Health Care | 20.5 | % | |||||
Information Technology | 20.4 | % | |||||
Financials | 16.1 | % | |||||
Industrials | 13.8 | % | |||||
Consumer Discretionary | 13.5 | % | |||||
Consumer Staples | 7.7 | % | |||||
Energy | 3.4 | % | |||||
Communication Services | 3.2 | % | |||||
Materials | 1.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
L :: UDOW ULTRAPRO DOW30SM :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the S&P MidCap 400® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –29.95%1. For the same period, the Index had a total return of –6.52%2 and a volatility of 20.78%. For the period, the Fund had an average daily volume of 25,202 shares and an average daily statistical correlation of over 0.99 to three times that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of midsize company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro MidCap400 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraPro MidCap400 | -29.95 | % | 5.64 | % | 21.50 | % | |||||||||
S&P MidCap 400 Index | -6.52 | % | 9.56 | % | 12.23 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraPro MidCap400 | 1.23 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 85 | % | |||||
Swap Agreements | 208 | % | |||||
Futures Contracts | 7 | % | |||||
Total Exposure | 300 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Targa Resources Corp. | 0.7 | % | |||||
Steel Dynamics, Inc. | 0.6 | % | |||||
EQT Corp. | 0.6 | % | |||||
Carlisle Cos., Inc. | 0.5 | % | |||||
Darling Ingredients, Inc. | 0.5 | % |
S&P MidCap 400 – Composition
% of Index | |||||||
Industrials | 18.5 | % | |||||
Financials | 14.7 | % | |||||
Consumer Discretionary | 14.0 | % | |||||
Information Technology | 13.1 | % | |||||
Real Estate | 9.3 | % | |||||
Health Care | 9.2 | % | |||||
Materials | 7.6 | % | |||||
Energy | 4.5 | % | |||||
Consumer Staples | 3.8 | % | |||||
Utilities | 3.7 | % | |||||
Communication Services | 1.6 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO MIDCAP400 UMDD :: LI
ProShares UltraPro QQQ (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the NASDAQ-100® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –35.44%1. For the same period, the Index had a total return of –6.96%2 and a volatility of 25.13%. For the period, the Fund had an average daily volume of 97,208,818 shares and an average daily statistical correlation of over 0.99 to three times that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. The Index includes 100 of the largest domestic and international non-financial companies listed on The Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro QQQ from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraPro QQQ | -35.44 | % | 30.20 | % | 42.66 | % | |||||||||
NASDAQ-100 Index | -6.96 | % | 17.99 | % | 18.79 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraPro QQQ | 1.01 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 81 | % | |||||
Swap Agreements | 208 | % | |||||
Futures Contracts | 11 | % | |||||
Total Exposure | 300 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Apple, Inc. | 10.2 | % | |||||
Microsoft Corp. | 8.5 | % | |||||
Amazon.com, Inc. | 5.1 | % | |||||
Tesla, Inc. | 3.3 | % | |||||
Alphabet, Inc., Class C | 3.0 | % |
NASDAQ-100 Index – Composition
% of Index | |||||||
Information Technology | 51.0 | % | |||||
Communication Services | 16.9 | % | |||||
Consumer Discretionary | 15.0 | % | |||||
Health Care | 6.2 | % | |||||
Consumer Staples | 6.1 | % | |||||
Industrials | 3.4 | % | |||||
Utilities | 1.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm
LII :: TQQQ ULTRAPRO QQQ :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Russell 2000® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –52.76%1. For the same period, the Index had a total return of –16.92%2 and a volatility of 23.87%. For the period, the Fund had an average daily volume of 631,063 shares and an average daily statistical correlation of over 0.99 to three times that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE Russell. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2,000 of the smallest companies in the Russell 3000® Index or approximately 10% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the U.S. equity market and approximately 3,000 of the largest companies in the US. The Russell 3000® Index includes large-, mid-, and small-capitalization companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Russell2000 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraPro Russell2000 | -52.76 | % | -2.46 | % | 14.86 | % | |||||||||
Russell 2000 Index | -16.92 | % | 7.71 | % | 10.83 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraPro Russell2000 | 1.26 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 82 | % | |||||
Swap Agreements | 208 | % | |||||
Futures Contracts | 10 | % | |||||
Total Exposure | 300 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Ovintiv, Inc. | 0.5 | % | |||||
Antero Resources Corp. | 0.4 | % | |||||
Chesapeake Energy Corp. | 0.4 | % | |||||
Southwestern Energy Co. | 0.3 | % | |||||
Range Resources Corp. | 0.3 | % |
Russell 2000 Index – Composition
% of Index | |||||||
Financials | 16.4 | % | |||||
Industrials | 15.6 | % | |||||
Health Care | 14.8 | % | |||||
Information Technology | 12.9 | % | |||||
Consumer Discretionary | 10.1 | % | |||||
Energy | 8.3 | % | |||||
Real Estate | 7.7 | % | |||||
Materials | 4.2 | % | |||||
Consumer Staples | 3.8 | % | |||||
Utilities | 3.3 | % | |||||
Communication Services | 2.9 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO RUSSELL2000 URTY :: LIII
ProShares UltraPro S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the S&P 500® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –12.57%1. For the same period, the Index had a total return of –0.30%2 and a volatility of 18.10%. For the period, the Fund had an average daily volume of 10,726,039 shares and an average daily statistical correlation of over 0.99 to three times that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro S&P500® from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraPro S&P500® | -12.57 | % | 22.50 | % | 32.48 | % | |||||||||
S&P 500 Index | -0.30 | % | 13.38 | % | 14.39 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraPro S&P500® | 0.91 | % | 0.91 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 82 | % | |||||
Swap Agreements | 211 | % | |||||
Futures Contracts | 7 | % | |||||
Total Exposure | 300 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Apple, Inc. | 5.5 | % | |||||
Microsoft Corp. | 4.8 | % | |||||
Amazon.com, Inc. | 2.5 | % | |||||
Alphabet, Inc., Class A | 1.6 | % | |||||
Tesla, Inc. | 1.5 | % |
S&P 500 – Composition
% of Index | |||||||
Information Technology | 27.1 | % | |||||
Health Care | 14.4 | % | |||||
Financials | 11.2 | % | |||||
Consumer Discretionary | 10.9 | % | |||||
Communication Services | 8.8 | % | |||||
Industrials | 7.7 | % | |||||
Consumer Staples | 6.5 | % | |||||
Energy | 4.8 | % | |||||
Utilities | 3.0 | % | |||||
Materials | 2.8 | % | |||||
Real Estate | 2.8 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LIV :: UPRO ULTRAPRO S&P500® :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Short 20+ Year Treasury (the "Fund") seeks investment results, before fees and expenses, that correspond to three times the inverse (–3x) of the daily performance of the ICE U.S. Treasury 20+ Year Bond Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 35.27%1. For the same period, the Index had a total return of –14.42%2 and a volatility of 15.95%. For the period, the Fund had an average daily volume of 180,251 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by ICE Data Indices, LLC. The Index is part of a series of indices designed to measure the performance of the U.S. Treasury market. The Index includes publicly issued U.S. Treasury securities that have a remaining maturity greater than or equal to twenty years and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. In addition, the securities in the Underlying Index must be fixed-rate and denominated in U.S. dollars. Excluded-from the Underlying Index are inflation-linked securities, Treasury bills, cash management bills, any government agency debt issued with or without a government guarantee and zero-coupon issues that have been stripped from coupon paying bonds. The Underlying Index is weighted by market capitalization, and the securities in the Underlying Index are updated on the last business day of each month.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short 20+ Year Treasury from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through October 13, 2016 reflects the performance of the Bloomberg Barclays U.S. 20+ Year Treasury Bond Index. Index performance beginning on October 14, 2016 reflects the performance of the ICE U.S. Treasury 20+ Year Bond Index.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraPro Short 20+ Year Treasury |
35.27 | % | -11.99 | % | -14.34 | % | |||||||||
ICE U.S. Treasury 20+ Year Bond Index |
-14.42 | % | 0.88 | % | 1.62 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraPro Short 20+ Year Treasury |
1.07 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (299 | %) | |||||
Futures Contracts | (3 | %) | |||||
Total Exposure | (302 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
ICE U.S. Treasury 20+ Year Bond Index – Composition
% of Index | |||||||
20+ Year U.S. Treasury | 100 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO SHORT 20+ YEAR TREASURY TTT :: LV
ProShares UltraPro Short Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (–3x) of the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –6.45%1. For the same period, the Index had a total return of –2.65%2 and a volatility 15.59%. For the period, the Fund had an average daily volume of 7,184,879 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a price-weighted index and includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short Dow30SM from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraPro Short Dow30SM | -6.45 | % | -42.88 | % | -40.52 | % | |||||||||
Dow Jones Industrial Average Index | -2.65 | % | 11.87 | % | 12.90 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraPro Short Dow30SM | 0.96 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (298 | %) | |||||
Futures Contracts | (2 | %) | |||||
Total Exposure | (300 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average – Composition
% of Index | |||||||
Health Care | 20.5 | % | |||||
Information Technology | 20.4 | % | |||||
Financials | 16.1 | % | |||||
Industrials | 13.8 | % | |||||
Consumer Discretionary | 13.5 | % | |||||
Consumer Staples | 7.7 | % | |||||
Energy | 3.4 | % | |||||
Communication Services | 3.2 | % | |||||
Materials | 1.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LVI :: SDOW ULTRAPRO SHORT DOW30SM :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Short MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (–3x) of the daily performance of the S&P MidCap 400® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –6.05%1. For the same period, the Index had a total return of –6.52%2 and a volatility of 20.78%. For the period, the Fund had an average daily volume of 15,793 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short MidCap400 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraPro Short MidCap400 | -6.05 | % | -43.94 | % | -43.04 | % | |||||||||
S&P MidCap 400 Index | -6.52 | % | 9.56 | % | 12.23 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraPro Short MidCap400 | 1.67 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (293 | %) | |||||
Futures Contracts | (7 | %) | |||||
Total Exposure | (300 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 – Composition
% of Index | |||||||
Industrials | 18.5 | % | |||||
Financials | 14.7 | % | |||||
Consumer Discretionary | 14.0 | % | |||||
Information Technology | 13.1 | % | |||||
Real Estate | 9.3 | % | |||||
Health Care | 9.2 | % | |||||
Materials | 7.6 | % | |||||
Energy | 4.5 | % | |||||
Consumer Staples | 3.8 | % | |||||
Utilities | 3.7 | % | |||||
Communication Services | 1.6 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO SHORT MIDCAP400 SMDD :: LVII
ProShares UltraPro Short QQQ (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (–3x) of the daily performance of the NASDAQ-100® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –14.62%1. For the same period, the Index had a total return of –6.96%2 and a volatility of 25.13%. For the period, the Fund had an average daily volume of 53,049,820 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. The Index includes 100 of the largest domestic and international non-financial companies listed on The Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short QQQ from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraPro Short QQQ | -14.62 | % | -56.12 | % | -52.59 | % | |||||||||
NASDAQ-100 Index | -6.96 | % | 17.99 | % | 18.79 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraPro Short QQQ | 1.00 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (300 | %) | |||||
Total Exposure | (300 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index – Composition
% of Index | |||||||
Information Technology | 51.0 | % | |||||
Communication Services | 16.9 | % | |||||
Consumer Discretionary | 15.0 | % | |||||
Health Care | 6.2 | % | |||||
Consumer Staples | 6.1 | % | |||||
Industrials | 3.4 | % | |||||
Utilities | 1.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LVIII :: SQQQ ULTRAPRO SHORT QQQ :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Short Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (–3x) of the daily performance of the Russell 2000® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 21.80%1. For the same period, the Index had a total return of –16.92%2 and a volatility of 23.87%. For the period, the Fund had an average daily volume of 1,320,375 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE Russell. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2,000 of the smallest companies in the Russell 3000® Index or approximately 10% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the U.S. equity market and includes approximately 3,000 of the largest companies in the U.S. The Russell 3000® Index includes large-, mid-, and small-capitalization companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short Russell2000 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraPro Short Russell2000 | 21.80 | % | -45.03 | % | -44.48 | % | |||||||||
Russell 2000 Index | -16.92 | % | 7.71 | % | 10.83 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraPro Short Russell2000 | 1.08 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (298 | %) | |||||
Futures Contracts | (2 | %) | |||||
Total Exposure | (300 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
% of Index | |||||||
Financials | 16.4 | % | |||||
Industrials | 15.6 | % | |||||
Health Care | 14.8 | % | |||||
Information Technology | 12.9 | % | |||||
Consumer Discretionary | 10.1 | % | |||||
Energy | 8.3 | % | |||||
Real Estate | 7.7 | % | |||||
Materials | 4.2 | % | |||||
Consumer Staples | 3.8 | % | |||||
Utilities | 3.3 | % | |||||
Communication Services | 2.9 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO SHORT RUSSELL2000 SRTY :: LIX
ProShares UltraPro Short S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (–3x) of the daily performance of the S&P 500® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –16.96%1. For the same period, the Index had a total return of –0.30%2 and a volatility of 18.10%. For the period, the Fund had an average daily volume of 18,102,815 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short S&P500® from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraPro Short S&P500® | -16.96 | % | -44.46 | % | -42.62 | % | |||||||||
S&P 500 Index | -0.30 | % | 13.38 | % | 14.39 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraPro Short S&P500® | 0.90 | % | 0.90 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (299 | %) | |||||
Futures Contracts | (1 | %) | |||||
Total Exposure | (300 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 – Composition
% of Index | |||||||
Information Technology | 27.1 | % | |||||
Health Care | 14.4 | % | |||||
Financials | 11.2 | % | |||||
Consumer Discretionary | 10.9 | % | |||||
Communication Services | 8.8 | % | |||||
Industrials | 7.7 | % | |||||
Consumer Staples | 6.5 | % | |||||
Energy | 4.8 | % | |||||
Utilities | 3.0 | % | |||||
Materials | 2.8 | % | |||||
Real Estate | 2.8 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LX :: SPXU ULTRAPRO SHORT S&P500® :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the ICE U.S. Treasury 7-10 Year Bond Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 16.48%1. For the same period, the Index had a total return of –8.59%2 and a volatility of 7.14%. For the period, the Fund had an average daily volume of 159,179 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by ICE Data Indices, LLC. The Index includes publicly issued U.S. Treasury securities that have a remaining maturity greater than or equal to seven years and less than or equal to ten years and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. In addition, the securities in the Underlying Index must be fixed-rate and denominated in U.S. dollars. Excluded from the Underlying Index are inflation-linked securities, Treasury bills, cash management bills, any government agency debt issued with or without a government guarantee and zero-coupon issues that have been stripped from coupon-paying bonds. The Underlying Index is weighted by market capitalization, and the securities in the Underlying Index are updated on the last business day of each month.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort 7-10 Year Treasury from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through October 13, 2016 reflects the performance of the Bloomberg Barclays U.S. 7-10 Year Treasury Bond Index. Index performance beginning on October 14, 2016 reflects the performance of the ICE U.S. Treasury 7-10 Year Bond Index.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort 7-10 Year Treasury |
16.48 | % | -1.20 | % | -3.36 | % | |||||||||
ICE U.S. Treasury 7-10 Year Bond Index | -8.59 | % | 0.96 | % | 1.33 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort 7-10 Year Treasury |
1.10 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (199 | %) | |||||
Futures Contracts | (1 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
ICE U.S. Treasury 7-10 Year Bond Index – Composition
% of Index | |||||||
7-10 Year U.S. Treasury | 100 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT 7-10 YEAR TREASURY PST :: LXI
ProShares UltraShort 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the ICE U.S. Treasury 20+ Year Bond Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 25.29%1. For the same period, the Index had a total return of –14.42%2 and a volatility of 15.95%. For the period, the Fund had an average daily volume of 6,888,505 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by ICE Data Indices, LLC. The Index is part of a series of indices designed to measure the performance of the U.S. Treasury market. The Index includes publicly-issued U.S. Treasury securities that have a remaining maturity greater than or equal to twenty years and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. In addition, the securities in the Underlying Index must be fixed-rate and denominated in U.S. dollars. Excluded from the Underlying Index are inflation-linked securities, Treasury bills, cash management bills, any government agency debt issued with or without a government guarantee and zero-coupon issues that have been stripped from coupon-paying bonds. The Underlying Index is weighted by market capitalization, and the securities in the Underlying Index are updated on the last business day of each month.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort 20+ Year Treasury from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through October 13, 2016 reflects the performance of the Bloomberg Barclays U.S. 20+ Year Treasury Bond Index. Index performance beginning on October 14, 2016 reflects the performance of the ICE U.S. Treasury 20+ Year Bond Index.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort 20+ Year Treasury | 25.29 | % | -6.09 | % | -8.17 | % | |||||||||
ICE U.S. Treasury 20+ Year Bond Index | -14.42 | % | 0.88 | % | 1.62 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort 20+ Year Treasury | 0.90 | % | 0.90 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Futures Contracts | (2 | %) | |||||
Total Exposure | (202 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
ICE U.S. Treasury 20+ Year Bond Index – Composition
% of Index | |||||||
20+ Year U.S. Treasury | 100 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXII :: TBT ULTRASHORT 20+ YEAR TREASURY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –18.55%1. For the same period, the Index had a total return of 3.41%2 and a volatility of 20.95%. For the period, the Fund had an average daily volume of 11,377 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the basic materials industry. Component companies are involved in the production of aluminum, steel, non-ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Basic Materials from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort Basic Materials | -18.55 | % | -32.35 | % | -28.40 | % | |||||||||
Dow Jones U.S. Basic Materials Index | 3.41 | % | 12.09 | % | 10.82 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort Basic Materials | 3.84 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Basic Materials Index – Composition
% of Index | |||||||
Chemicals | 75.4 | % | |||||
Metals & Mining | 24.4 | % | |||||
Paper & Forest Products | 0.2 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT BASIC MATERIALS SMN :: LXIII
ProShares UltraShort Consumer Goods (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. Consumer GoodsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –10.88%1. For the same period, the Index had a total return of –0.46%2 and a volatility of 19.89%. For the period, the Fund had an average daily volume of 4,413 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the consumer goods industry. Component companies include, among others, automobiles and auto parts and tires, brewers and distillers, farming and fishing, durable and non-durable household product manufacturers, cosmetic companies, food and tobacco products, clothing, accessories and footwear. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Consumer Goods from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort Consumer Goods | -10.88 | % | -25.18 | % | -26.20 | % | |||||||||
Dow Jones U.S. Consumer Goods Index | -0.46 | % | 10.29 | % | 12.30 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort Consumer Goods | 7.90 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Goods Index – Composition
% of Index | |||||||
Food, Beverage & Tobacco | 38.9 | % | |||||
Automobiles & Components | 25.2 | % | |||||
Household & Personal Products | 17.2 | % | |||||
Consumer Durables & Apparel | 12.9 | % | |||||
Media & Entertainment | 3.7 | % | |||||
Retailing | 1.1 | % | |||||
Capital Goods | 0.6 | % | |||||
Food & Staples Retailing | 0.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXIV :: SZK ULTRASHORT CONSUMER GOODS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Consumer Services (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. Consumer ServicesSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 32.36%1. For the same period, the Index had a total return of –19.77%2 and a volatility of 22.86%. For the period, the Fund had an average daily volume of 3,358 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the consumer services industry. Component companies include, among others, airlines, broadcasting and entertainment, apparel and broadline retailers, food and drug retailers, media agencies, publishing, gambling, hotels, restaurants and bars, and travel and tourism. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Consumer Services from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort Consumer Services | 32.36 | % | -24.77 | % | -28.73 | % | |||||||||
Dow Jones U.S. Consumer Services Index | -19.77 | % | 9.23 | % | 13.57 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort Consumer Services |
7.25 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Services Index – Composition
% of Index | |||||||
Retailing | 46.7 | % | |||||
Consumer Services | 18.4 | % | |||||
Media & Entertainment | 18.3 | % | |||||
Food & Staples Retailing | 11.7 | % | |||||
Transportation | 3.2 | % | |||||
Health Care Equipment & Services | 0.9 | % | |||||
Commercial & Professional Services | 0.8 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT CONSUMER SERVICES SCC :: LXV
ProShares UltraShort Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –2.01%1. For the same period, the Index had a total return of –2.65%2 and a volatility of 15.59%. For the period, the Fund had an average daily volume of 809,824 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a price-weighted index and includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Dow30SM from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort Dow30SM | -2.01 | % | -27.99 | % | -27.22 | % | |||||||||
Dow Jones Industrial Average Index | -2.65 | % | 11.87 | % | 12.90 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort Dow30SM | 1.00 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (194 | %) | |||||
Futures Contracts | (6 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average – Composition
% of Index | |||||||
Health Care | 20.5 | % | |||||
Information Technology | 20.4 | % | |||||
Financials | 16.1 | % | |||||
Industrials | 13.8 | % | |||||
Consumer Discretionary | 13.5 | % | |||||
Consumer Staples | 7.7 | % | |||||
Energy | 3.4 | % | |||||
Communication Services | 3.2 | % | |||||
Materials | 1.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXVI :: DXD ULTRASHORT DOW30SM :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –5.18%1. For the same period, the Index had a total return of –3.03%2 and a volatility of 19.40%. For the period, the Fund had an average daily volume of 36,749 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the financials industry. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Financials from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort Financials | -5.18 | % | -30.30 | % | -30.94 | % | |||||||||
Dow Jones U.S. Financials Index | -3.03 | % | 11.08 | % | 13.82 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort Financials | 1.21 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index – Composition
% of Index | |||||||
Diversified Financials | 32.4 | % | |||||
Banks | 23.4 | % | |||||
Real Estate | 20.0 | % | |||||
Insurance | 13.8 | % | |||||
Software & Services | 10.0 | % | |||||
Commercial & Professional Services | 0.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT FINANCIALS SKF :: LXVII
ProShares UltraShort FTSE China 50 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the FTSE China 50 Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 24.57%1. For the same period, the Index had a total return of –29.48%2 and a volatility of 35.56%. For the period, the Fund had an average daily volume of 27,970 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE International Limited. The Index consists of 50 of the largest and most liquid Chinese stocks listed and traded on the Stock Exchange of Hong Kong.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares UltraShort FTSE China 50 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort FTSE China 50 | 24.57 | % | -17.54 | % | -22.45 | % | |||||||||
FTSE China 50 Index | -29.48 | % | -1.27 | % | 2.98 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort FTSE China 50 | 1.26 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 50 Index – Composition
% of Index | |||||||
Consumer Discretionary | 33.7 | % | |||||
Financials | 28.7 | % | |||||
Communication Services | 17.9 | % | |||||
Real Estate | 4.0 | % | |||||
Energy | 3.8 | % | |||||
Information Technology | 3.3 | % | |||||
Health Care | 3.1 | % | |||||
Consumer Staples | 2.6 | % | |||||
Materials | 1.7 | % | |||||
Industrials | 1.2 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXVIII :: FXP ULTRASHORT FTSE CHINA 50 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort FTSE Europe (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the FTSE Developed Europe All Cap Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 9.93%1. For the same period, the Index had a total return of –10.85%2 and a volatility of 19.82%. For the period, the Fund had an average daily volume of 103,374 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE International Limited. The Index is a free float-adjusted market cap weighted index representing the performance of large-, mid- and small-cap companies in Developed European markets, including the United Kingdom.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort FTSE Europe from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through April 22, 2013 reflects the performance of the MSCI Europe Index. Index performance beginning on April 23, 2013 through August 31, 2016 reflects the performance of the FTSE Developed Europe Index. Index performance beginning on September 1, 2016 reflects the performance of the FTSE Developed Europe All Cap Index.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort FTSE Europe | 9.93 | % | -18.26 | % | -23.27 | % | |||||||||
FTSE Developed Europe All Cap Index® | -10.85 | % | 4.34 | % | 7.57 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort FTSE Europe | 1.48 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (199 | %) | |||||
Total Exposure | (199 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE Developed Europe All Cap
Index
– Country
% of Index | |||||||
United Kingdom | 23.9 | % | |||||
Switzerland | 15.8 | % | |||||
France | 15.4 | % | |||||
Germany | 12.3 | % | |||||
Others | 6.7 | % | |||||
Netherlands | 6.6 | % | |||||
Sweden | 5.8 | % | |||||
Spain | 4.0 | % | |||||
Denmark | 3.9 | % | |||||
Italy | 3.5 | % | |||||
Finland | 2.1 | % |
FTSE Developed Europe All Cap
Index
– Composition
% of Index | |||||||
Financials | 16.2 | % | |||||
Industrials | 15.3 | % | |||||
Health Care | 14.5 | % | |||||
Consumer Staples | 11.8 | % | |||||
Consumer Discretionary | 9.8 | % | |||||
Materials | 8.0 | % | |||||
Information Technology | 7.4 | % | |||||
Energy | 6.1 | % | |||||
Utilities | 4.5 | % | |||||
Communication Services | 4.1 | % | |||||
Real Estate | 2.3 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT FTSE EUROPE EPV :: LXIX
ProShares UltraShort Health Care (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. Health CareSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –15.65%1. For the same period, the Index had a total return of 4.58%2 and a volatility of 15.55%. For the period, the Fund had an average daily volume of 8,979 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the healthcare industry. Component companies include, among others, health care providers, biotechnology companies, medical supplies, advanced medical devices and pharmaceuticals.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Health Care from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort Health Care | -15.65 | % | -29.04 | % | -31.32 | % | |||||||||
Dow Jones U.S. Health Care Index | 4.58 | % | 13.49 | % | 15.87 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort Health Care | 4.61 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Health Care Index – Composition
% of Index | |||||||
Pharmaceuticals | 29.4 | % | |||||
Health Care Providers & Services | 21.5 | % | |||||
Health Care Equipment & Supplies | 19.6 | % | |||||
Biotechnology | 16.6 | % | |||||
Life Sciences Tools & Services | 12.7 | % | |||||
Health Care Technology | 0.2 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXX :: RXD ULTRASHORT HEALTH CARE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Industrials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. IndustrialsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 18.18%1. For the same period, the Index had a total return of –12.82%2 and a volatility of 18.10%. For the period, the Fund had an average daily volume of 9,155 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the industrials industry. Component companies include, among others, building materials, heavy construction, factory equipment, heavy machinery, industrial services, pollution control, containers and packaging, industrial diversified, air freight, marine transportation, railroads, trucking, land-transportation equipment, shipbuilding, transportation services, advanced industrial equipment, electric components and equipment, and aerospace. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Industrials from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort Industrials | 18.18 | % | -27.75 | % | -29.72 | % | |||||||||
Dow Jones U.S. Industrials Index | -12.82 | % | 9.89 | % | 13.31 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort Industrials | 5.16 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Industrials Index – Composition
% of Index | |||||||
Capital Goods | 49.6 | % | |||||
Software & Services | 17.1 | % | |||||
Transportation | 12.9 | % | |||||
Commercial & Professional Services | 7.7 | % | |||||
Materials | 6.4 | % | |||||
Technology Hardware & Equipment | 5.9 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 0.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT INDUSTRIALS SIJ :: LXXI
ProShares UltraShort MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the S&P MidCap 400® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 0.30%1. For the same period, the Index had a total return of –6.52%2 and a volatility of 20.78%. For the period, the Fund had an average daily volume of 3,134 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MidCap400 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort MidCap400 | 0.30 | % | -28.03 | % | -28.63 | % | |||||||||
S&P MidCap 400 Index | -6.52 | % | 9.56 | % | 12.23 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort MidCap400 | 2.78 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (191 | %) | |||||
Futures Contracts | (9 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 – Composition
% of Index | |||||||
Industrials | 18.5 | % | |||||
Financials | 14.7 | % | |||||
Consumer Discretionary | 14.0 | % | |||||
Information Technology | 13.1 | % | |||||
Real Estate | 9.3 | % | |||||
Health Care | 9.2 | % | |||||
Materials | 7.6 | % | |||||
Energy | 4.5 | % | |||||
Consumer Staples | 3.8 | % | |||||
Utilities | 3.7 | % | |||||
Communication Services | 1.6 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXII :: MZZ ULTRASHORT MIDCAP400 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort MSCI Brazil Capped (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the MSCI Brazil 25/50 Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –24.45%1. For the same period, the Index had a total return 0.22%2 and a volatility of 27.84%. For the period, the Fund had an average daily volume of 102,075 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The MSCI Brazil 25/50 Index is designed to measure the performance of the large and mid cap segments of the Brazilian market. It applies certain investment limits that are imposed on regulated investment companies, or RICs, under the current US Internal Revenue Code. The Index covers approximately 85% of the free float-adjusted market capitalization in Brazil.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares UltraShort MSCI Brazil Capped from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through February 10, 2013 reflects the performance of the MSCI Brazil Index. Index performance beginning on February 11, 2013 reflects the performance of the MSCI Brazil 25/50 Index.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort MSCI Brazil Capped |
-24.45 | % | -40.19 | % | -31.00 | % | |||||||||
MSCI Brazil 25/50 Index | 0.22 | % | 4.75 | % | 0.10 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort MSCI Brazil Capped |
1.27 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (199 | %) | |||||
Total Exposure | (199 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Brazil 25/50 Index – Composition
% of Index | |||||||
Materials | 25.9 | % | |||||
Financials | 23.9 | % | |||||
Energy | 17.3 | % | |||||
Consumer Staples | 8.9 | % | |||||
Industrials | 7.1 | % | |||||
Utilities | 6.5 | % | |||||
Consumer Discretionary | 4.3 | % | |||||
Health Care | 3.1 | % | |||||
Communication Services | 2.3 | % | |||||
Information Technology | 0.7 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT MSCI BRAZIL CAPPED BZQ :: LXXIII
ProShares UltraShort MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the MSCI EAFE Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 15.16%1. For the same period, the Index had a total return of –10.38%2 and a volatility of 15.65%. For the period, the Fund had an average daily volume of 5,394 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index includes 85% of the free float-adjusted, market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI EAFE from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort MSCI EAFE | 15.16 | % | -15.25 | % | -19.65 | % | |||||||||
MSCI EAFE Index | -10.38 | % | 4.17 | % | 7.15 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort MSCI EAFE | 4.29 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index – Country
% of Index | |||||||
Japan | 22.1 | % | |||||
United Kingdom | 15.9 | % | |||||
France | 11.4 | % | |||||
Others | 10.8 | % | |||||
Switzerland | 10.1 | % | |||||
Germany | 8.2 | % | |||||
Australia | 8.1 | % | |||||
Netherlands | 4.2 | % | |||||
Sweden | 3.5 | % | |||||
Hong Kong | 3.0 | % | |||||
Denmark | 2.7 | % |
MSCI EAFE Index – Composition
% of Index | |||||||
Financials | 17.6 | % | |||||
Industrials | 15.0 | % | |||||
Health Care | 13.3 | % | |||||
Consumer Discretionary | 11.2 | % | |||||
Consumer Staples | 10.4 | % | |||||
Materials | 8.2 | % | |||||
Information Technology | 8.1 | % | |||||
Communication Services | 5.0 | % | |||||
Energy | 4.8 | % | |||||
Utilities | 3.5 | % | |||||
Real Estate | 2.9 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXIV :: EFU ULTRASHORT MSCI EAFE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the MSCI Emerging Markets Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 37.43%1. For the same period, the Index had a total return of –19.83%2 and a volatility of 17.62%. For the period, the Fund had an average daily volume of 16,930 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index includes 85% of the free float-adjusted market capitalization in emerging market countries.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI Emerging Markets from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort MSCI Emerging Markets |
37.43 | % | -18.41 | % | -18.58 | % | |||||||||
MSCI Emerging Markets Index | -19.83 | % | 3.80 | % | 4.17 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort MSCI Emerging Markets |
1.71 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (199 | %) | |||||
Total Exposure | (199 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index – Country
% of Index | |||||||
China | 30.8 | % | |||||
Taiwan | 16.0 | % | |||||
India | 12.8 | % | |||||
Korea | 12.7 | % | |||||
Others | 7.9 | % | |||||
Brazil | 5.5 | % | |||||
Saudi Arabia | 4.4 | % | |||||
South Africa | 3.8 | % | |||||
Mexico | 2.3 | % | |||||
Thailand | 1.9 | % | |||||
Indonesia | 1.9 | % |
MSCI Emerging Markets
Index –
Composition
% of Index | |||||||
Financials | 21.8 | % | |||||
Information Technology | 21.1 | % | |||||
Consumer Discretionary | 12.9 | % | |||||
Communication Services | 10.2 | % | |||||
Materials | 9.1 | % | |||||
Consumer Staples | 6.0 | % | |||||
Industrials | 5.5 | % | |||||
Energy | 5.0 | % | |||||
Health Care | 3.6 | % | |||||
Utilities | 2.7 | % | |||||
Real Estate | 2.1 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT MSCI EMERGING MARKETS EEV :: LXXV
ProShares UltraShort MSCI Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the MSCI Japan Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 22.67%1. For the same period, the Index had a total return of –13.32%2 and a volatility of 17.57%. For the period, the Fund had an average daily volume of 12,689 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index adjusts the market capitalization of Index constituents for free float and targets for Index inclusion 85% of the free float-adjusted market capitalization in Japan.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI Japan from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort MSCI Japan | 22.67 | % | -13.36 | % | -19.84 | % | |||||||||
MSCI Japan Index | -13.32 | % | 3.67 | % | 6.99 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort MSCI Japan | 1.98 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (199 | %) | |||||
Total Exposure | (199 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Japan Index – Composition
% of Index | |||||||
Industrials | 22.1 | % | |||||
Consumer Discretionary | 18.7 | % | |||||
Information Technology | 14.2 | % | |||||
Financials | 10.2 | % | |||||
Health Care | 9.4 | % | |||||
Communication Services | 8.6 | % | |||||
Consumer Staples | 6.4 | % | |||||
Materials | 5.0 | % | |||||
Real Estate | 3.5 | % | |||||
Utilities | 1.0 | % | |||||
Energy | 0.9 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXVI :: EWV ULTRASHORT MSCI JAPAN :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Nasdaq Biotechnology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the NASDAQ Biotechnology® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 31.29%1. For the same period, the Index had a total return of –21.52%2 and a volatility of 25.44%. For the period, the Fund had an average daily volume of 18,450 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. (the "Index Provider"). The Index is a modified capitalization-weighted index that includes securities of Nasdaq listed companies that are classified as either biotechnology or pharmaceutical. The securities also meet other eligibility criteria determined by the Index Provider, including minimum market capitalization and liquidity requirements.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Nasdaq Biotechnology from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort Nasdaq Biotechnology |
31.29 | % | -24.18 | % | -33.76 | % | |||||||||
NASDAQ Biotechnology Index | -21.52 | % | 5.04 | % | 11.72 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort Nasdaq Biotechnology |
1.55 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ Biotechnology Index – Composition
% of Index | |||||||
Biotechnology | 78.7 | % | |||||
Pharmaceuticals | 13.8 | % | |||||
Life Sciences Tools & Services | 5.9 | % | |||||
Health Care Equipment & Suppli | 1.0 | % | |||||
Health Care Providers & Servic | 0.6 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT NASDAQ BIOTECHNOLOGY BIS :: LXXVII
ProShares UltraShort Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –74.73%1. For the same period, the Index had a total return of 72.84 %2 and a volatility of 29.93 %. For the period, the Fund had an average daily volume of 136,650 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the oil and gas sector. Component companies typically are engaged in the following activities related to the oil and gas sector, among others, exploration and production, integrated oil and gas, oil equipment and services, pipelines, renewable energy equipment companies and alternative fuel producers. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Oil & Gas from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort Oil & Gas | -74.73 | % | -41.41 | % | -29.82 | % | |||||||||
Dow Jones U.S. Oil & Gas Index | 72.84 | % | 10.19 | % | 6.06 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort Oil & Gas | 1.32 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Oil & Gas Index – Composition
% of Index | |||||||
Oil, Gas & Consumable Fuels | 90.7 | % | |||||
Energy Equipment & Services | 8.0 | % | |||||
Electric Equipment | 0.5 | % | |||||
Electric Utilities | 0.4 | % | |||||
Semiconductors & Semiconductor Equipment | 0.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXVIII :: DUG ULTRASHORT OIL & GAS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort QQQ (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the NASDAQ-100® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –4.49%1. For the same period, the Index had a total return of –6.96%2 and a volatility of 25.13%. For the period, the Fund had an average daily volume of 13,620,985 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. The Index includes 100 of the largest domestic and international non-financial companies listed on The Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort QQQ from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort QQQ | -4.49 | % | -38.61 | % | -36.71 | % | |||||||||
NASDAQ-100 Index | -6.96 | % | 17.99 | % | 18.79 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort QQQ | 1.03 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (198 | %) | |||||
Futures Contracts | (2 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index – Composition
% of Index | |||||||
Information Technology | 51.0 | % | |||||
Communication Services | 16.9 | % | |||||
Consumer Discretionary | 15.0 | % | |||||
Health Care | 6.2 | % | |||||
Consumer Staples | 6.1 | % | |||||
Industrials | 3.4 | % | |||||
Utilities | 1.4 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT QQQ QID :: LXXIX
ProShares UltraShort Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –12.78%1. For the same period, the Index had a total return of 1.53%2 and a volatility of 18.45%. For the period, the Fund had an average daily volume of 61,123 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to track the performance of real estate investment trusts ("REITs") and other companies that invest directly or indirectly in real estate through development, management or ownership, including property agencies. Component companies include, among others, real estate holding and development and real estate services companies and REITs. REITs are passive investment vehicles that invest primarily in income producing real estate or real estate related loans or interests. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Real Estate from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort Real Estate | -12.78 | % | -25.14 | % | -23.98 | % | |||||||||
Dow Jones U.S. Real Estate Index | 1.53 | % | 8.16 | % | 9.08 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort Real Estate | 1.20 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Real Estate Index – Composition
% of Index | |||||||
Equity Real Estate Investment Trusts (REITs) | 91.9 | % | |||||
Real Estate Management & Development | 3.9 | % | |||||
Mortgage Real Estate Investment Trusts (REITs) | 2.5 | % | |||||
Professional Services | 1.7 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXX :: SRS ULTRASHORT REAL ESTATE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Russell 2000® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 20.54%1. For the same period, the Index had a total return of –16.92%2 and a volatility of 23.87%. For the period, the Fund had an average daily volume of 2,901,008 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE Russell. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2,000 of the smallest companies in the Russell 3000® Index or approximately 10% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the U.S. equity market and includes approximately 3,000 of the largest companies in the U.S. The Russell 3000® Index includes large-, mid-, and small-capitalization companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Russell2000 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort Russell2000 | 20.54 | % | -28.29 | % | -29.29 | % | |||||||||
Russell 2000 Index | -16.92 | % | 7.71 | % | 10.83 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort Russell2000 | 1.09 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (196 | %) | |||||
Futures Contracts | (4 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
% of Index | |||||||
Financials | 16.4 | % | |||||
Industrials | 15.6 | % | |||||
Health Care | 14.8 | % | |||||
Information Technology | 12.9 | % | |||||
Consumer Discretionary | 10.1 | % | |||||
Energy | 8.3 | % | |||||
Real Estate | 7.7 | % | |||||
Materials | 4.2 | % | |||||
Consumer Staples | 3.8 | % | |||||
Utilities | 3.3 | % | |||||
Communication Services | 2.9 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT RUSSELL2000 TWM :: LXXXI
ProShares UltraShort S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the S&P 500® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –8.93%1. For the same period, the Index had a total return of –0.30%2 and a volatility of 18.10%. For the period, the Fund had an average daily volume of 7,922,607 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort S&P500® from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort S&P500® | -8.93 | % | -29.50 | % | -28.98 | % | |||||||||
S&P 500 Index | -0.30 | % | 13.38 | % | 14.39 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort S&P500® | 0.90 | % | 0.90 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (199 | %) | |||||
Futures Contracts | (1 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 – Composition
% of Index | |||||||
Information Technology | 27.1 | % | |||||
Health Care | 14.4 | % | |||||
Financials | 11.2 | % | |||||
Consumer Discretionary | 10.9 | % | |||||
Communication Services | 8.8 | % | |||||
Industrials | 7.7 | % | |||||
Consumer Staples | 6.5 | % | |||||
Energy | 4.8 | % | |||||
Utilities | 3.0 | % | |||||
Materials | 2.8 | % | |||||
Real Estate | 2.8 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXXII :: SDS ULTRASHORT S&P500® :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Semiconductors (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. SemiconductorsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –38.73%1. For the same period, the Index had a total return of 2.84%2 and a volatility of 37.53%. For the period, the Fund had an average daily volume of 18,171 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the semiconductors sub-sector. Component companies are engaged in the production and distribution of semiconductors and other integrated chips, as well as other related products such as semiconductor capital equipment and mother-boards. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Semiconductors from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort Semiconductors |
-38.73 | % | -52.89 | % | -47.26 | % | |||||||||
Dow Jones U.S. Semiconductors Index |
2.84 | % | 23.18 | % | 22.66 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort Semiconductors | 2.52 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Semiconductors Index – Composition
% of Index | |||||||
Semiconductors & Semiconductor Equipment | 100 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT SEMICONDUCTORS SSG :: LXXXIII
ProShares UltraShort SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the S&P SmallCap 600® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 2.81%1. For the same period, the Index had a total return of –8.73%2 and a volatility of 21.84%. For the period, the Fund had an average daily volume of 4,462 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 600 U.S. operating companies selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counter party becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort SmallCap600 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort SmallCap600 | 2.81 | % | -31.07 | % | -31.36 | % | |||||||||
S&P SmallCap 600 Index | -8.73 | % | 9.78 | % | 12.71 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort SmallCap600 | 2.41 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P SmallCap 600 – Composition
% of Index | |||||||
Financials | 17.8 | % | |||||
Industrials | 16.4 | % | |||||
Information Technology | 13.1 | % | |||||
Consumer Discretionary | 12.0 | % | |||||
Health Care | 11.5 | % | |||||
Real Estate | 7.6 | % | |||||
Energy | 7.0 | % | |||||
Materials | 5.7 | % | |||||
Consumer Staples | 5.1 | % | |||||
Utilities | 2.0 | % | |||||
Communication Services | 1.8 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXXIV :: SDD ULTRASHORT SMALLCAP600 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Technology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. TechnologySM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –14.02%1. For the same period, the Index had a total return of –4.05%2 and a volatility of 27.46%. For the period, the Fund had an average daily volume of 27,989 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the technology industry. Component companies include, among others, those involved in computers and office equipment, software, communications technology, semiconductors, diversified technology services and Internet services. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Technology from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort Technology | -14.02 | % | -43.95 | % | -38.78 | % | |||||||||
Dow Jones U.S. Technology Index |
-4.05 | % | 20.92 | % | 19.16 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort Technology | 2.18 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Technology Index – Composition
% of Index | |||||||
Software & Services | 36.3 | % | |||||
Technology Hardware & Equipment | 25.6 | % | |||||
Semiconductors & Semiconductor Equipment | 19.7 | % | |||||
Media & Entertainment | 17.1 | % | |||||
Retailing | 0.5 | % | |||||
Health Care Equipment & Services | 0.5 | % | |||||
Telecommunication Services | 0.2 | % | |||||
Consumer Durables & Apparel | 0.1 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT TECHNOLOGY REW :: LXXXV
ProShares UltraShort Utilities (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. UtilitiesSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –32.77%1. For the same period, the Index had a total return of 17.25%2 and a volatility of 15.12%. For the period, the Fund had an average daily volume of 7,544 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the utilities industry. Component companies include, among others, electric utilities, gas utilities, multi-utilities and water utilities. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Utilities from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
One Year | Five Years | Ten Years | |||||||||||||
ProShares UltraShort Utilities | -32.77 | % | -26.54 | % | -26.69 | % | |||||||||
Dow Jones U.S. Utilities Index | 17.25 | % | 9.92 | % | 11.58 | % |
Expense Ratios**
Fund | Gross | Net | |||||||||
ProShares UltraShort Utilities | 4.17 | % | 0.95 | % |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
Investment Type | % of Net Assets | ||||||
Swap Agreements | (200 | %) | |||||
Total Exposure | (200 | %) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Utilities Index – Composition
% of Index | |||||||
Electric Utilities | 60.5 | % | |||||
Multi-Utilities | 29.1 | % | |||||
Gas Utilities | 4.4 | % | |||||
Water Utilities | 3.3 | % | |||||
Independent Power and Renewable Electricity Producers |
2.7 | % |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXXVI :: SDP ULTRASHORT UTILITIES :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: LXXXVII
As a shareholder, you incur two types of costs: (1) transaction costs for purchasing and selling shares and (2) ongoing costs, including advisory fees and other Fund expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
Actual Expenses
The actual expense examples are based on an investment of $1,000 invested at the beginning of a six-month period and held through the period ended, May 31, 2022.
The first line in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 =8.6), then multiply the result by the number in the first line under the heading "Expenses Paid During the Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended, May 31, 2022.
The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as brokerage charges. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if transaction costs were included, your costs would have been higher.
Beginning Account Value 12/1/2021 |
Ending Account Value 05/31/22 |
Expenses
Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Short 7-10 Year Treasury | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,103.40 | $ | 4.98 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Short 20+ Year Treasury | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,261.80 | $ | 5.08 | 0.90 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.44 | $ | 4.53 | 0.90 | % | |||||||||||
Short Dow30SM | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,014.10 | $ | 4.77 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Short Financials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.00 | $ | 4.78 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Short FTSE China 50 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,048.80 | $ | 4.85 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Short High Yield | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,031.70 | $ | 4.81 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Short MidCap400 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,033.60 | $ | 4.82 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Short MSCI EAFE | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,048.70 | $ | 4.85 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % |
LXXXVIII :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value 12/1/2021 |
Ending Account Value 05/31/22 |
Expenses
Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Short MSCI Emerging Markets | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,088.00 | $ | 4.95 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Short QQQ | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,202.60 | $ | 5.22 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Short Real Estate | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,035.20 | $ | 4.82 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Short Russell2000 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,121.30 | $ | 5.02 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Short S&P500® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,066.40 | $ | 4.53 | 0.88 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.54 | $ | 4.43 | 0.88 | % | |||||||||||
Short SmallCap600 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,044.30 | $ | 4.84 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra 7-10 Year Treasury | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 799.90 | $ | 4.26 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra 20+ Year Treasury | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 587.60 | $ | 3.76 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra Basic Materials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,118.90 | $ | 5.02 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra Consumer Goods | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 765.10 | $ | 4.18 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra Consumer Services | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 571.20 | $ | 3.72 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra Dow30SM | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 908.60 | $ | 4.52 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra Financials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 878.50 | $ | 4.45 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra FTSE China 50 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 642.30 | $ | 3.93 | 0.96 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.14 | $ | 4.84 | 0.96 | % |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: LXXXIX
Beginning Account Value 12/1/2021 |
Ending Account Value 05/31/22 |
Expenses
Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Ultra FTSE Europe | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 822.90 | $ | 4.32 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra Health Care | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 961.90 | $ | 4.65 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra High Yield | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 894.60 | $ | 4.49 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra Industrials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 778.80 | $ | 4.21 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra MidCap400 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 840.50 | $ | 4.36 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra MSCI Brazil Capped | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,622.30 | $ | 6.21 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra MSCI EAFE | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 834.70 | $ | 4.35 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra MSCI Emerging Markets | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 757.10 | $ | 4.16 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra MSCI Japan | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 752.50 | $ | 4.19 | 0.96 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.14 | $ | 4.84 | 0.96 | % | |||||||||||
Ultra Nasdaq Biotechnology | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 573.80 | $ | 3.73 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra Nasdaq Cloud Computing | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 388.70 | $ | 3.29 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra Nasdaq Cybersecurity | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 627.20 | $ | 3.85 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra Oil & Gas | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 2,386.40 | $ | 8.02 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra QQQ | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 579.60 | $ | 3.74 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % |
XC :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value 12/1/2021 |
Ending Account Value 05/31/22 |
Expenses
Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Ultra Real Estate | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 852.70 | $ | 4.39 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra Russell2000 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 692.80 | $ | 4.01 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra S&P500® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 801.50 | $ | 4.04 | 0.90 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.44 | $ | 4.53 | 0.90 | % | |||||||||||
Ultra Semiconductors | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 524.70 | $ | 3.61 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra SmallCap600 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 825.50 | $ | 4.32 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra Technology | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 563.40 | $ | 3.70 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra Telecommunications | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 853.60 | $ | 4.39 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
Ultra Utilities | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,283.70 | $ | 5.41 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraPro Dow30SM | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 843.90 | $ | 4.37 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraPro MidCap400 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 734.40 | $ | 4.11 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraPro QQQ | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 405.90 | $ | 3.01 | 0.86 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.64 | $ | 4.33 | 0.86 | % | |||||||||||
UltraPro Russell2000 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 542.70 | $ | 3.65 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraPro S&P500® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 688.30 | $ | 3.87 | 0.92 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.34 | $ | 4.63 | 0.92 | % | |||||||||||
UltraPro Short 20+ Year Treasury | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,934.40 | $ | 6.95 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: XCI
Beginning Account Value 12/1/2021 |
Ending Account Value 05/31/22 |
Expenses
Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraPro Short Dow30SM | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 999.90 | $ | 4.74 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraPro Short MidCap400 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.40 | $ | 4.77 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraPro Short QQQ | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,496.40 | $ | 5.91 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraPro Short Russell2000 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,262.00 | $ | 5.36 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraPro Short S&P500® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,129.90 | $ | 4.78 | 0.90 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.44 | $ | 4.53 | 0.90 | % | |||||||||||
UltraShort 7-10 Year Treasury | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,218.60 | $ | 5.25 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort 20+ Year Treasury | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,576.20 | $ | 5.72 | 0.89 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.49 | $ | 4.48 | 0.89 | % | |||||||||||
UltraShort Basic Materials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 790.30 | $ | 4.24 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort Consumer Goods | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,141.80 | $ | 5.07 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort Consumer Services | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,454.20 | $ | 5.81 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort Dow30SM | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.50 | $ | 4.78 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort Financials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.90 | $ | 4.78 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort FTSE China 50 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 970.80 | $ | 4.67 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort FTSE Europe | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,062.80 | $ | 4.89 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % |
XCII :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value 12/1/2021 |
Ending Account Value 05/31/22 |
Expenses
Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraShort Health Care | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 956.50 | $ | 4.63 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort Industrials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,154.30 | $ | 5.10 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort MidCap400 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,043.90 | $ | 4.84 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort MSCI Brazil Capped | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 504.30 | $ | 3.56 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort MSCI EAFE | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,100.20 | $ | 4.97 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort MSCI Emerging Markets | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,157.70 | $ | 5.11 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort MSCI Japan | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,214.90 | $ | 5.25 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort Nasdaq Biotechnology | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,424.50 | $ | 5.74 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort Oil & Gas | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 339.30 | $ | 3.17 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort QQQ | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,377.70 | $ | 5.63 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort Real Estate | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,052.70 | $ | 4.86 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort Russell2000 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,214.00 | $ | 5.24 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort S&P500® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,112.90 | $ | 4.74 | 0.90 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.44 | $ | 4.53 | 0.90 | % | |||||||||||
UltraShort Semiconductors | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,199.90 | $ | 5.21 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: XCIII
Beginning Account Value 12/1/2021 |
Ending Account Value 05/31/22 |
Expenses
Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraShort SmallCap600 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,061.80 | $ | 4.88 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort Technology | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,362.20 | $ | 5.59 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||
UltraShort Utilities | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 731.00 | $ | 4.10 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % |
* Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 182/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).
XCIV :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: 1
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 79.4% | |||||||||||
Repurchase Agreements (a) — 35.7% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $61,356,691 (Cost $61,355,455) |
$ | 61,355,455 | $ | 61,355,455 | |||||||
U.S. Treasury Obligations — 43.7% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.35%, 6/2/2022 (b) | 50,000,000 | 49,999,283 | |||||||||
1.00%, 8/18/2022 (b) | 25,000,000 | 24,943,464 | |||||||||
Total U.S. Treasury Obligations (Cost $74,945,482) |
74,942,747 | ||||||||||
Total Short-Term Investments (Cost $136,300,937) |
136,298,202 | ||||||||||
Total Investments — 79.4% (Cost $136,300,937) |
136,298,202 | ||||||||||
Other assets less liabilities — 20.6% | 35,418,452 | ||||||||||
Net Assets — 100.0% | $ | 171,716,654 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 2,651,665 | |||||
Aggregate gross unrealized depreciation | (3,107,678 | ) | |||||
Net unrealized depreciation | $ | (456,013 | ) | ||||
Federal income tax cost | $ | 136,300,937 |
Futures Contracts Sold
Short 7-10 Year Treasury had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
U.S. Treasury 10 Year Note | 13 | 9/21/2022 | USD | $ | 1,552,078 | $ | 11,352 |
Swap Agreementsa
Short 7-10 Year Treasury had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value
and Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(24,359,919 | ) | 11/7/2022 | Bank of America NA |
(0.34 | )% | ICE U.S. Treasury 7-10 Year Bond Index |
2,640,313 | (2,640,313 | ) | — | — | ||||||||||||||||||||||||
(145,880,177 | ) | 2/17/2023 | Citibank NA | (0.36 | )% | ICE U.S. Treasury 7-10 Year Bond Index |
(3,104,943 | ) | — | 3,104,943 | — | ||||||||||||||||||||||||
(170,240,096 | ) | (464,630 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
2,640,313 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(3,104,943 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
2 :: TBX SHORT 7-10 YEAR TREASURY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT 7-10 YEAR TREASURY TBX :: 3
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 100.5% | |||||||||||
Repurchase Agreements (a) — 11.8% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $79,738,792 (Cost $79,737,186) |
$ | 79,737,186 | $ | 79,737,186 | |||||||
U.S. Treasury Obligations (b) — 88.7% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.36%, 6/2/2022 (c) | 110,000,000 | 109,998,426 | |||||||||
0.35%, 6/9/2022 (c) | 10,000,000 | 9,998,822 | |||||||||
0.28%, 6/16/2022 (c) | 100,000,000 | 99,975,885 | |||||||||
0.53%, 6/21/2022 (c) | 100,000,000 | 99,967,222 | |||||||||
0.64%, 6/30/2022 (c) | 50,000,000 | 49,972,611 | |||||||||
0.10%, 8/11/2022 (c) | 140,000,000 | 139,715,606 | |||||||||
0.08%, 9/8/2022 (c) | 30,000,000 | 29,907,342 | |||||||||
0.51%, 11/3/2022 (c) | 35,000,000 | 34,786,240 | |||||||||
0.69%, 12/29/2022 (c) | 25,000,000 | 24,768,472 | |||||||||
Total U.S. Treasury Obligations (Cost $599,721,195) |
599,090,626 | ||||||||||
Total Short-Term Investments (Cost $679,458,381) |
678,827,812 | ||||||||||
Total Investments — 100.5% (Cost $679,458,381) |
678,827,812 | ||||||||||
Liabilities in excess of other assets — (0.5%) | (3,664,877 | ) | |||||||||
Net Assets — 100.0% | $ | 675,162,935 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $75,855,520.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 8,462,131 | |||||
Aggregate gross unrealized depreciation | (8,001,351 | ) | |||||
Net unrealized appreciation | $ | 460,780 | |||||
Federal income tax cost | $ | 679,458,381 |
Futures Contracts Sold
Short 20+ Year Treasury had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
U.S. Treasury Long Bond | 90 | 9/21/2022 | USD | $ | 12,540,938 | $ | 136,935 |
4 :: TBF SHORT 20+ YEAR TREASURY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Short 20+ Year Treasury had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(290,397,121 | ) | 2/17/2023 | Citibank NA | (0.38 | )% | ICE U.S. Treasury 20+ Year Bond Index |
(7,370,782 | ) | 7,370,782 | — | — | ||||||||||||||||||||||||
(193,549,892 | ) | 1/16/2023 | Goldman Sachs International |
(0.41 | )% | ICE U.S. Treasury 20+ Year Bond Index |
2,824,366 | — | — | 2,824,366 | |||||||||||||||||||||||||
(188,935,475 | ) | 1/16/2024 | Societe Generale |
(0.55 | )% | ICE U.S. Treasury 20+ Year Bond Index |
5,500,830 | (2,110,603 | ) | (5,505 | ) | 3,384,722 | |||||||||||||||||||||||
(672,882,488 | ) | 954,414 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
8,325,196 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(7,370,782 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT 20+ YEAR TREASURY TBF :: 5
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 95.3% | |||||||||||
Repurchase Agreements (a) — 17.3% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $44,245,372 (Cost $44,244,479) |
$ | 44,244,479 | $ | 44,244,479 | |||||||
U.S. Treasury Obligations (b) — 78.0% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.34%, 6/2/2022 (c) | 35,000,000 | 34,999,499 | |||||||||
0.37%, 6/7/2022 (c) | 5,000,000 | 4,999,592 | |||||||||
0.35%, 6/9/2022 (c) | 10,000,000 | 9,998,822 | |||||||||
0.55%, 6/23/2022 (c) | 10,000,000 | 9,996,524 | |||||||||
0.58%, 6/30/2022 (c) | 10,000,000 | 9,994,522 | |||||||||
0.07%, 8/11/2022 (c) | 50,000,000 | 49,898,431 | |||||||||
0.09%, 9/8/2022 (c) | 45,000,000 | 44,861,013 | |||||||||
0.51%, 11/3/2022 (c) | 35,000,000 | 34,786,240 | |||||||||
Total U.S. Treasury Obligations (Cost $199,897,107) |
199,534,643 | ||||||||||
Total Short-Term Investments (Cost $244,141,586) |
243,779,122 | ||||||||||
Total Investments — 95.3% (Cost $244,141,586) |
243,779,122 | ||||||||||
Other assets less liabilities — 4.7% | 11,957,753 | ||||||||||
Net Assets — 100.0% | $ | 255,736,875 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $9,440,776.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 10,908,993 | |||||
Aggregate gross unrealized depreciation | (475,339 | ) | |||||
Net unrealized appreciation | $ | 10,433,654 | |||||
Federal income tax cost | $ | 244,141,586 |
Futures Contracts Sold
Short Dow30SM had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
DJIA CBOT E-Mini Index | 99 | 6/17/2022 | USD | $ | 16,320,645 | $ | 818,524 |
6 :: DOG SHORT DOW30SM :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Short Dow30SM had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(84,058,826 | ) | 5/8/2023 | Bank of America NA |
(1.03 | )% | Dow Jones Industrial AverageSM |
388,006 | (6,031 | ) | — | 381,975 |
||||||||||||||||||||||||
(3,496,953 | ) | 11/6/2023 | Barclays Capital | (1.03 | )% | Dow Jones Industrial AverageSM |
(17,535 | ) | — | — | (17,535 | ) | |||||||||||||||||||||||
(75,613,355 | ) | 5/8/2023 | BNP Paribas SA | (1.13 | )% | Dow Jones Industrial AverageSM |
4,675,016 | (4,253,181 | ) | (1,856 | ) | 419,979 | |||||||||||||||||||||||
(9,699,095 | ) | 4/10/2023 | Citibank NA | (1.31 | )% | Dow Jones Industrial AverageSM |
(95,340 | ) | 95,340 | — | — | ||||||||||||||||||||||||
(9,930,026 | ) | 3/7/2023 | Goldman Sachs International |
(1.18 | )% | Dow Jones Industrial AverageSM |
945,888 | (945,888 | ) | — | — | ||||||||||||||||||||||||
(3,562,933 | ) | 3/7/2023 | Societe Generale | (0.93 | )% | Dow Jones Industrial AverageSM |
76,148 | (73,696 | ) | (2,452 | ) | — | |||||||||||||||||||||||
(52,978,900 | ) | 3/7/2023 | UBS AG | (1.03 | )% | Dow Jones Industrial AverageSM |
4,005,411 | — | (3,670,000 | ) | 335,411 | ||||||||||||||||||||||||
(239,340,088 | ) | 9,977,594 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
10,090,469 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(112,875 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT DOW30SM DOG :: 7
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 85.8% | |||||||||||
Repurchase Agreements (a) — 85.8% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $15,866,330 (Cost $15,866,010) |
$ | 15,866,010 | $ | 15,866,010 | |||||||
Total Investments — 85.8% (Cost $15,866,010) |
15,866,010 | ||||||||||
Other assets less liabilities — 14.2% | 2,627,805 | ||||||||||
Net Assets — 100.0% | $ | 18,493,815 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 661,249 | |||||
Aggregate gross unrealized depreciation | (372,033 | ) | |||||
Net unrealized appreciation | $ | 289,216 | |||||
Federal income tax cost | $ | 15,866,010 |
Swap Agreementsa
Short Financials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(3,622,384 | ) | 5/8/2023 | Bank of America NA |
(0.73 | )% | Dow Jones U.S.
FinancialsSM Indexf |
(28,223 | ) | — | 28,223 | — | ||||||||||||||||||||||||
(7,244,768 | ) | 5/8/2023 | BNP Paribas SA | (1.03 | )% | Dow Jones U.S. FinancialsSM Indexf |
464,934 | (464,934 | ) | — | — | ||||||||||||||||||||||||
(1,050,491 | ) | 4/10/2023 | Citibank NA | (0.98 | )% | Dow Jones U.S.
FinancialsSM Indexf |
95,464 | — | — | 95,464 | |||||||||||||||||||||||||
(726,789 | ) | 3/7/2023 | Goldman Sachs International |
(0.93 | )% | Dow Jones U.S.
FinancialsSM Indexf |
82,879 | — | — | 82,879 | |||||||||||||||||||||||||
(891,723 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.48 | )% | Dow Jones U.S.
FinancialsSM Indexf |
(309,542 | ) | — | 293,000 | (16,542 | ) | |||||||||||||||||||||||
(939,508 | ) | 3/7/2023 | Societe Generale | (0.93 | )% | Dow Jones U.S.
FinancialsSM Indexf |
17,972 | — | — | 17,972 | |||||||||||||||||||||||||
(4,013,139 | ) | 3/7/2023 | UBS AG | (0.93 | )% | Dow Jones U.S.
FinancialsSM Indexf |
(34,268 | ) | — | 34,268 | — | ||||||||||||||||||||||||
(18,488,802 | ) | 289,216 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
661,249 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(372,033 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
8 :: SEF SHORT FINANCIALS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the Summary Schedule of Portfolio Investments of ProShares Ultra Financials for the components of the underlying reference instrument and their relative weightings.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT FINANCIALS SEF :: 9
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 83.4% | |||||||||||
Repurchase Agreements (a) — 83.4% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $5,704,356 (Cost $5,704,241) |
$ | 5,704,241 | $ | 5,704,241 | |||||||
Total Investments — 83.4% (Cost $5,704,241) |
5,704,241 | ||||||||||
Other assets less liabilities — 16.6% | 1,132,182 | ||||||||||
Net Assets — 100.0% | $ | 6,836,423 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 243,135 | |||||
Aggregate gross unrealized depreciation | (748,096 | ) | |||||
Net unrealized depreciation | $ | (504,961 | ) | ||||
Federal income tax cost | $ | 5,704,241 |
Swap Agreementsa,f
Short FTSE China 50 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(1,322,870 | ) | 4/10/2023 | Bank of America NA |
0.67 | % | iShares® China Large-Cap ETF |
(498,146 | ) | — | 498,146 | — | ||||||||||||||||||||||||
(2,706,456 | ) | 4/10/2023 | Citibank NA |
1.92 | % | iShares® China Large-Cap ETF |
(234,853 | ) | — | 234,853 | — | ||||||||||||||||||||||||
(1,172,210 | ) | 3/7/2023 | Goldman Sachs International |
(0.33 | )% | iShares® China Large-Cap ETF |
207,599 | (207,599 | ) | — | — | ||||||||||||||||||||||||
(313,222 | ) | 3/7/2023 | Societe Generale |
0.82 | % | iShares® China Large-Cap ETF |
35,536 | (884 | ) | — | 34,652 | ||||||||||||||||||||||||
(1,315,940 | ) | 4/10/2023 | UBS AG |
0.92 | % | iShares® China Large-Cap ETF |
(15,097 | ) | — | 15,097 | — | ||||||||||||||||||||||||
(6,830,698 | ) | (504,961 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
243,135 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(748,096 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
10 :: YXI SHORT FTSE CHINA 50 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 86.4% | |||||||||||
Repurchase Agreements (a) — 20.8% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $71,482,831 (Cost $71,481,391) |
$ | 71,481,391 | $ | 71,481,391 | |||||||
U.S. Treasury Obligations — 65.6% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.34%, 6/2/2022 (b) | 45,000,000 | 44,999,356 | |||||||||
0.37%, 6/7/2022 (b) | 25,000,000 | 24,997,958 | |||||||||
0.35%, 6/9/2022 (b) | 10,000,000 | 9,998,822 | |||||||||
0.63%, 6/30/2022 (b) | 70,000,000 | 69,961,655 | |||||||||
0.71%, 7/5/2022 (b) | 75,000,000 | 74,952,188 | |||||||||
Total U.S. Treasury Obligations (Cost $224,911,266) |
224,909,979 | ||||||||||
Total Short-Term Investments (Cost $296,392,657) |
296,391,370 | ||||||||||
Total Investments — 86.4% (Cost $296,392,657) |
296,391,370 | ||||||||||
Other assets less liabilities — 13.6% | 46,650,451 | ||||||||||
Net Assets — 100.0% | $ | 343,041,821 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 2,518,852 | |||||
Aggregate gross unrealized depreciation | (592,662 | ) | |||||
Net unrealized appreciation | $ | 1,926,190 | |||||
Federal income tax cost | $ | 296,392,657 |
Swap Agreementsa,f
Short High Yield had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(153,898,804 | ) | 4/10/2023 | Citibank NA | 1.92 | % | iShares® iBoxx $ High Yield Corporate Bond ETF |
(588,720 | ) | — | 588,720 | — | ||||||||||||||||||||||||
(90,213,388 | ) | 3/7/2023 | Goldman Sachs International |
3.42 | % | iShares® iBoxx $ High Yield Corporate Bond ETF |
376,657 | — | (1,843 | ) | 374,814 | ||||||||||||||||||||||||
(98,904,250 | ) | 11/7/2022 | UBS AG | 2.17 | % | iShares® iBoxx $ High Yield Corporate Bond ETF |
2,139,540 | — | (2,030,000 | ) | 109,540 | ||||||||||||||||||||||||
(343,016,442 | ) | 1,927,477 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
2,516,197 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(588,720 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT HIGH YIELD SJB :: 11
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation and final settlement of these swap transactions as of the time the Fund calculates its NAV, which differs from the time the Fund's underlying index is calculated, one or more exchange-traded financial products are used as the reference entity, as a surrogate for the respective underlying index.
12 :: SJB SHORT HIGH YIELD :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 87.9% | |||||||||||
Repurchase Agreements (a) — 87.9% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $10,726,330 (Cost $10,726,113) |
$ | 10,726,113 | $ | 10,726,113 | |||||||
Total Investments — 87.9% (Cost $10,726,113) |
10,726,113 | ||||||||||
Other assets less liabilities — 12.1% | 1,480,272 | ||||||||||
Net Assets — 100.0% | $ | 12,206,385 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 756,159 | |||||
Aggregate gross unrealized depreciation | (212,953 | ) | |||||
Net unrealized appreciation | $ | 543,206 | |||||
Federal income tax cost | $ | 10,726,113 |
Futures Contracts Sold
Short MidCap400 had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
S&P Midcap 400 E-Mini Index | 4 | 6/17/2022 | USD | $ | 1,005,280 | $ | 4,582 |
Swap Agreementsa
Short MidCap400 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(3,998,532 | ) | 5/8/2023 | Bank of America NA |
(0.93 | )% | S&P MidCap 400® |
60,343 | (30,705 | ) | — | 29,638 | ||||||||||||||||||||||||
(1,438,465 | ) | 5/8/2023 | BNP Paribas SA |
(0.98 | )% | S&P MidCap 400® |
130,359 | — | — | 130,359 | |||||||||||||||||||||||||
(1,395,714 | ) | 4/10/2023 | Citibank NA |
(1.03 | )% | S&P MidCap 400® |
202,209 | — | (202,209 | ) | — | ||||||||||||||||||||||||
(1,269,974 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.63 | )% | S&P MidCap 400® |
(212,953 | ) | — | 212,953 | — | ||||||||||||||||||||||||
(3,095,719 | ) | 3/7/2023 | Societe Generale |
(0.56 | )% | S&P MidCap 400® |
358,666 | (358,666 | ) | — | — | ||||||||||||||||||||||||
(11,198,404 | ) | 538,624 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
751,577 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(212,953 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT MIDCAP400 MYY :: 13
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
14 :: MYY SHORT MIDCAP400 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 109.1% | |||||||||||
Repurchase Agreements (a) — 55.2% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $35,848,086 (Cost $35,847,364) |
$ | 35,847,364 | $ | 35,847,364 | |||||||
U.S. Treasury Obligations — 53.9% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.35%, 6/9/2022 (b) | 10,000,000 | 9,998,822 | |||||||||
0.55%, 6/21/2022 (b) | 25,000,000 | 24,991,806 | |||||||||
Total U.S. Treasury Obligations (Cost $34,991,549) |
34,990,628 | ||||||||||
Total Short-Term Investments (Cost $70,838,913) |
70,837,992 | ||||||||||
Total Investments — 109.1% (Cost $70,838,913) |
70,837,992 | ||||||||||
Liabilities in excess of other assets — (9.1%) | (5,879,578 | ) | |||||||||
Net Assets — 100.0% | $ | 64,958,414 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,225,695 | |||||
Aggregate gross unrealized depreciation | (1,381,559 | ) | |||||
Net unrealized depreciation | $ | (155,864 | ) | ||||
Federal income tax cost | $ | 70,838,913 |
Swap Agreementsa,f
Short MSCI EAFE had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(11,912,841 | ) | 4/10/2023 | Citibank NA |
(0.43 | )% | iShares® MSCI EAFE ETF |
259,939 | — | (190,000 | ) | 69,939 | ||||||||||||||||||||||||
(18,237,411 | ) | 3/7/2023 | Goldman Sachs International |
(0.88 | )% | iShares® MSCI EAFE ETF |
965,756 | (845,091 | ) | (756 | ) | 119,909 | |||||||||||||||||||||||
(2,858,873 | ) | 3/7/2023 | Societe Generale |
(0.03 | )% | iShares® MSCI EAFE ETF |
(575,452 | ) | — | 575,452 | — | ||||||||||||||||||||||||
(31,537,838 | ) | 3/7/2023 | UBS AG |
(0.43 | )% | iShares® MSCI EAFE ETF |
(805,186 | ) | — | 805,186 | — | ||||||||||||||||||||||||
(64,546,963 | ) | (154,943 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
1,225,695 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(1,380,638 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT MSCI EAFE EFZ :: 15
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
16 :: EFZ SHORT MSCI EAFE :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 84.9% | |||||||||||
Repurchase Agreements (a) — 84.9% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $36,553,215 (Cost $36,552,480) |
$ | 36,552,480 | $ | 36,552,480 | |||||||
Total Investments — 84.9% (Cost $36,552,480) |
36,552,480 | ||||||||||
Other assets less liabilities — 15.1% | 6,493,083 | ||||||||||
Net Assets — 100.0% | $ | 43,045,563 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 3,921,247 | |||||
Aggregate gross unrealized depreciation | (756,433 | ) | |||||
Net unrealized appreciation | $ | 3,164,814 | |||||
Federal income tax cost | $ | 36,552,480 |
Swap Agreementsa,f
Short MSCI Emerging Markets had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(2,184,036 | ) | 5/8/2023 | Bank of America NA |
(0.03 | )% | iShares® MSCI Emerging Markets ETF |
684,612 | (684,612 | ) | — | — | ||||||||||||||||||||||||
(9,655,573 | ) | 4/10/2023 | Citibank NA | (0.28 | )% | iShares® MSCI Emerging Markets ETF |
1,949,712 | — | (1,949,712 | ) | — | ||||||||||||||||||||||||
(10,698,506 | ) | 3/7/2023 | Goldman Sachs International |
(0.33 | )% | iShares® MSCI Emerging Markets ETF |
532,413 | (530,357 | ) | (2,056 | ) | — | |||||||||||||||||||||||
(492,965 | ) | 4/10/2023 | Morgan Stanley & Co. International plc |
(0.28 | )% | iShares® MSCI Emerging Markets ETF |
89,793 | — | (89,793 | ) | — | ||||||||||||||||||||||||
(8,181,956 | ) | 3/7/2023 | Societe Generale |
0.87 | % | iShares® MSCI Emerging Markets ETF |
(756,433 | ) | — | 756,433 | — | ||||||||||||||||||||||||
(11,485,984 | ) | 11/9/2022 | UBS AG | 0.27 | % | iShares® MSCI Emerging Markets ETF |
664,717 | — | (664,717 | ) | — | ||||||||||||||||||||||||
(42,699,020 | ) | 3,164,814 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
3,921,247 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(756,433 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT MSCI EMERGING MARKETS EUM :: 17
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
18 :: EUM SHORT MSCI EMERGING MARKETS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 92.7% | |||||||||||
Repurchase Agreements (a) — 11.1% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $120,638,978 (Cost $120,636,549) |
$ | 120,636,549 | $ | 120,636,549 | |||||||
U.S. Treasury Obligations (b) — 81.6% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.34%, 6/2/2022 (c) | 335,000,000 | 334,995,206 | |||||||||
0.37%, 6/7/2022 (c) | 5,000,000 | 4,999,592 | |||||||||
0.47%, 6/9/2022 (c) | 110,000,000 | 109,987,044 | |||||||||
0.14%, 6/16/2022 (c) | 55,000,000 | 54,986,737 | |||||||||
0.52%, 6/21/2022 (c) | 35,000,000 | 34,988,528 | |||||||||
0.57%, 6/23/2022 (c) | 60,000,000 | 59,979,146 | |||||||||
0.63%, 6/30/2022 (c) | 85,000,000 | 84,953,439 | |||||||||
0.07%, 7/14/2022 (c) | 20,000,000 | 19,980,228 | |||||||||
0.09%, 8/11/2022 (c) | 20,000,000 | 19,959,372 | |||||||||
0.65%, 8/18/2022 (c) | 25,000,000 | 24,943,464 | |||||||||
0.14%, 9/8/2022 (c) | 45,000,000 | 44,861,013 | |||||||||
0.51%, 11/3/2022 (c) | 50,000,000 | 49,694,628 | |||||||||
0.69%, 12/29/2022 (c) | 40,000,000 | 39,629,554 | |||||||||
Total U.S. Treasury Obligations (Cost $884,580,043) |
883,957,951 | ||||||||||
Total Short-Term Investments (Cost $1,005,216,592) |
1,004,594,500 | ||||||||||
Total Investments — 92.7% (Cost $1,005,216,592) |
1,004,594,500 | ||||||||||
Other assets less liabilities — 7.3% | 79,165,920 | ||||||||||
Net Assets — 100.0% | $ | 1,083,760,420 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $87,699,879.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 134,573,076 | |||||
Aggregate gross unrealized depreciation | (1,861,310 | ) | |||||
Net unrealized appreciation | $ | 132,711,766 | |||||
Federal income tax cost | $ | 1,005,216,592 |
Futures Contracts Sold
Short QQQ had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
NASDAQ 100 E-Mini Index | 70 | 6/17/2022 | USD | $ | 17,705,100 | $ | 3,143,700 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT QQQ PSQ :: 19
Swap Agreementsa
Short QQQ had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(146,155,318 | ) | 5/8/2023 | Bank of America NA |
(1.13 | )% | NASDAQ-100 Index® |
12,801,722 | (12,801,722 | ) | — | — | ||||||||||||||||||||||||
(10,796,353 | ) | 11/6/2023 | Barclays Capital | (1.03 | )% | NASDAQ-100 Index® |
(744,885 | ) | — | — | (744,885 | ) | |||||||||||||||||||||||
(292,032,510 | ) | 5/8/2023 | BNP Paribas SA | (1.18 | )% | NASDAQ-100 Index® |
37,159,323 | (30,645,714 | ) | (8,353 | ) | 6,505,256 | |||||||||||||||||||||||
(253,689,021 | ) | 4/10/2023 | Citibank NA | (1.31 | )% | NASDAQ-100 Index® |
17,449,953 | — | (16,660,000 | ) | 789,953 | ||||||||||||||||||||||||
(138,860,826 | ) | 3/7/2023 | Goldman Sachs International |
(1.18 | )% | NASDAQ-100 Index® |
24,528,524 | (24,506,574 | ) | (21,950 | ) | — | |||||||||||||||||||||||
(60,543,017 | ) | 5/8/2023 | J.P. Morgan Securities |
(0.98 | )% | NASDAQ-100 Index® |
18,475,791 | — | (18,291,000 | ) | 184,791 | ||||||||||||||||||||||||
(75,953,737 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.63 | )% | NASDAQ-100 Index® |
(494,333) |
494,333 | — | — | |||||||||||||||||||||||||
(47,471,086 | ) | 3/7/2023 | Societe Generale |
(1.38 | )% | NASDAQ-100 Index® |
5,273,396 | (5,273,396 | ) | — | — | ||||||||||||||||||||||||
(40,514,492 | ) | 3/7/2023 | UBS AG | (0.98 | )% | NASDAQ-100 Index® |
15,740,667 | — | (15,740,667 | ) | — | ||||||||||||||||||||||||
(1,066,016,360 | ) | 130,190,158 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
131,429,376 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(1,239,218 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
20 :: PSQ SHORT QQQ :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 92.0% | |||||||||||
Repurchase Agreements (a) — 92.0% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $14,964,542 (Cost $14,964,240) |
$ | 14,964,240 | $ | 14,964,240 | |||||||
Total Investments — 92.0% (Cost $14,964,240) |
14,964,240 | ||||||||||
Other assets less liabilities — 8.0% | 1,294,898 | ||||||||||
Net Assets — 100.0% | $ | 16,259,138 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 326,028 | |||||
Aggregate gross unrealized depreciation | (425,896 | ) | |||||
Net unrealized depreciation | $ | (99,868 | ) | ||||
Federal income tax cost | $ | 14,964,240 |
Swap Agreementsa
Short Real Estate had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(3,506,261 | ) | 5/8/2023 | Bank of America NA |
(1.18 | )% | Dow Jones U.S. Real EstateSM Index |
178,899 | (178,899 | ) | — | — | ||||||||||||||||||||||||
(6,251,733 | ) | 5/8/2023 | BNP Paribas SA | (1.03 | )% | Dow Jones U.S. Real EstateSM Index |
13,444 | — | — | 13,444 | |||||||||||||||||||||||||
(1,999,721 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.48 | )% | Dow Jones U.S. Real EstateSM Index |
(404,789 | ) | — | 404,789 | — | ||||||||||||||||||||||||
(2,204,475 | ) | 3/7/2023 | Societe Generale |
(0.88 | )% | Dow Jones U.S. Real EstateSM Index |
133,685 | (133,685 | ) | — | — | ||||||||||||||||||||||||
(2,222,984 | ) | 3/7/2023 | UBS AG | (0.58 | )% | Dow Jones U.S. Real EstateSM Index |
(21,107 | ) | — | 21,107 | — | ||||||||||||||||||||||||
(16,185,174 | ) | (99,868 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
326,028 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(425,896 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT REAL ESTATE REK :: 21
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 89.2% | |||||||||||
Repurchase Agreements (a) — 14.3% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $65,008,160 (Cost $65,006,851) |
$ | 65,006,851 | $ | 65,006,851 | |||||||
U.S. Treasury Obligations (b) — 74.9% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.34%, 6/2/2022 (c) | 60,000,000 | 59,999,142 | |||||||||
0.35%, 6/9/2022 (c) | 50,000,000 | 49,994,111 | |||||||||
0.51%, 6/21/2022 (c) | 25,000,000 | 24,991,806 | |||||||||
0.64%, 6/30/2022 (c) | 50,000,000 | 49,972,611 | |||||||||
0.39%, 7/21/2022 (c) | 25,000,000 | 24,970,833 | |||||||||
0.07%, 8/11/2022 (c) | 30,000,000 | 29,939,058 | |||||||||
0.83%, 8/18/2022 (c) | 50,000,000 | 49,886,927 | |||||||||
0.51%, 11/3/2022 (c) | 25,000,000 | 24,847,314 | |||||||||
0.69%, 12/29/2022 (c) | 25,000,000 | 24,768,472 | |||||||||
Total U.S. Treasury Obligations (Cost $339,700,903) |
339,370,274 | ||||||||||
Total Short-Term Investments (Cost $404,707,754) |
404,377,125 | ||||||||||
Total Investments — 89.2% (Cost $404,707,754) |
404,377,125 | ||||||||||
Other assets less liabilities — 10.8% | 48,906,490 | ||||||||||
Net Assets — 100.0% | $ | 453,283,615 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $43,959,308.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 48,950,569 | |||||
Aggregate gross unrealized depreciation | (1,177,109 | ) | |||||
Net unrealized appreciation | $ | 47,773,460 | |||||
Federal income tax cost | $ | 404,707,754 |
Futures Contracts Sold
Short Russell2000 had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
Russell 2000 E-Mini Index | 236 | 6/17/2022 | USD | $ | 21,970,420 | $ | 2,224,738 |
22 :: RWM SHORT RUSSELL2000 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Short Russell2000 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(138,697,624 | ) | 11/7/2022 | Bank of America NA |
(0.63 | )% | Russell 2000® Index |
3,226,954 | (1,576,578 | ) | — | 1,650,376 | ||||||||||||||||||||||||
(8,494,430 | ) | 11/6/2023 | Barclays Capital | (0.93 | )% | Russell 2000® Index |
(29,383 | ) | — | — | (29,383 | ) | |||||||||||||||||||||||
(62,562,775 | ) | 5/8/2023 | BNP Paribas SA | (0.68 | )% | Russell 2000® Index |
7,888,935 | (7,151,625 | ) | — | 737,310 | ||||||||||||||||||||||||
(52,951,784 | ) | 4/10/2023 | Citibank NA | (0.64 | )% | Russell 2000® Index |
5,132,039 | — | (4,470,000 | ) | 662,039 | ||||||||||||||||||||||||
(102,176,294 | ) | 3/7/2023 | Goldman Sachs International |
(0.83 | )% | Russell 2000® Index |
18,844,621 | (18,050,062 | ) | (27,419 | ) | 767,140 | |||||||||||||||||||||||
(28,898,212 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.53 | )% | Russell 2000® Index |
2,752,650 | — | (2,462,000 | ) | 290,650 | ||||||||||||||||||||||||
(22,202,581 | ) | 3/7/2023 | Societe Generale |
(0.48 | )% | Russell 2000® Index |
(817,097 | ) | 817,097 | — | — | ||||||||||||||||||||||||
(15,336,689 | ) | 3/7/2023 | UBS AG | (0.33 | )% | Russell 2000® Index |
8,880,632 | — | (8,800,000 | ) | 80,632 | ||||||||||||||||||||||||
(431,320,389 | ) | 45,879,351 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
46,725,831 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(846,480 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT RUSSELL2000 RWM :: 23
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 100.5% | |||||||||||
Repurchase Agreements (a) — 8.9% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $208,768,069 (Cost $208,763,865) |
$ | 208,763,865 | $ | 208,763,865 | |||||||
U.S. Treasury Obligations (b) — 91.6% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.33%, 6/2/2022 (c) | 290,000,000 | 289,995,850 | |||||||||
0.37%, 6/7/2022 (c) | 75,000,000 | 74,993,875 | |||||||||
0.44%, 6/9/2022 (c) | 175,000,000 | 174,979,388 | |||||||||
0.32%, 6/16/2022 (c) | 255,000,000 | 254,938,507 | |||||||||
0.51%, 6/21/2022 (c) | 100,000,000 | 99,967,222 | |||||||||
0.56%, 6/23/2022 (c) | 175,000,000 | 174,939,175 | |||||||||
0.55%, 6/28/2022 (c) | 200,000,000 | 199,893,124 | |||||||||
0.60%, 6/30/2022 (c) | 150,000,000 | 149,917,833 | |||||||||
0.71%, 7/5/2022 (c) | 100,000,000 | 99,936,250 | |||||||||
0.07%, 7/14/2022 (c) | 85,000,000 | 84,915,969 | |||||||||
0.39%, 7/21/2022 (c) | 100,000,000 | 99,883,333 | |||||||||
0.10%, 8/11/2022 (c) | 100,000,000 | 99,796,861 | |||||||||
0.78%, 8/18/2022 (c) | 200,000,000 | 199,547,708 | |||||||||
0.11%, 9/8/2022 (c) | 50,000,000 | 49,845,570 | |||||||||
0.51%, 11/3/2022 (c) | 75,000,000 | 74,541,943 | |||||||||
0.69%, 12/29/2022 (c) | 25,000,000 | 24,768,472 | |||||||||
Total U.S. Treasury Obligations (Cost $2,153,933,050) |
2,152,861,080 | ||||||||||
Total Short-Term Investments (Cost $2,362,696,915) |
2,361,624,945 | ||||||||||
Total Investments — 100.5% (Cost $2,362,696,915) |
2,361,624,945 | ||||||||||
Liabilities in excess of other assets — (0.5%) | (11,166,217 | ) | |||||||||
Net Assets — 100.0% | $ | 2,350,458,728 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $188,822,211.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 108,734,598 | |||||
Aggregate gross unrealized depreciation | (6,107,731 | ) | |||||
Net unrealized appreciation | $ | 102,626,867 | |||||
Federal income tax cost | $ | 2,362,696,915 |
Futures Contracts Sold
Short S&P500® had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
S&P 500 E-Mini Index | 124 | 6/17/2022 | USD | $ | 25,613,750 | $ | 2,095,719 |
24 :: SH SHORT S&P500® :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Short S&P500® had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(538,803,435 | ) | 5/8/2023 | Bank of America NA |
(1.08 | )% | S&P 500® |
46,174,945 | (44,653,486 | ) | — | 1,521,459 | ||||||||||||||||||||||||
(565,711,996 | ) | 5/8/2023 | BNP Paribas SA | (1.13 | )% | S&P 500® | 1,889,364 | (52,926 | ) | — | 1,836,438 | ||||||||||||||||||||||||
(222,425,370 | ) | 4/10/2023 | Citibank NA | (1.31 | )% | S&P 500® | 13,227,423 | — | (11,844,133 | ) | 1,383,290 | ||||||||||||||||||||||||
(351,943,480 | ) | 3/7/2023 | Goldman Sachs International |
(1.18 | )% | S&P 500® |
18,882,077 | (17,103,699 | ) | (35,175 | ) | 1,743,203 | |||||||||||||||||||||||
(219,991,534 | ) | 5/8/2023 | J.P. Morgan Securities |
(0.98 | )% | S&P 500® |
14,703,642 | — | (13,329,000 | ) | 1,374,642 | ||||||||||||||||||||||||
(100,969,085 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.63 | )% | S&P 500® |
(5,032,219 | ) | 3,832,219 | 1,200,000 | — | ||||||||||||||||||||||||
(255,709,838 | ) | 3/7/2023 | Societe Generale |
(1.03 | )% | S&P 500® |
5,884,916 | (4,690,060 | ) | — | 1,194,856 | ||||||||||||||||||||||||
(69,365,196 | ) | 3/7/2023 | UBS AG | (0.98 | )% | S&P 500® | 5,872,970 | — | (5,440,000 | ) | 432,970 | ||||||||||||||||||||||||
(2,324,919,934 | ) | 101,603,118 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
106,635,337 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(5,032,219 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT S&P500® SH :: 25
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 89.2% | |||||||||||
Repurchase Agreements (a) — 89.2% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $6,309,642 (Cost $6,309,515) |
$ | 6,309,515 | $ | 6,309,515 | |||||||
Total Investments — 89.2% (Cost $6,309,515) |
6,309,515 | ||||||||||
Other assets less liabilities — 10.8% | 761,676 | ||||||||||
Net Assets — 100.0% | $ | 7,071,191 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 287,375 | |||||
Aggregate gross unrealized depreciation | (332,228 | ) | |||||
Net unrealized depreciation | $ | (44,853 | ) | ||||
Federal income tax cost | $ | 6,309,515 |
Swap Agreementsa
Short SmallCap600 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(2,389,670 | ) | 11/7/2022 | Bank of America NA |
(0.83 | )% | S&P SmallCap 600® |
(48,866 | ) | — | 48,866 | — | ||||||||||||||||||||||||
(1,159,002 | ) | 4/10/2023 | Citibank NA | (0.98 | )% | S&P SmallCap 600® |
184,563 | — | — | 184,563 | |||||||||||||||||||||||||
(2,224,098 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.48 | )% | S&P SmallCap 600® |
(127,270 | ) | — | 127,270 | — | ||||||||||||||||||||||||
(913,116 | ) | 3/7/2023 | Societe Generale |
(0.48 | )% | S&P SmallCap 600® |
102,812 | — | — | 102,812 | |||||||||||||||||||||||||
(384,274 | ) | 11/7/2022 | UBS AG | (0.68 | )% | S&P SmallCap 600® |
(156,092 | ) | — | 117,000 | (39,092 | ) | |||||||||||||||||||||||
(7,070,160 | ) | (44,853 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
287,375 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(332,228 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
26 :: SBB SHORT SMALLCAP600 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 97.2% | |||||||||||
Repurchase Agreements (a) — 97.2% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $17,385,220 (Cost $17,384,871) |
$ | 17,384,871 | $ | 17,384,871 | |||||||
Total Investments — 97.2% (Cost $17,384,871) |
17,384,871 | ||||||||||
Other assets less liabilities — 2.8% | 497,461 | ||||||||||
Net Assets — 100.0% | $ | 17,882,332 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | — | |||||
Aggregate gross unrealized depreciation | (3,261,171 | ) | |||||
Net unrealized depreciation | $ | (3,261,171 | ) | ||||
Federal income tax cost | $ | 17,384,871 |
Futures Contracts Purchased
Ultra 7-10 Year Treasury had the following open long futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Depreciation |
|||||||||||||||||||
U.S. Treasury 10 Year Note | 1 | 9/21/2022 | USD | $ | 119,391 | $ | (877 | ) |
Swap Agreementsa
Ultra 7-10 Year Treasury had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
21,015,314 | 8/8/2022 | Citibank NA | 0.68 | % | ICE U.S. Treasury 7-10 Year Bond Index |
(1,671,361 | ) | — | 1,671,361 | — | |||||||||||||||||||||||||
14,718,178 | 11/6/2023 | Goldman Sachs International |
0.61 | % | ICE U.S. Treasury 7-10 Year Bond Index |
(1,588,933 | ) | — | 1,588,933 | — | |||||||||||||||||||||||||
35,733,492 | (3,260,294 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(3,260,294 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA 7-10 YEAR TREASURY UST :: 27
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
28 :: UST ULTRA 7-10 YEAR TREASURY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 97.0% | |||||||||||
Repurchase Agreements (a) — 97.0% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $35,089,298 (Cost $35,088,590) |
$ | 35,088,590 | $ | 35,088,590 | |||||||
Total Investments — 97.0% (Cost $35,088,590) |
35,088,590 | ||||||||||
Other assets less liabilities — 3.0% | 1,100,084 | ||||||||||
Net Assets — 100.0% | $ | 36,188,674 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | — | |||||
Aggregate gross unrealized depreciation | (376,108 | ) | |||||
Net unrealized depreciation | $ | (376,108 | ) | ||||
Federal income tax cost | $ | 35,088,590 |
Futures Contracts Purchased
Ultra 20+ Year Treasury had the following open long futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Depreciation |
|||||||||||||||||||
U.S. Treasury Long Bond | 2 | 9/21/2022 | USD | $ | 278,688 | $ | (3,004 | ) |
Swap Agreementsa
Ultra 20+ Year Treasury had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
15,500,805 | 1/16/2023 | Bank of America NA |
0.53 | % | ICE U.S. Treasury 20+ Year Bond Index |
(68,213 | ) | — | 68,213 | — | |||||||||||||||||||||||||
35,443,306 | 2/17/2023 | Citibank NA | 0.75 | % | ICE U.S. Treasury 20+ Year Bond Index |
(209,152 | ) | — | 209,152 | — | |||||||||||||||||||||||||
21,051,171 | 1/16/2024 | Societe Generale | 0.97 | % | ICE U.S. Treasury 20+ Year Bond Index |
(95,739 | ) | — | 95,739 | — | |||||||||||||||||||||||||
71,995,282 | (373,104 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(373,104 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA 20+ YEAR TREASURY UBT :: 29
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
30 :: UBT ULTRA 20+ YEAR TREASURY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Shares | Value | |||||||||
Common Stocks (a) — 76.7% | |||||||||||
Chemicals — 57.9% | |||||||||||
Air Products and Chemicals, Inc. | 11,735 | $ | 2,888,688 | ||||||||
Albemarle Corp. | 6,198 | 1,614,083 | |||||||||
Ashland Global Holdings, Inc. | 2,802 | 299,870 | |||||||||
Axalta Coating Systems Ltd.* | 11,361 | 308,565 | |||||||||
Celanese Corp. | 5,719 | 895,138 | |||||||||
CF Industries Holdings, Inc. | 11,353 | 1,121,336 | |||||||||
Chemours Co. (The) | 8,469 | 364,929 | |||||||||
Corteva, Inc. | 38,491 | 2,410,306 | |||||||||
Dow, Inc. | 38,937 | 2,646,937 | |||||||||
DuPont de Nemours, Inc. | 27,159 | 1,842,738 | |||||||||
Eastman Chemical Co. | 6,831 | 752,503 | |||||||||
Ecolab, Inc. | 13,195 | 2,162,793 | |||||||||
Element Solutions, Inc. | 11,535 | 245,580 | |||||||||
FMC Corp. | 6,709 | 822,389 | |||||||||
Ginkgo Bioworks Holdings, Inc.*(b) | 61,053 | 188,043 | |||||||||
Huntsman Corp. | 10,961 | 397,336 | |||||||||
Ingevity Corp.* | 2,082 | 145,074 | |||||||||
International Flavors & Fragrances, Inc. |
13,480 | 1,781,652 | |||||||||
Linde plc | 27,130 | 8,808,569 | |||||||||
LyondellBasell Industries NV, Class A | 13,917 | 1,590,017 | |||||||||
Mosaic Co. (The) | 19,615 | 1,228,880 | |||||||||
NewMarket Corp. | 362 | 119,286 | |||||||||
Olin Corp. | 7,475 | 491,780 | |||||||||
PPG Industries, Inc. | 12,566 | 1,589,473 | |||||||||
RPM International, Inc. | 6,863 | 604,630 | |||||||||
Scotts Miracle-Gro Co. (The) (b) | 2,146 | 203,055 | |||||||||
Valvoline, Inc. | 9,494 | 317,669 | |||||||||
Westlake Corp. | 1,759 | 232,382 | |||||||||
36,073,701 | |||||||||||
Metals & Mining — 18.7% | |||||||||||
Alcoa Corp. | 9,744 | 601,400 | |||||||||
Cleveland-Cliffs, Inc.* | 25,308 | 586,639 | |||||||||
Commercial Metals Co. | 6,434 | 255,623 | |||||||||
Freeport-McMoRan, Inc. | 77,693 | 3,036,242 | |||||||||
MP Materials Corp.* | 3,955 | 155,946 | |||||||||
Newmont Corp. | 42,213 | 2,864,152 | |||||||||
Nucor Corp. | 14,407 | 1,908,351 | |||||||||
Reliance Steel & Aluminum Co. | 3,317 | 644,825 | |||||||||
Royal Gold, Inc. | 3,475 | 392,953 | |||||||||
Steel Dynamics, Inc. | 9,996 | 853,459 | |||||||||
United States Steel Corp. | 13,833 | 346,793 | |||||||||
11,646,383 | |||||||||||
Paper & Forest Products — 0.1% | |||||||||||
Sylvamo Corp.* | 1,866 | 94,681 | |||||||||
Total Common Stocks (Cost $47,781,090) |
47,814,765 |
Investments | Shares | Value | |||||||||
Securities Lending Reinvestments (c) — 0.4% | |||||||||||
Investment Companies — 0.4% | |||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $221,659) |
221,659 | $ | 221,659 | ||||||||
Principal Amount |
|||||||||||
Short-Term Investments — 13.6% | |||||||||||
Repurchase Agreements (d) — 13.6% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $8,434,379 (Cost $8,434,210) |
$ | 8,434,210 | 8,434,210 | ||||||||
Total Investments — 90.7% (Cost $56,436,959) |
56,470,634 | ||||||||||
Other assets less liabilities — 9.3% | 5,758,160 | ||||||||||
Net Assets — 100.0% | $ | 62,228,794 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $20,089,068.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $193,247, collateralized in the form of cash with a value of $221,659 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $5,975 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 3.00%, and maturity dates ranging from August 11, 2022 - May 15, 2049. The total value of collateral is $227,634.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $221,659.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 4,482,732 | |||||
Aggregate gross unrealized depreciation | (5,425,095 | ) | |||||
Net unrealized depreciation | $ | (942,363 | ) | ||||
Federal income tax cost | $ | 56,619,660 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA BASIC MATERIALS UYM :: 31
Swap Agreementsa
Ultra Basic Materials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
15,512,705 | 5/8/2023 | Bank of America NA |
1.18 | % | Dow Jones U.S. Basic MaterialsSM Index |
323,207 | (323,207 | ) | — | — | |||||||||||||||||||||||||
10,215,226 | 4/10/2023 | Citibank NA | 1.13 | % | Dow Jones U.S. Basic MaterialsSM Index |
350,892 | — | (269,999 | ) | 80,893 | |||||||||||||||||||||||||
15,682,674 | 3/7/2023 | Goldman Sachs International |
1.43 | % | Dow Jones U.S. Basic MaterialsSM Index |
(50,291 | ) | — | 50,291 | — | |||||||||||||||||||||||||
119,945 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.43 | % | Dow Jones U.S. Basic MaterialsSM Index |
23,053 | — | (8,000 | ) | 15,053 | |||||||||||||||||||||||||
9,580,825 | 3/7/2023 | Societe Generale | 1.38 | % | Dow Jones U.S. Basic MaterialsSM Index |
(680,936 | ) | 676,050 | 4,886 | — | |||||||||||||||||||||||||
25,528,402 | 3/7/2023 | UBS AG | 1.18 | % | Dow Jones U.S. Basic MaterialsSM Index |
(759,262 | ) | 504,960 | 254,302 | — | |||||||||||||||||||||||||
76,639,777 | (793,337 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
697,152 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(1,490,489 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
32 :: UYM ULTRA BASIC MATERIALS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Shares | Value | |||||||||
Common Stocks (a) — 84.9% | |||||||||||
Auto Components — 1.8% | |||||||||||
Aptiv plc* | 575 | $ | 61,088 | ||||||||
Autoliv, Inc. | 165 | 13,213 | |||||||||
BorgWarner, Inc. | 513 | 20,684 | |||||||||
Fox Factory Holding Corp.* | 91 | 7,464 | |||||||||
Gentex Corp. | 503 | 15,633 | |||||||||
Lear Corp. | 126 | 17,761 | |||||||||
Luminar Technologies, Inc.*(b) | 484 | 5,005 | |||||||||
QuantumScape Corp.*(b) | 545 | 6,971 | |||||||||
147,819 | |||||||||||
Automobiles — 19.6% | |||||||||||
Ford Motor Co. | 8,383 | 114,680 | |||||||||
General Motors Co.* | 3,095 | 119,715 | |||||||||
Harley-Davidson, Inc. | 327 | 11,504 | |||||||||
Lucid Group, Inc.*(b) | 1,195 | 24,115 | |||||||||
Rivian Automotive, Inc., Class A* | 341 | 10,707 | |||||||||
Tesla, Inc.* | 1,784 | 1,352,736 | |||||||||
Thor Industries, Inc. | 119 | 9,040 | |||||||||
1,642,497 | |||||||||||
Beverages — 15.4% | |||||||||||
Boston Beer Co., Inc. (The), Class A* | 24 | 8,527 | |||||||||
Brown-Forman Corp., Class B | 387 | 25,589 | |||||||||
Coca-Cola Co. (The) | 8,269 | 524,089 | |||||||||
Constellation Brands, Inc., Class A | 351 | 86,160 | |||||||||
Keurig Dr Pepper, Inc. | 1,568 | 54,472 | |||||||||
Molson Coors Beverage Co., Class B | 399 | 22,280 | |||||||||
Monster Beverage Corp.* | 802 | 71,474 | |||||||||
National Beverage Corp. | 53 | 2,630 | |||||||||
PepsiCo, Inc. | 2,946 | 494,192 | |||||||||
1,289,413 | |||||||||||
Distributors — 0.9% | |||||||||||
Genuine Parts Co. | 303 | 41,429 | |||||||||
Pool Corp. | 85 | 33,883 | |||||||||
75,312 | |||||||||||
Entertainment — 3.1% | |||||||||||
Activision Blizzard, Inc. | 1,656 | 128,969 | |||||||||
Electronic Arts, Inc. | 601 | 83,329 | |||||||||
Playtika Holding Corp.* | 219 | 3,243 | |||||||||
ROBLOX Corp., Class A* | 92 | 2,755 | |||||||||
Take-Two Interactive Software, Inc.* | 339 | 42,216 | |||||||||
260,512 | |||||||||||
Food & Staples Retailing — 0.4% | |||||||||||
Performance Food Group Co.* | 330 | 14,302 | |||||||||
US Foods Holding Corp.* | 474 | 15,699 | |||||||||
30,001 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Food Products — 10.9% | |||||||||||
Archer-Daniels-Midland Co. | 1,193 | $ | 108,348 | ||||||||
Beyond Meat, Inc.*(b) | 128 | 3,386 | |||||||||
Bunge Ltd. | 297 | 35,141 | |||||||||
Campbell Soup Co. | 430 | 20,601 | |||||||||
Conagra Brands, Inc. | 1,020 | 33,548 | |||||||||
Darling Ingredients, Inc.* | 343 | 27,464 | |||||||||
Flowers Foods, Inc. | 426 | 11,758 | |||||||||
Freshpet, Inc.* | 102 | 7,341 | |||||||||
General Mills, Inc. | 1,284 | 89,687 | |||||||||
Hain Celestial Group, Inc. (The)* | 198 | 5,217 | |||||||||
Hershey Co. (The) | 312 | 66,054 | |||||||||
Hormel Foods Corp. | 598 | 29,105 | |||||||||
Ingredion, Inc. | 140 | 13,257 | |||||||||
J M Smucker Co. (The) | 230 | 28,835 | |||||||||
Kellogg Co. | 543 | 37,869 | |||||||||
Kraft Heinz Co. (The) | 1,508 | 57,048 | |||||||||
Lamb Weston Holdings, Inc. | 311 | 21,017 | |||||||||
Lancaster Colony Corp. | 41 | 4,998 | |||||||||
McCormick & Co., Inc. (Non-Voting) | 531 | 49,234 | |||||||||
Mondelez International, Inc., Class A | 2,958 | 188,010 | |||||||||
Pilgrim's Pride Corp.* | 106 | 3,532 | |||||||||
Post Holdings, Inc.* | 123 | 10,114 | |||||||||
Seaboard Corp. | 1 | 4,139 | |||||||||
Tyson Foods, Inc., Class A | 623 | 55,827 | |||||||||
911,530 | |||||||||||
Household Durables — 3.2% | |||||||||||
Cricut, Inc., Class A*(b) | 80 | 651 | |||||||||
DR Horton, Inc. | 690 | 51,854 | |||||||||
Helen of Troy Ltd.* | 48 | 8,889 | |||||||||
Leggett & Platt, Inc. | 283 | 11,085 | |||||||||
Lennar Corp., Class A | 560 | 44,940 | |||||||||
Lennar Corp., Class B | 36 | 2,418 | |||||||||
Mohawk Industries, Inc.* | 117 | 16,551 | |||||||||
Newell Brands, Inc. | 805 | 17,259 | |||||||||
NVR, Inc.* | 7 | 31,154 | |||||||||
PulteGroup, Inc. | 527 | 23,852 | |||||||||
Tempur Sealy International, Inc. | 413 | 10,891 | |||||||||
Toll Brothers, Inc. | 238 | 12,012 | |||||||||
TopBuild Corp.* | 68 | 13,414 | |||||||||
Whirlpool Corp. | 124 | 22,846 | |||||||||
267,816 | |||||||||||
Household Products — 13.0% | |||||||||||
Church & Dwight Co., Inc. | 512 | 46,111 | |||||||||
Clorox Co. (The) | 263 | 38,230 | |||||||||
Colgate-Palmolive Co. | 1,795 | 141,464 | |||||||||
Energizer Holdings, Inc. | 139 | 4,168 | |||||||||
Kimberly-Clark Corp. | 714 | 94,976 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA CONSUMER GOODS UGE :: 33
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Procter & Gamble Co. (The) | 5,102 | $ | 754,484 | ||||||||
Reynolds Consumer Products, Inc. (b) | 117 | 3,185 | |||||||||
1,082,618 | |||||||||||
Leisure Products — 1.1% | |||||||||||
Brunswick Corp. | 166 | 12,488 | |||||||||
Callaway Golf Co.* | 253 | 5,493 | |||||||||
Hasbro, Inc. | 277 | 24,861 | |||||||||
Mattel, Inc.* | 743 | 18,664 | |||||||||
Peloton Interactive, Inc., Class A*(b) | 644 | 8,990 | |||||||||
Polaris, Inc. | 124 | 13,212 | |||||||||
YETI Holdings, Inc.* | 187 | 8,555 | |||||||||
92,263 | |||||||||||
Machinery — 0.5% | |||||||||||
Stanley Black & Decker, Inc. | 347 | 41,185 | |||||||||
Personal Products — 1.7% | |||||||||||
Coty, Inc., Class A* | 731 | 5,183 | |||||||||
Estee Lauder Cos., Inc. (The), Class A | 496 | 126,306 | |||||||||
Herbalife Nutrition Ltd.* | 206 | 4,489 | |||||||||
Olaplex Holdings, Inc.* | 150 | 2,418 | |||||||||
138,396 | |||||||||||
Textiles, Apparel & Luxury Goods — 6.6% | |||||||||||
Capri Holdings Ltd.* | 314 | 15,304 | |||||||||
Carter's, Inc. | 92 | 7,089 | |||||||||
Columbia Sportswear Co. | 75 | 5,833 | |||||||||
Crocs, Inc.* | 124 | 6,914 | |||||||||
Deckers Outdoor Corp.* | 59 | 15,845 | |||||||||
Hanesbrands, Inc. | 747 | 8,867 | |||||||||
Levi Strauss & Co., Class A | 212 | 3,850 | |||||||||
Lululemon Athletica, Inc.* | 253 | 74,051 | |||||||||
NIKE, Inc., Class B | 2,718 | 323,034 | |||||||||
PVH Corp. | 152 | 10,772 | |||||||||
Ralph Lauren Corp. | 98 | 9,907 | |||||||||
Skechers USA, Inc., Class A* | 286 | 11,268 | |||||||||
Tapestry, Inc. | 563 | 19,424 | |||||||||
Under Armour, Inc., Class A* | 400 | 4,232 | |||||||||
Under Armour, Inc., Class C* | 457 | 4,433 | |||||||||
VF Corp. | 685 | 34,565 | |||||||||
555,388 | |||||||||||
Tobacco — 6.7% | |||||||||||
Altria Group, Inc. | 3,879 | 209,815 | |||||||||
Philip Morris International, Inc. | 3,299 | 350,519 | |||||||||
560,334 | |||||||||||
Total Common Stocks (Cost $8,301,008) |
7,095,084 |
Investments | Shares | Value | |||||||||
Securities Lending Reinvestments (c) — 0.6% | |||||||||||
Investment Companies — 0.6% | |||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $48,530) |
48,530 | $ | 48,530 | ||||||||
Principal Amount |
|||||||||||
Short-Term Investments — 25.4% | |||||||||||
Repurchase Agreements (d) — 25.4% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $2,127,410 (Cost $2,127,367) |
$ | 2,127,367 | 2,127,367 | ||||||||
Total Investments — 110.9% (Cost $10,476,905) |
9,270,981 | ||||||||||
Liabilities in excess of other assets — (10.9%) | (909,195 | ) | |||||||||
Net Assets — 100.0% | $ | 8,361,786 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $5,713,834.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $34,576, collateralized in the form of cash with a value of $48,530 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $9,065 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 30, 2022 - August 15, 2050. The total value of collateral is $57,595.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $48,530.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,067,639 | |||||
Aggregate gross unrealized depreciation | (3,695,806 | ) | |||||
Net unrealized depreciation | $ | (2,628,167 | ) | ||||
Federal income tax cost | $ | 10,482,064 |
34 :: UGE ULTRA CONSUMER GOODS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Ultra Consumer Goods had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
996,858 | 5/8/2023 | Bank of America NA |
1.08 | % | Dow Jones U.S. Consumer GoodsSM Index |
(456,064 | ) | 456,064 | — | — | |||||||||||||||||||||||||
3,443,110 | 11/7/2022 | Citibank NA | 1.13 | % | Dow Jones U.S. Consumer GoodsSM Index |
736,392 | — | (600,000 | ) | 136,392 | |||||||||||||||||||||||||
596,198 | 11/6/2023 | Credit Suisse International |
1.38 | % | Dow Jones U.S. Consumer GoodsSM Index |
(81,353 | ) | — | 81,353 | — | |||||||||||||||||||||||||
1,563,344 | 3/7/2023 | Goldman Sachs International |
1.43 | % | Dow Jones U.S. Consumer GoodsSM Index |
(340,825 | ) | 309,512 | 31,313 | — | |||||||||||||||||||||||||
1,799,320 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.43 | % | Dow Jones U.S. Consumer GoodsSM Index |
(15,937 | ) | 4,137 | 11,800 | — | |||||||||||||||||||||||||
747,259 | 3/7/2023 | Societe Generale | 1.38 | % | Dow Jones U.S. Consumer GoodsSM Index |
(592,087 | ) | 590,070 | 2,017 | — | |||||||||||||||||||||||||
475,528 | 3/7/2023 | UBS AG | 1.18 | % | Dow Jones U.S. Consumer GoodsSM Index |
(667,210 | ) | 300,847 | 366,363 | — | |||||||||||||||||||||||||
9,621,617 | (1,417,084 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
736,392 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(2,153,476 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA CONSUMER GOODS UGE :: 35
Investments | Shares | Value | |||||||||
Common Stocks (a) — 89.4% | |||||||||||
Airlines — 1.8% | |||||||||||
Alaska Air Group, Inc.* | 351 | $ | 16,939 | ||||||||
American Airlines Group, Inc.* | 1,805 | 32,256 | |||||||||
Delta Air Lines, Inc.* | 1,783 | 74,333 | |||||||||
JetBlue Airways Corp.* | 886 | 9,516 | |||||||||
Joby Aviation, Inc.*(b) | 739 | 4,360 | |||||||||
Southwest Airlines Co.* | 1,651 | 75,715 | |||||||||
United Airlines Holdings, Inc.* | 902 | 42,962 | |||||||||
256,081 | |||||||||||
Commercial Services & Supplies — 0.8% | |||||||||||
Copart, Inc.* | 595 | 68,146 | |||||||||
IAA, Inc.* | 375 | 14,636 | |||||||||
Rollins, Inc. | 631 | 22,375 | |||||||||
105,157 | |||||||||||
Distributors — 0.3% | |||||||||||
LKQ Corp. | 747 | 38,388 | |||||||||
Diversified Consumer Services — 0.8% | |||||||||||
ADT, Inc. | 406 | 3,037 | |||||||||
Bright Horizons Family Solutions, Inc.* |
168 | 15,212 | |||||||||
Chegg, Inc.* | 381 | 7,414 | |||||||||
Frontdoor, Inc.* | 236 | 5,839 | |||||||||
Grand Canyon Education, Inc.* | 110 | 9,809 | |||||||||
H&R Block, Inc. | 458 | 16,140 | |||||||||
Service Corp. International | 459 | 32,144 | |||||||||
Terminix Global Holdings, Inc.* | 339 | 14,716 | |||||||||
104,311 | |||||||||||
Entertainment — 7.7% | |||||||||||
AMC Entertainment Holdings, Inc., Class A*(b) |
1,430 | 20,506 | |||||||||
Endeavor Group Holdings, Inc., Class A* |
58 | 1,318 | |||||||||
Liberty Media Corp.-Liberty Formula One, Class A* |
62 | 3,535 | |||||||||
Liberty Media Corp.-Liberty Formula One, Class C* |
568 | 35,381 | |||||||||
Live Nation Entertainment, Inc.*(b) | 376 | 35,739 | |||||||||
Madison Square Garden Sports Corp.* |
47 | 7,701 | |||||||||
Netflix, Inc.* | 1,237 | 244,233 | |||||||||
Roku, Inc.*(b) | 328 | 31,127 | |||||||||
Walt Disney Co. (The)* | 5,073 | 560,262 | |||||||||
Warner Bros Discovery, Inc.* | 6,162 | 113,689 | |||||||||
Warner Music Group Corp., Class A | 320 | 9,501 | |||||||||
World Wrestling Entertainment, Inc., Class A |
122 | 8,146 | |||||||||
1,071,138 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Food & Staples Retailing — 10.4% | |||||||||||
Albertsons Cos., Inc., Class A | 282 | $ | 8,615 | ||||||||
BJ's Wholesale Club Holdings, Inc.* | 379 | 21,933 | |||||||||
Casey's General Stores, Inc. | 104 | 21,792 | |||||||||
Costco Wholesale Corp. | 1,236 | 576,248 | |||||||||
Kroger Co. (The) | 1,864 | 98,736 | |||||||||
Sprouts Farmers Market, Inc.* | 312 | 8,452 | |||||||||
Sysco Corp. | 1,414 | 119,031 | |||||||||
Walgreens Boots Alliance, Inc. | 1,996 | 87,485 | |||||||||
Walmart, Inc. | 3,942 | 507,059 | |||||||||
1,449,351 | |||||||||||
Health Care Providers & Services — 0.8% | |||||||||||
AmerisourceBergen Corp. | 420 | 65,012 | |||||||||
Cardinal Health, Inc. | 771 | 43,422 | |||||||||
108,434 | |||||||||||
Hotels, Restaurants & Leisure — 15.7% | |||||||||||
Airbnb, Inc., Class A* | 966 | 116,760 | |||||||||
Aramark | 716 | 24,680 | |||||||||
Booking Holdings, Inc.* | 114 | 255,766 | |||||||||
Boyd Gaming Corp. | 228 | 13,400 | |||||||||
Caesars Entertainment, Inc.* | 596 | 29,901 | |||||||||
Carnival Corp.* | 2,254 | 31,286 | |||||||||
Chipotle Mexican Grill, Inc.* | 78 | 109,399 | |||||||||
Choice Hotels International, Inc. | 92 | 11,766 | |||||||||
Churchill Downs, Inc. | 96 | 19,433 | |||||||||
Cracker Barrel Old Country Store, Inc. (b) |
65 | 6,631 | |||||||||
Darden Restaurants, Inc. | 356 | 44,500 | |||||||||
Domino's Pizza, Inc. | 101 | 36,680 | |||||||||
DraftKings, Inc., Class A*(b) | 968 | 13,116 | |||||||||
Dutch Bros, Inc., Class A*(b) | 66 | 2,478 | |||||||||
Expedia Group, Inc.* | 419 | 54,189 | |||||||||
Hilton Worldwide Holdings, Inc. | 777 | 109,448 | |||||||||
Hyatt Hotels Corp., Class A* | 140 | 12,375 | |||||||||
Las Vegas Sands Corp.* | 957 | 33,935 | |||||||||
Light & Wonder, Inc.* | 269 | 14,203 | |||||||||
Marriott International, Inc., Class A | 763 | 130,916 | |||||||||
Marriott Vacations Worldwide Corp. | 119 | 17,579 | |||||||||
McDonald's Corp. | 2,082 | 525,101 | |||||||||
MGM Resorts International | 1,049 | 36,684 | |||||||||
Norwegian Cruise Line Holdings Ltd.*(b) |
1,161 | 18,588 | |||||||||
Penn National Gaming, Inc.* | 463 | 14,797 | |||||||||
Planet Fitness, Inc., Class A* | 232 | 16,326 | |||||||||
Royal Caribbean Cruises Ltd.* | 625 | 36,294 | |||||||||
Starbucks Corp. | 3,206 | 251,671 | |||||||||
Texas Roadhouse, Inc. | 195 | 15,204 | |||||||||
Vail Resorts, Inc. | 112 | 28,247 |
36 :: UCC ULTRA CONSUMER SERVICES :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Wendy's Co. (The) | 492 | $ | 9,171 | ||||||||
Wyndham Hotels & Resorts, Inc. | 260 | 20,834 | |||||||||
Wynn Resorts Ltd.* | 293 | 19,367 | |||||||||
Yum! Brands, Inc. | 806 | 97,905 | |||||||||
2,178,630 | |||||||||||
Interactive Media & Services — 0.5% | |||||||||||
Pinterest, Inc., Class A* | 1,586 | 31,165 | |||||||||
TripAdvisor, Inc.* | 276 | 6,856 | |||||||||
ZoomInfo Technologies, Inc., Class A* |
842 | 34,008 | |||||||||
72,029 | |||||||||||
Internet & Direct Marketing Retail — 21.3% | |||||||||||
Amazon.com, Inc.* | 1,220 | 2,933,112 | |||||||||
ContextLogic, Inc., Class A* | 928 | 1,633 | |||||||||
Qurate Retail, Inc., Series A | 995 | 3,592 | |||||||||
Stitch Fix, Inc., Class A* | 231 | 1,956 | |||||||||
Wayfair, Inc., Class A*(b) | 217 | 12,888 | |||||||||
2,953,181 | |||||||||||
Media — 8.1% | |||||||||||
Altice USA, Inc., Class A* | 628 | 7,147 | |||||||||
Cable One, Inc. | 13 | 16,940 | |||||||||
Charter Communications, Inc., Class A* |
332 | 168,301 | |||||||||
Comcast Corp., Class A | 12,605 | 558,149 | |||||||||
DISH Network Corp., Class A*(b) | 695 | 15,867 | |||||||||
Fox Corp., Class A | 879 | 31,213 | |||||||||
Fox Corp., Class B | 406 | 13,280 | |||||||||
Interpublic Group of Cos., Inc. (The) | 1,097 | 35,356 | |||||||||
Liberty Broadband Corp., Class A* | 65 | 7,931 | |||||||||
Liberty Broadband Corp., Class C* | 394 | 49,317 | |||||||||
Liberty Media Corp.-Liberty SiriusXM, Class A* |
219 | 9,047 | |||||||||
Liberty Media Corp.-Liberty SiriusXM, Class C* |
443 | 18,207 | |||||||||
New York Times Co. (The), Class A | 465 | 16,038 | |||||||||
News Corp., Class A | 1,089 | 18,949 | |||||||||
News Corp., Class B | 337 | 5,925 | |||||||||
Nexstar Media Group, Inc., Class A | 113 | 19,800 | |||||||||
Omnicom Group, Inc. | 582 | 43,423 | |||||||||
Paramount Global, Class A (b) | 24 | 885 | |||||||||
Paramount Global, Class B | 1,691 | 58,052 | |||||||||
Sirius XM Holdings, Inc. (b) | 2,528 | 16,179 | |||||||||
TEGNA, Inc. | 616 | 13,490 | |||||||||
1,123,496 | |||||||||||
Multiline Retail — 3.5% | |||||||||||
Dollar General Corp. | 646 | 142,340 | |||||||||
Dollar Tree, Inc.* | 627 | 100,527 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Kohl's Corp. | 388 | $ | 15,644 | ||||||||
Ollie's Bargain Outlet Holdings, Inc.* | 164 | 7,703 | |||||||||
Target Corp. | 1,335 | 216,110 | |||||||||
482,324 | |||||||||||
Road & Rail — 1.0% | |||||||||||
AMERCO (b) | 27 | 13,229 | |||||||||
Lyft, Inc., Class A* | 834 | 14,745 | |||||||||
Uber Technologies, Inc.* | 4,649 | 107,857 | |||||||||
135,831 | |||||||||||
Specialty Retail — 16.7% | |||||||||||
Advance Auto Parts, Inc. | 175 | 33,226 | |||||||||
American Eagle Outfitters, Inc. | 427 | 5,171 | |||||||||
AutoNation, Inc.* | 111 | 13,271 | |||||||||
AutoZone, Inc.* | 59 | 121,519 | |||||||||
Bath & Body Works, Inc. | 718 | 29,452 | |||||||||
Best Buy Co., Inc. | 602 | 49,400 | |||||||||
Burlington Stores, Inc.* | 186 | 31,304 | |||||||||
CarMax, Inc.* | 451 | 44,771 | |||||||||
Carvana Co.*(b) | 276 | 8,125 | |||||||||
Dick's Sporting Goods, Inc. (b) | 175 | 14,215 | |||||||||
Five Below, Inc.* | 156 | 20,372 | |||||||||
Floor & Decor Holdings, Inc., Class A* |
294 | 22,179 | |||||||||
Foot Locker, Inc. | 243 | 8,014 | |||||||||
GameStop Corp., Class A*(b) | 173 | 21,580 | |||||||||
Gap, Inc. (The) | 592 | 6,530 | |||||||||
Home Depot, Inc. (The) | 2,909 | 880,700 | |||||||||
Lithia Motors, Inc. | 84 | 25,576 | |||||||||
Lowe's Cos., Inc. | 1,878 | 366,773 | |||||||||
Murphy USA, Inc. | 63 | 15,695 | |||||||||
National Vision Holdings, Inc.* | 230 | 6,472 | |||||||||
O'Reilly Automotive, Inc.* | 188 | 119,788 | |||||||||
Penske Automotive Group, Inc. | 84 | 9,672 | |||||||||
Petco Health & Wellness Co., Inc.*(b) | 227 | 3,623 | |||||||||
RH* | 48 | 13,924 | |||||||||
Ross Stores, Inc. | 984 | 83,660 | |||||||||
TJX Cos., Inc. (The) | 3,324 | 211,307 | |||||||||
Tractor Supply Co. | 317 | 59,393 | |||||||||
Ulta Beauty, Inc.* | 151 | 63,888 | |||||||||
Victoria's Secret & Co.* | 201 | 8,283 | |||||||||
Williams-Sonoma, Inc. | 202 | 25,840 | |||||||||
2,323,723 | |||||||||||
Total Common Stocks (Cost $16,538,445) |
12,402,074 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA CONSUMER SERVICES UCC :: 37
Investments | Shares | Value | |||||||||
Securities Lending Reinvestments (c) — 0.2% | |||||||||||
Investment Companies — 0.2% | |||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $26,435) |
26,435 | $ | 26,435 | ||||||||
Principal Amount |
|||||||||||
Short-Term Investments — 28.1% | |||||||||||
Repurchase Agreements (d) — 28.1% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $3,904,123 (Cost $3,904,044) |
$ | 3,904,044 | 3,904,044 | ||||||||
Total Investments — 117.7% (Cost $20,468,924) |
16,332,553 | ||||||||||
Liabilities in excess of other assets — (17.7%) | (2,458,808 | ) | |||||||||
Net Assets — 100.0% | $ | 13,873,745 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $9,005,647.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $116,228, collateralized in the form of cash with a value of $26,435 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $97,748 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 4.75%, and maturity dates ranging from June 9, 2022 - November 15, 2051. The total value of collateral is $124,183.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $26,435.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 238,110 | |||||
Aggregate gross unrealized depreciation | (11,810,077 | ) | |||||
Net unrealized depreciation | $ | (11,571,967 | ) | ||||
Federal income tax cost | $ | 20,509,763 |
Swap Agreementsa
Ultra Consumer Services had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
3,658,070 | 5/8/2023 | Bank of America NA |
1.13 | % | Dow Jones U.S. Consumer ServicesSM Index |
(1,994,991 | ) | 1,453,849 | 541,142 | — | |||||||||||||||||||||||||
2,572,159 | 5/8/2023 | BNP Paribas SA | 1.33 | % | Dow Jones U.S. Consumer ServicesSM Index |
(728,677 | ) | 235,737 | 492,940 | — | |||||||||||||||||||||||||
2,384,501 | 11/7/2022 | Citibank NA | 1.13 | % | Dow Jones U.S. Consumer ServicesSM Index |
(834,020 | ) | — | 834,020 | — | |||||||||||||||||||||||||
287,741 | 3/7/2023 | Goldman Sachs International |
1.43 | % | Dow Jones U.S. Consumer ServicesSM Index |
(1,211,377 | ) | 1,084,996 | 126,381 | — | |||||||||||||||||||||||||
372,813 | 11/6/2023 | Morgan Stanley & Co. International plc |
1.43 | % | Dow Jones U.S. Consumer ServicesSM Index |
(219,541 | ) | — | 201,617 | (17,924 | ) | ||||||||||||||||||||||||
4,829,053 | 3/7/2023 | Societe Generale | 1.38 | % | Dow Jones U.S. Consumer ServicesSM Index |
(1,306,926 | ) | 752,076 | 554,850 | — |
38 :: UCC ULTRA CONSUMER SERVICES :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid
(Received)c |
Reference Instrument |
Value
and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
1,244,795 | 3/7/2023 | UBS AG | 1.18 | % | Dow Jones U.S. Consumer ServicesSM Index |
(1,099,225 | ) | — | 1,099,225 | — | |||||||||||||||||||||||||
15,349,132 | (7,394,757 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(7,394,757 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA CONSUMER SERVICES UCC :: 39
Investments | Shares | Value | |||||||||
Common Stocks (a) — 87.3% | |||||||||||
Aerospace & Defense — 2.3% | |||||||||||
Boeing Co. (The)* | 67,228 | $ | 8,833,759 | ||||||||
Banks — 2.3% | |||||||||||
JPMorgan Chase & Co. | 67,231 | 8,889,955 | |||||||||
Beverages — 1.1% | |||||||||||
Coca-Cola Co. (The) | 67,224 | 4,260,657 | |||||||||
Biotechnology — 4.5% | |||||||||||
Amgen, Inc. | 67,229 | 17,260,373 | |||||||||
Capital Markets — 5.7% | |||||||||||
Goldman Sachs Group, Inc. (The) | 67,229 | 21,973,799 | |||||||||
Chemicals — 1.2% | |||||||||||
Dow, Inc. | 67,217 | 4,569,412 | |||||||||
Communications Equipment — 0.8% | |||||||||||
Cisco Systems, Inc. | 67,223 | 3,028,396 | |||||||||
Consumer Finance — 2.9% | |||||||||||
American Express Co. | 67,232 | 11,350,106 | |||||||||
Diversified Telecommunication Services — 0.9% | |||||||||||
Verizon Communications, Inc. | 67,223 | 3,447,868 | |||||||||
Entertainment — 1.9% | |||||||||||
Walt Disney Co. (The)* | 67,220 | 7,423,777 | |||||||||
Food & Staples Retailing — 3.0% | |||||||||||
Walgreens Boots Alliance, Inc. | 67,230 | 2,946,691 | |||||||||
Walmart, Inc. | 67,225 | 8,647,152 | |||||||||
11,593,843 | |||||||||||
Health Care Providers & Services — 8.7% | |||||||||||
UnitedHealth Group, Inc. | 67,229 | 33,398,023 | |||||||||
Hotels, Restaurants & Leisure — 4.4% | |||||||||||
McDonald's Corp. | 67,229 | 16,955,826 | |||||||||
Household Products — 2.6% | |||||||||||
Procter & Gamble Co. (The) | 67,222 | 9,940,789 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Industrial Conglomerates — 6.0% | |||||||||||
3M Co. | 67,224 | $ | 10,035,871 | ||||||||
Honeywell International, Inc. | 67,231 | 13,017,266 | |||||||||
23,053,137 | |||||||||||
Insurance — 3.1% | |||||||||||
Travelers Cos., Inc. (The) | 67,231 | 12,037,038 | |||||||||
IT Services — 6.1% | |||||||||||
International Business Machines Corp. (b) |
67,222 | 9,333,102 | |||||||||
Visa, Inc., Class A | 67,227 | 14,263,553 | |||||||||
23,596,655 | |||||||||||
Machinery — 3.8% | |||||||||||
Caterpillar, Inc. | 67,235 | 14,512,675 | |||||||||
Oil, Gas & Consumable Fuels — 3.0% | |||||||||||
Chevron Corp. | 67,221 | 11,740,820 | |||||||||
Pharmaceuticals — 4.7% | |||||||||||
Johnson & Johnson | 67,225 | 12,068,904 | |||||||||
Merck & Co., Inc. | 67,219 | 6,186,165 | |||||||||
18,255,069 | |||||||||||
Semiconductors & Semiconductor Equipment — 0.8% | |||||||||||
Intel Corp. | 67,216 | 2,985,735 | |||||||||
Software — 7.5% | |||||||||||
Microsoft Corp. | 67,229 | 18,277,548 | |||||||||
Salesforce, Inc.* | 67,227 | 10,772,455 | |||||||||
29,050,003 | |||||||||||
Specialty Retail — 5.3% | |||||||||||
Home Depot, Inc. (The) | 67,229 | 20,353,580 | |||||||||
Technology Hardware, Storage & Peripherals — 2.6% | |||||||||||
Apple, Inc. | 67,227 | 10,006,067 | |||||||||
Textiles, Apparel & Luxury Goods — 2.1% | |||||||||||
NIKE, Inc., Class B | 67,223 | 7,989,453 | |||||||||
Total Common Stocks (Cost $363,790,759) |
336,506,815 |
40 :: DDM ULTRA DOW30SM :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 23.2% | |||||||||||
Repurchase Agreements (c) — 23.2% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $89,651,654 (Cost $89,649,849) |
$ | 89,649,849 | $ | 89,649,849 | |||||||
Total Investments — 110.5% (Cost $453,440,608) |
426,156,664 | ||||||||||
Liabilities in excess of other assets — (10.5%) | (40,564,566 | ) | |||||||||
Net Assets — 100.0% | $ | 385,592,098 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $111,302,099.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,130,296, collateralized in the form of U.S. Government Treasury Securities, interest rate 0.00%, and maturity dates ranging from June 9, 2022 - November 3, 2022. The total value of collateral is $1,158,448.
(c) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 15,827,536 | |||||
Aggregate gross unrealized depreciation | (86,278,993 | ) | |||||
Net unrealized depreciation | $ | (70,451,457 | ) | ||||
Federal income tax cost | $ | 454,668,841 |
Futures Contracts Purchased
Ultra Dow30SM had the following open long futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Depreciation |
|||||||||||||||||||
DJIA CBOT E-Mini Index | 220 | 6/17/2022 | USD | $ | 36,268,100 | $ | (18,976 | ) |
Swap Agreementsa
Ultra Dow30SM had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value
and Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
67,002,934 | 5/8/2023 | Bank of America NA |
1.23 | % | Dow Jones Industrial AverageSM |
(11,331,549 | ) | 11,124,435 | 207,114 | — | |||||||||||||||||||||||||
2,507,249 | 11/6/2023 | Barclays Capital | 1.43 | % | Dow Jones Industrial AverageSM |
4,217 | — | — | 4,217 | ||||||||||||||||||||||||||
43,480,978 | 5/8/2023 | BNP Paribas SA | 1.43 | % | Dow Jones Industrial AverageSM |
(7,649,499 | ) | 7,618,614 | 30,885 | — | |||||||||||||||||||||||||
79,638,150 | 11/7/2022 | Citibank NA | 1.49 | % | Dow
Jones Industrial AverageSM |
(608,193 | ) | 604,759 | 3,434 | — | |||||||||||||||||||||||||
85,345,440 | 4/10/2023 | Credit Suisse International |
1.43 | % | Dow Jones Industrial AverageSM |
(7,609,147 | ) | 4,299,075 | 3,310,072 | — |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA DOW30SM DDM :: 41
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate
Paid (Received)c |
Reference Instrument |
Value
and Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
52,809,822 | 11/6/2023 | Morgan Stanley & Co. International plc |
1.38 | % | SPDR® Dow Jones Industrial AverageSM ETF Trust |
(7,350,939 | ) | 7,339,408 | 11,531 | — | |||||||||||||||||||||||||
48,297,536 | 3/7/2023 | Societe Generale | 1.23 | % | Dow Jones Industrial AverageSM |
(5,010,314 | ) | 5,004,383 | 5,931 | — | |||||||||||||||||||||||||
19,332,210 | 3/7/2023 | UBS AG | 1.33 | % | Dow
Jones Industrial AverageSM |
(2,364,880 | ) | 2,364,417 | 463 | — | |||||||||||||||||||||||||
398,414,319 | (41,920,304 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
4,217 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(41,924,521 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
42 :: DDM ULTRA DOW30SM :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) — 75.9% | |||||||||||||||
Aflac, Inc. (Insurance) | 0.4 | % | 46,425 | $ | 2,811,962 | ||||||||||
Allstate Corp. (The) (Insurance) | 0.4 | % | 21,711 | 2,967,677 | |||||||||||
American Express Co. (Consumer Finance) |
1.2 | % | 47,595 | 8,034,988 | |||||||||||
American International Group, Inc. (Insurance) |
0.6 | % | 64,257 | 3,770,601 | |||||||||||
American Tower Corp. (Equity Real Estate Investment Trusts (REITs)) |
1.3 | % | 35,237 | 9,025,253 | |||||||||||
Ameriprise Financial, Inc. (Capital Markets) |
0.4 | % | 8,582 | 2,370,949 | |||||||||||
Aon plc, Class A (Insurance) | 0.7 | % | 16,619 | 4,581,360 | |||||||||||
Arthur J Gallagher & Co. (Insurance) |
0.4 | % | 16,131 | 2,612,254 | |||||||||||
Bank of America Corp. (Banks) |
3.0 | % | 550,241 | 20,468,965 | |||||||||||
Bank of New York Mellon Corp. (The) (Capital Markets) |
0.4 | % | 57,245 | 2,668,189 | |||||||||||
Berkshire Hathaway, Inc., Class B* (Diversified Financial Services) |
6.7 | % | 141,709 | 44,777,210 | |||||||||||
BlackRock, Inc. (Capital Markets) |
1.1 | % | 11,031 | 7,380,622 | |||||||||||
Blackstone, Inc. (Capital Markets) |
1.0 | % | 54,506 | 6,420,262 | |||||||||||
Capital One Financial Corp. (Consumer Finance) |
0.6 | % | 32,027 | 4,094,972 | |||||||||||
Charles Schwab Corp. (The) (Capital Markets) |
1.2 | % | 116,373 | 8,157,747 | |||||||||||
Chubb Ltd. (Insurance) | 1.1 | % | 33,330 | 7,042,296 | |||||||||||
Citigroup, Inc. (Banks) | 1.2 | % | 153,581 | 8,202,761 | |||||||||||
CME Group, Inc. (Capital Markets) |
0.8 | % | 27,811 | 5,529,661 | |||||||||||
Crown Castle International Corp. (Equity Real Estate Investment Trusts (REITs)) |
0.9 | % | 33,444 | 6,342,655 | |||||||||||
Digital Realty Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.5 | % | 21,961 | 3,065,536 | |||||||||||
Discover Financial Services (Consumer Finance) |
0.4 | % | 22,299 | 2,530,713 | |||||||||||
Equinix, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.7 | % | 6,966 | 4,786,269 | |||||||||||
Goldman Sachs Group, Inc. (The) (Capital Markets) |
1.3 | % | 26,267 | 8,585,369 | |||||||||||
Intercontinental Exchange, Inc. (Capital Markets) |
0.7 | % | 43,475 | 4,451,405 | |||||||||||
JPMorgan Chase & Co. (Banks) |
4.5 | % | 228,673 | 30,237,431 | |||||||||||
KKR & Co., Inc. (Capital Markets) |
0.4 | % | 45,265 | 2,480,975 | |||||||||||
M&T Bank Corp. (Banks) | 0.4 | % | 13,865 | 2,495,284 | |||||||||||
Marsh & McLennan Cos., Inc. (Insurance) |
0.9 | % | 39,069 | 6,249,087 |
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
Mastercard, Inc., Class A (IT Services) |
3.6 | % | 66,783 | $ | 23,899,632 | ||||||||||
MetLife, Inc. (Insurance) | 0.5 | % | 54,296 | 3,659,007 | |||||||||||
Moody's Corp. (Capital Markets) |
0.6 | % | 12,516 | 3,774,450 | |||||||||||
Morgan Stanley (Capital Markets) |
1.4 | % | 109,692 | 9,448,869 | |||||||||||
MSCI, Inc. (Capital Markets) | 0.4 | % | 6,289 | 2,781,939 | |||||||||||
PNC Financial Services Group, Inc. (The) (Banks) |
0.9 | % | 32,505 | 5,701,702 | |||||||||||
Progressive Corp. (The) (Insurance) |
0.8 | % | 45,221 | 5,398,483 | |||||||||||
Prologis, Inc. (Equity Real Estate Investment Trusts (REITs)) |
1.1 | % | 57,262 | 7,299,760 | |||||||||||
Prudential Financial, Inc. (Insurance) |
0.5 | % | 29,248 | 3,107,600 | |||||||||||
Public Storage (Equity Real Estate Investment Trusts (REITs)) |
0.6 | % | 11,804 | 3,902,875 | |||||||||||
Realty Income Corp. (Equity Real Estate Investment Trusts (REITs)) |
0.4 | % | 43,779 | 2,986,603 | |||||||||||
S&P Global, Inc. (Capital Markets) |
1.4 | % | 27,407 | 9,578,198 | |||||||||||
SBA Communications Corp. (Equity Real Estate Investment Trusts (REITs)) |
0.4 | % | 8,416 | 2,832,910 | |||||||||||
Simon Property Group, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.4 | % | 25,428 | 2,915,320 | |||||||||||
T. Rowe Price Group, Inc. (Capital Markets) |
0.3 | % | 17,734 | 2,253,814 | |||||||||||
Travelers Cos., Inc. (The) (Insurance) |
0.5 | % | 18,665 | 3,341,782 | |||||||||||
Truist Financial Corp. (Banks) | 0.8 | % | 103,290 | 5,137,645 | |||||||||||
US Bancorp (Banks) | 0.8 | % | 104,492 | 5,545,390 | |||||||||||
Visa, Inc., Class A (IT Services) | 4.0 | % | 128,326 | 27,226,928 | |||||||||||
Wells Fargo & Co. (Banks) | 2.1 | % | 300,675 | 13,761,895 | |||||||||||
Welltower, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.4 | % | 33,680 | 3,000,551 | |||||||||||
Weyerhaeuser Co. (Equity Real Estate Investment Trusts (REITs)) |
0.3 | % | 57,824 | 2,285,205 | |||||||||||
Other Common Stocks (b) | 20.5 | % | 2,925,137 | 137,094,155 | |||||||||||
Total Common Stocks (Cost $559,634,392) |
509,077,166 | ||||||||||||||
Securities Lending Reinvestments (c) — 0.1% | |||||||||||||||
Investment Companies — 0.1% | |||||||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $687,211) |
0.1 | % | 687,211 | 687,211 |
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA FINANCIALS UYG :: 43
Principal
Amount |
Value | ||||||||||
Short-Term Investments — 2.0% | |||||||||||
Repurchase Agreements (d) — 2.0% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $13,710,523 (Cost $13,710,246) |
$ | 13,710,246 | $ | 13,710,246 | |||||||
Total Investments — 78.0% (Cost $574,031,849) |
523,474,623 | ||||||||||
Other assets less liabilities — 22.0% | 148,048,054 | ||||||||||
Net Assets — 100.0% | $ | 671,522,677 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $72,813,856.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $4,056,340, collateralized in the form of cash with a value of $687,211 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $3,522,213 of collateral in the form of
U.S. Government Treasury Securities, interest rates ranging from 0.00% - 4.75%, and maturity dates ranging from June 9, 2022 - November 15, 2051. The total value of collateral is $4,209,424.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $687,211.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 157,002,074 | |||||
Aggregate gross unrealized depreciation | (61,669,363 | ) | |||||
Net unrealized appreciation | $ | 95,332,711 | |||||
Federal income tax cost | $ | 574,284,503 |
Swap Agreementsa
Ultra Financials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Appreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
39,567,223 | 11/7/2022 | Bank of America NA |
1.38 | % | Dow Jones U.S. FinancialsSM Indexf |
48,899,207 | (48,899,207 | ) | — | — | |||||||||||||||||||||||||
112,808,745 | 11/7/2022 | BNP Paribas SA |
1.43 | % | Dow Jones U.S. FinancialsSM Indexf |
16,459,474 | (16,354,146 | ) | (105,328 | ) | — | ||||||||||||||||||||||||
33,084,697 | 11/6/2023 | Citibank NA |
1.53 | % | Dow Jones U.S. FinancialsSM Indexf |
25,017,836 | — | (25,017,836 | ) | — | |||||||||||||||||||||||||
63,698,467 | 4/10/2023 | Credit Suisse International |
1.38 | % | Dow Jones U.S. FinancialsSM Indexf |
4,146,042 | — | (4,146,042 | ) | — | |||||||||||||||||||||||||
102,789,385 | 4/10/2023 | Goldman Sachs International |
1.43 | % | Dow Jones U.S. FinancialsSM Indexf |
6,134,590 | (6,134,590 | ) | — | — | |||||||||||||||||||||||||
38,779,548 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.43 | % | Dow Jones U.S. FinancialsSM Indexf |
5,175,410 | — | (5,041,000 | ) | 134,410 | |||||||||||||||||||||||||
381,990,412 | 4/10/2023 | Societe Generale |
1.58 | % | Dow Jones U.S. FinancialsSM Indexf |
24,823,514 | (24,770,361 | ) | (53,153 | ) | — | ||||||||||||||||||||||||
61,062,604 | 11/7/2022 | UBS AG |
1.48 | % | Dow Jones U.S. FinancialsSM Indexf |
15,486,518 | (9,756,518 | ) | (5,730,000 | ) | — | ||||||||||||||||||||||||
833,781,081 | 146,142,591 | ||||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
146,142,591 |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
44 :: UYG ULTRA FINANCIALS :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the preceding Schedule of Portfolio Investments for the representative components of the underlying reference instrument and their relative weightings.
Ultra Financials invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
Banks | 17.5 | % | |||||
Capital Markets | 14.1 | % | |||||
Consumer Finance | 2.9 | % | |||||
Diversified Financial Services | 7.2 | % | |||||
Equity Real Estate Investment Trusts (REITs) | 14.6 | % | |||||
Insurance | 10.5 | % | |||||
IT Services | 7.6 | % | |||||
Mortgage Real Estate Investment Trusts (REITs) | 0.4 | % | |||||
Professional Services | 0.3 | % | |||||
Real Estate Management & Development | 0.6 | % | |||||
Thrifts & Mortgage Finance | 0.2 | % | |||||
Othera | 24.1 | % | |||||
100.0 | % |
a Includes any non-equity securities and net other assets (liabilities).
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA FINANCIALS UYG :: 45
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 39.1% | |||||||||||
Repurchase Agreements (a) — 39.1% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $4,077,177 (Cost $4,077,094) |
$ | 4,077,094 | $ | 4,077,094 | |||||||
Total Investments — 39.1% (Cost $4,077,094) |
4,077,094 | ||||||||||
Other assets less liabilities — 60.9% | 6,346,982 | ||||||||||
Net Assets — 100.0% | $ | 10,424,076 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | — | |||||
Aggregate gross unrealized depreciation | (12,060,166 | ) | |||||
Net unrealized depreciation | $ | (12,060,166 | ) | ||||
Federal income tax cost | $ | 4,077,094 |
Swap Agreementsa,f
Ultra FTSE China 50 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
3,361,268 | 11/9/2022 | Bank of America NA |
1.03 | % | iShares® China Large-Cap ETF |
(6,583,858 | ) | — | 6,583,858 | — | |||||||||||||||||||||||||
2,108,487 | 4/10/2023 | Citibank NA | 0.08 | % | iShares® China Large-Cap ETF |
(366,466 | ) | — | 366,466 | — | |||||||||||||||||||||||||
5,383,752 | 3/7/2023 | Goldman Sachs International |
1.13 | % | iShares® China Large-Cap ETF |
(1,501,943 | ) | — | 1,501,943 | — | |||||||||||||||||||||||||
72,543 | 4/10/2023 | Morgan Stanley & Co. International plc |
1.28 | % | iShares® China Large-Cap ETF |
(16,704 | ) | — | 16,704 | — | |||||||||||||||||||||||||
7,596,654 | 3/7/2023 | Societe Generale | 0.48 | % | iShares® China Large-Cap ETF |
(1,685,496 | ) | — | 1,685,496 | — | |||||||||||||||||||||||||
2,384,420 | 3/7/2023 | UBS AG | (0.17 | )% | iShares® China Large-Cap ETF |
(1,905,699 | ) | — | 1,905,699 | — | |||||||||||||||||||||||||
20,907,124 | (12,060,166 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(12,060,166 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
46 :: XPP ULTRA FTSE CHINA 50 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 67.9% | |||||||||||
Repurchase Agreements (a) — 67.9% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $2,695,844 (Cost $2,695,790) |
$ | 2,695,790 | $ | 2,695,790 | |||||||
Total Investments — 67.9% (Cost $2,695,790) |
2,695,790 | ||||||||||
Other assets less liabilities — 32.1% | 1,273,660 | ||||||||||
Net Assets — 100.0% | $ | 3,969,450 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 56,204 | |||||
Aggregate gross unrealized depreciation | (1,147,564 | ) | |||||
Net unrealized depreciation | $ | (1,091,360 | ) | ||||
Federal income tax cost | $ | 2,695,790 |
Swap Agreementsa,f
Ultra FTSE Europe had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value
and Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
490,431 | 11/9/2022 | Bank of America NA |
1.13 | % | Vanguard® FTSE Europe ETF Shares |
(84,671 | ) | — | 84,671 | — | |||||||||||||||||||||||||
2,450,145 | 4/10/2023 | Citibank NA | 1.03 | % | Vanguard® FTSE Europe ETF Shares |
56,204 | — | — | 56,204 | ||||||||||||||||||||||||||
1,287,806 | 3/7/2023 | Goldman Sachs International |
0.68 | % | Vanguard® FTSE Europe ETF Shares |
(220,438 | ) | — | 220,438 | — | |||||||||||||||||||||||||
21,306 | 11/9/2023 | Morgan Stanley & Co. International plc |
1.28 | % | Vanguard® FTSE Europe ETF Shares |
(3,239 | ) | — | — | (3,239 | ) | ||||||||||||||||||||||||
3,098,783 | 3/7/2023 | Societe Generale | 0.88 | % | Vanguard® FTSE Europe ETF Shares |
(675,992 | ) | — | 675,992 | — | |||||||||||||||||||||||||
598,924 | 3/7/2023 | UBS AG | 0.83 | % | Vanguard® FTSE Europe ETF Shares |
(163,224 | ) | — | 163,224 | — | |||||||||||||||||||||||||
7,947,395 | (1,091,360 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
56,204 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(1,147,564 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA FTSE EUROPE UPV :: 47
Investments | Shares | Value | |||||||||
Common Stocks (a) — 90.2% | |||||||||||
Biotechnology — 15.0% | |||||||||||
AbbVie, Inc. | 34,916 | $ | 5,145,571 | ||||||||
ACADIA Pharmaceuticals, Inc.* | 2,313 | 37,355 | |||||||||
Agios Pharmaceuticals, Inc.* | 1,072 | 20,872 | |||||||||
Alkermes plc* | 3,193 | 95,311 | |||||||||
Allogene Therapeutics, Inc.* | 1,461 | 11,586 | |||||||||
Alnylam Pharmaceuticals, Inc.* | 2,375 | 298,775 | |||||||||
Amgen, Inc. | 11,123 | 2,855,719 | |||||||||
Arrowhead Pharmaceuticals, Inc.* | 2,082 | 69,455 | |||||||||
Beam Therapeutics, Inc.* | 890 | 31,310 | |||||||||
Biogen, Inc.* | 2,903 | 580,600 | |||||||||
Biohaven Pharmaceutical Holding Co. Ltd.* |
1,213 | 174,344 | |||||||||
BioMarin Pharmaceutical, Inc.* | 3,626 | 272,421 | |||||||||
Blueprint Medicines Corp.* | 1,164 | 64,020 | |||||||||
Bridgebio Pharma, Inc.* | 2,123 | 14,500 | |||||||||
CRISPR Therapeutics AG* | 1,391 | 80,748 | |||||||||
Denali Therapeutics, Inc.*(b) | 1,830 | 44,451 | |||||||||
Emergent BioSolutions, Inc.* | 947 | 31,213 | |||||||||
Exact Sciences Corp.*(b) | 3,430 | 170,848 | |||||||||
Exelixis, Inc.* | 6,247 | 114,507 | |||||||||
Fate Therapeutics, Inc.* | 1,601 | 36,983 | |||||||||
Gilead Sciences, Inc. | 24,776 | 1,606,724 | |||||||||
Halozyme Therapeutics, Inc.*(b) | 2,781 | 127,870 | |||||||||
Horizon Therapeutics plc* | 4,478 | 401,632 | |||||||||
Incyte Corp.* | 3,716 | 282,007 | |||||||||
Intellia Therapeutics, Inc.* | 1,369 | 63,166 | |||||||||
Ionis Pharmaceuticals, Inc.* | 2,791 | 101,927 | |||||||||
Mirati Therapeutics, Inc.* | 981 | 38,416 | |||||||||
Moderna, Inc.* | 6,969 | 1,012,805 | |||||||||
Natera, Inc.* | 1,740 | 63,841 | |||||||||
Neurocrine Biosciences, Inc.* | 1,875 | 175,294 | |||||||||
Novavax, Inc.*(b) | 1,493 | 82,608 | |||||||||
Regeneron Pharmaceuticals, Inc.* | 2,112 | 1,403,931 | |||||||||
Sarepta Therapeutics, Inc.* | 1,720 | 125,250 | |||||||||
Seagen, Inc.* | 2,647 | 359,145 | |||||||||
Twist Bioscience Corp.* | 1,065 | 36,253 | |||||||||
Ultragenyx Pharmaceutical, Inc.* | 1,346 | 63,127 | |||||||||
United Therapeutics Corp.* | 890 | 205,003 | |||||||||
Vertex Pharmaceuticals, Inc.* | 5,029 | 1,351,041 | |||||||||
Vir Biotechnology, Inc.* | 1,447 | 37,347 | |||||||||
17,687,976 | |||||||||||
Health Care Equipment & Supplies — 17.7% | |||||||||||
Abbott Laboratories | 34,919 | 4,101,586 | |||||||||
ABIOMED, Inc.* | 900 | 237,330 | |||||||||
Align Technology, Inc.* | 1,449 | 402,300 | |||||||||
Baxter International, Inc. | 9,892 | 752,287 | |||||||||
Becton Dickinson and Co. | 5,624 | 1,438,619 | |||||||||
Boston Scientific Corp.* | 28,143 | 1,154,144 | |||||||||
Cooper Cos., Inc. (The) (b) | 974 | 341,621 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
DENTSPLY SIRONA, Inc. | 4,316 | $ | 170,741 | ||||||||
Dexcom, Inc.* | 1,917 | 571,151 | |||||||||
Edwards Lifesciences Corp.* | 12,339 | 1,244,388 | |||||||||
Embecta Corp.* | 1,124 | 27,853 | |||||||||
Enovis Corp.* | 895 | 59,374 | |||||||||
Envista Holdings Corp.* | 3,186 | 137,125 | |||||||||
Globus Medical, Inc., Class A* | 1,559 | 103,829 | |||||||||
Haemonetics Corp.* | 1,008 | 63,766 | |||||||||
Hologic, Inc.* | 4,939 | 371,759 | |||||||||
ICU Medical, Inc.* | 396 | 71,929 | |||||||||
IDEXX Laboratories, Inc.* | 1,675 | 655,964 | |||||||||
Insulet Corp.*(b) | 1,364 | 291,187 | |||||||||
Integra LifeSciences Holdings Corp.* | 1,438 | 90,076 | |||||||||
Intuitive Surgical, Inc.* | 7,067 | 1,608,732 | |||||||||
Masimo Corp.* | 1,002 | 140,711 | |||||||||
Medtronic plc | 26,553 | 2,659,283 | |||||||||
Neogen Corp.* | 2,127 | 56,280 | |||||||||
Novocure Ltd.*(b) | 1,763 | 141,710 | |||||||||
NuVasive, Inc.* | 1,023 | 58,730 | |||||||||
Omnicell, Inc.* | 866 | 96,265 | |||||||||
Penumbra, Inc.* | 694 | 101,963 | |||||||||
QuidelOrtho Corp.* | 988 | 93,890 | |||||||||
ResMed, Inc. | 2,890 | 587,999 | |||||||||
Shockwave Medical, Inc.* | 698 | 114,619 | |||||||||
STAAR Surgical Co.* | 940 | 61,984 | |||||||||
STERIS plc | 1,977 | 451,151 | |||||||||
Stryker Corp. | 6,632 | 1,555,204 | |||||||||
Tandem Diabetes Care, Inc.* | 1,255 | 85,553 | |||||||||
Teleflex, Inc. | 926 | 266,447 | |||||||||
Zimmer Biomet Holdings, Inc. | 4,127 | 496,107 | |||||||||
Zimvie, Inc.* | 412 | 8,969 | |||||||||
20,872,626 | |||||||||||
Health Care Providers & Services — 19.4% | |||||||||||
1Life Healthcare, Inc.* | 3,355 | 28,417 | |||||||||
Acadia Healthcare Co., Inc.* | 1,777 | 126,469 | |||||||||
agilon health, Inc.* | 933 | 17,820 | |||||||||
Amedisys, Inc.* | 643 | 74,530 | |||||||||
Anthem, Inc. | 4,795 | 2,443,580 | |||||||||
Centene Corp.* | 11,535 | 939,410 | |||||||||
Chemed Corp. | 302 | 146,289 | |||||||||
Cigna Corp. | 6,377 | 1,710,885 | |||||||||
Covetrus, Inc.* | 2,040 | 42,473 | |||||||||
CVS Health Corp. | 25,922 | 2,507,954 | |||||||||
DaVita, Inc.* | 1,218 | 118,743 | |||||||||
Encompass Health Corp. | 1,968 | 128,983 | |||||||||
Guardant Health, Inc.* | 2,008 | 82,288 | |||||||||
HCA Healthcare, Inc. | 4,733 | 995,823 | |||||||||
HealthEquity, Inc.* | 1,650 | 103,257 | |||||||||
Henry Schein, Inc.* | 2,740 | 234,654 | |||||||||
Humana, Inc. | 2,537 | 1,152,382 | |||||||||
Invitae Corp.* | 4,110 | 15,084 |
48 :: RXL ULTRA HEALTH CARE :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Laboratory Corp. of America Holdings |
1,838 | $ | 453,471 | ||||||||
LHC Group, Inc.* | 628 | 104,662 | |||||||||
McKesson Corp. | 2,958 | 972,265 | |||||||||
Molina Healthcare, Inc.* | 1,152 | 334,333 | |||||||||
Oak Street Health, Inc.*(b) | 2,757 | 52,052 | |||||||||
Premier, Inc., Class A | 2,351 | 87,951 | |||||||||
Quest Diagnostics, Inc. | 2,349 | 331,256 | |||||||||
R1 RCM, Inc.* | 2,637 | 56,616 | |||||||||
Signify Health, Inc., Class A*(b) | 473 | 6,447 | |||||||||
Tenet Healthcare Corp.* | 2,116 | 136,926 | |||||||||
UnitedHealth Group, Inc. | 18,601 | 9,240,605 | |||||||||
Universal Health Services, Inc., Class B | 1,444 | 179,937 | |||||||||
22,825,562 | |||||||||||
Health Care Technology — 0.2% | |||||||||||
American Well Corp., Class A*(b) | 3,864 | 14,606 | |||||||||
Doximity, Inc., Class A*(b) | 1,832 | 64,102 | |||||||||
GoodRx Holdings, Inc., Class A* | 1,355 | 10,799 | |||||||||
Teladoc Health, Inc.*(b) | 3,162 | 107,793 | |||||||||
197,300 | |||||||||||
Life Sciences Tools & Services — 11.4% | |||||||||||
10X Genomics, Inc., Class A*(b) | 1,807 | 92,500 | |||||||||
Agilent Technologies, Inc. | 5,932 | 756,686 | |||||||||
Avantor, Inc.* | 12,030 | 385,441 | |||||||||
Azenta, Inc. (b) | 1,479 | 113,351 | |||||||||
Berkeley Lights, Inc.* | 824 | 3,939 | |||||||||
Bio-Rad Laboratories, Inc., Class A* | 428 | 230,174 | |||||||||
Bio-Techne Corp. | 775 | 286,541 | |||||||||
Bruker Corp. | 2,008 | 125,460 | |||||||||
Charles River Laboratories International, Inc.* |
994 | 232,675 | |||||||||
Danaher Corp. | 12,575 | 3,317,536 | |||||||||
Illumina, Inc.* | 3,085 | 738,796 | |||||||||
IQVIA Holdings, Inc.* | 3,774 | 812,353 | |||||||||
Maravai LifeSciences Holdings, Inc., Class A* |
2,156 | 67,159 | |||||||||
Medpace Holdings, Inc.* | 569 | 81,504 | |||||||||
Mettler-Toledo International, Inc.* | 456 | 586,471 | |||||||||
NeoGenomics, Inc.* | 2,433 | 20,486 | |||||||||
Pacific Biosciences of California, Inc.* | 4,351 | 24,496 | |||||||||
Repligen Corp.* | 1,016 | 167,102 | |||||||||
Sotera Health Co.* | 1,956 | 41,663 | |||||||||
Syneos Health, Inc.* | 2,049 | 151,401 | |||||||||
Thermo Fisher Scientific, Inc. | 7,781 | 4,416,262 | |||||||||
Waters Corp.* | 1,206 | 395,508 | |||||||||
West Pharmaceutical Services, Inc. | 1,461 | 453,465 | |||||||||
13,500,969 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Pharmaceuticals — 26.5% | |||||||||||
Bristol-Myers Squibb Co. | 43,045 | $ | 3,247,745 | ||||||||
Catalent, Inc.* | 3,538 | 364,626 | |||||||||
Elanco Animal Health, Inc.* | 9,338 | 221,311 | |||||||||
Eli Lilly & Co. | 15,681 | 4,915,053 | |||||||||
Jazz Pharmaceuticals plc*(b) | 1,214 | 181,711 | |||||||||
Johnson & Johnson | 52,002 | 9,335,918 | |||||||||
Merck & Co., Inc. | 49,884 | 4,590,824 | |||||||||
Nektar Therapeutics*(b) | 3,643 | 12,678 | |||||||||
Organon & Co. | 5,010 | 190,180 | |||||||||
Perrigo Co. plc | 2,641 | 105,270 | |||||||||
Pfizer, Inc. | 110,924 | 5,883,409 | |||||||||
Royalty Pharma plc, Class A | 7,040 | 289,626 | |||||||||
Viatris, Inc. | 23,883 | 293,044 | |||||||||
Zoetis, Inc. | 9,346 | 1,597,512 | |||||||||
31,228,907 | |||||||||||
Total Common Stocks (Cost $116,378,255) |
106,313,340 | ||||||||||
Securities Lending Reinvestments (c) — 0.0% (d) | |||||||||||
Investment Companies — 0.0% (d) | |||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $51,462) |
51,462 | 51,462 | |||||||||
Principal Amount |
|||||||||||
Short-Term Investments — 18.3% | |||||||||||
Repurchase Agreements (e) — 18.3% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $21,513,130 (Cost $21,512,698) |
$ | 21,512,698 | 21,512,698 | ||||||||
Total Investments — 108.5% (Cost $137,942,415) |
127,877,500 | ||||||||||
Liabilities in excess of other assets — (8.5%) | (10,034,845 | ) | |||||||||
Net Assets — 100.0% | $ | 117,842,655 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $49,927,581.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $906,626, collateralized in the form of cash with a value of $51,462 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $927,680 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 5.50%, and maturity dates ranging from June 15, 2022 - November 15, 2051. The total value of collateral is $979,142.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA HEALTH CARE RXL :: 49
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $51,462.
(d) Represents less than 0.05% of net assets.
(e) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 7,052,373 | |||||
Aggregate gross unrealized depreciation | (28,368,044 | ) | |||||
Net unrealized depreciation | $ | (21,315,671 | ) | ||||
Federal income tax cost | $ | 137,989,087 |
Swap Agreementsa
Ultra Health Care had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value
and Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
23,003,077 | 5/8/2023 | Bank of America NA |
1.28 | % | Dow Jones U.S. Health CareSM Indexf |
(772,278 | ) | 763,369 | 8,909 | — | |||||||||||||||||||||||||
28,521,627 | 4/10/2023 | Citibank NA | 1.13 | % | Dow Jones U.S. Health CareSM Indexf |
(1,971,693 | ) | 1,963,073 | 8,620 | — | |||||||||||||||||||||||||
27,131,115 | 3/7/2023 | Goldman Sachs International |
1.43 | % | Dow Jones U.S. Health CareSM Indexf |
(1,779,337 | ) | 676,886 | 1,102,451 | — | |||||||||||||||||||||||||
496,712 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.43 | % | Dow Jones U.S. Health CareSM Indexf |
48,645 | — | (48,645 | ) | — | |||||||||||||||||||||||||
20,353,949 | 3/7/2023 | Societe Generale | 1.48 | % | Dow Jones U.S. Health CareSM Indexf |
(3,789,102 | ) | 3,781,660 | 7,442 | — | |||||||||||||||||||||||||
30,241,876 | 11/6/2023 | UBS AG | 1.18 | % | Dow Jones U.S. Health CareSM Indexf |
(2,940,319 | ) | 2,904,729 | 35,590 | — | |||||||||||||||||||||||||
129,748,356 | (11,204,084 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
48,645 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(11,252,729 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the preceding Schedule of Portfolio Investments for the representative components of the underlying reference instrument and their relative weightings.
50 :: RXL ULTRA HEALTH CARE :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 24.5% | |||||||||||
Repurchase Agreements (a) — 24.5% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $4,957,780 (Cost $4,957,679) |
$ | 4,957,679 | $ | 4,957,679 | |||||||
Total Investments — 24.5% (Cost $4,957,679) |
4,957,679 | ||||||||||
Other assets less liabilities — 75.5% | 15,268,907 | ||||||||||
Net Assets — 100.0% | $ | 20,226,586 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | — | |||||
Aggregate gross unrealized depreciation | (2,571,284 | ) | |||||
Net unrealized depreciation | $ | (2,571,284 | ) | ||||
Federal income tax cost | $ | 4,957,679 |
Swap Agreementsa,f
Ultra High Yield had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
8,915,349 | 4/10/2023 | Citibank NA |
0.58 | % | iShares® iBoxx $ High Yield Corporate Bond ETF |
(630,073 | ) | — | 630,073 | — | |||||||||||||||||||||||||
1,499,254 | 4/10/2023 | Credit Suisse International |
1.33 | % | iShares® iBoxx $ High Yield Corporate Bond ETF |
(344,288 | ) | — | 344,288 | — | |||||||||||||||||||||||||
22,496,824 | 3/7/2023 | Goldman Sachs International |
(1.42 | )% | iShares® iBoxx $ High Yield Corporate Bond ETF |
(716,121 | ) | — | 716,121 | — | |||||||||||||||||||||||||
7,475,424 | 11/7/2022 | UBS AG |
(0.67 | )% | iShares® iBoxx $ High Yield Corporate Bond ETF |
(880,802 | ) | — | 880,802 | — | |||||||||||||||||||||||||
40,386,851 | (2,571,284 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(2,571,284 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation and final settlement of these swap transactions as of the time the Fund calculates its NAV, which differs from the time the Fund's underlying index is calculated, one or more exchange-traded financial products are used as the reference entity, as a surrogate for the respective underlying index.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA HIGH YIELD UJB :: 51
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) — 92.9% | |||||||||||||||
3M Co. (Industrial Conglomerates) |
1.8 | % | 2,038 | $ | 304,253 | ||||||||||
Accenture plc, Class A (IT Services) |
4.0 | % | 2,257 | 673,624 | |||||||||||
AMETEK, Inc. (Electrical Equipment) |
0.6 | % | 826 | 100,334 | |||||||||||
Amphenol Corp., Class A (Electronic Equipment, Instruments & Components) |
0.9 | % | 2,137 | 151,428 | |||||||||||
Automatic Data Processing, Inc. (IT Services) |
2.0 | % | 1,500 | 334,410 | |||||||||||
Ball Corp. (Containers & Packaging) |
0.5 | % | 1,155 | 81,878 | |||||||||||
Block, Inc., Class A* (IT Services) |
0.9 | % | 1,788 | 156,468 | |||||||||||
Boeing Co. (The)* (Aerospace & Defense) |
1.5 | % | 1,957 | 257,150 | |||||||||||
Carrier Global Corp. (Building Products) |
0.7 | % | 3,053 | 120,013 | |||||||||||
Caterpillar, Inc. (Machinery) | 2.5 | % | 1,931 | 416,806 | |||||||||||
Cintas Corp. (Commercial Services & Supplies) |
0.8 | % | 316 | 125,872 | |||||||||||
Corning, Inc. (Electronic Equipment, Instruments & Components) |
0.6 | % | 2,666 | 95,496 | |||||||||||
CSX Corp. (Road & Rail) | 1.5 | % | 7,920 | 251,777 | |||||||||||
Cummins, Inc. (Machinery) | 0.6 | % | 508 | 106,233 | |||||||||||
Deere & Co. (Machinery) | 2.1 | % | 1,001 | 358,138 | |||||||||||
Eaton Corp. plc (Electrical Equipment) |
1.2 | % | 1,424 | 197,366 | |||||||||||
Emerson Electric Co. (Electrical Equipment) |
1.1 | % | 2,123 | 188,225 | |||||||||||
Equifax, Inc. (Professional Services) |
0.5 | % | 436 | 88,325 | |||||||||||
Fastenal Co. (Trading Companies & Distributors) |
0.7 | % | 2,054 | 110,012 | |||||||||||
FedEx Corp. (Air Freight & Logistics) |
1.2 | % | 870 | 195,385 | |||||||||||
Fidelity National Information Services, Inc. (IT Services) |
1.4 | % | 2,173 | 227,078 | |||||||||||
Fiserv, Inc.* (IT Services) | 1.3 | % | 2,123 | 212,682 | |||||||||||
General Dynamics Corp. (Aerospace & Defense) |
1.1 | % | 822 | 184,876 | |||||||||||
General Electric Co. (Industrial Conglomerates) |
1.9 | % | 3,924 | 307,210 | |||||||||||
Global Payments, Inc. (IT Services) |
0.8 | % | 1,015 | 133,006 | |||||||||||
Honeywell International, Inc. (Industrial Conglomerates) |
2.8 | % | 2,448 | 473,982 | |||||||||||
Illinois Tool Works, Inc. (Machinery) |
1.3 | % | 1,019 | 212,023 | |||||||||||
Johnson Controls International plc (Building Products) |
0.8 | % | 2,506 | 136,602 |
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
Keysight Technologies, Inc.* (Electronic Equipment, Instruments & Components) |
0.6 | % | 654 | $ | 95,222 | ||||||||||
L3Harris Technologies, Inc. (Aerospace & Defense) |
1.0 | % | 702 | 169,112 | |||||||||||
Lockheed Martin Corp. (Aerospace & Defense) |
2.3 | % | 864 | 380,255 | |||||||||||
Norfolk Southern Corp. (Road & Rail) |
1.3 | % | 857 | 205,389 | |||||||||||
Northrop Grumman Corp. (Aerospace & Defense) |
1.5 | % | 524 | 245,216 | |||||||||||
Old Dominion Freight Line, Inc. (Road & Rail) |
0.5 | % | 333 | 85,994 | |||||||||||
Otis Worldwide Corp. (Machinery) |
0.7 | % | 1,518 | 112,939 | |||||||||||
PACCAR, Inc. (Machinery) | 0.6 | % | 1,239 | 107,595 | |||||||||||
Parker-Hannifin Corp. (Machinery) |
0.8 | % | 458 | 124,654 | |||||||||||
Paychex, Inc. (IT Services) | 0.9 | % | 1,144 | 141,662 | |||||||||||
PayPal Holdings, Inc.* (IT Services) |
2.1 | % | 4,160 | 354,474 | |||||||||||
Raytheon Technologies Corp. (Aerospace & Defense) |
3.0 | % | 5,327 | 506,704 | |||||||||||
Republic Services, Inc. (Commercial Services & Supplies) |
0.6 | % | 746 | 99,845 | |||||||||||
Rockwell Automation, Inc. (Electrical Equipment) |
0.5 | % | 415 | 88,478 | |||||||||||
Sherwin-Williams Co. (The) (Chemicals) |
1.4 | % | 861 | 230,782 | |||||||||||
TE Connectivity Ltd. (Electronic Equipment, Instruments & Components) |
0.9 | % | 1,164 | 150,610 | |||||||||||
Trane Technologies plc (Building Products) |
0.7 | % | 834 | 115,142 | |||||||||||
TransDigm Group, Inc.* (Aerospace & Defense) |
0.7 | % | 187 | 113,204 | |||||||||||
Union Pacific Corp. (Road & Rail) |
3.0 | % | 2,274 | 499,780 | |||||||||||
United Parcel Service, Inc., Class B (Air Freight & Logistics) |
2.8 | % | 2,603 | 474,397 | |||||||||||
Verisk Analytics, Inc. (Professional Services) |
0.6 | % | 576 | 100,754 | |||||||||||
Waste Management, Inc. (Commercial Services & Supplies) |
1.3 | % | 1,375 | 217,951 | |||||||||||
Other Common Stocks (b) | 28.0 | % | 68,975 | 4,669,677 | |||||||||||
Total Common Stocks (Cost $19,657,799) |
15,490,488 | ||||||||||||||
Securities Lending Reinvestments (c) — 0.1% | |||||||||||||||
Investment Companies — 0.1% | |||||||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $20,871) |
0.1 | % | 20,871 | 20,871 |
52 :: UXI ULTRA INDUSTRIALS :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal
Amount |
Value | ||||||||||
Short-Term Investments — 18.9% | |||||||||||
Repurchase Agreements (d) — 18.9% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $3,162,194 (Cost $3,162,129) |
$ | 3,162,129 | $ | 3,162,129 | |||||||
Total Investments — 111.9% (Cost $22,840,799) |
18,673,488 | ||||||||||
Liabilities in excess of other assets — (11.9%) | (1,979,686 | ) | |||||||||
Net Assets — 100.0% | $ | 16,693,802 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $11,320,626.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $60,891, collateralized in the form of cash with a value of $20,871 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $43,217 of collateral in the form of U.S. Government
Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 30, 2022 - August 15, 2050. The total value of collateral is $64,088.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $20,871.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 262,357 | |||||
Aggregate gross unrealized depreciation | (9,399,564 | ) | |||||
Net unrealized depreciation | $ | (9,137,207 | ) | ||||
Federal income tax cost | $ | 22,844,286 |
Swap Agreementsa
Ultra Industrials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Underlying Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
5,123,654 | 5/8/2023 | Bank of America NA |
1.13 | % | Dow Jones U.S.
IndustrialsSM Index |
(1,339,485 | ) | 1,339,391 | 94 | — | |||||||||||||||||||||||||
5,292,014 | 11/7/2022 | Citibank NA |
1.13 | % | Dow Jones U.S.
IndustrialsSM Index |
(1,105,837 | ) | 1,102,160 | 3,677 | — | |||||||||||||||||||||||||
4,114,455 | 3/7/2023 | Goldman Sachs International |
1.43 | % | Dow Jones U.S.
IndustrialsSM Index |
(1,507,066 | ) | — | 1,507,066 | — | |||||||||||||||||||||||||
468,783 | 4/10/2023 | Morgan Stanley & Co. International plc |
1.43 | % | Dow Jones U.S.
IndustrialsSM Index |
(83,633 | ) | 80,660 | 2,973 | — | |||||||||||||||||||||||||
1,911,550 | 3/7/2023 | Societe Generale |
1.38 | % | Dow Jones U.S.
IndustrialsSM Index |
(533,853 | ) | 449,915 | 83,938 | — | |||||||||||||||||||||||||
1,006,669 | 3/7/2023 | UBS AG |
1.18 | % | Dow Jones U.S.
IndustrialsSM Index |
(396,535 | ) | 260,160 | 136,375 | — | |||||||||||||||||||||||||
17,917,125 | (4,966,409 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(4,966,409 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA INDUSTRIALS UXI :: 53
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Ultra Industrials invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
Aerospace & Defense | 12.9 | % | |||||
Air Freight & Logistics | 4.8 | % | |||||
Building Products | 4.5 | % | |||||
Chemicals | 1.4 | % | |||||
Commercial Services & Supplies | 3.2 | % | |||||
Construction & Engineering | 1.2 | % | |||||
Construction Materials | 1.0 | % | |||||
Containers & Packaging | 3.4 | % | |||||
Electrical Equipment | 4.9 | % | |||||
Electronic Equipment, Instruments & Components | 5.5 | % | |||||
Industrial Conglomerates | 6.5 | % | |||||
IT Services | 15.9 | % | |||||
Life Sciences Tools & Services | 0.4 | % | |||||
Machinery | 13.7 | % | |||||
Marine | 0.1 | % | |||||
Paper & Forest Products | 0.1 | % | |||||
Professional Services | 4.0 | % | |||||
Road & Rail | 7.1 | % | |||||
Trading Companies & Distributors | 2.3 | % | |||||
Othera | 7.1 | % | |||||
100.0 | % |
a Includes any non-equity securities and net other assets (liabilities).
54 :: UXI ULTRA INDUSTRIALS :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) — 91.4% | |||||||||||||||
AECOM (Construction & Engineering) |
0.4 | % | 7,381 | $ | 515,563 | ||||||||||
Alcoa Corp. (Metals & Mining) | 0.5 | % | 9,614 | 593,376 | |||||||||||
Alleghany Corp.* (Insurance) | 0.5 | % | 715 | 596,153 | |||||||||||
American Campus Communities, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.4 | % | 7,267 | 472,355 | |||||||||||
American Financial Group, Inc. (Insurance) |
0.4 | % | 3,458 | 488,615 | |||||||||||
Arrow Electronics, Inc.* (Electronic Equipment, Instruments & Components) |
0.3 | % | 3,554 | 428,790 | |||||||||||
Builders FirstSource, Inc.* (Building Products) |
0.5 | % | 10,000 | 650,900 | |||||||||||
Carlisle Cos., Inc. (Building Products) |
0.6 | % | 2,730 | 694,594 | |||||||||||
Cleveland-Cliffs, Inc.* (Metals & Mining) |
0.5 | % | 24,967 | 578,735 | |||||||||||
Cognex Corp. (Electronic Equipment, Instruments & Components) |
0.4 | % | 9,232 | 447,014 | |||||||||||
Darling Ingredients, Inc.* (Food Products) |
0.5 | % | 8,450 | 676,591 | |||||||||||
East West Bancorp, Inc. (Banks) |
0.4 | % | 7,411 | 545,005 | |||||||||||
EQT Corp. (Oil, Gas & Consumable Fuels) |
0.6 | % | 15,709 | 749,634 | |||||||||||
Essential Utilities, Inc. (Water Utilities) |
0.4 | % | 12,012 | 555,675 | |||||||||||
Fair Isaac Corp.* (Software) | 0.5 | % | 1,372 | 561,903 | |||||||||||
First Horizon Corp. (Banks) | 0.5 | % | 27,886 | 636,637 | |||||||||||
Graco, Inc. (Machinery) | 0.5 | % | 8,876 | 561,851 | |||||||||||
Hubbell, Inc. (Electrical Equipment) |
0.4 | % | 2,841 | 539,392 | |||||||||||
Jabil, Inc. (Electronic Equipment, Instruments & Components) |
0.4 | % | 7,493 | 460,969 | |||||||||||
Jazz Pharmaceuticals plc*(b) (Pharmaceuticals) |
0.4 | % | 3,210 | 480,473 | |||||||||||
Jones Lang LaSalle, Inc.* (Real Estate Management & Development) |
0.4 | % | 2,635 | 519,938 | |||||||||||
Knight-Swift Transportation Holdings, Inc. (Road & Rail) |
0.3 | % | 8,666 | 421,514 | |||||||||||
Lamar Advertising Co., Class A (Equity Real Estate Investment Trusts (REITs)) |
0.4 | % | 4,534 | 444,105 | |||||||||||
Lear Corp. (Auto Components) | 0.3 | % | 3,117 | 439,372 | |||||||||||
Life Storage, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.4 | % | 4,283 | 500,083 | |||||||||||
Lithia Motors, Inc. (Specialty Retail) |
0.4 | % | 1,581 | 481,367 | |||||||||||
Mattel, Inc.* (Leisure Products) | 0.4 | % | 18,295 | 459,570 | |||||||||||
Medical Properties Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.5 | % | 31,165 | 579,046 |
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
Middleby Corp. (The)*(b) (Machinery) |
0.3 | % | 2,905 | $ | 439,991 | ||||||||||
Neurocrine Biosciences, Inc.*(b) (Biotechnology) |
0.4 | % | 4,954 | 463,149 | |||||||||||
OGE Energy Corp. (Electric Utilities) |
0.3 | % | 10,453 | 431,709 | |||||||||||
Olin Corp. (Chemicals) | 0.4 | % | 7,369 | 484,807 | |||||||||||
Owens Corning (Building Products) |
0.4 | % | 5,247 | 501,508 | |||||||||||
Range Resources Corp.* (Oil, Gas & Consumable Fuels) |
0.4 | % | 13,045 | 442,878 | |||||||||||
Regal Rexnord Corp. (Electrical Equipment) |
0.4 | % | 3,539 | 442,198 | |||||||||||
Reinsurance Group of America, Inc. (Insurance) |
0.4 | % | 3,508 | 441,482 | |||||||||||
Reliance Steel & Aluminum Co. (Metals & Mining) |
0.5 | % | 3,272 | 636,077 | |||||||||||
Repligen Corp.* (Life Sciences Tools & Services) |
0.4 | % | 2,686 | 441,766 | |||||||||||
Rexford Industrial Realty, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.4 | % | 8,369 | 534,528 | |||||||||||
RPM International, Inc. (Chemicals) |
0.5 | % | 6,773 | 596,701 | |||||||||||
Service Corp. International (Diversified Consumer Services) |
0.5 | % | 8,611 | 603,028 | |||||||||||
Steel Dynamics, Inc. (Metals & Mining) |
0.7 | % | 9,845 | 840,566 | |||||||||||
Targa Resources Corp. (Oil, Gas & Consumable Fuels) |
0.7 | % | 11,958 | 861,215 | |||||||||||
Toro Co. (The) (Machinery) | 0.4 | % | 5,478 | 451,880 | |||||||||||
UGI Corp. (Gas Utilities) | 0.4 | % | 10,956 | 468,259 | |||||||||||
United Therapeutics Corp.* (Biotechnology) |
0.4 | % | 2,353 | 541,990 | |||||||||||
Watsco, Inc.(b) (Trading Companies & Distributors) |
0.3 | % | 1,725 | 440,962 | |||||||||||
Webster Financial Corp. (Banks) |
0.4 | % | 9,389 | 460,906 | |||||||||||
Williams-Sonoma, Inc. (Specialty Retail) |
0.4 | % | 3,809 | 487,247 | |||||||||||
Wolfspeed, Inc.*(b) (Semiconductors & Semiconductor Equipment) |
0.4 | % | 6,453 | 485,459 | |||||||||||
Other Common Stocks (b) | 69.8 | % | 1,845,356 | 85,738,948 | |||||||||||
Total Common Stocks (Cost $109,928,309) |
112,316,474 | ||||||||||||||
Securities Lending Reinvestments (c) — 0.2% | |||||||||||||||
Investment Companies — 0.2% | |||||||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $246,710) |
0.2 | % | 246,710 | 246,710 |
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA MIDCAP400 MVV :: 55
Principal
Amount |
Value | ||||||||||
Short-Term Investments — 30.4% | |||||||||||
Repurchase Agreements (d) — 30.4% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $37,349,036 (Cost $37,348,285) |
$ | 37,348,285 | $ | 37,348,285 | |||||||
Total Investments — 122.0% (Cost $147,523,304) |
149,911,469 | ||||||||||
Liabilities in excess of other assets — (22.0%) | (26,997,137 | ) | |||||||||
Net Assets — 100.0% | $ | 122,914,332 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $71,368,912.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,025,179, collateralized in the form of cash with a value of $246,710 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $829,608 of collateral in the form of
U.S. Government Treasury Securities, interest rates ranging from 0.00% - 5.50%, and maturity dates ranging from June 15, 2022 - May 15, 2051. The total value of collateral is $1,076,318.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $246,710.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 13,078,196 | |||||
Aggregate gross unrealized depreciation | (40,224,142 | ) | |||||
Net unrealized depreciation | $ | (27,145,946 | ) | ||||
Federal income tax cost | $ | 150,765,718 |
Futures Contracts Purchased
Ultra MidCap400 had the following open long futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
S&P Midcap 400 E-Mini Index | 45 | 6/17/2022 | USD | $ | 11,309,400 | $ | 111,178 |
Swap Agreementsa
Ultra MidCap400 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
15,156,700 | 5/8/2023 | Bank of America NA |
1.23 | % | S&P MidCap 400® |
(2,482,114 | ) | 2,386,301 | 95,813 | — | |||||||||||||||||||||||||
28,628,483 | 5/8/2023 | BNP Paribas SA |
1.28 | % | S&P MidCap 400® |
(7,239,855 | ) | 7,132,301 | 107,554 | — | |||||||||||||||||||||||||
10,018,963 | 4/10/2023 | Citibank NA |
1.23 | % | S&P MidCap 400® |
(3,151,499 | ) | 3,119,808 | 31,691 | — | |||||||||||||||||||||||||
12,689,859 | 3/7/2023 | Goldman Sachs International |
1.10 | % | SPDR® S&P MidCap 400® ETF Trust |
(4,429,808 | ) | ||||||||||||||||||||||||||||
15,476,079 | 3/7/2023 | Goldman Sachs International |
1.33 | % | S&P MidCap 400® |
(2,381,366 | ) | ||||||||||||||||||||||||||||
28,165,938 | (6,811,174 | ) | 6,701,299 | 109,875 | — | ||||||||||||||||||||||||||||||
2,197,935 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.38 | % | S&P MidCap 400® |
(40,433 | ) | 36,127 | 4,306 | — |
56 :: MVV ULTRA MIDCAP400 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Notional
Amount ($) |
Termination Dateb |
Counterparty | Rate Paid
(Received)c |
Reference Instrument |
Value
and Unrealized Depreciationd ($) |
Financial
Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash
Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net
Amounte ($) |
|||||||||||||||||||||||||||
15,868,388 | 3/7/2023 | Societe Generale |
1.10 | % | S&P MidCap 400® |
(3,602,639 | ) | 3,573,171 | 29,468 | — | |||||||||||||||||||||||||
22,205,684 | 3/7/2023 | UBS AG |
1.18 | % | S&P MidCap 400® |
(3,075,161 | ) | 3,068,997 | 6,164 | — | |||||||||||||||||||||||||
122,242,091 | (26,402,875 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(26,402,875 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
Ultra MidCap400 invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
Aerospace & Defense | 1.2 | % | |||||
Air Freight & Logistics | 0.2 | % | |||||
Airlines | 0.1 | % | |||||
Auto Components | 1.3 | % | |||||
Automobiles | 0.4 | % | |||||
Banks | 6.3 | % | |||||
Beverages | 0.1 | % | |||||
Biotechnology | 1.5 | % | |||||
Building Products | 2.3 | % | |||||
Capital Markets | 1.8 | % | |||||
Chemicals | 2.7 | % | |||||
Commercial Services & Supplies | 1.4 | % | |||||
Communications Equipment | 0.8 | % | |||||
Construction & Engineering | 1.6 | % | |||||
Construction Materials | 0.2 | % | |||||
Consumer Finance | 0.5 | % | |||||
Containers & Packaging | 0.8 | % | |||||
Diversified Consumer Services | 1.0 | % | |||||
Diversified Financial Services | 0.3 | % | |||||
Diversified Telecommunication Services | 0.2 | % | |||||
Electric Utilities | 1.1 | % | |||||
Electrical Equipment | 1.7 | % | |||||
Electronic Equipment, Instruments & Components | 2.9 | % | |||||
Energy Equipment & Services | 0.5 | % |
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA MIDCAP400 MVV :: 57
Entertainment | 0.1 | % | |||||
Equity Real Estate Investment Trusts (REITs) | 8.1 | % | |||||
Food & Staples Retailing | 1.2 | % | |||||
Food Products | 1.7 | % | |||||
Gas Utilities | 1.5 | % | |||||
Health Care Equipment & Supplies | 2.7 | % | |||||
Health Care Providers & Services | 2.3 | % | |||||
Hotels, Restaurants & Leisure | 2.5 | % | |||||
Household Durables | 1.4 | % | |||||
Household Products | 0.1 | % | |||||
Insurance | 3.9 | % | |||||
Interactive Media & Services | 0.3 | % | |||||
IT Services | 2.1 | % | |||||
Leisure Products | 1.2 | % | |||||
Life Sciences Tools & Services | 1.4 | % | |||||
Machinery | 4.0 | % | |||||
Marine | 0.2 | % | |||||
Media | 0.8 | % | |||||
Metals & Mining | 3.0 | % | |||||
Multiline Retail | 0.8 | % | |||||
Multi-Utilities | 0.4 | % | |||||
Oil, Gas & Consumable Fuels | 3.6 | % | |||||
Paper & Forest Products | 0.3 | % | |||||
Personal Products | 0.3 | % | |||||
Pharmaceuticals | 0.6 | % | |||||
Professional Services | 1.6 | % | |||||
Real Estate Management & Development | 0.4 | % | |||||
Road & Rail | 1.6 | % | |||||
Semiconductors & Semiconductor Equipment | 3.1 | % | |||||
Software | 3.0 | % | |||||
Specialty Retail | 2.8 | % | |||||
Technology Hardware, Storage & Peripherals | 0.1 | % | |||||
Textiles, Apparel & Luxury Goods | 1.4 | % | |||||
Thrifts & Mortgage Finance | 0.6 | % | |||||
Trading Companies & Distributors | 0.9 | % | |||||
Water Utilities | 0.5 | % | |||||
Othera | 8.6 | % | |||||
100.0 | % |
a Includes any non-equity securities and net other assets (liabilities).
58 :: MVV ULTRA MIDCAP400 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 60.3% | |||||||||||
Repurchase Agreements (a) — 60.3% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $5,752,259 (Cost $5,752,142) |
$ | 5,752,142 | $ | 5,752,142 | |||||||
Total Investments — 60.3% (Cost $5,752,142) |
5,752,142 | ||||||||||
Other assets less liabilities — 39.7% | 3,790,371 | ||||||||||
Net Assets — 100.0% | $ | 9,542,513 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 19,592 | |||||
Aggregate gross unrealized depreciation | (2,292,805 | ) | |||||
Net unrealized depreciation | $ | (2,273,213 | ) | ||||
Federal income tax cost | $ | 5,752,142 |
Swap Agreementsa,f
Ultra MSCI Brazil Capped had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
271,009 | 11/9/2022 | Bank of America NA |
1.13 | % | iShares® MSCI Brazil Capped ETF |
(1,138,355 | ) | — | 1,138,355 | — | |||||||||||||||||||||||||
7,106,320 | 4/10/2023 | Citibank NA |
1.13 | % | iShares® MSCI Brazil Capped ETF |
(115,343 | ) | — | 115,343 | — | |||||||||||||||||||||||||
4,518,410 | 4/10/2023 | Goldman Sachs International |
(0.17 | )% | iShares® MSCI Brazil Capped ETF |
(630,289 | ) | — | 630,289 | — | |||||||||||||||||||||||||
100,748 | 4/10/2023 | Morgan Stanley & Co. International plc |
1.28 | % | iShares® MSCI Brazil Capped ETF |
19,592 | — | — | 19,592 | ||||||||||||||||||||||||||
2,658,128 | 4/10/2023 | Societe Generale |
0.83 | % | iShares® MSCI Brazil Capped ETF |
(195,256 | ) | — | 195,256 | — | |||||||||||||||||||||||||
4,522,481 | 4/10/2023 | UBS AG |
0.83 | % | iShares® MSCI Brazil Capped ETF |
(213,562 | ) | — | 213,562 | — | |||||||||||||||||||||||||
19,177,096 | (2,273,213 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
19,592 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(2,292,805 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA MSCI BRAZIL CAPPED UBR :: 59
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 60.4% | |||||||||||
Repurchase Agreements (a) — 60.4% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $5,476,590 (Cost $5,476,481) |
$ | 5,476,481 | $ | 5,476,481 | |||||||
Total Investments — 60.4% (Cost $5,476,481) |
5,476,481 | ||||||||||
Other assets less liabilities — 39.6% | 3,587,280 | ||||||||||
Net Assets — 100.0% | $ | 9,063,761 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | — | |||||
Aggregate gross unrealized depreciation | (3,028,732 | ) | |||||
Net unrealized depreciation | $ | (3,028,732 | ) | ||||
Federal income tax cost | $ | 5,476,481 |
Swap Agreementsa,f
Ultra MSCI EAFE had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
8,262,328 |
11/9/2022 |
Bank of America NA |
1.13 | % | iShares® MSCI EAFE ETF |
(535,618 | ) | — | 535,618 | — | |||||||||||||||||||||||||
3,456,542 |
4/10/2023 |
Citibank NA |
1.23 | % | iShares® MSCI EAFE ETF |
(913,949 | ) | — | 913,949 | — | |||||||||||||||||||||||||
1,602,067 |
3/7/2023 |
Goldman Sachs International |
1.43 | % | iShares® MSCI EAFE ETF |
(120,713 | ) | — | 120,713 | — | |||||||||||||||||||||||||
2,616 | 11/9/2023 | Morgan Stanley & Co. International plc |
1.28 | % | iShares® MSCI EAFE ETF |
(367 | ) | — | 367 | — | |||||||||||||||||||||||||
564,974 |
3/7/2023 |
Societe Generale |
1.33 | % | iShares® MSCI EAFE ETF |
(928,162 | ) | — | 900,005 | (28,157 | ) | ||||||||||||||||||||||||
4,284,385 |
3/7/2023 |
UBS AG |
1.03 | % | iShares® MSCI EAFE ETF |
(529,923 | ) | — | 529,923 | — | |||||||||||||||||||||||||
18,172,912 | (3,028,732 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(3,028,732 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
60 :: EFO ULTRA MSCI EAFE :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 65.7% | |||||||||||
Repurchase Agreements (a) — 65.7% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $17,574,305 (Cost $17,573,951) |
$ | 17,573,951 | $ | 17,573,951 | |||||||
Total Investments — 65.7% (Cost $17,573,951) |
17,573,951 | ||||||||||
Other assets less liabilities — 34.3% | 9,156,734 | ||||||||||
Net Assets — 100.0% | $ | 26,730,685 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | — | |||||
Aggregate gross unrealized depreciation | (19,799,735 | ) | |||||
Net unrealized depreciation | $ | (19,799,735 | ) | ||||
Federal income tax cost | $ | 17,573,951 |
Swap Agreementsa,f
Ultra MSCI Emerging Markets had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/ the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/ the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
20,097,568 | 5/8/2023 | Bank of America NA |
1.08 | % | iShares® MSCI Emerging Markets ETF |
(4,319,985 | ) | — | 4,319,985 | — | |||||||||||||||||||||||||
1,368,058 | 4/10/2023 | Citibank NA |
0.98 | % | iShares® MSCI Emerging Markets ETF |
(441,191 | ) | — | 441,191 | — | |||||||||||||||||||||||||
4,048,226 | 3/7/2023 | Goldman Sachs International |
1.13 | % | iShares® MSCI Emerging Markets ETF |
(408,139 | ) | — | 408,139 | — | |||||||||||||||||||||||||
103,449 | 4/10/2023 | Morgan Stanley & Co. International plc |
1.28 | % | iShares® MSCI Emerging Markets ETF |
(19,514 | ) | — | 19,514 | — | |||||||||||||||||||||||||
2,680,168 | 3/7/2023 | Societe Generale |
0.58 | % | iShares® MSCI Emerging Markets ETF |
(1,761,926 | ) | — | 1,735,007 | (26,919 | ) | ||||||||||||||||||||||||
25,422,015 | 11/9/2022 | UBS AG |
0.63 | % | iShares® MSCI Emerging Markets ETF |
(12,848,980 | ) | — | 12,848,980 | — | |||||||||||||||||||||||||
53,719,484 | (19,799,735 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(19,799,735 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA MSCI EMERGING MARKETS EET :: 61
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
62 :: EET ULTRA MSCI EMERGING MARKETS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Shares | Value | |||||||||
Exchange Traded Funds — 49.5% | |||||||||||
iShares MSCI Japan ETF (Cost $3,349,571) |
49,500 | $ | 2,851,199 | ||||||||
Principal Amount |
|||||||||||
Short-Term Investments — 18.8% | |||||||||||
Repurchase Agreements (a) — 18.8% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $1,081,727 (Cost $1,081,705) |
$ | 1,081,705 | 1,081,705 | ||||||||
Total Investments — 68.3% (Cost $4,431,276) |
3,932,904 | ||||||||||
Other assets less liabilities — 31.7% | 1,826,897 | ||||||||||
Net Assets — 100.0% | $ | 5,759,801 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | — | |||||
Aggregate gross unrealized depreciation | (2,853,963 | ) | |||||
Net unrealized depreciation | $ | (2,853,963 | ) | ||||
Federal income tax cost | $ | 4,511,090 |
Swap Agreementsa,f
Ultra MSCI Japan had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/ the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/ the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
907,778 | 12/14/2023 | Bank of America NA |
1.18 | % | iShares® MSCI Japan ETF |
(102,025 | ) | — | 7,000 | (95,025 | ) | ||||||||||||||||||||||||
4,387,394 | 12/12/2022 | Citibank NA |
1.33 | % | iShares® MSCI Japan ETF |
(1,244,607 | ) | — | 1,244,607 | — | |||||||||||||||||||||||||
94,311 | 12/14/2023 | Credit Suisse International |
1.53 | % | iShares® MSCI Japan ETF |
(16,939 | ) | — | 16,939 | — | |||||||||||||||||||||||||
2,100,678 | 3/7/2023 | Goldman Sachs International |
1.33 | % | iShares® MSCI Japan ETF |
(746,291 | ) | — | 746,291 | — | |||||||||||||||||||||||||
166,659 | 11/9/2023 | Morgan Stanley & Co. International plc |
1.28 | % | iShares® MSCI Japan ETF |
(30,006 | ) | — | 30,006 | — | |||||||||||||||||||||||||
520,648 | 3/7/2023 | Societe Generale |
0.98 | % | iShares® MSCI Japan ETF |
(85,384 | ) | — | 17,000 | (68,384 | ) | ||||||||||||||||||||||||
542,704 | 12/14/2023 | UBS AG |
0.83 | % | iShares® MSCI Japan ETF |
(50,525 | ) | — | 50,525 | — | |||||||||||||||||||||||||
8,720,172 | (2,275,777 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(2,275,777 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA MSCI JAPAN EZJ :: 63
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
64 :: EZJ ULTRA MSCI JAPAN :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) — 86.1% | |||||||||||||||
ACADIA Pharmaceuticals, Inc.* (Biotechnology) |
0.2 | % | 13,746 | $ | 221,998 | ||||||||||
Alkermes plc* (Biotechnology) | 0.4 | % | 13,855 | 413,572 | |||||||||||
Alnylam Pharmaceuticals, Inc.* (Biotechnology) |
1.4 | % | 10,279 | 1,293,098 | |||||||||||
Amgen, Inc. (Biotechnology) | 8.4 | % | 30,591 | 7,853,933 | |||||||||||
Apellis Pharmaceuticals, Inc.* (Biotechnology) |
0.4 | % | 8,357 | 346,398 | |||||||||||
Argenx SE, ADR* (Biotechnology) |
0.8 | % | 2,360 | 729,948 | |||||||||||
Arrowhead Pharmaceuticals, Inc.* (Biotechnology) |
0.3 | % | 9,018 | 300,840 | |||||||||||
Ascendis Pharma A/S, ADR* (Biotechnology) |
0.4 | % | 4,742 | 400,746 | |||||||||||
AstraZeneca plc, ADR (Pharmaceuticals) |
3.6 | % | 50,254 | 3,340,886 | |||||||||||
Beam Therapeutics, Inc.* (Biotechnology) |
0.2 | % | 5,888 | 207,140 | |||||||||||
BeiGene Ltd., ADR* (Biotechnology) |
0.6 | % | 4,257 | 584,146 | |||||||||||
Biogen, Inc.* (Biotechnology) | 2.6 | % | 12,567 | 2,513,400 | |||||||||||
BioMarin Pharmaceutical, Inc.* (Biotechnology) |
1.3 | % | 15,733 | 1,182,020 | |||||||||||
BioNTech SE, ADR* (Biotechnology) |
1.3 | % | 7,535 | 1,230,918 | |||||||||||
Blueprint Medicines Corp.* (Biotechnology) |
0.3 | % | 5,063 | 278,465 | |||||||||||
CRISPR Therapeutics AG* (Biotechnology) |
0.4 | % | 6,593 | 382,724 | |||||||||||
CureVac NV*(b) (Biotechnology) |
0.3 | % | 15,995 | 300,706 | |||||||||||
Cytokinetics, Inc.*(b) (Biotechnology) |
0.3 | % | 7,256 | 289,514 | |||||||||||
Denali Therapeutics, Inc.* (Biotechnology) |
0.3 | % | 10,504 | 255,142 | |||||||||||
Exelixis, Inc.* (Biotechnology) | 0.5 | % | 27,330 | 500,959 | |||||||||||
Gilead Sciences, Inc. (Biotechnology) |
7.3 | % | 105,535 | 6,843,945 | |||||||||||
Guardant Health, Inc.* (Health Care Providers & Services) |
0.4 | % | 8,708 | 356,854 | |||||||||||
Halozyme Therapeutics, Inc.*(b) (Biotechnology) |
0.6 | % | 11,775 | 541,414 | |||||||||||
Harmony Biosciences Holdings, Inc.* (Pharmaceuticals) |
0.2 | % | 5,034 | 219,482 | |||||||||||
Horizon Therapeutics plc* (Biotechnology) |
1.9 | % | 19,400 | 1,739,986 | |||||||||||
Illumina, Inc.* (Life Sciences Tools & Services) |
2.6 | % | 10,601 | 2,538,727 | |||||||||||
Incyte Corp.* (Biotechnology) | 1.5 | % | 18,941 | 1,437,432 | |||||||||||
Intellia Therapeutics, Inc.* (Biotechnology) |
0.3 | % | 6,384 | 294,558 | |||||||||||
Intra-Cellular Therapies, Inc.*
(Pharmaceuticals) |
0.5 | % | 7,903 | 453,632 |
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
Ionis Pharmaceuticals, Inc.* (Biotechnology) |
0.5 | % | 12,116 | $ | 442,476 | ||||||||||
Jazz Pharmaceuticals plc* (Pharmaceuticals) |
0.8 | % | 5,256 | 786,718 | |||||||||||
Karuna Therapeutics, Inc.* (Biotechnology) |
0.3 | % | 2,549 | 265,912 | |||||||||||
Maravai LifeSciences Holdings, Inc., Class A* (Life Sciences Tools & Services) |
0.4 | % | 11,252 | 350,500 | |||||||||||
Medpace Holdings, Inc.* (Life Sciences Tools & Services) |
0.5 | % | 3,012 | 431,439 | |||||||||||
Moderna, Inc.* (Biotechnology) |
5.3 | % | 33,920 | 4,929,594 | |||||||||||
Neurocrine Biosciences, Inc.* (Biotechnology) |
0.8 | % | 8,144 | 761,383 | |||||||||||
Novavax, Inc.*(b) (Biotechnology) |
0.4 | % | 6,465 | 357,708 | |||||||||||
Novocure Ltd.*(b) (Health Care Equipment & Supplies) |
0.8 | % | 8,929 | 717,713 | |||||||||||
Pacira BioSciences, Inc.* (Pharmaceuticals) |
0.3 | % | 3,835 | 242,564 | |||||||||||
Regeneron Pharmaceuticals, Inc.* (Biotechnology) |
6.4 | % | 8,982 | 5,970,695 | |||||||||||
Royalty Pharma plc, Class A (Pharmaceuticals) |
1.6 | % | 37,023 | 1,523,126 | |||||||||||
Sanofi, ADR (b) (Pharmaceuticals) |
1.3 | % | 23,655 | 1,259,629 | |||||||||||
Sarepta Therapeutics, Inc.* (Biotechnology) |
0.6 | % | 7,446 | 542,218 | |||||||||||
Seagen, Inc.* (Biotechnology) | 2.3 | % | 15,702 | 2,130,447 | |||||||||||
Syneos Health, Inc.* (Life Sciences Tools & Services) |
0.7 | % | 8,912 | 658,508 | |||||||||||
Ultragenyx Pharmaceutical, Inc.* (Biotechnology) |
0.3 | % | 5,933 | 278,258 | |||||||||||
United Therapeutics Corp.* (Biotechnology) |
0.9 | % | 3,859 | 888,882 | |||||||||||
Vertex Pharmaceuticals, Inc.* (Biotechnology) |
6.2 | % | 21,427 | 5,756,364 | |||||||||||
Viatris, Inc. (Pharmaceuticals) | 1.4 | % | 103,432 | 1,269,111 | |||||||||||
Vir Biotechnology, Inc.* (Biotechnology) |
0.3 | % | 11,313 | 291,989 | |||||||||||
Other Common Stocks (b) | 14.7 | % | 1,929,209 | 13,731,181 | |||||||||||
Total Common Stocks (Cost $118,471,815) |
80,638,998 | ||||||||||||||
No. of Rights |
|||||||||||||||
Right — 0.0% (c) | |||||||||||||||
Achillion Pharmaceuticals, Inc., CVR*(d)(e) (Cost $11,641) |
0.0 | % | 25,307 | 11,641 |
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA NASDAQ BIOTECHNOLOGY BIB :: 65
Percentage of Net Assets |
Shares | Value | |||||||||||||
Securities Lending Reinvestments (f) — 2.5% | |||||||||||||||
Investment Companies — 2.5% | |||||||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $2,366,248) |
2.5 | % | 2,366,248 | $ | 2,366,248 | ||||||||||
Principal Amount |
|||||||||||||||
Short-Term Investments — 9.3% | |||||||||||||||
Repurchase Agreements (g) — 9.3% | |||||||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $8,683,637 (Cost $8,683,464) |
$ | 8,683,464 | 8,683,464 | ||||||||||||
Total Investments — 97.9% (Cost $129,533,168) |
91,700,351 | ||||||||||||||
Other assets less liabilities — 2.1% | 1,984,742 | ||||||||||||||
Net Assets — 100.0% | $ | 93,685,093 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $33,127,644.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $3,413,879, collateralized in the form of cash with a value of $2,366,248 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $1,292,500 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 15, 2022 - May 15, 2052. The total value of collateral is $3,658,748.
(c) Represents less than 0.05% of net assets.
(d) Illiquid security.
(e) Security fair valued as of May 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at May 31, 2022 amounted to $11,641, which represents approximately 0.01% of net assets of the Fund.
(f) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $2,366,248.
(g) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
Abbreviations
ADR American Depositary Receipt
CVR Contingent Value Rights — No defined expiration
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 3,586,698 | |||||
Aggregate gross unrealized depreciation | (94,764,936 | ) | |||||
Net unrealized depreciation | $ | (91,178,238 | ) | ||||
Federal income tax cost | $ | 130,490,481 |
Swap Agreementsa
Ultra Nasdaq Biotechnology had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
16,807,255 | 5/8/2023 | Bank of America NA |
0.98 | % | NASDAQ Biotechnology Index® |
(10,819,012 | ) | — | 10,819,012 | — | |||||||||||||||||||||||||
13,612,058 | 11/6/2023 | BNP Paribas SA |
1.13 | % | NASDAQ Biotechnology Index® |
(119,111 | ) | 119,111 | — | — | |||||||||||||||||||||||||
16,766,433 | 4/10/2023 | Citibank NA |
0.98 | % | NASDAQ Biotechnology Index® |
(11,346,311 | ) | — | 11,346,311 | — | |||||||||||||||||||||||||
18,878,010 | 3/7/2023 | Goldman Sachs International |
1.43 | % | NASDAQ Biotechnology Index® |
(10,086,401 | ) | 2,108,500 | 7,977,901 | — |
66 :: BIB ULTRA NASDAQ BIOTECHNOLOGY :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Notional
Amount ($) |
Termination Dateb |
Counterparty | Rate Paid
(Received)c |
Reference Instrument |
Value
and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
3,733,296 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.28 | % | NASDAQ Biotechnology Index® |
(1,476,525 | ) | 329,744 | 1,146,781 | — | |||||||||||||||||||||||||
24,823,080 | 3/7/2023 | Societe Generale |
1.18 | % | NASDAQ Biotechnology Index® |
(9,083,315 | ) | — | 9,083,315 | — | |||||||||||||||||||||||||
12,662,034 | 3/7/2023 | UBS AG |
0.83 | % | NASDAQ Biotechnology Index® |
(9,457,433 | ) | — | 9,457,433 | — | |||||||||||||||||||||||||
107,282,166 | (52,388,108 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(52,388,108 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Ultra Nasdaq Biotechnology invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
Biotechnology | 67.7 | % | |||||
Health Care Equipment & Supplies | 0.8 | % | |||||
Health Care Providers & Services | 0.6 | % | |||||
Life Sciences Tools & Services | 5.1 | % | |||||
Pharmaceuticals | 11.9 | % | |||||
Othera | 13.9 | % | |||||
100.0 | % |
a Includes any non-equity securities and net other assets (liabilities).
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA NASDAQ BIOTECHNOLOGY BIB :: 67
Investments | Shares | Value | |||||||||
Common Stocks (a) — 86.2% | |||||||||||
Communications Equipment — 5.0% | |||||||||||
Arista Networks, Inc.* | 543 | $ | 55,538 | ||||||||
Cisco Systems, Inc. | 798 | 35,950 | |||||||||
91,488 | |||||||||||
Diversified Telecommunication Services — 3.6% | |||||||||||
Lumen Technologies, Inc. | 5,369 | 65,716 | |||||||||
Health Care Technology — 0.5% | |||||||||||
Veeva Systems, Inc., Class A* | 49 | 8,343 | |||||||||
Interactive Media & Services — 3.0% | |||||||||||
Alphabet, Inc., Class A* | 24 | 54,606 | |||||||||
Internet & Direct Marketing Retail — 6.2% | |||||||||||
Alibaba Group Holding Ltd., ADR* | 634 | 60,896 | |||||||||
Amazon.com, Inc.* | 22 | 52,892 | |||||||||
113,788 | |||||||||||
IT Services — 18.8% | |||||||||||
Akamai Technologies, Inc.* | 411 | 41,528 | |||||||||
Cloudflare, Inc., Class A* | 382 | 21,392 | |||||||||
DigitalOcean Holdings, Inc.* | 1,125 | 54,956 | |||||||||
Fastly, Inc., Class A* | 1,793 | 23,399 | |||||||||
International Business Machines Corp. | 272 | 37,765 | |||||||||
MongoDB, Inc.* | 145 | 34,387 | |||||||||
Rackspace Technology, Inc.* | 5,992 | 55,306 | |||||||||
Shopify, Inc., Class A* | 48 | 18,006 | |||||||||
Snowflake, Inc., Class A* | 42 | 5,361 | |||||||||
Squarespace, Inc., Class A* | 377 | 7,762 | |||||||||
Toast, Inc., Class A* | 543 | 8,818 | |||||||||
Twilio, Inc., Class A* | 190 | 19,982 | |||||||||
Wix.com Ltd.* | 242 | 15,248 | |||||||||
343,910 | |||||||||||
Software — 42.3% | |||||||||||
Adobe, Inc.* | 71 | 29,570 | |||||||||
Anaplan, Inc.* | 236 | 15,482 | |||||||||
Appfolio, Inc., Class A* | 98 | 9,818 | |||||||||
Appian Corp.* | 365 | 17,436 | |||||||||
AppLovin Corp., Class A* | 575 | 21,913 | |||||||||
Asana, Inc., Class A* | 204 | 4,435 | |||||||||
Atlassian Corp. plc, Class A* | 109 | 19,328 | |||||||||
Avalara, Inc.* | 108 | 9,144 | |||||||||
Blackbaud, Inc.* | 178 | 11,330 | |||||||||
Blackline, Inc.* | 148 | 10,837 | |||||||||
Box, Inc., Class A* | 435 | 11,358 | |||||||||
Confluent, Inc., Class A* | 781 | 16,502 | |||||||||
Couchbase, Inc.* | 529 | 7,501 | |||||||||
Coupa Software, Inc.* | 91 | 6,260 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Crowdstrike Holdings, Inc., Class A* | 56 | $ | 8,959 | ||||||||
Datadog, Inc., Class A* | 69 | 6,582 | |||||||||
DocuSign, Inc.* | 94 | 7,887 | |||||||||
Domo, Inc., Class B* | 501 | 15,972 | |||||||||
Dropbox, Inc., Class A* | 492 | 10,253 | |||||||||
Elastic NV* | 129 | 7,953 | |||||||||
Everbridge, Inc.* | 282 | 11,649 | |||||||||
HubSpot, Inc.* | 63 | 21,274 | |||||||||
Intuit, Inc. | 23 | 9,533 | |||||||||
Microsoft Corp. | 223 | 60,627 | |||||||||
MicroStrategy, Inc., Class A* | 75 | 19,852 | |||||||||
Open Text Corp. | 257 | 10,540 | |||||||||
Oracle Corp. | 878 | 63,146 | |||||||||
Palo Alto Networks, Inc.* | 19 | 9,553 | |||||||||
Paycom Software, Inc.* | 33 | 9,383 | |||||||||
Paylocity Holding Corp.* | 53 | 9,268 | |||||||||
Q2 Holdings, Inc.* | 172 | 9,070 | |||||||||
Qualtrics International, Inc., Class A* | 368 | 5,226 | |||||||||
Qualys, Inc.* | 89 | 11,630 | |||||||||
RingCentral, Inc., Class A* | 255 | 16,101 | |||||||||
Salesforce, Inc.* | 158 | 25,318 | |||||||||
SAP SE, ADR | 197 | 19,668 | |||||||||
ServiceNow, Inc.* | 57 | 26,646 | |||||||||
Smartsheet, Inc., Class A* | 210 | 7,486 | |||||||||
Splunk, Inc.* | 282 | 28,922 | |||||||||
Sprout Social, Inc., Class A* | 172 | 8,760 | |||||||||
Trade Desk, Inc. (The), Class A* | 131 | 6,818 | |||||||||
VMware, Inc., Class A | 568 | 72,761 | |||||||||
Workday, Inc., Class A* | 49 | 7,659 | |||||||||
Workiva, Inc.* | 316 | 23,071 | |||||||||
Zendesk, Inc.* | 96 | 8,779 | |||||||||
Zoom Video Communications, Inc., Class A* | 84 | 9,026 | |||||||||
Zscaler, Inc.* | 46 | 7,042 | |||||||||
Zuora, Inc., Class A* | 734 | 7,443 | |||||||||
774,771 | |||||||||||
Technology Hardware, Storage & Peripherals — 6.8% | |||||||||||
Hewlett Packard Enterprise Co. | 2,097 | 32,713 | |||||||||
NetApp, Inc. | 426 | 30,651 | |||||||||
Pure Storage, Inc., Class A* | 2,572 | 61,033 | |||||||||
124,397 | |||||||||||
Total Common Stocks (Cost $2,035,310) |
1,577,019 |
68 :: SKYU ULTRA NASDAQ CLOUD COMPUTING :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 17.1% | |||||||||||
Repurchase Agreements (b) — 17.1% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $312,768 (Cost $312,760) |
$ | 312,760 | $ | 312,760 | |||||||
Total Investments — 103.3% (Cost $2,348,070) |
1,889,779 | ||||||||||
Liabilities in excess of other assets — (3.3%) | (59,811 | ) | |||||||||
Net Assets — 100.0% | $ | 1,829,968 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $344,372.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
Abbreviations
ADR American Depositary Receipt
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 39,859 | |||||
Aggregate gross unrealized depreciation | (1,819,356 | ) | |||||
Net unrealized depreciation | $ | (1,779,497 | ) | ||||
Federal income tax cost | $ | 2,458,328 |
Swap Agreementsa
Ultra Nasdaq Cloud Computing had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
747,503 | 11/7/2022 | Bank of America NA |
0.93 | % | ISE Cloud Computing Index |
(129,121 | ) | — | 129,121 | — | |||||||||||||||||||||||||
517,082 | 11/6/2023 | BNP Paribas SA |
1.28 | % | ISE Cloud Computing Index |
(307,419 | ) | — | 215,000 | (92,419 | ) | ||||||||||||||||||||||||
367,112 | 3/7/2023 | Goldman Sachs International |
1.43 | % | ISE Cloud Computing Index |
(325,269 | ) | 14,828 | 310,441 | — | |||||||||||||||||||||||||
461,624 | 11/7/2022 | UBS AG |
1.38 | % | ISE Cloud Computing Index |
(449,139 | ) | — | 415,000 | (34,139 | ) | ||||||||||||||||||||||||
2,093,321 | (1,210,948 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(1,210,948 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA NASDAQ CLOUD COMPUTING SKYU :: 69
Investments | Shares | Value | |||||||||
Exchange Traded Funds — 9.1% | |||||||||||
First Trust NASDAQ Cybersecurity ETF (Cost $244,592) |
4,974 | $ | 210,848 | ||||||||
Principal Amount |
|||||||||||
Short-Term Investments — 32.2% | |||||||||||
Repurchase Agreements (a) — 32.2% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $752,276 (Cost $752,261) |
$ | 752,261 | 752,261 | ||||||||
Total Investments — 41.3% (Cost $996,853) |
963,109 | ||||||||||
Other assets less liabilities — 58.7% | 1,370,040 | ||||||||||
Net Assets — 100.0% | $ | 2,333,149 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | — | |||||
Aggregate gross unrealized depreciation | (1,520,899 | ) | |||||
Net unrealized depreciation | $ | (1,520,899 | ) | ||||
Federal income tax cost | $ | 996,853 |
Swap Agreementsa
Ultra Nasdaq Cybersecurity had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
1,960,820 | 11/7/2022 | Bank of America NA |
1.08 | % | First Trust Nasdaq Cybersecurity ETF |
(131,587 | ) | — | 131,587 | — | |||||||||||||||||||||||||
843,707 | 11/6/2023 | BNP Paribas SA |
1.33 | % | First Trust Nasdaq Cybersecurity ETF |
(403,155 | ) | — | 403,155 | — | |||||||||||||||||||||||||
1,396,156 | 3/7/2023 | Goldman Sachs International |
1.43 | % | First Trust Nasdaq Cybersecurity ETF |
(637,442 | ) | — | 637,442 | — | |||||||||||||||||||||||||
270,588 | 11/7/2022 | UBS AG |
1.33 | % | First Trust Nasdaq Cybersecurity ETF |
(314,971 | ) | — | 314,971 | — | |||||||||||||||||||||||||
4,471,271 | (1,487,155 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(1,487,155 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
70 :: UCYB ULTRA NASDAQ CYBERSECURITY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Shares | Value | |||||||||
Common Stocks (a) — 47.8% | |||||||||||
Electric Utilities — 0.2% | |||||||||||
OGE Energy Corp. | 11,488 | $ | 474,454 | ||||||||
Electrical Equipment — 0.3% | |||||||||||
Plug Power, Inc.*(b) | 29,767 | 550,094 | |||||||||
Energy Equipment & Services — 3.8% | |||||||||||
Baker Hughes Co. | 51,975 | 1,870,061 | |||||||||
Halliburton Co. | 51,565 | 2,088,382 | |||||||||
NOV, Inc. | 22,534 | 450,680 | |||||||||
Schlumberger NV | 80,535 | 3,701,389 | |||||||||
TechnipFMC plc* | 24,313 | 200,339 | |||||||||
8,310,851 | |||||||||||
Oil, Gas & Consumable Fuels — 43.3% | |||||||||||
APA Corp. | 20,849 | 980,111 | |||||||||
Cheniere Energy, Inc. | 13,531 | 1,850,635 | |||||||||
Chevron Corp. | 110,619 | 19,320,715 | |||||||||
ConocoPhillips | 74,729 | 8,396,550 | |||||||||
Continental Resources, Inc. | 3,358 | 228,579 | |||||||||
Coterra Energy, Inc. (b) | 46,689 | 1,602,833 | |||||||||
Devon Energy Corp. | 36,130 | 2,706,137 | |||||||||
Diamondback Energy, Inc. | 9,772 | 1,485,539 | |||||||||
DT Midstream, Inc. | 5,551 | 322,513 | |||||||||
EOG Resources, Inc. | 33,577 | 4,598,706 | |||||||||
EQT Corp. | 17,262 | 823,743 | |||||||||
Equitrans Midstream Corp. | 23,332 | 183,623 | |||||||||
Exxon Mobil Corp. | 242,944 | 23,322,624 | |||||||||
Hess Corp. | 15,820 | 1,946,967 | |||||||||
HF Sinclair Corp. | 8,581 | 421,327 | |||||||||
Kinder Morgan, Inc. | 111,904 | 2,203,390 | |||||||||
Marathon Oil Corp. | 44,678 | 1,404,230 | |||||||||
Marathon Petroleum Corp. | 33,226 | 3,382,075 | |||||||||
New Fortress Energy, Inc. | 2,376 | 110,698 | |||||||||
Occidental Petroleum Corp. | 50,917 | 3,529,057 | |||||||||
ONEOK, Inc. | 25,590 | 1,685,102 | |||||||||
Ovintiv, Inc. | 14,984 | 838,954 | |||||||||
Phillips 66 | 26,846 | 2,706,345 | |||||||||
Pioneer Natural Resources Co. | 13,029 | 3,621,280 | |||||||||
Targa Resources Corp. | 13,140 | 946,343 | |||||||||
Texas Pacific Land Corp. | 353 | 552,794 | |||||||||
Valero Energy Corp. | 23,461 | 3,040,546 | |||||||||
Williams Cos., Inc. (The) | 69,725 | 2,584,009 | |||||||||
94,795,425 | |||||||||||
Semiconductors & Semiconductor Equipment — 0.2% | |||||||||||
First Solar, Inc.* | 5,674 | 400,641 | |||||||||
Total Common Stocks (Cost $70,495,008) |
104,531,465 |
Investments | Shares | Value | |||||||||
Securities Lending Reinvestments (c) — 0.1% | |||||||||||
Investment Companies — 0.1% | |||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $242,444) |
242,444 | $ | 242,444 | ||||||||
Principal Amount |
|||||||||||
Short-Term Investments — 0.3% | |||||||||||
Repurchase Agreements (d) — 0.3% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $694,312 (Cost $694,298) |
$ | 694,298 | 694,298 | ||||||||
Total Investments — 48.2% (Cost $71,431,750) |
105,468,207 | ||||||||||
Other assets less liabilities — 51.8% | 113,233,124 | ||||||||||
Net Assets — 100.0% | $ | 218,701,331 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $37,641,752.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,517,994, collateralized in the form of cash with a value of $242,444 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $1,441,539 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $1,683,983.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $242,444.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 132,063,007 | |||||
Aggregate gross unrealized depreciation | (756,850 | ) | |||||
Net unrealized appreciation | $ | 131,306,157 | |||||
Federal income tax cost | $ | 72,399,619 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA OIL & GAS DIG :: 71
Swap Agreementsa
Ultra Oil & Gas had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Appreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
36,919,395 | 5/8/2023 | Bank of America NA |
1.13 | % | Dow Jones U.S. Oil & GasSM Index |
13,217,766 | (13,217,766 | ) | — | — | |||||||||||||||||||||||||
43,225,697 | 11/6/2023 | BNP Paribas SA |
1.33 | % | Dow Jones U.S. Oil & GasSM Index |
754,605 | (754,605 | ) | — | — | |||||||||||||||||||||||||
21,296,963 | 11/6/2023 | Citibank NA |
1.13 | % | Dow Jones U.S. Oil & GasSM Index |
17,063,805 | — | (17,063,805 | ) | — | |||||||||||||||||||||||||
35,474,022 | 3/7/2023 | Goldman Sachs International |
1.43 | % | Dow Jones U.S. Oil & GasSM Index |
7,648,810 | (7,644,760 | ) | (4,050 | ) | — | ||||||||||||||||||||||||
9,941,483 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.43 | % | Dow Jones U.S. Oil & GasSM Index |
7,342,783 | — | (7,342,783 | ) | — | |||||||||||||||||||||||||
51,400,217 | 3/7/2023 | Societe Generale |
1.38 | % | Dow Jones U.S. Oil & GasSM Index |
13,502,619 | (13,488,744 | ) | (13,875 | ) | — | ||||||||||||||||||||||||
134,593,640 | 3/7/2023 | UBS AG |
0.83 | % | Dow Jones U.S. Oil & GasSM Index |
38,707,181 | (16,087,181 | ) | (22,620,000 | ) | — | ||||||||||||||||||||||||
332,851,417 | 98,237,569 | ||||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
98,237,569 |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
72 :: DIG ULTRA OIL & GAS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Shares | Value | |||||||||
Common Stocks (a) — 85.4% | |||||||||||
Automobiles — 3.7% | |||||||||||
Lucid Group, Inc.*(b) | 444,143 | $ | 8,962,806 | ||||||||
Tesla, Inc.* | 167,390 | 126,925,141 | |||||||||
135,887,947 | |||||||||||
Beverages — 2.4% | |||||||||||
Keurig Dr Pepper, Inc. | 380,919 | 13,233,126 | |||||||||
Monster Beverage Corp.* | 142,231 | 12,675,627 | |||||||||
PepsiCo, Inc. | 371,635 | 62,341,771 | |||||||||
88,250,524 | |||||||||||
Biotechnology — 3.5% | |||||||||||
Amgen, Inc. | 149,618 | 38,412,925 | |||||||||
Biogen, Inc.* | 39,467 | 7,893,400 | |||||||||
Gilead Sciences, Inc. | 336,740 | 21,837,589 | |||||||||
Moderna, Inc.* | 108,235 | 15,729,793 | |||||||||
Regeneron Pharmaceuticals, Inc.* | 28,652 | 19,046,130 | |||||||||
Seagen, Inc.* | 49,338 | 6,694,180 | |||||||||
Vertex Pharmaceuticals, Inc.* | 68,398 | 18,375,123 | |||||||||
127,989,140 | |||||||||||
Commercial Services & Supplies — 0.5% | |||||||||||
Cintas Corp. | 27,892 | 11,110,221 | |||||||||
Copart, Inc.* | 63,738 | 7,299,913 | |||||||||
18,410,134 | |||||||||||
Communications Equipment — 1.4% | |||||||||||
Cisco Systems, Inc. | 1,116,068 | 50,278,863 | |||||||||
Electric Utilities — 1.2% | |||||||||||
American Electric Power Co., Inc. | 135,442 | 13,819,147 | |||||||||
Constellation Energy Corp. | 87,722 | 5,445,760 | |||||||||
Exelon Corp. | 263,331 | 12,942,719 | |||||||||
Xcel Energy, Inc. | 146,168 | 11,012,297 | |||||||||
43,219,923 | |||||||||||
Entertainment — 1.5% | |||||||||||
Activision Blizzard, Inc. | 209,369 | 16,305,658 | |||||||||
Electronic Arts, Inc. | 75,518 | 10,470,571 | |||||||||
NetEase, Inc., ADR | 56,282 | 5,838,132 | |||||||||
Netflix, Inc.* | 119,296 | 23,553,802 | |||||||||
56,168,163 | |||||||||||
Food & Staples Retailing — 1.8% | |||||||||||
Costco Wholesale Corp. | 119,141 | 55,545,917 | |||||||||
Walgreens Boots Alliance, Inc. | 231,931 | 10,165,536 | |||||||||
65,711,453 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Food Products — 1.0% | |||||||||||
Kraft Heinz Co. (The) | 328,734 | $ | 12,436,007 | ||||||||
Mondelez International, Inc., Class A | 372,946 | 23,704,448 | |||||||||
36,140,455 | |||||||||||
Health Care Equipment & Supplies — 1.2% | |||||||||||
Align Technology, Inc.* | 21,161 | 5,875,140 | |||||||||
Dexcom, Inc.* | 26,048 | 7,760,741 | |||||||||
IDEXX Laboratories, Inc.* | 22,632 | 8,863,144 | |||||||||
Intuitive Surgical, Inc.* | 96,108 | 21,878,025 | |||||||||
44,377,050 | |||||||||||
Hotels, Restaurants & Leisure — 2.1% | |||||||||||
Airbnb, Inc., Class A* | 99,682 | 12,048,564 | |||||||||
Booking Holdings, Inc.* | 11,022 | 24,728,518 | |||||||||
Marriott International, Inc., Class A | 87,685 | 15,044,992 | |||||||||
Starbucks Corp. | 309,009 | 24,257,207 | |||||||||
76,079,281 | |||||||||||
Industrial Conglomerates — 1.0% | |||||||||||
Honeywell International, Inc. | 184,281 | 35,680,487 | |||||||||
Interactive Media & Services — 9.5% | |||||||||||
Alphabet, Inc., Class A* | 48,669 | 110,733,656 | |||||||||
Alphabet, Inc., Class C* | 51,094 | 116,534,173 | |||||||||
Baidu, Inc., ADR* | 64,947 | 9,115,312 | |||||||||
Match Group, Inc.* | 76,585 | 6,033,366 | |||||||||
Meta Platforms, Inc., Class A* | 559,958 | 108,430,267 | |||||||||
350,846,774 | |||||||||||
Internet & Direct Marketing Retail — 6.3% | |||||||||||
Amazon.com, Inc.* | 82,376 | 198,047,555 | |||||||||
eBay, Inc. | 157,891 | 7,684,555 | |||||||||
JD.com, Inc., ADR | 160,294 | 8,995,699 | |||||||||
MercadoLibre, Inc.* | 13,562 | 10,658,105 | |||||||||
Pinduoduo, Inc., ADR* | 118,745 | 5,978,811 | |||||||||
231,364,725 | |||||||||||
IT Services — 2.7% | |||||||||||
Automatic Data Processing, Inc. | 112,848 | 25,158,333 | |||||||||
Cognizant Technology Solutions Corp., Class A |
140,941 | 10,528,293 | |||||||||
Fiserv, Inc.* | 175,134 | 17,544,924 | |||||||||
Okta, Inc.* | 39,928 | 3,316,020 | |||||||||
Paychex, Inc. | 96,884 | 11,997,146 | |||||||||
PayPal Holdings, Inc.* | 312,892 | 26,661,527 | |||||||||
VeriSign, Inc.* | 29,580 | 5,163,189 | |||||||||
100,369,432 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA QQQ QLD :: 73
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Life Sciences Tools & Services — 0.3% | |||||||||||
Illumina, Inc.* | 42,198 | $ | 10,105,577 | ||||||||
Machinery — 0.2% | |||||||||||
PACCAR, Inc. | 93,351 | 8,106,601 | |||||||||
Media — 2.3% | |||||||||||
Charter Communications, Inc., Class A* |
46,390 | 23,516,483 | |||||||||
Comcast Corp., Class A | 1,215,219 | 53,809,897 | |||||||||
Sirius XM Holdings, Inc. (b) | 1,060,693 | 6,788,435 | |||||||||
84,114,815 | |||||||||||
Multiline Retail — 0.3% | |||||||||||
Dollar Tree, Inc.* | 60,473 | 9,695,636 | |||||||||
Pharmaceuticals — 0.3% | |||||||||||
AstraZeneca plc, ADR | 153,239 | 10,187,329 | |||||||||
Professional Services — 0.2% | |||||||||||
Verisk Analytics, Inc. | 43,333 | 7,579,808 | |||||||||
Road & Rail — 0.7% | |||||||||||
CSX Corp. | 589,238 | 18,731,876 | |||||||||
Old Dominion Freight Line, Inc. | 30,825 | 7,960,248 | |||||||||
26,692,124 | |||||||||||
Semiconductors & Semiconductor Equipment — 13.9% | |||||||||||
Advanced Micro Devices, Inc.* | 437,205 | 44,533,701 | |||||||||
Analog Devices, Inc. | 140,621 | 23,680,576 | |||||||||
Applied Materials, Inc. | 237,320 | 27,835,263 | |||||||||
ASML Holding NV, NYRS | 22,245 | 12,819,571 | |||||||||
Broadcom, Inc. | 110,026 | 63,829,383 | |||||||||
Intel Corp. | 1,093,977 | 48,594,458 | |||||||||
KLA Corp. | 40,486 | 14,771,317 | |||||||||
Lam Research Corp. | 37,463 | 19,481,884 | |||||||||
Marvell Technology, Inc. | 226,670 | 13,407,531 | |||||||||
Microchip Technology, Inc. | 149,386 | 10,852,893 | |||||||||
Micron Technology, Inc. | 300,837 | 22,213,804 | |||||||||
NVIDIA Corp. | 569,280 | 106,295,962 | |||||||||
NXP Semiconductors NV | 70,532 | 13,384,152 | |||||||||
QUALCOMM, Inc. | 302,791 | 43,365,727 | |||||||||
Skyworks Solutions, Inc. | 44,043 | 4,794,962 | |||||||||
Texas Instruments, Inc. | 248,121 | 43,857,868 | |||||||||
513,719,052 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Software — 14.5% | |||||||||||
Adobe, Inc.* | 126,822 | $ | 52,818,827 | ||||||||
ANSYS, Inc.* | 23,397 | 6,091,643 | |||||||||
Atlassian Corp. plc, Class A* | 37,889 | 6,718,477 | |||||||||
Autodesk, Inc.* | 59,123 | 12,282,803 | |||||||||
Cadence Design Systems, Inc.* | 74,491 | 11,451,501 | |||||||||
Crowdstrike Holdings, Inc., Class A* | 55,886 | 8,941,201 | |||||||||
Datadog, Inc., Class A* | 71,061 | 6,778,509 | |||||||||
DocuSign, Inc.* | 53,207 | 4,464,599 | |||||||||
Fortinet, Inc.* | 43,196 | 12,705,671 | |||||||||
Intuit, Inc. | 76,117 | 31,547,452 | |||||||||
Microsoft Corp. | 1,213,978 | 330,044,199 | |||||||||
Palo Alto Networks, Inc.* | 26,464 | 13,305,570 | |||||||||
Splunk, Inc.*(b) | 42,602 | 4,369,261 | |||||||||
Synopsys, Inc.* | 41,158 | 13,137,634 | |||||||||
Workday, Inc., Class A* | 52,631 | 8,226,225 | |||||||||
Zoom Video Communications, Inc., Class A* |
65,070 | 6,991,772 | |||||||||
Zscaler, Inc.* | 37,686 | 5,769,350 | |||||||||
535,644,694 | |||||||||||
Specialty Retail — 0.5% | |||||||||||
O'Reilly Automotive, Inc.* | 17,868 | 11,384,953 | |||||||||
Ross Stores, Inc. | 94,935 | 8,071,374 | |||||||||
19,456,327 | |||||||||||
Technology Hardware, Storage & Peripherals — 10.7% | |||||||||||
Apple, Inc. | 2,642,540 | 393,315,654 | |||||||||
Textiles, Apparel & Luxury Goods — 0.3% | |||||||||||
Lululemon Athletica, Inc.* | 33,131 | 9,697,112 | |||||||||
Trading Companies & Distributors — 0.2% | |||||||||||
Fastenal Co. | 154,609 | 8,280,858 | |||||||||
Wireless Telecommunication Services — 1.2% | |||||||||||
T-Mobile US, Inc.* | 335,672 | 44,741,721 | |||||||||
Total Common Stocks (Cost $3,690,450,664) |
3,142,111,659 | ||||||||||
Securities Lending Reinvestments (c) — 0.4% | |||||||||||
Investment Companies — 0.4% | |||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $13,789,342) |
13,789,342 | 13,789,342 |
74 :: QLD ULTRA QQQ :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 30.4% | |||||||||||
Repurchase Agreements (d) — 6.1% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $224,180,215 (Cost $224,175,700) |
$ | 224,175,700 | $ | 224,175,700 | |||||||
U.S. Treasury Obligations — 24.3% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.28%, 6/2/2022 (e) | 245,000,000 | 244,996,494 | |||||||||
0.51%, 6/21/2022 (e) | 75,000,000 | 74,975,417 | |||||||||
0.64%, 6/30/2022 (e) | 75,000,000 | 74,958,916 | |||||||||
0.07%, 7/14/2022 (e) | 400,000,000 | 399,604,560 | |||||||||
0.74%, 8/18/2022 (e) | 100,000,000 | 99,773,854 | |||||||||
Total U.S. Treasury Obligations (Cost $894,746,826) |
894,309,241 | ||||||||||
Total Short-Term Investments (Cost $1,118,922,526) |
1,118,484,941 | ||||||||||
Total Investments — 116.2% (Cost $4,823,162,532) |
4,274,385,942 | ||||||||||
Liabilities in excess of other assets — (16.2%) | (595,061,809 | ) | |||||||||
Net Assets — 100.0% | $ | 3,679,324,133 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $1,914,125,704.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $18,465,573, collateralized in the form of cash with a value of $13,789,342 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $5,355,903 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $19,145,245.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $13,789,342.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(e) The rate shown was the current yield as of May 31, 2022.
Abbreviations
ADR American Depositary Receipt
NYRS New York Registry Shares
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 156,309,944 | |||||
Aggregate gross unrealized depreciation | (1,625,262,070 | ) | |||||
Net unrealized depreciation | $ | (1,468,952,126 | ) | ||||
Federal income tax cost | $ | 4,842,567,071 |
Futures Contracts Purchased
Ultra QQQ had the following open long futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount |
Value and Unrealized Depreciation |
|||||||||||||||||||
NASDAQ 100 E-Mini Index | 1,526 | 6/17/2022 | USD | $ | 385,971,180 | $ | (9,618,580 | ) |
Swap Agreementsa
Ultra QQQ had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
119,783,897 | 11/6/2023 | Bank of America NA |
1.43 | % | NASDAQ-100 Index® |
(60,930,713 | ) | 37,330,572 | 23,600,141 | — | |||||||||||||||||||||||||
256,166,872 | 11/6/2023 | Barclays Capital |
1.43 | % | NASDAQ-100 Index® |
(56,144 | ) | — | — | (56,144 | ) | ||||||||||||||||||||||||
313,701,069 | 5/8/2023 | BNP Paribas SA |
1.48 | % | NASDAQ-100 Index® |
(194,143,428 | ) | 164,463,887 | 29,679,541 | — |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA QQQ QLD :: 75
Notional
Amount ($) |
Termination Dateb |
Counterparty | Rate Paid
(Received)c |
Reference Instrument |
Value
and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
154,435,894 | 4/10/2023 | Citibank NA |
1.49 | % | NASDAQ-100 Index® |
(119,050,423 | ) | 117,132,075 | 1,918,348 | — | |||||||||||||||||||||||||
494,141,763 | 4/10/2023 | Credit Suisse International |
1.43 | % | NASDAQ-100 Index® |
(144,903,909 | ) | 105,526,610 | 39,377,299 | — | |||||||||||||||||||||||||
326,646,580 | 4/8/2024 | Goldman Sachs International |
1.43 | % | NASDAQ-100 Index® |
12,988,181 | |||||||||||||||||||||||||||||
421,176,785 | 3/7/2023 | Goldman Sachs International |
1.23 | % | PowerShares QQQ TrustSM, Series 1 |
(134,900,749 | ) | ||||||||||||||||||||||||||||
747,823,365 | (121,912,568 | ) | 40,478,813 | 81,433,755 | — | ||||||||||||||||||||||||||||||
318,821,120 | 5/8/2023 | J.P. Morgan Securities |
1.23 | % | NASDAQ-100 Index® |
(164,363,654 | ) | 152,585,061 | 11,778,593 | — | |||||||||||||||||||||||||
111,288,406 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.38 | % | NASDAQ-100 Index® |
(30,834,972 | ) | ||||||||||||||||||||||||||||
155,683,539 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.38 | % | PowerShares QQQ TrustSM, Series 1 |
54,103,235 | |||||||||||||||||||||||||||||
266,971,945 | 23,268,263 | — | (23,268,263 | ) | — | ||||||||||||||||||||||||||||||
492,624,711 | 4/10/2023 | Societe Generale |
1.68 | % | NASDAQ-100 Index® |
21,565,140 | (21,565,140 | ) | — | — | |||||||||||||||||||||||||
666,188,102 | 3/7/2023 | UBS AG |
1.63 | % | NASDAQ-100 Index® |
(130,624,981 | ) | 130,607,996 | 16,985 | — | |||||||||||||||||||||||||
3,830,658,738 | (891,152,417 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
88,656,556 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(979,808,973 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
76 :: QLD ULTRA QQQ :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Shares | Value | |||||||||
Common Stocks (a) — 90.6% | |||||||||||
Equity Real Estate Investment Trusts (REITs) — 83.2% | |||||||||||
Alexandria Real Estate Equities, Inc. | 9,798 | $ | 1,625,978 | ||||||||
American Campus Communities, Inc. | 9,364 | 608,660 | |||||||||
American Homes 4 Rent, Class A | 19,881 | 734,802 | |||||||||
American Tower Corp. | 30,641 | 7,848,078 | |||||||||
Americold Realty Trust, Inc. (b) | 17,952 | 497,091 | |||||||||
Apartment Income REIT Corp. | 10,573 | 474,305 | |||||||||
AvalonBay Communities, Inc. | 9,408 | 1,956,488 | |||||||||
Boston Properties, Inc. | 9,566 | 1,063,548 | |||||||||
Brixmor Property Group, Inc. | 20,052 | 488,868 | |||||||||
Camden Property Trust | 6,878 | 986,924 | |||||||||
Corporate Office Properties Trust | 7,558 | 208,903 | |||||||||
Cousins Properties, Inc. (b) | 10,006 | 345,707 | |||||||||
Crown Castle International Corp. | 29,096 | 5,518,056 | |||||||||
CubeSmart | 14,725 | 655,704 | |||||||||
Digital Realty Trust, Inc. | 19,098 | 2,665,890 | |||||||||
Douglas Emmett, Inc. | 11,809 | 333,840 | |||||||||
Duke Realty Corp. | 25,634 | 1,354,244 | |||||||||
EastGroup Properties, Inc. | 2,737 | 442,162 | |||||||||
Equinix, Inc. | 6,071 | 4,171,323 | |||||||||
Equity Commonwealth* | 7,611 | 207,400 | |||||||||
Equity LifeStyle Properties, Inc. | 11,618 | 879,483 | |||||||||
Equity Residential | 23,002 | 1,767,244 | |||||||||
Essex Property Trust, Inc. | 4,391 | 1,246,385 | |||||||||
Extra Space Storage, Inc. | 9,010 | 1,605,582 | |||||||||
Federal Realty Investment Trust | 4,763 | 547,602 | |||||||||
First Industrial Realty Trust, Inc. | 8,772 | 466,232 | |||||||||
Gaming and Leisure Properties, Inc. | 15,805 | 739,990 | |||||||||
Healthcare Realty Trust, Inc. (b) | 9,930 | 288,665 | |||||||||
Healthcare Trust of America, Inc., Class A |
14,861 | 446,573 | |||||||||
Healthpeak Properties, Inc. | 36,302 | 1,077,806 | |||||||||
Highwoods Properties, Inc. | 7,058 | 277,309 | |||||||||
Host Hotels & Resorts, Inc. | 48,062 | 960,759 | |||||||||
Hudson Pacific Properties, Inc. | 10,261 | 204,296 | |||||||||
Invitation Homes, Inc. | 40,158 | 1,514,760 | |||||||||
Iron Mountain, Inc. | 19,484 | 1,050,188 | |||||||||
JBG SMITH Properties | 7,682 | 198,272 | |||||||||
Kilroy Realty Corp. | 7,073 | 429,331 | |||||||||
Kimco Realty Corp. | 41,516 | 981,853 | |||||||||
Lamar Advertising Co., Class A | 5,847 | 572,714 | |||||||||
Life Storage, Inc. | 5,519 | 644,398 | |||||||||
LXP Industrial Trust (b) | 19,026 | 219,941 | |||||||||
Medical Properties Trust, Inc. | 40,172 | 746,396 | |||||||||
Mid-America Apartment Communities, Inc. (b) |
7,761 | 1,404,741 | |||||||||
National Health Investors, Inc. | 3,085 | 182,478 | |||||||||
National Retail Properties, Inc. | 11,819 | 523,582 | |||||||||
National Storage Affiliates Trust | 5,514 | 289,209 | |||||||||
Omega Healthcare Investors, Inc. | 16,078 | 478,642 | |||||||||
Orion Office REIT, Inc. | 3,812 | 50,811 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Physicians Realty Trust | 14,823 | $ | 274,967 | ||||||||
PotlatchDeltic Corp. | 4,647 | 243,782 | |||||||||
Prologis, Inc. | 49,800 | 6,348,504 | |||||||||
PS Business Parks, Inc. | 1,354 | 254,051 | |||||||||
Public Storage | 10,266 | 3,394,350 | |||||||||
Rayonier, Inc. | 9,782 | 403,214 | |||||||||
Realty Income Corp. | 38,071 | 2,597,204 | |||||||||
Regency Centers Corp. | 10,374 | 707,611 | |||||||||
Rexford Industrial Realty, Inc. | 10,783 | 688,710 | |||||||||
Sabra Health Care REIT, Inc. | 15,388 | 216,048 | |||||||||
SBA Communications Corp. | 7,323 | 2,464,995 | |||||||||
Simon Property Group, Inc. | 22,112 | 2,535,141 | |||||||||
SL Green Realty Corp. | 4,315 | 266,538 | |||||||||
Spirit Realty Capital, Inc. | 8,594 | 360,862 | |||||||||
STAG Industrial, Inc. | 11,860 | 394,938 | |||||||||
STORE Capital Corp. | 16,509 | 455,483 | |||||||||
Sun Communities, Inc. | 7,803 | 1,280,706 | |||||||||
UDR, Inc. | 20,136 | 962,501 | |||||||||
Ventas, Inc. | 26,876 | 1,524,944 | |||||||||
VICI Properties, Inc. | 56,494 | 1,742,840 | |||||||||
Vornado Realty Trust | 10,703 | 374,177 | |||||||||
Welltower, Inc. | 29,324 | 2,612,475 | |||||||||
Weyerhaeuser Co. | 50,288 | 1,987,382 | |||||||||
WP Carey, Inc. | 12,828 | 1,079,348 | |||||||||
85,153,984 | |||||||||||
Mortgage Real Estate Investment Trusts (REITs) — 2.3% | |||||||||||
AGNC Investment Corp. | 35,140 | 429,762 | |||||||||
Annaly Capital Management, Inc. | 104,922 | 693,535 | |||||||||
Blackstone Mortgage Trust, Inc., Class A | 11,347 | 353,005 | |||||||||
New Residential Investment Corp. | 31,410 | 354,933 | |||||||||
Starwood Property Trust, Inc. | 20,503 | 489,817 | |||||||||
2,321,052 | |||||||||||
Professional Services — 1.6% | |||||||||||
CoStar Group, Inc.* | 26,577 | 1,619,602 | |||||||||
Real Estate Management & Development — 3.5% | |||||||||||
CBRE Group, Inc., Class A* | 22,520 | 1,865,557 | |||||||||
Compass, Inc., Class A*(b) | 1,914 | 11,216 | |||||||||
Howard Hughes Corp. (The)* | 2,782 | 234,050 | |||||||||
Jones Lang LaSalle, Inc.* | 3,395 | 669,901 | |||||||||
Opendoor Technologies, Inc.*(b) | 26,177 | 189,260 | |||||||||
Redfin Corp.*(b) | 7,101 | 69,590 | |||||||||
Zillow Group, Inc., Class A* | 2,485 | 99,300 | |||||||||
Zillow Group, Inc., Class C*(b) | 11,192 | 446,561 | |||||||||
3,585,435 | |||||||||||
Total Common Stocks (Cost $99,985,486) |
92,680,073 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA REAL ESTATE URE :: 77
Investments | Shares | Value | |||||||||
Securities Lending Reinvestments (c) — 0.1% | |||||||||||
Investment Companies — 0.1% | |||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $98,319) |
98,319 | $ | 98,319 | ||||||||
Principal Amount |
|||||||||||
Short-Term Investments — 14.9% | |||||||||||
Repurchase Agreements (d) — 14.9% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $15,273,939 (Cost $15,273,632) |
$ | 15,273,632 | 15,273,632 | ||||||||
Total Investments — 105.6% (Cost $115,357,437) |
108,052,024 | ||||||||||
Liabilities in excess of other assets — (5.6%) | (5,738,585 | ) | |||||||||
Net Assets — 100.0% | $ | 102,313,439 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $44,079,983.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,316,000, collateralized in the form of cash with a value of $98,319 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $1,295,705 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.75%, and maturity dates ranging from June 15, 2022 - November 15, 2051. The total value of collateral is $1,394,024.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $98,319.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 2,692,740 | |||||
Aggregate gross unrealized depreciation | (23,525,921 | ) | |||||
Net unrealized depreciation | $ | (20,833,181 | ) | ||||
Federal income tax cost | $ | 115,462,409 |
Swap Agreementsa
Ultra Real Estate had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
11,246,795 | 5/8/2023 | Bank of America NA |
1.78 | % | Dow Jones U.S. Real EstateSM Index |
(1,678,906 | ) | 1,246,073 | 432,833 | — | |||||||||||||||||||||||||
27,222,974 | 5/8/2023 | BNP Paribas SA | 1.43 | % | Dow Jones U.S. Real EstateSM Index |
(4,115,741 | ) | 3,967,180 | 148,561 | — | |||||||||||||||||||||||||
10,823,792 | 11/7/2022 | Citibank NA | 1.53 | % | Dow Jones U.S. Real EstateSM Index |
(466,746 | ) | — | 466,746 | — | |||||||||||||||||||||||||
25,972,474 | 3/7/2023 | Goldman Sachs International |
1.43 | % | Dow Jones U.S. Real EstateSM Index |
(3,129,344 | ) | 765,052 | 2,364,292 | — | |||||||||||||||||||||||||
197,042 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.43 | % | Dow Jones U.S. Real EstateSM Index |
38,372 | — | (38,372 | ) | — | |||||||||||||||||||||||||
6,439,906 | 3/7/2023 | Societe Generale |
1.53 | % | Dow Jones U.S. Real EstateSM Index |
(3,463,308 | ) | 579,373 | 2,883,935 | — | |||||||||||||||||||||||||
30,529,494 | 3/7/2023 | UBS AG | 1.18 | % | Dow Jones U.S. Real EstateSM Index |
(607,123 | ) | 516,295 | 90,828 | — | |||||||||||||||||||||||||
112,432,477 | (13,422,796 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
38,372 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(13,461,168 | ) |
78 :: URE ULTRA REAL ESTATE :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA REAL ESTATE URE :: 79
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) — 71.1% | |||||||||||||||
AMC Entertainment Holdings, Inc., Class A*(b) (Entertainment) |
0.2 | % | 27,364 | $ | 392,400 | ||||||||||
Antero Resources Corp.* (Oil, Gas & Consumable Fuels) |
0.4 | % | 15,172 | 650,575 | |||||||||||
Avis Budget Group, Inc.* (Road & Rail) |
0.2 | % | 2,188 | 416,333 | |||||||||||
Biohaven Pharmaceutical Holding Co. Ltd.* (Biotechnology) |
0.2 | % | 2,946 | 423,429 | |||||||||||
BJ's Wholesale Club Holdings, Inc.* (Food & Staples Retailing) |
0.2 | % | 7,263 | 420,310 | |||||||||||
Chart Industries, Inc.* (Machinery) |
0.2 | % | 1,936 | 340,504 | |||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) |
0.3 | % | 5,570 | 542,407 | |||||||||||
CMC Materials, Inc. (Semiconductors & Semiconductor Equipment) |
0.1 | % | 1,503 | 265,941 | |||||||||||
EastGroup Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.2 | % | 2,148 | 347,009 | |||||||||||
EMCOR Group, Inc. (Construction & Engineering) |
0.2 | % | 2,826 | 298,510 | |||||||||||
First Financial Bankshares, Inc. (b) (Banks) |
0.2 | % | 6,892 | 284,226 | |||||||||||
Glacier Bancorp, Inc. (Banks) | 0.2 | % | 5,846 | 283,005 | |||||||||||
Halozyme Therapeutics, Inc.* (Biotechnology) |
0.2 | % | 7,336 | 337,309 | |||||||||||
HealthEquity, Inc.* (Health Care Providers & Services) |
0.1 | % | 4,332 | 271,097 | |||||||||||
Helmerich & Payne, Inc. (Energy Equipment & Services) |
0.1 | % | 5,466 | 275,213 | |||||||||||
II-VI, Inc.*(b) (Electronic Equipment, Instruments & Components) |
0.2 | % | 5,622 | 351,375 | |||||||||||
Independence Realty Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.2 | % | 11,729 | 275,749 | |||||||||||
KBR, Inc. (Professional Services) |
0.2 | % | 7,498 | 373,100 | |||||||||||
Lattice Semiconductor Corp.* (Semiconductors & Semiconductor Equipment) |
0.2 | % | 7,191 | 374,076 | |||||||||||
LHC Group, Inc.* (Health Care Providers & Services) |
0.1 | % | 1,623 | 270,489 | |||||||||||
Light & Wonder, Inc.* (Hotels, Restaurants & Leisure) |
0.1 | % | 5,106 | 269,597 | |||||||||||
Livent Corp.*(b) (Chemicals) | 0.1 | % | 8,586 | 272,949 | |||||||||||
Macy's, Inc. (Multiline Retail) | 0.2 | % | 15,989 | 378,140 |
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
Matador Resources Co. (Oil, Gas & Consumable Fuels) |
0.2 | % | 5,868 | $ | 357,361 | ||||||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) |
0.2 | % | 7,770 | 329,603 | |||||||||||
Murphy USA, Inc. (Specialty Retail) |
0.2 | % | 1,240 | 308,909 | |||||||||||
Ovintiv, Inc. (Oil, Gas & Consumable Fuels) |
0.4 | % | 13,893 | 777,869 | |||||||||||
PDC Energy, Inc. (Oil, Gas & Consumable Fuels) |
0.2 | % | 5,166 | 408,837 | |||||||||||
Performance Food Group Co.* (Food & Staples Retailing) |
0.2 | % | 8,045 | 348,670 | |||||||||||
Power Integrations, Inc. (Semiconductors & Semiconductor Equipment) |
0.1 | % | 3,124 | 263,603 | |||||||||||
Range Resources Corp.* (Oil, Gas & Consumable Fuels) |
0.2 | % | 12,683 | 430,588 | |||||||||||
RBC Bearings, Inc.*(b) (Machinery) |
0.2 | % | 1,489 | 277,535 | |||||||||||
Rogers Corp.* (Electronic Equipment, Instruments & Components) |
0.1 | % | 995 | 264,053 | |||||||||||
Saia, Inc.* (Road & Rail) | 0.2 | % | 1,410 | 278,602 | |||||||||||
Sailpoint Technologies Holdings, Inc.* (Software) |
0.2 | % | 4,846 | 307,430 | |||||||||||
Shockwave Medical, Inc.* (Health Care Equipment & Supplies) |
0.2 | % | 1,785 | 293,115 | |||||||||||
Silicon Laboratories, Inc.* (Semiconductors & Semiconductor Equipment) |
0.2 | % | 2,016 | 300,707 | |||||||||||
SM Energy Co. (Oil, Gas & Consumable Fuels) |
0.2 | % | 6,365 | 307,239 | |||||||||||
SouthState Corp. (Banks) | 0.2 | % | 4,091 | 330,635 | |||||||||||
Southwest Gas Holdings, Inc. (Gas Utilities) |
0.2 | % | 3,497 | 325,676 | |||||||||||
Southwestern Energy Co.* (Oil, Gas & Consumable Fuels) |
0.3 | % | 53,877 | 491,358 | |||||||||||
STAG Industrial, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.2 | % | 9,508 | 316,616 | |||||||||||
Synaptics, Inc.* (Semiconductors & Semiconductor Equipment) |
0.2 | % | 2,098 | 310,756 | |||||||||||
Tenet Healthcare Corp.* (Health Care Providers & Services) |
0.2 | % | 5,636 | 364,706 | |||||||||||
Tetra Tech, Inc. (Commercial Services & Supplies) |
0.2 | % | 2,866 | 386,824 | |||||||||||
Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) |
0.2 | % | 3,710 | 289,269 | |||||||||||
United Bankshares, Inc. (Banks) |
0.1 | % | 6,995 | 262,732 |
80 :: UWM ULTRA RUSSELL2000 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
Valley National Bancorp (Banks) |
0.1 | % | 21,241 | $ | 269,973 | ||||||||||
WESCO International, Inc.* (Trading Companies & Distributors) |
0.2 | % | 2,366 | 297,122 | |||||||||||
WillScot Mobile Mini Holdings Corp.* (Construction & Engineering) |
0.2 | % | 11,060 | 395,174 | |||||||||||
Other Common Stocks (b) | 61.5 | % | 5,618,486 | 111,784,530 | |||||||||||
Total Common Stocks (Cost $178,669,262) |
129,193,235 | ||||||||||||||
No. of Rights |
|||||||||||||||
Rights — 0.0% (c) | |||||||||||||||
ANI Pharmaceuticals, Inc., CVR, expiring 12/31/50*(d)(e) |
0.0 | % | 2 | — | |||||||||||
Contra Aduro Biotech I, CVR*(d)(e) |
0.0 | % | 687 | — | |||||||||||
Contraf-Nicotex-Tobacco GmbH*(d)(e) |
0.0 | % | 2,444 | 1,222 | |||||||||||
Oncternal Therapeutics, Inc., CVR*(d)(e) |
0.0 | % | 42 | — | |||||||||||
Tobira Therapeutics, Inc., CVR*(d)(e) |
0.0 | % | 756 | — | |||||||||||
Zogenix, Inc., CVR*(d)(e) | 0.0 | % | 4,182 | 2,844 | |||||||||||
Total Rights (Cost $1,951) |
4,066 | ||||||||||||||
Shares | |||||||||||||||
Securities Lending Reinvestments (f) — 1.8% | |||||||||||||||
Investment Companies — 1.8% | |||||||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $3,360,840) |
1.8 | % | 3,360,840 | 3,360,840 | |||||||||||
Principal Amount |
|||||||||||||||
Short-Term Investments — 36.6% | |||||||||||||||
Repurchase Agreements (g) — 36.6% | |||||||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $66,533,171 (Cost $66,531,831) |
$ | 66,531,831 | 66,531,831 | ||||||||||||
Total Investments — 109.5% (Cost $248,563,884) |
199,089,972 | ||||||||||||||
Liabilities in excess of other assets — (9.5%) | (17,319,873 | ) | |||||||||||||
Net Assets — 100.0% | $ | 181,770,099 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $61,666,940.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $5,200,000, collateralized in the form of cash with a value of $3,360,840 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $2,143,985 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 4.63%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $5,504,825.
(c) Represents less than 0.05% of net assets.
(d) Illiquid security.
(e) Security fair valued as of May 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at May 31, 2022 amounted to $4,066, which represents approximately 0.00% of net assets of the Fund.
(f) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $3,360,840.
(g) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
Abbreviations
CVR Contingent Value Rights — No defined expiration
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 3,996,444 | |||||
Aggregate gross unrealized depreciation | (119,401,200 | ) | |||||
Net unrealized depreciation | $ | (115,404,756 | ) | ||||
Federal income tax cost | $ | 250,388,448 |
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA RUSSELL2000 UWM :: 81
Futures Contracts Purchased
Ultra Russell2000 had the following open long futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
Russell 2000 E-Mini Index | 162 | 6/17/2022 | USD | $ | 15,081,390 | $ | 415,747 |
Swap Agreementsa
Ultra Russell2000 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value
and Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
7,595,963 | 5/8/2023 | Bank of America NA |
1.13 | % | Russell 2000® Index |
(9,640,583 | ) | 7,892,497 | 1,748,086 | — | |||||||||||||||||||||||||
531,251 | 11/6/2023 | Barclays Capital |
1.33 | % | Russell 2000® Index |
28,364 | — | — | 28,364 | ||||||||||||||||||||||||||
33,841,646 | 5/8/2023 | BNP Paribas SA |
0.98 | % | Russell 2000® Index |
(7,982,438 | ) | — | 7,982,438 | — | |||||||||||||||||||||||||
22,279,006 | 4/10/2023 | Citibank NA |
1.12 | % | Russell 2000® Index |
(10,863,855 | ) | 10,558,947 | 304,908 | — | |||||||||||||||||||||||||
31,901,181 | 3/7/2023 | Goldman Sachs International |
1.23 | % | Russell 2000® Index |
(10,523,235 | ) | — | 10,523,235 | — | |||||||||||||||||||||||||
11,456,826 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.28 | % | iShares® Russell 2000 ETF |
(1,101,396 | ) | ||||||||||||||||||||||||||||
30,350,299 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.28 | % | Russell 2000® Index |
(2,639,415 | ) | ||||||||||||||||||||||||||||
41,807,125 | (3,740,811 | ) | 1,203,667 | 2,537,144 | — | ||||||||||||||||||||||||||||||
62,525,494 | 3/7/2023 | Societe Generale |
1.18 | % | Russell 2000® Index |
(12,376,553 | ) | 595,094 | 11,781,459 | — | |||||||||||||||||||||||||
18,767,155 | 3/7/2023 | UBS AG |
0.83 | % | Russell 2000® Index |
(9,422,916 | ) | 9,330,552 | 92,364 | — | |||||||||||||||||||||||||
219,248,821 | (64,522,027 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
28,364 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(64,550,391 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
82 :: UWM ULTRA RUSSELL2000 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Abbreviations
USD U.S. Dollar
Ultra Russell2000 invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
Aerospace & Defense | 0.5 | % | |||||
Air Freight & Logistics | 0.3 | % | |||||
Airlines | 0.2 | % | |||||
Auto Components | 0.9 | % | |||||
Automobiles | 0.1 | % | |||||
Banks | 6.6 | % | |||||
Beverages | 0.3 | % | |||||
Biotechnology | 4.1 | % | |||||
Building Products | 1.0 | % | |||||
Capital Markets | 1.1 | % | |||||
Chemicals | 1.6 | % | |||||
Commercial Services & Supplies | 1.3 | % | |||||
Communications Equipment | 0.5 | % | |||||
Construction & Engineering | 1.2 | % | |||||
Construction Materials | 0.1 | % | |||||
Consumer Finance | 0.5 | % | |||||
Containers & Packaging | 0.2 | % | |||||
Distributors | 0.0 | %* | |||||
Diversified Consumer Services | 0.4 | % | |||||
Diversified Financial Services | 0.1 | % | |||||
Diversified Telecommunication Services | 0.4 | % | |||||
Electric Utilities | 0.5 | % | |||||
Electrical Equipment | 0.7 | % | |||||
Electronic Equipment, Instruments & Components | 1.7 | % | |||||
Energy Equipment & Services | 1.0 | % | |||||
Entertainment | 0.4 | % | |||||
Equity Real Estate Investment Trusts (REITs) | 5.0 | % | |||||
Food & Staples Retailing | 0.8 | % | |||||
Food Products | 0.8 | % | |||||
Gas Utilities | 0.9 | % | |||||
Health Care Equipment & Supplies | 2.4 | % | |||||
Health Care Providers & Services | 2.1 | % | |||||
Health Care Technology | 0.5 | % | |||||
Hotels, Restaurants & Leisure | 1.6 | % | |||||
Household Durables | 1.2 | % | |||||
Household Products | 0.2 | % | |||||
Independent Power and Renewable Electricity Producers | 0.3 | % | |||||
Insurance | 1.4 | % | |||||
Interactive Media & Services | 0.3 | % | |||||
Internet & Direct Marketing Retail | 0.3 | % | |||||
IT Services | 1.1 | % | |||||
Leisure Products | 0.4 | % | |||||
Life Sciences Tools & Services | 0.4 | % | |||||
Machinery | 2.6 | % | |||||
Marine | 0.2 | % | |||||
Media | 0.7 | % | |||||
Metals & Mining | 1.1 | % | |||||
Mortgage Real Estate Investment Trusts (REITs) | 1.0 | % | |||||
Multiline Retail | 0.3 | % | |||||
Multi-Utilities | 0.4 | % | |||||
Oil, Gas & Consumable Fuels | 4.8 | % |
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA RUSSELL2000 UWM :: 83
Paper & Forest Products | 0.1 | % | |||||
Personal Products | 0.4 | % | |||||
Pharmaceuticals | 1.0 | % | |||||
Professional Services | 1.3 | % | |||||
Real Estate Management & Development | 0.5 | % | |||||
Road & Rail | 0.6 | % | |||||
Semiconductors & Semiconductor Equipment | 2.3 | % | |||||
Software | 3.4 | % | |||||
Specialty Retail | 1.6 | % | |||||
Technology Hardware, Storage & Peripherals | 0.2 | % | |||||
Textiles, Apparel & Luxury Goods | 0.4 | % | |||||
Thrifts & Mortgage Finance | 1.0 | % | |||||
Tobacco | 0.1 | % | |||||
Trading Companies & Distributors | 1.3 | % | |||||
Water Utilities | 0.3 | % | |||||
Wireless Telecommunication Services | 0.1 | % | |||||
Othera | 28.9 | % | |||||
100.0 | % |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
84 :: UWM ULTRA RUSSELL2000 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) — 90.8% | |||||||||||||||
Abbott Laboratories (Health Care Equipment & Supplies) |
0.6 | % | 157,372 | $ | 18,484,915 | ||||||||||
AbbVie, Inc. (Biotechnology) | 0.7 | % | 157,337 | 23,186,754 | |||||||||||
Accenture plc, Class A (IT Services) |
0.5 | % | 56,250 | 16,788,375 | |||||||||||
Adobe, Inc.* (Software) | 0.5 | % | 41,976 | 17,482,164 | |||||||||||
Advanced Micro Devices, Inc.* (Semiconductors & Semiconductor Equipment) |
0.4 | % | 145,495 | 14,820,071 | |||||||||||
Alphabet, Inc., Class A* (Interactive Media & Services) |
1.8 | % | 26,766 | 60,899,074 | |||||||||||
Alphabet, Inc., Class C* (Interactive Media & Services) |
1.6 | % | 24,724 | 56,390,005 | |||||||||||
Amazon.com, Inc.* (Internet & Direct Marketing Retail) |
2.7 | % | 38,945 | 93,631,179 | |||||||||||
Apple, Inc. (Technology Hardware, Storage & Peripherals) |
6.0 | % | 1,379,803 | 205,369,878 | |||||||||||
AT&T, Inc. (Diversified Telecommunication Services) |
0.4 | % | 635,551 | 13,530,881 | |||||||||||
Bank of America Corp. (Banks) | 0.7 | % | 632,651 | 23,534,617 | |||||||||||
Berkshire Hathaway, Inc., Class B* (Diversified Financial Services) |
1.5 | % | 162,992 | 51,502,212 | |||||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) |
0.4 | % | 193,993 | 14,636,772 | |||||||||||
Broadcom, Inc. (Semiconductors & Semiconductor Equipment) |
0.6 | % | 36,749 | 21,319,197 | |||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) |
0.9 | % | 171,566 | 29,965,718 | |||||||||||
Cisco Systems, Inc. (Communications Equipment) |
0.5 | % | 375,364 | 16,910,148 | |||||||||||
Coca-Cola Co. (The) (Beverages) |
0.7 | % | 345,984 | 21,928,466 | |||||||||||
Comcast Corp., Class A (Media) |
0.5 | % | 402,613 | 17,827,704 | |||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) |
0.5 | % | 39,461 | 18,397,507 | |||||||||||
Danaher Corp. (Life Sciences Tools & Services) |
0.4 | % | 56,629 | 14,939,863 | |||||||||||
Eli Lilly & Co. (Pharmaceuticals) |
0.7 | % | 70,665 | 22,149,238 | |||||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) |
1.0 | % | 376,788 | 36,171,648 | |||||||||||
Home Depot, Inc. (The) (Specialty Retail) |
0.8 | % | 92,930 | 28,134,558 | |||||||||||
Intel Corp. (Semiconductors & Semiconductor Equipment) |
0.5 | % | 362,409 | 16,098,208 | |||||||||||
Johnson & Johnson (Pharmaceuticals) |
1.2 | % | 234,298 | 42,063,520 | |||||||||||
JPMorgan Chase & Co. (Banks) |
1.0 | % | 263,011 | 34,777,945 |
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
Linde plc (Chemicals) | 0.4 | % | 45,612 | $ | 14,809,304 | ||||||||||
Mastercard, Inc., Class A (IT Services) |
0.8 | % | 76,814 | 27,489,426 | |||||||||||
McDonald's Corp. (Hotels, Restaurants & Leisure) |
0.5 | % | 66,499 | 16,771,713 | |||||||||||
Merck & Co., Inc. (Pharmaceuticals) |
0.6 | % | 224,807 | 20,688,988 | |||||||||||
Meta Platforms, Inc., Class A* (Interactive Media & Services) |
1.2 | % | 205,506 | 39,794,182 | |||||||||||
Microsoft Corp. (Software) | 5.3 | % | 667,209 | 181,394,111 | |||||||||||
NextEra Energy, Inc. (Electric Utilities) |
0.4 | % | 174,629 | 13,217,669 | |||||||||||
NIKE, Inc., Class B (Textiles, Apparel & Luxury Goods) |
0.4 | % | 113,586 | 13,499,696 | |||||||||||
NVIDIA Corp. (Semiconductors & Semiconductor Equipment) |
1.2 | % | 222,502 | 41,545,573 | |||||||||||
PepsiCo, Inc. (Beverages) | 0.6 | % | 123,131 | 20,655,226 | |||||||||||
Pfizer, Inc. (Pharmaceuticals) | 0.8 | % | 499,546 | 26,495,920 | |||||||||||
Philip Morris International, Inc. (Tobacco) |
0.4 | % | 137,931 | 14,655,169 | |||||||||||
Procter & Gamble Co. (The) (Household Products) |
0.9 | % | 213,337 | 31,548,276 | |||||||||||
QUALCOMM, Inc. (Semiconductors & Semiconductor Equipment) |
0.4 | % | 100,300 | 14,364,966 | |||||||||||
Salesforce, Inc.* (Software) | 0.4 | % | 87,667 | 14,047,760 | |||||||||||
Tesla, Inc.* (Automobiles) | 1.7 | % | 74,507 | 56,495,678 | |||||||||||
Texas Instruments, Inc. (Semiconductors & Semiconductor Equipment) |
0.4 | % | 82,193 | 14,528,435 | |||||||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Services) |
0.6 | % | 35,069 | 19,904,112 | |||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Services) |
1.2 | % | 83,826 | 41,643,080 | |||||||||||
Verizon Communications, Inc. (Diversified Telecommunication Services) |
0.6 | % | 373,619 | 19,162,918 | |||||||||||
Visa, Inc., Class A (IT Services) | 0.9 | % | 147,596 | 31,315,443 | |||||||||||
Walmart, Inc. (Food & Staples Retailing) |
0.5 | % | 125,902 | 16,194,774 | |||||||||||
Walt Disney Co. (The)* (Entertainment) |
0.5 | % | 162,039 | 17,895,587 | |||||||||||
Wells Fargo & Co. (Banks) | 0.5 | % | 345,831 | 15,828,685 | |||||||||||
Other Common Stocks (b) | 42.5 | % | 15,406,540 | 1,455,128,205 | |||||||||||
Total Common Stocks (Cost $3,572,179,499) |
3,110,015,513 |
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA S&P500® SSO :: 85
Percentage of Net Assets |
Shares | Value | |||||||||||||
Securities Lending Reinvestments (c) — 0.0% (d) | |||||||||||||||
Investment Companies — 0.0% (d) | |||||||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $1,589,475) |
0.0 | % | 1,589,475 | $ | 1,589,475 | ||||||||||
Principal Amount |
|||||||||||||||
Short-Term Investments — 23.8% | |||||||||||||||
Repurchase Agreements (e) — 6.4% | |||||||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $219,208,041 (Cost $219,203,627) |
$ | 219,203,627 | 219,203,627 | ||||||||||||
U.S. Treasury Obligations — 17.4% | |||||||||||||||
U.S. Treasury Bills | |||||||||||||||
0.37%, 6/7/2022 (f) | 50,000,000 | 49,995,916 | |||||||||||||
0.51%, 6/21/2022 (f) | 50,000,000 | 49,983,611 | |||||||||||||
0.63%, 6/30/2022 (f) | 175,000,000 | 174,904,138 | |||||||||||||
0.71%, 7/5/2022 (b)(f) | 75,000,000 | 74,952,188 | |||||||||||||
0.39%, 7/21/2022 (b)(f) | 100,000,000 | 99,883,333 | |||||||||||||
0.74%, 8/18/2022 (f) | 100,000,000 | 99,773,854 | |||||||||||||
0.69%, 12/29/2022 (f) | 45,000,000 | 44,583,249 | |||||||||||||
Total U.S. Treasury Obligations (Cost $594,447,259) |
594,076,289 | ||||||||||||||
Total Short-Term Investments (Cost $813,650,886) |
813,279,916 | ||||||||||||||
Total Investments — 114.6% (Cost $4,387,419,860) |
3,924,884,904 | ||||||||||||||
Liabilities in excess of other assets — (14.6%) | (500,685,590) | ||||||||||||||
Net Assets — 100.0% | $ | 3,424,199,314 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $1,472,167,759.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $31,941,272, collateralized in the form of cash with a value of $1,589,475 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $31,086,923 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 6.87%, and maturity dates ranging from June 15, 2022 - May 20, 2052. The total value of collateral is $32,676,398.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $1,589,475.
(d) Represents less than 0.05% of net assets.
(e) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(f) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 109,208,214 | |||||
Aggregate gross unrealized depreciation | (1,116,857,774 | ) | |||||
Net unrealized depreciation | $ | (1,007,649,560 | ) | ||||
Federal income tax cost | $ | 4,431,515,065 |
Futures Contracts Purchased
Ultra S&P500® had the following open long futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
S&P 500 E-Mini Index | 1,255 | 6/17/2022 | USD | $ | 259,235,938 | $ | 8,680,002 |
86 :: SSO ULTRA S&P500® :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Ultra S&P500® had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
266,953,419 | 5/8/2023 | Bank of America NA |
1.38 | % | S&P 500® |
(37,274,846 | ) | 37,274,422 | 424 | — | |||||||||||||||||||||||||
308,568,301 | 5/8/2023 | BNP Paribas SA | 1.43 | % | S&P 500® | (141,588,300 | ) | 141,015,917 | 572,383 | — | |||||||||||||||||||||||||
415,454,625 | 4/10/2023 | Citibank NA | 1.49 | % | S&P 500® | (60,819,881 | ) | 60,714,954 | 104,927 | — | |||||||||||||||||||||||||
482,564,873 | 4/10/2023 | Credit Suisse International |
1.43 | % | S&P 500® |
(37,859,705 | ) | 26,234,042 | 11,625,663 | — | |||||||||||||||||||||||||
50,457,684 | 4/8/2024 | Goldman Sachs International |
1.43 | % | S&P 500® |
916,761 | |||||||||||||||||||||||||||||
352,091,129 | 3/7/2023 | Goldman Sachs International |
1.34 | % | SPDR® S&P 500® ETF Trust |
(91,963,118 | ) | ||||||||||||||||||||||||||||
402,548,813 | (91,046,357 | ) | 90,450,105 | 596,252 | — | ||||||||||||||||||||||||||||||
362,881,281 | 5/8/2023 | J.P. Morgan Securities |
1.23 | % | S&P 500® |
(61,262,822 | ) | 60,776,730 | 486,092 | — | |||||||||||||||||||||||||
176,748,584 | 4/10/2023 | Morgan Stanley & Co. International plc |
1.38 | % | S&P 500® |
(23,781,081 | ) | 23,739,902 | 41,179 | — | |||||||||||||||||||||||||
560,022,025 | 11/6/2023 | Societe Generale | 1.33 | % | S&P 500® | 10,853,083 | (10,831,670 | ) | (21,413 | ) | — | ||||||||||||||||||||||||
504,225,604 | 3/7/2023 | UBS AG | 1.33 | % | S&P 500® | (66,919,492 | ) | 66,895,671 | 23,821 | — | |||||||||||||||||||||||||
3,479,967,525 | (509,699,401 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
11,769,844 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(521,469,245 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA S&P500® SSO :: 87
Ultra S&P500® invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
Aerospace & Defense | 1.5 | % | |||||
Air Freight & Logistics | 0.6 | % | |||||
Airlines | 0.2 | % | |||||
Auto Components | 0.1 | % | |||||
Automobiles | 1.9 | % | |||||
Banks | 3.6 | % | |||||
Beverages | 1.5 | % | |||||
Biotechnology | 1.9 | % | |||||
Building Products | 0.4 | % | |||||
Capital Markets | 2.6 | % | |||||
Chemicals | 1.7 | % | |||||
Commercial Services & Supplies | 0.4 | % | |||||
Communications Equipment | 0.7 | % | |||||
Construction & Engineering | 0.0 | %* | |||||
Construction Materials | 0.1 | % | |||||
Consumer Finance | 0.5 | % | |||||
Containers & Packaging | 0.3 | % | |||||
Distributors | 0.1 | % | |||||
Diversified Financial Services | 1.5 | % | |||||
Diversified Telecommunication Services | 1.0 | % | |||||
Electric Utilities | 1.7 | % | |||||
Electrical Equipment | 0.5 | % | |||||
Electronic Equipment, Instruments & Components | 0.6 | % | |||||
Energy Equipment & Services | 0.3 | % | |||||
Entertainment | 1.2 | % | |||||
Equity Real Estate Investment Trusts (REITs) | 2.4 | % | |||||
Food & Staples Retailing | 1.3 | % | |||||
Food Products | 1.0 | % | |||||
Gas Utilities | 0.0 | %* | |||||
Health Care Equipment & Supplies | 2.5 | % | |||||
Health Care Providers & Services | 2.9 | % | |||||
Health Care Technology | 0.1 | % | |||||
Hotels, Restaurants & Leisure | 1.7 | % | |||||
Household Durables | 0.3 | % | |||||
Household Products | 1.3 | % | |||||
Independent Power and Renewable Electricity Producers | 0.0 | %* | |||||
Industrial Conglomerates | 0.8 | % | |||||
Insurance | 2.0 | % | |||||
Interactive Media & Services | 4.7 | % | |||||
Internet & Direct Marketing Retail | 2.8 | % | |||||
IT Services | 4.0 | % | |||||
Leisure Products | 0.0 | %* | |||||
Life Sciences Tools & Services | 1.7 | % | |||||
Machinery | 1.5 | % | |||||
Media | 0.9 | % | |||||
Metals & Mining | 0.4 | % | |||||
Multiline Retail | 0.4 | % | |||||
Multi-Utilities | 0.9 | % | |||||
Oil, Gas & Consumable Fuels | 4.0 | % | |||||
Personal Products | 0.2 | % | |||||
Pharmaceuticals | 4.0 | % | |||||
Professional Services | 0.3 | % | |||||
Real Estate Management & Development | 0.1 | % |
88 :: SSO ULTRA S&P500® :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Road & Rail | 0.8 | % | |||||
Semiconductors & Semiconductor Equipment | 5.1 | % | |||||
Software | 7.9 | % | |||||
Specialty Retail | 1.9 | % | |||||
Technology Hardware, Storage & Peripherals | 6.3 | % | |||||
Textiles, Apparel & Luxury Goods | 0.5 | % | |||||
Tobacco | 0.7 | % | |||||
Trading Companies & Distributors | 0.2 | % | |||||
Water Utilities | 0.1 | % | |||||
Wireless Telecommunication Services | 0.2 | % | |||||
Othera | 9.2 | % | |||||
100.0 | % |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA S&P500® SSO :: 89
Investments | Shares | Value | |||||||||
Common Stocks (a) — 66.4% | |||||||||||
Semiconductors & Semiconductor Equipment — 66.4% | |||||||||||
Advanced Micro Devices, Inc.* | 126,592 | $ | 12,894,626 | ||||||||
Allegro MicroSystems, Inc.* | 4,266 | 109,850 | |||||||||
Amkor Technology, Inc. | 7,762 | 158,655 | |||||||||
Analog Devices, Inc. | 40,674 | 6,849,502 | |||||||||
Applied Materials, Inc. | 68,745 | 8,063,101 | |||||||||
Broadcom, Inc. | 31,978 | 18,551,397 | |||||||||
Cirrus Logic, Inc.* | 4,436 | 361,711 | |||||||||
Enphase Energy, Inc.* | 10,378 | 1,932,280 | |||||||||
Entegris, Inc. | 10,488 | 1,163,748 | |||||||||
GLOBALFOUNDRIES, Inc.*(b) | 4,109 | 245,266 | |||||||||
Intel Corp. | 315,268 | 14,004,205 | |||||||||
KLA Corp. | 11,673 | 4,258,894 | |||||||||
Lam Research Corp. | 10,798 | 5,615,284 | |||||||||
Lattice Semiconductor Corp.* | 10,604 | 551,620 | |||||||||
Marvell Technology, Inc. | 65,359 | 3,865,985 | |||||||||
Microchip Technology, Inc. | 43,056 | 3,128,018 | |||||||||
Micron Technology, Inc. | 86,737 | 6,404,660 | |||||||||
MKS Instruments, Inc. | 4,283 | 528,950 | |||||||||
Monolithic Power Systems, Inc. | 3,354 | 1,510,608 | |||||||||
NVIDIA Corp. | 193,562 | 36,141,897 | |||||||||
NXP Semiconductors NV | 20,605 | 3,910,005 | |||||||||
ON Semiconductor Corp.* | 33,346 | 2,023,435 | |||||||||
Power Integrations, Inc. | 4,578 | 386,292 | |||||||||
Qorvo, Inc.* | 8,400 | 938,700 | |||||||||
QUALCOMM, Inc. | 87,295 | 12,502,390 | |||||||||
Semtech Corp.* | 4,991 | 319,873 | |||||||||
Silicon Laboratories, Inc.* | 2,960 | 441,514 | |||||||||
Skyworks Solutions, Inc. | 12,709 | 1,383,629 | |||||||||
SolarEdge Technologies, Inc.* | 4,072 | 1,110,801 | |||||||||
Teradyne, Inc. | 12,620 | 1,378,861 | |||||||||
Texas Instruments, Inc. | 71,546 | 12,646,471 | |||||||||
Universal Display Corp. | 3,356 | 423,896 | |||||||||
Wolfspeed, Inc.*(b) | 9,578 | 720,553 | |||||||||
Total Common Stocks (Cost $178,556,089) |
164,526,677 | ||||||||||
Securities Lending Reinvestments (c) — 0.1% | |||||||||||
Investment Companies — 0.1% | |||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $227,427) |
227,427 | 227,427 |
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 29.9% | |||||||||||
Repurchase Agreements (d) — 29.9% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $73,965,113 (Cost $73,963,623) |
$ | 73,963,623 | $ | 73,963,623 | |||||||
Total Investments — 96.4% (Cost $252,747,139) |
238,717,727 | ||||||||||
Other assets less liabilities — 3.6% | 8,861,929 | ||||||||||
Net Assets — 100.0% | $ | 247,579,656 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $52,872,985.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $538,881, collateralized in the form of cash with a value of $227,427 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $328,630 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 3.75%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $556,057.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $227,427.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 22,324,906 | |||||
Aggregate gross unrealized depreciation | (87,579,601 | ) | |||||
Net unrealized depreciation | $ | (65,254,695 | ) | ||||
Federal income tax cost | $ | 253,035,375 |
90 :: USD ULTRA SEMICONDUCTORS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Ultra Semiconductors had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value
and Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
1,419,830 | 5/8/2023 | Bank of America NA |
1.23 | % | Dow Jones U.S. SemiconductorsSM Indexf |
(11,988,815 | ) | 11,718,668 | 270,147 | — | |||||||||||||||||||||||||
25,435,041 | 11/6/2023 | BNP Paribas SA |
1.33 | % | Dow Jones U.S. SemiconductorsSM Indexf |
547,568 | (547,568 | ) | — | — | |||||||||||||||||||||||||
11,702,844 | 11/7/2022 | Goldman Sachs International |
1.43 | % | Dow Jones U.S. SemiconductorsSM Indexf |
14,666,600 | (14,432,615 | ) | — | 233,985 | |||||||||||||||||||||||||
17,970,175 | 11/6/2023 | J.P. Morgan Securities |
1.28 | % | Dow Jones U.S. SemiconductorsSM Indexf |
(4,434,387 | ) | 4,105,775 | 328,612 | — | |||||||||||||||||||||||||
22,365,912 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.43 | % | Dow Jones U.S.
SemiconductorsSM Indexf |
3,984,900 | — | (3,984,900 | ) | — | |||||||||||||||||||||||||
1,003,920 | 4/10/2023 | Societe Generale |
1.48 | % | Dow Jones U.S.
SemiconductorsSM Indexf |
64,202 | — | — | 64,202 | ||||||||||||||||||||||||||
251,374,497 | 3/7/2023 | UBS AG |
1.18 | % | Dow Jones U.S.
SemiconductorsSM Indexf |
(53,777,115 | ) | 3,930,688 | 49,846,427 | — | |||||||||||||||||||||||||
331,272,219 | (50,937,047 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
19,263,270 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(70,200,317 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the preceding Schedule of Portfolio Investments for the representative components of the underlying reference instrument and their relative weightings.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA SEMICONDUCTORS USD :: 91
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) — 90.4% | |||||||||||||||
ABM Industries, Inc. (Commercial Services & Supplies) |
0.3 | % | 2,154 | $ | 104,146 | ||||||||||
Agree Realty Corp. (b) (Equity Real Estate Investment Trusts (REITs)) |
0.5 | % | 2,279 | 158,550 | |||||||||||
Allegheny Technologies, Inc.*(b) (Metals & Mining) |
0.3 | % | 4,070 | 111,925 | |||||||||||
American Equity Investment Life Holding Co. (Insurance) |
0.3 | % | 2,636 | 106,125 | |||||||||||
AMN Healthcare Services, Inc.*(b) (Health Care Providers & Services) |
0.5 | % | 1,511 | 146,416 | |||||||||||
Applied Industrial Technologies, Inc. (Trading Companies & Distributors) |
0.4 | % | 1,230 | 127,194 | |||||||||||
Asbury Automotive Group, Inc.*(b) (Specialty Retail) |
0.4 | % | 739 | 133,870 | |||||||||||
Assured Guaranty Ltd. (Insurance) |
0.4 | % | 2,232 | 131,353 | |||||||||||
Balchem Corp. (Chemicals) | 0.4 | % | 1,035 | 128,785 | |||||||||||
BankUnited, Inc. (Banks) | 0.3 | % | 2,739 | 114,107 | |||||||||||
Civitas Resources, Inc. (b) (Oil, Gas & Consumable Fuels) |
0.5 | % | 2,304 | 175,910 | |||||||||||
Comfort Systems USA, Inc. (Construction & Engineering) |
0.3 | % | 1,154 | 103,537 | |||||||||||
Community Bank System, Inc. (Banks) |
0.3 | % | 1,722 | 113,652 | |||||||||||
CONMED Corp. (Health Care Equipment & Supplies) |
0.3 | % | 937 | 108,964 | |||||||||||
CVB Financial Corp. (Banks) | 0.3 | % | 4,332 | 107,347 | |||||||||||
Cytokinetics, Inc.*(b) (Biotechnology) |
0.3 | % | 2,683 | 107,052 | |||||||||||
Diodes, Inc.* (Semiconductors & Semiconductor Equipment) |
0.3 | % | 1,438 | 110,740 | |||||||||||
Ensign Group, Inc. (The) (Health Care Providers & Services) |
0.4 | % | 1,673 | 135,797 | |||||||||||
ExlService Holdings, Inc.* (IT Services) |
0.5 | % | 1,064 | 151,290 | |||||||||||
Exponent, Inc. (Professional Services) |
0.5 | % | 1,666 | 150,590 | |||||||||||
First Hawaiian, Inc. (Banks) | 0.3 | % | 4,077 | 104,412 | |||||||||||
HB Fuller Co. (Chemicals) | 0.4 | % | 1,688 | 119,983 | |||||||||||
Helmerich & Payne, Inc. (Energy Equipment & Services) |
0.5 | % | 3,374 | 169,881 | |||||||||||
Independent Bank Corp. (Banks) |
0.4 | % | 1,511 | 125,866 | |||||||||||
Innovative Industrial Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.4 | % | 869 | 115,620 | |||||||||||
Insight Enterprises, Inc.* (Electronic Equipment, Instruments & Components) |
0.3 | % | 1,116 | 110,283 |
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
John Bean Technologies Corp. (Machinery) |
0.4 | % | 1,016 | $ | 123,698 | ||||||||||
Korn Ferry (Professional Services) |
0.3 | % | 1,740 | 106,940 | |||||||||||
Kulicke & Soffa Industries, Inc. (b) (Semiconductors & Semiconductor Equipment) |
0.3 | % | 1,992 | 107,907 | |||||||||||
Lantheus Holdings, Inc.* (Health Care Equipment & Supplies) |
0.5 | % | 2,164 | 148,277 | |||||||||||
Livent Corp.*(b) (Chemicals) | 0.5 | % | 5,167 | 164,259 | |||||||||||
LXP Industrial Trust (b) (Equity Real Estate Investment Trusts (REITs)) |
0.3 | % | 9,046 | 104,572 | |||||||||||
Matson, Inc. (Marine) | 0.4 | % | 1,346 | 120,978 | |||||||||||
Mr Cooper Group, Inc.* (Thrifts & Mortgage Finance) |
0.3 | % | 2,405 | 104,281 | |||||||||||
Omnicell, Inc.* (Health Care Equipment & Supplies) |
0.5 | % | 1,405 | 156,180 | |||||||||||
Onto Innovation, Inc.* (Semiconductors & Semiconductor Equipment) |
0.4 | % | 1,576 | 126,679 | |||||||||||
Patterson-UTI Energy, Inc. (Energy Equipment & Services) |
0.4 | % | 6,879 | 131,251 | |||||||||||
Resideo Technologies, Inc.* (Building Products) |
0.3 | % | 4,618 | 109,077 | |||||||||||
Rogers Corp.* (Electronic Equipment, Instruments & Components) |
0.5 | % | 599 | 158,963 | |||||||||||
ServisFirst Bancshares, Inc. (Banks) |
0.4 | % | 1,562 | 130,208 | |||||||||||
Simmons First National Corp., Class A (Banks) |
0.3 | % | 4,036 | 103,766 | |||||||||||
Simply Good Foods Co. (The)* (Food Products) |
0.3 | % | 2,705 | 108,092 | |||||||||||
SM Energy Co. (Oil, Gas & Consumable Fuels) |
0.6 | % | 3,883 | 187,432 | |||||||||||
South Jersey Industries, Inc. (b) (Gas Utilities) |
0.4 | % | 3,595 | 125,286 | |||||||||||
Southwestern Energy Co.* (Oil, Gas & Consumable Fuels) |
1.0 | % | 35,636 | 325,000 | |||||||||||
SPS Commerce, Inc.* (Software) |
0.4 | % | 1,150 | 123,096 | |||||||||||
UFP Industries, Inc. (Building Products) |
0.5 | % | 1,978 | 152,702 | |||||||||||
United Community Banks, Inc. (Banks) |
0.3 | % | 3,350 | 105,291 | |||||||||||
Viavi Solutions, Inc.* (Communications Equipment) |
0.3 | % | 7,357 | 106,456 | |||||||||||
Vonage Holdings Corp.* (Software) |
0.5 | % | 8,074 | 156,393 | |||||||||||
Other Common Stocks(b) | 70.5 | % | 881,398 | 23,213,855 | |||||||||||
Total Common Stocks (Cost $32,734,500) |
29,774,034 |
92 :: SAA ULTRA SMALLCAP600 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Percentage of Net Assets |
Shares | Value | |||||||||||||
Securities Lending Reinvestments (c) — 0.7% | |||||||||||||||
Investment Companies — 0.7% | |||||||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $226,827) |
0.7 | % | 226,827 | $ | 226,827 | ||||||||||
Principal Amount |
|||||||||||||||
Short-Term Investments — 19.6% | |||||||||||||||
Repurchase Agreements (d) — 19.6% | |||||||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $6,447,384 (Cost $6,447,256) |
$ | 6,447,256 | 6,447,256 | ||||||||||||
Total Investments — 110.7% (Cost $39,408,583) |
36,448,117 | ||||||||||||||
Liabilities in excess of other assets — (10.7%) | (3,513,096) | ||||||||||||||
Net Assets — 100.0% | $ | 32,935,021 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $7,294,298.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,199,319, collateralized in the form of cash with a value of $226,827 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $1,023,145 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 4.63%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $1,249,972.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $226,827.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 2,190,133 | |||||
Aggregate gross unrealized depreciation | (9,738,542 | ) | |||||
Net unrealized depreciation | $ | (7,548,409 | ) | ||||
Federal income tax cost | $ | 39,468,194 |
Swap Agreementsa
Ultra SmallCap600 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
8,264,995 | 5/8/2023 | Bank of America NA |
1.18 | % | S&P SmallCap 600® |
(1,693,273 | ) | 1,435,009 | 258,264 | — | |||||||||||||||||||||||||
6,902,118 | 11/7/2022 | Citibank NA |
1.18 | % | S&P SmallCap 600® |
(780,550 | ) | 769,506 | 11,044 | — | |||||||||||||||||||||||||
4,114,581 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.43 | % | S&P SmallCap 600® |
(481,710 | ) | 477,887 | 3,823 | — | |||||||||||||||||||||||||
10,361,826 | 3/7/2023 | Societe Generale |
1.28 | % | S&P SmallCap 600® |
(888,300 | ) | 869,968 | 18,332 | — | |||||||||||||||||||||||||
6,439,999 | 3/7/2023 | UBS AG | 1.13 | % | S&P SmallCap 600® |
(684,499 | ) | — | 684,499 | — | |||||||||||||||||||||||||
36,083,519 | (4,528,332 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(4,528,332 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA SMALLCAP600 SAA :: 93
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Ultra SmallCap600 invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
Aerospace & Defense | 1.1 | % | |||||
Air Freight & Logistics | 0.7 | % | |||||
Airlines | 0.4 | % | |||||
Auto Components | 1.2 | % | |||||
Automobiles | 0.2 | % | |||||
Banks | 9.2 | % | |||||
Beverages | 0.7 | % | |||||
Biotechnology | 1.9 | % | |||||
Building Products | 1.7 | % | |||||
Capital Markets | 0.8 | % | |||||
Chemicals | 2.7 | % | |||||
Commercial Services & Supplies | 2.0 | % | |||||
Communications Equipment | 1.2 | % | |||||
Construction & Engineering | 1.0 | % | |||||
Consumer Finance | 0.9 | % | |||||
Containers & Packaging | 0.3 | % | |||||
Diversified Consumer Services | 0.4 | % | |||||
Diversified Telecommunication Services | 0.3 | % | |||||
Electrical Equipment | 0.4 | % | |||||
Electronic Equipment, Instruments & Components | 3.6 | % | |||||
Energy Equipment & Services | 2.1 | % | |||||
Entertainment | 0.2 | % | |||||
Equity Real Estate Investment Trusts (REITs) | 6.5 | % | |||||
Food & Staples Retailing | 0.8 | % | |||||
Food Products | 1.6 | % | |||||
Gas Utilities | 0.8 | % | |||||
Health Care Equipment & Supplies | 3.5 | % | |||||
Health Care Providers & Services | 3.0 | % | |||||
Health Care Technology | 0.5 | % | |||||
Hotels, Restaurants & Leisure | 1.4 | % | |||||
Household Durables | 2.3 | % | |||||
Household Products | 0.5 | % | |||||
Insurance | 2.5 | % | |||||
Interactive Media & Services | 0.1 | % | |||||
Internet & Direct Marketing Retail | 0.2 | % | |||||
IT Services | 1.4 | % | |||||
Leisure Products | 0.3 | % | |||||
Life Sciences Tools & Services | 0.1 | % | |||||
Machinery | 3.9 | % | |||||
Marine | 0.4 | % | |||||
Media | 0.6 | % | |||||
Metals & Mining | 1.7 | % | |||||
Mortgage Real Estate Investment Trusts (REITs) | 1.2 | % | |||||
Multiline Retail | 0.1 | % | |||||
Multi-Utilities | 0.4 | % |
94 :: SAA ULTRA SMALLCAP600 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Oil, Gas & Consumable Fuels | 3.9 | % | |||||
Paper & Forest Products | 0.4 | % | |||||
Personal Products | 0.7 | % | |||||
Pharmaceuticals | 1.4 | % | |||||
Professional Services | 1.4 | % | |||||
Real Estate Management & Development | 0.5 | % | |||||
Road & Rail | 0.4 | % | |||||
Semiconductors & Semiconductor Equipment | 3.1 | % | |||||
Software | 2.4 | % | |||||
Specialty Retail | 3.6 | % | |||||
Technology Hardware, Storage & Peripherals | 0.2 | % | |||||
Textiles, Apparel & Luxury Goods | 1.0 | % | |||||
Thrifts & Mortgage Finance | 1.9 | % | |||||
Tobacco | 0.3 | % | |||||
Trading Companies & Distributors | 1.3 | % | |||||
Water Utilities | 0.7 | % | |||||
Wireless Telecommunication Services | 0.4 | % | |||||
Othera | 9.6 | % | |||||
100.0 | % |
a Includes any non-equity securities and net other assets (liabilities).
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA SMALLCAP600 SAA :: 95
Investments | Shares | Value | |||||||||
Common Stocks (a) — 88.8% | |||||||||||
Communications Equipment — 2.4% | |||||||||||
Arista Networks, Inc.* | 9,944 | $ | 1,017,072 | ||||||||
Ciena Corp.* | 6,868 | 349,032 | |||||||||
Cisco Systems, Inc. | 187,023 | 8,425,386 | |||||||||
F5, Inc.* | 2,696 | 439,556 | |||||||||
Juniper Networks, Inc. | 14,426 | 442,589 | |||||||||
Lumentum Holdings, Inc.* (b) | 3,203 | 275,714 | |||||||||
Motorola Solutions, Inc. | 7,493 | 1,646,512 | |||||||||
Ubiquiti, Inc. | 262 | 68,529 | |||||||||
Viavi Solutions, Inc.* | 10,206 | 147,681 | |||||||||
12,812,071 | |||||||||||
Diversified Telecommunication Services — 0.2% | |||||||||||
Liberty Global plc, Class A* | 7,840 | 190,669 | |||||||||
Liberty Global plc, Class C* | 14,715 | 373,908 | |||||||||
Lumen Technologies, Inc. (b) | 40,870 | 500,249 | |||||||||
1,064,826 | |||||||||||
Electronic Equipment, Instruments & Components — 0.2% | |||||||||||
CDW Corp. | 6,028 | 1,023,916 | |||||||||
TD SYNNEX Corp. | 1,849 | 192,019 | |||||||||
1,215,935 | |||||||||||
Health Care Technology — 0.4% | |||||||||||
Cerner Corp. | 13,040 | 1,236,844 | |||||||||
Veeva Systems, Inc., Class A* | 6,157 | 1,048,291 | |||||||||
2,285,135 | |||||||||||
Household Durables — 0.1% | |||||||||||
Garmin Ltd. | 6,732 | 711,034 | |||||||||
Interactive Media & Services — 15.2% | |||||||||||
Alphabet, Inc., Class A* | 13,342 | 30,356,252 | |||||||||
Alphabet, Inc., Class C* | 12,324 | 28,108,333 | |||||||||
Angi, Inc.* | 3,319 | 18,221 | |||||||||
Bumble, Inc., Class A* | 3,211 | 91,514 | |||||||||
Cargurus, Inc.* | 3,884 | 98,343 | |||||||||
IAC/InterActiveCorp* | 3,716 | 316,975 | |||||||||
Match Group, Inc.* | 12,547 | 988,453 | |||||||||
Meta Platforms, Inc., Class A* | 102,388 | 19,826,412 | |||||||||
Snap, Inc., Class A* | 47,986 | 677,082 | |||||||||
Twitter, Inc.* | 35,459 | 1,404,176 | |||||||||
Vimeo, Inc.* | 6,915 | 60,091 | |||||||||
Ziff Davis, Inc.* | 2,140 | 163,368 | |||||||||
82,109,220 | |||||||||||
Internet & Direct Marketing Retail — 0.5% | |||||||||||
Chewy, Inc., Class A* (b) | 3,939 | 97,687 | |||||||||
DoorDash, Inc., Class A* | 7,176 | 551,906 | |||||||||
eBay, Inc. | 27,748 | 1,350,495 | |||||||||
Etsy, Inc.* | 5,613 | 455,327 | |||||||||
2,455,415 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
IT Services — 3.0% | |||||||||||
Akamai Technologies, Inc.* | 7,197 | $ | 727,185 | ||||||||
Amdocs Ltd. | 5,536 | 481,023 | |||||||||
Cloudflare, Inc., Class A* (b) | 12,321 | 689,976 | |||||||||
Cognizant Technology Solutions Corp., Class A |
23,293 | 1,739,987 | |||||||||
DXC Technology Co.* | 10,829 | 381,397 | |||||||||
EPAM Systems, Inc.* | 2,510 | 849,685 | |||||||||
Fastly, Inc., Class A* | 4,741 | 61,870 | |||||||||
Gartner, Inc.* | 3,645 | 956,448 | |||||||||
GoDaddy, Inc., Class A* | 7,401 | 555,445 | |||||||||
International Business Machines Corp. | 39,773 | 5,522,083 | |||||||||
Kyndryl Holdings, Inc.* | 7,953 | 98,140 | |||||||||
LiveRamp Holdings, Inc.* | 3,019 | 77,286 | |||||||||
MongoDB, Inc.* | 2,951 | 699,830 | |||||||||
Okta, Inc.* | 6,596 | 547,798 | |||||||||
Snowflake, Inc., Class A* | 10,454 | 1,334,453 | |||||||||
SolarWinds Corp. | 1,970 | 22,931 | |||||||||
Squarespace, Inc., Class A* (b) | 1,251 | 25,758 | |||||||||
Thoughtworks Holding, Inc.* | 1,625 | 28,129 | |||||||||
Twilio, Inc., Class A* | 7,473 | 785,936 | |||||||||
VeriSign, Inc.* | 4,287 | 748,296 | |||||||||
16,333,656 | |||||||||||
Semiconductors & Semiconductor Equipment — 17.5% | |||||||||||
Advanced Micro Devices, Inc.* | 72,498 | 7,384,683 | |||||||||
Allegro MicroSystems, Inc.* | 2,433 | 62,650 | |||||||||
Amkor Technology, Inc. | 4,455 | 91,060 | |||||||||
Analog Devices, Inc. | 23,297 | 3,923,215 | |||||||||
Applied Materials, Inc. | 39,366 | 4,617,238 | |||||||||
Broadcom, Inc. | 18,301 | 10,616,959 | |||||||||
Cirrus Logic, Inc.* | 2,535 | 206,704 | |||||||||
Enphase Energy, Inc.* | 5,944 | 1,106,713 | |||||||||
Entegris, Inc. | 6,017 | 667,646 | |||||||||
GLOBALFOUNDRIES, Inc.* (b) | 2,369 | 141,406 | |||||||||
Intel Corp. | 180,560 | 8,020,475 | |||||||||
KLA Corp. | 6,676 | 2,435,739 | |||||||||
Lam Research Corp. | 6,180 | 3,213,785 | |||||||||
Lattice Semiconductor Corp.* | 6,061 | 315,293 | |||||||||
Marvell Technology, Inc. | 37,412 | 2,212,920 | |||||||||
Microchip Technology, Inc. | 24,647 | 1,790,605 | |||||||||
Micron Technology, Inc. | 49,655 | 3,666,525 | |||||||||
MKS Instruments, Inc. | 2,452 | 302,822 | |||||||||
Monolithic Power Systems, Inc. | 1,913 | 861,596 | |||||||||
NVIDIA Corp. | 110,855 | 20,698,846 | |||||||||
NXP Semiconductors NV | 11,799 | 2,238,978 | |||||||||
ON Semiconductor Corp.* | 19,109 | 1,159,534 | |||||||||
Power Integrations, Inc. | 2,623 | 221,329 | |||||||||
Qorvo, Inc.* | 4,810 | 537,517 | |||||||||
QUALCOMM, Inc. | 49,966 | 7,156,131 | |||||||||
Semtech Corp.* | 2,866 | 183,682 | |||||||||
Silicon Laboratories, Inc.* | 1,699 | 253,423 | |||||||||
Skyworks Solutions, Inc. | 7,267 | 791,158 | |||||||||
SolarEdge Technologies, Inc.* | 2,338 | 637,783 |
96 :: ROM ULTRA TECHNOLOGY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Teradyne, Inc. | 7,221 | $ | 788,966 | ||||||||
Texas Instruments, Inc. | 40,942 | 7,236,908 | |||||||||
Universal Display Corp. | 1,915 | 241,884 | |||||||||
Wolfspeed, Inc.* (b) | 5,487 | 412,787 | |||||||||
94,196,960 | |||||||||||
Software — 29.2% | |||||||||||
ACI Worldwide, Inc.* | 5,209 | 138,768 | |||||||||
Adobe, Inc.* | 20,908 | 8,707,764 | |||||||||
Alteryx, Inc., Class A* | 2,647 | 147,306 | |||||||||
Anaplan, Inc.* | 6,556 | 430,074 | |||||||||
ANSYS, Inc.* | 3,876 | 1,009,155 | |||||||||
Appian Corp.* | 1,766 | 84,362 | |||||||||
AppLovin Corp., Class A* | 1,568 | 59,756 | |||||||||
Asana, Inc., Class A* (b) | 3,681 | 80,025 | |||||||||
Aspen Technology, Inc.* | 1,235 | 238,910 | |||||||||
Autodesk, Inc.* | 9,765 | 2,028,679 | |||||||||
Avalara, Inc.* | 3,860 | 326,826 | |||||||||
Bentley Systems, Inc., Class B(b) | 8,173 | 280,988 | |||||||||
Bill.com Holdings, Inc.* (b) | 4,082 | 482,656 | |||||||||
Black Knight, Inc.* | 6,887 | 467,696 | |||||||||
Blackbaud, Inc.* | 1,977 | 125,836 | |||||||||
Blackline, Inc.* | 2,377 | 174,044 | |||||||||
Cadence Design Systems, Inc.* | 12,295 | 1,890,110 | |||||||||
CCC Intelligent Solutions Holdings, Inc.* | 2,677 | 23,959 | |||||||||
CDK Global, Inc. | 5,174 | 281,776 | |||||||||
Ceridian HCM Holding, Inc.* | 6,076 | 342,079 | |||||||||
Citrix Systems, Inc. | 5,541 | 557,923 | |||||||||
Clear Secure, Inc., Class A* | 594 | 16,299 | |||||||||
Confluent, Inc., Class A* (b) | 2,716 | 57,389 | |||||||||
Consensus Cloud Solutions, Inc.* | 713 | 34,245 | |||||||||
Coupa Software, Inc.* | 3,318 | 228,245 | |||||||||
Crowdstrike Holdings, Inc., Class A* | 9,243 | 1,478,788 | |||||||||
Datadog, Inc., Class A* | 11,396 | 1,087,064 | |||||||||
Digital Turbine, Inc.* | 3,921 | 99,711 | |||||||||
DocuSign, Inc.* | 8,766 | 735,555 | |||||||||
Dolby Laboratories, Inc., Class A | 2,904 | 225,408 | |||||||||
Dropbox, Inc., Class A* | 12,509 | 260,688 | |||||||||
Duck Creek Technologies, Inc.* | 3,346 | 62,135 | |||||||||
Dynatrace, Inc.* | 8,733 | 328,972 | |||||||||
Elastic NV* | 3,233 | 199,314 | |||||||||
Fair Isaac Corp.* | 1,170 | 479,174 | |||||||||
Five9, Inc.* (b) | 3,011 | 291,194 | |||||||||
Fortinet, Inc.* | 6,027 | 1,772,782 | |||||||||
Gitlab, Inc., Class A* (b) | 500 | 19,470 | |||||||||
Guidewire Software, Inc.* | 3,694 | 295,298 | |||||||||
HubSpot, Inc.* | 1,985 | 670,315 | |||||||||
Informatica, Inc., Class A* | 1,339 | 27,316 | |||||||||
Intuit, Inc. | 12,551 | 5,201,887 | |||||||||
Mandiant Corp.* | 10,644 | 234,700 | |||||||||
Manhattan Associates, Inc.* | 2,807 | 339,451 | |||||||||
Matterport, Inc.* (b) | 8,183 | 44,925 | |||||||||
Microsoft Corp. | 332,419 | 90,374,754 | |||||||||
MicroStrategy, Inc., Class A* (b) | 408 | 107,994 | |||||||||
nCino, Inc.* | 2,524 | 82,459 | |||||||||
NCR Corp.* (b) | 5,854 | 203,075 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
New Relic, Inc.* | 2,641 | $ | 123,757 | ||||||||
NortonLifeLock, Inc. | 25,797 | 627,899 | |||||||||
Nutanix, Inc., Class A* | 9,521 | 154,240 | |||||||||
Oracle Corp. | 69,871 | 5,025,122 | |||||||||
Palantir Technologies, Inc., Class A* | 71,005 | 616,323 | |||||||||
Palo Alto Networks, Inc.* | 4,382 | 2,203,182 | |||||||||
Paycom Software, Inc.* | 2,136 | 607,350 | |||||||||
Paylocity Holding Corp.* | 1,767 | 308,978 | |||||||||
Pegasystems, Inc. | 1,820 | 90,163 | |||||||||
Procore Technologies, Inc.* | 404 | 18,382 | |||||||||
PTC, Inc.* | 4,664 | 543,496 | |||||||||
Q2 Holdings, Inc.* | 2,513 | 132,511 | |||||||||
Qualtrics International, Inc., Class A* | 4,247 | 60,307 | |||||||||
Rapid7, Inc.* (b) | 2,531 | 179,372 | |||||||||
RingCentral, Inc., Class A* | 3,639 | 229,766 | |||||||||
Roper Technologies, Inc. | 4,674 | 2,067,965 | |||||||||
Salesforce, Inc.* | 43,671 | 6,997,841 | |||||||||
SentinelOne, Inc., Class A* | 5,971 | 142,050 | |||||||||
ServiceNow, Inc.* | 8,864 | 4,143,654 | |||||||||
Smartsheet, Inc., Class A* | 5,612 | 200,068 | |||||||||
Splunk, Inc.* | 7,048 | 722,843 | |||||||||
Synopsys, Inc.* | 6,801 | 2,170,879 | |||||||||
Trade Desk, Inc. (The), Class A* | 19,328 | 1,006,022 | |||||||||
Tyler Technologies, Inc.* | 1,827 | 650,083 | |||||||||
UiPath, Inc., Class A* | 11,787 | 201,204 | |||||||||
Unity Software, Inc.* (b) | 7,260 | 290,182 | |||||||||
Varonis Systems, Inc.* | 4,767 | 157,645 | |||||||||
Verint Systems, Inc.* | 2,902 | 148,118 | |||||||||
VMware, Inc., Class A | 8,946 | 1,145,983 | |||||||||
Workday, Inc., Class A* | 8,562 | 1,338,241 | |||||||||
Workiva, Inc.* | 1,997 | 145,801 | |||||||||
Zendesk, Inc.* | 5,396 | 493,464 | |||||||||
Zoom Video Communications, Inc., Class A* |
9,674 | 1,039,471 | |||||||||
Zscaler, Inc.* | 3,534 | 541,020 | |||||||||
157,360,681 | |||||||||||
Technology Hardware, Storage & Peripherals — 20.1% | |||||||||||
Apple, Inc. | 687,437 | 102,318,123 | |||||||||
Dell Technologies, Inc., Class C | 12,867 | 642,578 | |||||||||
Hewlett Packard Enterprise Co. | 57,345 | 894,582 | |||||||||
HP, Inc. (b) | 48,009 | 1,864,670 | |||||||||
NetApp, Inc. | 9,849 | 708,635 | |||||||||
Pure Storage, Inc., Class A* | 12,082 | 286,706 | |||||||||
Seagate Technology Holdings plc | 8,928 | 755,934 | |||||||||
Western Digital Corp.* | 13,880 | 842,377 | |||||||||
Xerox Holdings Corp. | 5,449 | 102,550 | |||||||||
108,416,155 | |||||||||||
Total Common Stocks (Cost $564,147,794) |
478,961,088 | ||||||||||
Securities Lending Reinvestments (c) — 0.1% | |||||||||||
Investment Companies — 0.1% | |||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $569,684) |
569,684 | 569,684 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA TECHNOLOGY ROM :: 97
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 31.1% | |||||||||||
Repurchase Agreements (d) — 31.1% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $167,887,602 (Cost $167,884,223) |
$ | 167,884,223 | $ | 167,884,223 | |||||||
Total Investments — 120.0% (Cost $732,601,701) |
647,414,995 | ||||||||||
Liabilities in excess of other assets — (20.0%) | (108,035,368 | ) | |||||||||
Net Assets — 100.0% | $ | 539,379,627 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $350,962,769.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,823,266, collateralized in the form of cash with a value of $569,684 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio
Investments and $1,353,683 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $1,923,367.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $569,684.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 12,772,344 | |||||
Aggregate gross unrealized depreciation | (323,780,012 | ) | |||||
Net unrealized depreciation | $ | (311,007,668 | ) | ||||
Federal income tax cost | $ | 733,776,735 |
Swap Agreementsa
Ultra Technology had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
45,813,312 | 5/8/2023 | Bank of America NA |
1.18 | % | Dow Jones U.S.
TechnologySM Indexf |
(23,490,432 | ) | — | 23,490,432 | — | |||||||||||||||||||||||||
150,001,985 | 5/8/2023 | BNP Paribas SA |
1.43 | % | Dow Jones U.S.
TechnologySM Indexf |
(35,166,284 | ) | 8,152,126 | 27,014,158 | — | |||||||||||||||||||||||||
107,623,338 | 4/10/2023 | Citibank NA |
1.13 | % | Dow Jones U.S.
TechnologySM Indexf |
(23,956,078 | ) | 10,219,020 | 13,737,058 | — | |||||||||||||||||||||||||
28,618,968 | 4/10/2023 | Credit Suisse International |
1.43 | % | Dow Jones U.S.
TechnologySM Indexf |
(8,593,715 | ) | 4,945,247 | 3,648,468 | — | |||||||||||||||||||||||||
13,431,981 | 3/7/2023 | Goldman Sachs International |
1.43 | % | Dow Jones U.S.
TechnologySM Indexf |
(37,412,037 | ) | 31,841,189 | 5,570,848 | — | |||||||||||||||||||||||||
75,417,897 | 5/8/2023 | J.P. Morgan Securities |
1.28 | % | Dow Jones U.S.
TechnologySM Indexf |
(33,844,732 | ) | 29,668,534 | 4,176,198 | — | |||||||||||||||||||||||||
7,263,975 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.43 | % | Dow Jones U.S.
TechnologySM Indexf |
(46,257 | ) | — | 46,257 | — |
98 :: ROM ULTRA TECHNOLOGY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Notional
Amount ($) |
Termination Dateb |
Counterparty | Rate Paid
(Received)c |
Reference Instrument |
Value
and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial
Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash
Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net
Amounte ($) |
|||||||||||||||||||||||||||
124,856,617 | 4/10/2023 | Societe Generale |
1.38 | % | Dow Jones U.S.
TechnologySM Indexf |
6,066,882 | (6,047,832 | ) | (19,050 | ) | — | ||||||||||||||||||||||||
47,832,999 | 3/7/2023 | UBS AG |
1.43 | % | Dow Jones U.S.
TechnologySM Indexf |
(68,203,275 | ) | 45,035,221 | 23,168,054 | — | |||||||||||||||||||||||||
600,861,072 | (224,645,928 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
6,066,882 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(230,712,810 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the preceding Schedule of Portfolio Investments for the representative components of the underlying reference instrument and their relative weightings.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA TECHNOLOGY ROM :: 99
Investments | Shares | Value | |||||||||
Common Stocks (a) — 86.8% | |||||||||||
Communications Equipment — 40.4% | |||||||||||
ADTRAN, Inc. | 288 | $ | 5,337 | ||||||||
Arista Networks, Inc.* | 689 | 70,471 | |||||||||
Ciena Corp.* | 910 | 46,246 | |||||||||
Cisco Systems, Inc. | 7,434 | 334,902 | |||||||||
CommScope Holding Co., Inc.* | 1,202 | 9,027 | |||||||||
Comtech Telecommunications Corp. | 155 | 1,939 | |||||||||
Extreme Networks, Inc.* | 759 | 7,529 | |||||||||
F5, Inc.* | 357 | 58,205 | |||||||||
Harmonic, Inc.* | 605 | 5,826 | |||||||||
Inseego Corp.* | 463 | 954 | |||||||||
Juniper Networks, Inc. | 1,911 | 58,629 | |||||||||
Lumentum Holdings, Inc.* | 424 | 36,498 | |||||||||
Motorola Solutions, Inc. | 375 | 82,403 | |||||||||
NETGEAR, Inc.* | 172 | 3,277 | |||||||||
NetScout Systems, Inc.* | 434 | 14,899 | |||||||||
Plantronics, Inc.* | 251 | 9,909 | |||||||||
Ribbon Communications, Inc.* | 707 | 2,001 | |||||||||
Ubiquiti, Inc. | 36 | 9,416 | |||||||||
Viasat, Inc.* | 437 | 17,257 | |||||||||
Viavi Solutions, Inc.* | 1,351 | 19,549 | |||||||||
794,274 | |||||||||||
Diversified Telecommunication Services — 36.7% | |||||||||||
Anterix, Inc.* | 108 | 4,621 | |||||||||
AT&T, Inc. | 3,575 | 76,112 | |||||||||
ATN International, Inc. | 64 | 2,822 | |||||||||
Consolidated Communications Holdings, Inc.* | 422 | 2,794 | |||||||||
EchoStar Corp., Class A* | 228 | 5,479 | |||||||||
Frontier Communications Parent, Inc.* | 1,221 | 31,661 | |||||||||
Globalstar, Inc.* (b) | 3,898 | 5,457 | |||||||||
IDT Corp., Class B* | 102 | 2,811 | |||||||||
Iridium Communications, Inc.* | 777 | 28,834 | |||||||||
Liberty Global plc, Class A* | 1,039 | 25,268 | |||||||||
Liberty Global plc, Class C* | 1,950 | 49,550 | |||||||||
Liberty Latin America Ltd., Class A* | 240 | 2,282 | |||||||||
Liberty Latin America Ltd., Class C* | 914 | 8,692 | |||||||||
Lumen Technologies, Inc. (b) | 5,415 | 66,280 | |||||||||
Radius Global Infrastructure, Inc.* | 417 | 6,213 | |||||||||
Verizon Communications, Inc. | 7,833 | 401,755 | |||||||||
720,631 | |||||||||||
Entertainment — 0.0%(c) | |||||||||||
Warner Bros Discovery, Inc.* | 1 | 18 | |||||||||
Household Durables — 4.1% | |||||||||||
Garmin Ltd. | 751 | 79,321 | |||||||||
Wireless Telecommunication Services — 5.6% | |||||||||||
Shenandoah Telecommunications Co. | 294 | 6,750 | |||||||||
Telephone and Data Systems, Inc. | 580 | 10,283 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
T-Mobile US, Inc.* | 682 | $ | 90,904 | ||||||||
United States Cellular Corp.* | 88 | 2,703 | |||||||||
110,640 | |||||||||||
Total Common Stocks (Cost $1,662,428) |
1,704,884 | ||||||||||
Securities Lending Reinvestments (d) — 2.7% | |||||||||||
Investment Companies — 2.7% | |||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $53,017) |
53,017 | 53,017 | |||||||||
Principal Amount |
|||||||||||
Short-Term Investments — 18.2% | |||||||||||
Repurchase Agreements (e) — 18.2% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $357,550 (Cost $357,543) |
$ | 357,543 | 357,543 | ||||||||
Total Investments — 107.7% (Cost $2,072,988) |
2,115,444 | ||||||||||
Liabilities in excess of other assets — (7.7%) | (150,362 | ) | |||||||||
Net Assets — 100.0% | $ | 1,965,082 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $870,683.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $50,766, collateralized in the form of cash with a value of $53,017 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments.
(c) Represents less than 0.05% of net assets.
(d) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $53,017.
(e) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 138,026 | |||||
Aggregate gross unrealized depreciation | (461,176 | ) | |||||
Net unrealized depreciation | $ | (323,150 | ) | ||||
Federal income tax cost | $ | 2,077,472 |
100 :: LTL ULTRA TELECOMMUNICATIONS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Ultra Telecommunications had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
415,749 | 5/8/2023 | Bank of America NA |
1.13 | % | Dow Jones U.S. Select
TelecommunicationsSM Indexf |
(53,403 | ) | — | 32,360 | (21,043 | ) | ||||||||||||||||||||||||
351,236 | 4/10/2023 | Citibank NA |
1.13 | % | Dow Jones U.S. Select
TelecommunicationsSM Indexf |
(49,674 | ) | — | 49,674 | — | |||||||||||||||||||||||||
654,087 | 3/7/2023 | Goldman Sachs International |
1.43 | % | Dow Jones U.S. Select
TelecommunicationsSM Indexf |
(102,781 | ) | 93,209 | 9,572 | — | |||||||||||||||||||||||||
75,265 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.43 | % | Dow Jones U.S. Select
TelecommunicationsSM Indexf |
592 | — | — | 592 | ||||||||||||||||||||||||||
320,771 | 3/7/2023 | Societe Generale |
1.28 | % | Dow Jones U.S. Select
TelecommunicationsSM Indexf |
(77,100 | ) | — | 10,000 | (67,100 | ) | ||||||||||||||||||||||||
412,165 | 3/7/2023 | UBS AG |
1.18 | % | Dow Jones U.S. Select
TelecommunicationsSM Indexf |
(78,756 | ) | 57,026 | 21,730 | — | |||||||||||||||||||||||||
2,229,273 | (361,122 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
592 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(361,714 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the preceding Schedule of Portfolio Investments for the representative components of the underlying reference instrument and their relative weightings.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA TELECOMMUNICATIONS LTL :: 101
Investments | Shares | Value | |||||||||
Common Stocks (a) — 75.9% | |||||||||||
Electric Utilities — 45.9% | |||||||||||
ALLETE, Inc. | 872 | $ | 54,081 | ||||||||
Alliant Energy Corp. | 3,914 | 249,792 | |||||||||
American Electric Power Co., Inc. | 7,879 | 803,894 | |||||||||
Avangrid, Inc. | 1,090 | 51,873 | |||||||||
Constellation Energy Corp. | 5,104 | 316,856 | |||||||||
Duke Energy Corp. | 12,025 | 1,353,053 | |||||||||
Edison International | 5,940 | 415,265 | |||||||||
Entergy Corp. | 3,142 | 378,045 | |||||||||
Evergy, Inc. | 3,585 | 250,735 | |||||||||
Eversource Energy | 5,375 | 496,220 | |||||||||
Exelon Corp. | 15,312 | 752,585 | |||||||||
FirstEnergy Corp. | 8,917 | 383,074 | |||||||||
Hawaiian Electric Industries, Inc. | 1,709 | 73,778 | |||||||||
IDACORP, Inc. | 790 | 86,126 | |||||||||
NextEra Energy, Inc. | 30,663 | 2,320,883 | |||||||||
NRG Energy, Inc. | 3,829 | 176,287 | |||||||||
PG&E Corp.* (b) | 23,609 | 288,030 | |||||||||
Pinnacle West Capital Corp. | 1,762 | 136,819 | |||||||||
PNM Resources, Inc. | 1,342 | 63,785 | |||||||||
Portland General Electric Co. | 1,398 | 68,852 | |||||||||
PPL Corp. | 11,736 | 354,193 | |||||||||
Southern Co. (The) | 16,570 | 1,253,686 | |||||||||
Xcel Energy, Inc. | 8,421 | 634,438 | |||||||||
10,962,350 | |||||||||||
Gas Utilities — 3.3% | |||||||||||
Atmos Energy Corp. | 2,117 | 246,228 | |||||||||
National Fuel Gas Co. | 1,431 | 105,221 | |||||||||
New Jersey Resources Corp. | 1,502 | 68,972 | |||||||||
ONE Gas, Inc. | 838 | 72,923 | |||||||||
Southwest Gas Holdings, Inc. | 1,030 | 95,924 | |||||||||
Spire, Inc. | 809 | 63,345 | |||||||||
UGI Corp. | 3,280 | 140,187 | |||||||||
792,800 | |||||||||||
Independent Power and Renewable Electricity Producers — 2.1% | |||||||||||
AES Corp. (The) | 10,423 | 229,723 | |||||||||
Clearway Energy, Inc., Class A | 541 | 17,615 | |||||||||
Clearway Energy, Inc., Class C, Class C (b) | 1,278 | 44,794 | |||||||||
Vistra Corp. | 7,545 | 198,962 | |||||||||
491,094 | |||||||||||
Multi-Utilities — 22.1% | |||||||||||
Ameren Corp. | 4,027 | 383,330 | |||||||||
Avista Corp. | 1,108 | 48,131 | |||||||||
Black Hills Corp. | 998 | 76,507 | |||||||||
CenterPoint Energy, Inc. | 9,831 | 315,084 | |||||||||
CMS Energy Corp. | 4,531 | 321,882 | |||||||||
Consolidated Edison, Inc. | 5,533 | 549,206 | |||||||||
Dominion Energy, Inc. | 12,667 | 1,066,815 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
DTE Energy Co. | 3,029 | $ | 401,979 | ||||||||
NiSource, Inc. | 6,141 | 193,134 | |||||||||
NorthWestern Corp. | 845 | 51,773 | |||||||||
Public Service Enterprise Group, Inc. | 7,906 | 541,877 | |||||||||
Sempra Energy | 4,992 | 817,989 | |||||||||
WEC Energy Group, Inc. | 4,932 | 518,205 | |||||||||
5,285,912 | |||||||||||
Water Utilities — 2.5% | |||||||||||
American Water Works Co., Inc. | 2,841 | 429,701 | |||||||||
Essential Utilities, Inc. | 3,598 | 166,444 | |||||||||
596,145 | |||||||||||
Total Common Stocks (Cost $16,826,839) |
18,128,301 | ||||||||||
Principal Amount |
|||||||||||
Short-Term Investments — 16.4% | |||||||||||
Repurchase Agreements (c) — 16.4% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $3,924,540 (Cost $3,924,461) |
$ | 3,924,461 | 3,924,461 | ||||||||
Total Investments — 92.3% (Cost $20,751,300) |
22,052,762 | ||||||||||
Other assets less liabilities — 7.7% | 1,827,391 | ||||||||||
Net Assets — 100.0% | $ | 23,880,153 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $4,876,305.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $82,234, collateralized in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 5.50%, and maturity dates ranging from June 30, 2022 - May 15, 2051. The total value of collateral is $86,941.
(c) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 3,209,995 | |||||
Aggregate gross unrealized depreciation | (340,664 | ) | |||||
Net unrealized appreciation | $ | 2,869,331 | |||||
Federal income tax cost | $ | 20,754,596 |
102 :: UPW ULTRA UTILITIES :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Ultra Utilities had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Appreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
12,589,126 | 11/7/2022 | Bank of America NA |
1.03 | % | Dow Jones U.S. UtilitiesSM Indexf |
626,821 | (597,044 | ) | — | 29,777 | |||||||||||||||||||||||||
812,284 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.43 | % | Dow Jones U.S. UtilitiesSM Indexf |
146,761 | — | (128,000 | ) | 18,761 | |||||||||||||||||||||||||
5,197,084 | 4/10/2023 | Societe Generale |
1.38 | % | Dow Jones U.S. UtilitiesSM Indexf |
311,878 | (231,170 | ) | — | 80,708 | |||||||||||||||||||||||||
11,044,946 | 11/6/2023 | UBS AG |
1.18 | % | Dow Jones U.S. UtilitiesSM Indexf |
485,705 | — | (450,000 | ) | 35,705 | |||||||||||||||||||||||||
29,643,440 | 1,571,165 | ||||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
1,571,165 |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the preceding Schedule of Portfolio Investments for the representative components of the underlying reference instrument and their relative weightings.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA UTILITIES UPW :: 103
Investments | Shares | Value | |||||||||
Common Stocks (a) — 82.6% | |||||||||||
Aerospace & Defense — 2.2% | |||||||||||
Boeing Co. (The)* | 114,150 | $ | 14,999,310 | ||||||||
Banks — 2.2% | |||||||||||
JPMorgan Chase & Co. | 114,149 | 15,093,922 | |||||||||
Beverages — 1.0% | |||||||||||
Coca-Cola Co. (The) | 114,156 | 7,235,207 | |||||||||
Biotechnology — 4.2% | |||||||||||
Amgen, Inc. | 114,153 | 29,307,641 | |||||||||
Capital Markets — 5.4% | |||||||||||
Goldman Sachs Group, Inc. (The) | 114,153 | 37,310,908 | |||||||||
Chemicals — 1.1% | |||||||||||
Dow, Inc. | 114,156 | 7,760,325 | |||||||||
Communications Equipment — 0.7% | |||||||||||
Cisco Systems, Inc. | 114,154 | 5,142,638 | |||||||||
Consumer Finance — 2.8% | |||||||||||
American Express Co. | 114,153 | 19,271,310 | |||||||||
Diversified Telecommunication Services — 0.8% | |||||||||||
Verizon Communications, Inc. | 114,157 | 5,855,113 | |||||||||
Entertainment — 1.8% | |||||||||||
Walt Disney Co. (The)* | 114,152 | 12,606,947 | |||||||||
Food & Staples Retailing — 2.8% | |||||||||||
Walgreens Boots Alliance, Inc. | 114,149 | 5,003,151 | |||||||||
Walmart, Inc. | 114,158 | 14,684,143 | |||||||||
19,687,294 | |||||||||||
Health Care Providers & Services — 8.2% | |||||||||||
UnitedHealth Group, Inc. | 114,153 | 56,708,927 | |||||||||
Hotels, Restaurants & Leisure — 4.2% | |||||||||||
McDonald's Corp. | 114,153 | 28,790,528 | |||||||||
Household Products — 2.4% | |||||||||||
Procter & Gamble Co. (The) | 114,158 | 16,881,685 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Industrial Conglomerates — 5.7% | |||||||||||
3M Co. | 114,151 | $ | 17,041,603 | ||||||||
Honeywell International, Inc. | 114,243 | 22,119,729 | |||||||||
39,161,332 | |||||||||||
Insurance — 3.0% | |||||||||||
Travelers Cos., Inc. (The) | 114,154 | 20,438,132 | |||||||||
IT Services — 5.8% | |||||||||||
International Business Machines Corp. | 114,154 | 15,849,141 | |||||||||
Visa, Inc., Class A (b) | 114,153 | 24,219,842 | |||||||||
40,068,983 | |||||||||||
Machinery — 3.6% | |||||||||||
Caterpillar, Inc. | 114,153 | 24,639,925 | |||||||||
Oil, Gas & Consumable Fuels — 2.9% | |||||||||||
Chevron Corp. | 114,157 | 19,938,662 | |||||||||
Pharmaceuticals — 4.5% | |||||||||||
Johnson & Johnson | 114,198 | 20,501,967 | |||||||||
Merck & Co., Inc. | 114,155 | 10,505,685 | |||||||||
31,007,652 | |||||||||||
Semiconductors & Semiconductor Equipment — 0.7% | |||||||||||
Intel Corp. | 114,154 | 5,070,721 | |||||||||
Software — 7.1% | |||||||||||
Microsoft Corp. | 114,153 | 31,034,776 | |||||||||
Salesforce, Inc.* | 114,151 | 18,291,556 | |||||||||
49,326,332 | |||||||||||
Specialty Retail — 5.0% | |||||||||||
Home Depot, Inc. (The) | 114,185 | 34,569,509 | |||||||||
Technology Hardware, Storage & Peripherals — 2.5% | |||||||||||
Apple, Inc. | 114,156 | 16,990,979 | |||||||||
Textiles, Apparel & Luxury Goods — 2.0% | |||||||||||
NIKE, Inc., Class B | 114,155 | 13,567,322 | |||||||||
Total Common Stocks (Cost $655,949,344) |
571,431,304 |
104 :: UDOW ULTRAPRO DOW30SM :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 21.8% | |||||||||||
Repurchase Agreements (c) — 21.8% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $150,847,596 (Cost $150,844,557) |
$ | 150,844,557 | $ | 150,844,557 | |||||||
Total Investments — 104.4% (Cost $806,793,901) |
722,275,861 | ||||||||||
Liabilities in excess of other assets — (4.4%) | (30,552,376 | ) | |||||||||
Net Assets — 100.0% | $ | 691,723,485 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $286,459,503.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was
$799,032, collateralized in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 3.75%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $820,485.
(c) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 64,363,721 | |||||
Aggregate gross unrealized depreciation | (197,328,617 | ) | |||||
Net unrealized depreciation | $ | (132,964,896 | ) | ||||
Federal income tax cost | $ | 814,652,503 |
Futures Contracts Purchased
UltraPro Dow30SM had the following open long futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
DJIA CBOT E-Mini Index | 351 | 6/17/2022 | USD | $ | 57,864,105 | $ | 1,457,212 |
Swap Agreementsa
UltraPro Dow30SM had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
263,657,039 | 5/8/2023 | Bank of America NA |
1.23 | % | Dow Jones
Industrial AverageSM |
(31,769,929 | ) | 15,669,909 | 16,100,020 | — | |||||||||||||||||||||||||
30,416,891 | 11/6/2023 | Barclays Capital |
1.43 | % | Dow Jones
Industrial AverageSM |
(177,642 | ) | — | — | (177,642 | ) | ||||||||||||||||||||||||
229,875,156 | 5/8/2023 | BNP Paribas SA |
1.43 | % | Dow Jones
Industrial AverageSM |
(14,776,309 | ) | 11,460,695 | 3,315,614 | — | |||||||||||||||||||||||||
117,708,748 | 11/7/2022 | Citibank NA |
1.49 | % | Dow Jones
Industrial AverageSM |
36,686,695 | — | (36,686,695 | ) | — | |||||||||||||||||||||||||
159,408,260 | 11/6/2023 | Morgan Stanley & Co. International plc |
1.38 | % | Dow Jones
Industrial AverageSM |
(13,545,981 | ) | 12,972,178 | 573,803 | — | |||||||||||||||||||||||||
382,916,323 | 4/10/2023 | Societe Generale |
1.23 | % | Dow Jones Industrial AverageSM |
16,148,766 | (16,078,761 | ) | (70,005 | ) | — |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO DOW30SM UDOW :: 105
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid
(Received)c |
Reference Instrument |
Value
and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
261,743,612 | 3/7/2023 | UBS AG |
1.33 | % | Dow Jones
Industrial AverageSM |
(34,611,066 | ) | 34,603,378 | 7,688 | — | |||||||||||||||||||||||||
1,445,726,029 | (42,045,466 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
52,835,461 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(94,880,927 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
106 :: UDOW ULTRAPRO DOW30SM :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) — 84.7% | |||||||||||||||
AECOM (Construction & Engineering) |
0.4 | % | 1,657 | $ | 115,741 | ||||||||||
Alcoa Corp. (Metals & Mining) |
0.4 | % | 2,159 | 133,254 | |||||||||||
Alleghany Corp.* (Insurance) | 0.5 | % | 162 | 135,072 | |||||||||||
American Campus Communities, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.4 | % | 1,633 | 106,145 | |||||||||||
American Financial Group, Inc. (Insurance) |
0.4 | % | 776 | 109,649 | |||||||||||
Arrow Electronics, Inc.* (Electronic Equipment, Instruments & Components) |
0.3 | % | 799 | 96,399 | |||||||||||
Builders FirstSource, Inc.* (Building Products) |
0.5 | % | 2,246 | 146,192 | |||||||||||
Carlisle Cos., Inc. (Building Products) |
0.5 | % | 614 | 156,220 | |||||||||||
Cleveland-Cliffs, Inc.* (Metals & Mining) |
0.4 | % | 5,608 | 129,993 | |||||||||||
Cognex Corp. (Electronic Equipment, Instruments & Components) |
0.3 | % | 2,075 | 100,472 | |||||||||||
Darling Ingredients, Inc.* (Food Products) |
0.5 | % | 1,896 | 151,813 | |||||||||||
East West Bancorp, Inc. (Banks) |
0.4 | % | 1,664 | 122,371 | |||||||||||
EQT Corp. (Oil, Gas & Consumable Fuels) |
0.6 | % | 3,528 | 168,356 | |||||||||||
Essential Utilities, Inc. (Water Utilities) |
0.4 | % | 2,697 | 124,763 | |||||||||||
Fair Isaac Corp.* (Software) | 0.4 | % | 309 | 126,551 | |||||||||||
First Horizon Corp. (Banks) | 0.5 | % | 6,264 | 143,007 | |||||||||||
Graco, Inc. (Machinery) | 0.4 | % | 1,992 | 126,094 | |||||||||||
Hubbell, Inc. (Electrical Equipment) |
0.4 | % | 638 | 121,131 | |||||||||||
Jabil, Inc. (Electronic Equipment, Instruments & Components) |
0.4 | % | 1,683 | 103,538 | |||||||||||
Jazz Pharmaceuticals plc* (Pharmaceuticals) |
0.4 | % | 720 | 107,770 | |||||||||||
Jones Lang LaSalle, Inc.* (Real Estate Management & Development) |
0.4 | % | 592 | 116,813 | |||||||||||
Knight-Swift Transportation Holdings, Inc. (Road & Rail) |
0.3 | % | 1,945 | 94,605 | |||||||||||
Lamar Advertising Co., Class A (Equity Real Estate Investment Trusts (REITs)) |
0.3 | % | 1,018 | 99,713 | |||||||||||
Lear Corp. (Auto Components) | 0.3 | % | 701 | 98,813 | |||||||||||
Life Storage, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.4 | % | 960 | 112,090 | |||||||||||
Lithia Motors, Inc. (Specialty Retail) |
0.4 | % | 356 | 108,391 |
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
Mattel, Inc.* (Leisure Products) |
0.3 | % | 4,111 | $ | 103,268 | ||||||||||
Medical Properties Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.4 | % | 7,000 | 130,060 | |||||||||||
Middleby Corp. (The)* (Machinery) |
0.3 | % | 654 | 99,055 | |||||||||||
Neurocrine Biosciences, Inc.* (Biotechnology) |
0.4 | % | 1,111 | 103,868 | |||||||||||
OGE Energy Corp. (Electric Utilities) |
0.3 | % | 2,347 | 96,931 | |||||||||||
Olin Corp. (Chemicals) | 0.4 | % | 1,654 | 108,817 | |||||||||||
Owens Corning (Building Products) |
0.4 | % | 1,179 | 112,689 | |||||||||||
Range Resources Corp.* (Oil, Gas & Consumable Fuels) |
0.3 | % | 2,928 | 99,406 | |||||||||||
Regal Rexnord Corp. (Electrical Equipment) |
0.3 | % | 795 | 99,335 | |||||||||||
Reinsurance Group of America, Inc. (Insurance) |
0.3 | % | 788 | 99,170 | |||||||||||
Reliance Steel & Aluminum Co. (Metals & Mining) |
0.5 | % | 735 | 142,884 | |||||||||||
Repligen Corp.* (Life Sciences Tools & Services) |
0.3 | % | 604 | 99,340 | |||||||||||
Rexford Industrial Realty, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.4 | % | 1,880 | 120,076 | |||||||||||
RPM International, Inc. (Chemicals) |
0.5 | % | 1,521 | 134,000 | |||||||||||
Service Corp. International (Diversified Consumer Services) |
0.5 | % | 1,936 | 135,578 | |||||||||||
Steel Dynamics, Inc. (Metals & Mining) |
0.6 | % | 2,211 | 188,775 | |||||||||||
Targa Resources Corp. (Oil, Gas & Consumable Fuels) |
0.7 | % | 2,685 | 193,374 | |||||||||||
Toro Co. (The) (Machinery) | 0.3 | % | 1,231 | 101,545 | |||||||||||
UGI Corp. (Gas Utilities) | 0.4 | % | 2,461 | 105,183 | |||||||||||
United Therapeutics Corp.* (Biotechnology) |
0.4 | % | 527 | 121,389 | |||||||||||
Watsco, Inc. (Trading Companies & Distributors) |
0.3 | % | 387 | 98,929 | |||||||||||
Webster Financial Corp. (Banks) |
0.3 | % | 2,109 | 103,531 | |||||||||||
Williams-Sonoma, Inc. (Specialty Retail) |
0.4 | % | 857 | 109,627 | |||||||||||
Wolfspeed, Inc.*(b) (Semiconductors & Semiconductor Equipment) |
0.4 | % | 1,451 | 109,159 | |||||||||||
Other Common Stocks (b) | 64.7 | % | 414,630 | 19,263,967 | |||||||||||
Total Common Stocks (Cost $28,398,232) |
25,234,912 |
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO MIDCAP400 UMDD :: 107
Percentage of Net Assets |
Shares | Value | |||||||||||||
Securities Lending Reinvestments (c) — 0.0% (d) | |||||||||||||||
Investment Companies — 0.0% (d) | |||||||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $9,835) |
0.0 | % | 9,835 | $ | 9,835 | ||||||||||
Principal Amount |
|||||||||||||||
Short-Term Investments — 37.1% | |||||||||||||||
Repurchase Agreements (e) — 37.1% | |||||||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $11,048,586 (Cost $11,048,363) |
$ | 11,048,363 | 11,048,363 | ||||||||||||
Total Investments — 121.8% (Cost $39,456,430) |
36,293,110 | ||||||||||||||
Liabilities in excess of other assets — (21.8%) | (6,494,500 | ) | |||||||||||||
Net Assets — 100.0% | $ | 29,798,610 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $19,242,486.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $70,921, collateralized in the form of cash with a value of $9,835 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $63,405 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 5.50%, and maturity dates ranging from June 15, 2022 - November 15, 2051. The total value of collateral is $73,240.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $9,835.
(d) Represents less than 0.05% of net assets.
(e) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,140,835 | |||||
Aggregate gross unrealized depreciation | (19,132,201 | ) | |||||
Net unrealized depreciation | $ | (17,991,366 | ) | ||||
Federal income tax cost | $ | 40,216,049 |
Futures Contracts Purchased
UltraPro MidCap400 had the following open long futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
S&P Midcap 400 E-Mini Index | 8 | 6/17/2022 | USD | $ | 2,010,560 | $ | 18,946 |
Swap Agreementsa
UltraPro MidCap400 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
11,331,689 | 5/8/2023 | Bank of America NA |
1.23 | % | S&P MidCap 400® |
(2,200,932 | ) | — | 2,200,932 | — | |||||||||||||||||||||||||
1,948,970 | 5/8/2023 | BNP Paribas SA |
1.28 | % | S&P MidCap 400® |
(1,415,505 | ) | — | 1,415,505 | — | |||||||||||||||||||||||||
3,128,411 | 4/10/2023 | Citibank NA |
1.23 | % | S&P MidCap 400® |
(885,866 | ) | — | 885,866 | — | |||||||||||||||||||||||||
721,748 | 4/10/2023 | Credit Suisse International |
1.33 | % | S&P MidCap 400® |
(109,619 | ) | — | 45,381 | (64,238 | ) | ||||||||||||||||||||||||
7,759,456 | 3/7/2023 | Goldman Sachs International |
1.33 | % | S&P MidCap 400® |
(1,255,413 | ) | 823,839 | 431,574 | — |
108 :: UMDD ULTRAPRO MIDCAP400 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Notional
Amount ($) |
Termination Dateb |
Counterparty | Rate
Paid (Received)c |
Reference Instrument |
Value
and Unrealized Depreciationd ($) |
Financial
Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash
Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net
Amounte ($) |
|||||||||||||||||||||||||||
22,665,892 | 11/7/2022 | Morgan Stanley & Co. International plc |
1.38 | % | S&P MidCap 400® |
(3,297,193 | ) | 2,371,679 | 925,514 | — | |||||||||||||||||||||||||
7,390,997 | 3/7/2023 | Societe Generale |
1.10 | % | S&P MidCap 400® |
(3,744,710 | ) | 3,715,506 | 29,204 | — | |||||||||||||||||||||||||
7,199,872 | 3/7/2023 | UBS AG |
1.18 | % | S&P MidCap 400® |
(1,178,135 | ) | 790,935 | 387,200 | — | |||||||||||||||||||||||||
62,147,035 | (14,087,373 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(14,087,373 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
UltraPro MidCap400 invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
Aerospace & Defense | 1.1 | % | |||||
Air Freight & Logistics | 0.2 | % | |||||
Airlines | 0.1 | % | |||||
Auto Components | 1.2 | % | |||||
Automobiles | 0.4 | % | |||||
Banks | 5.9 | % | |||||
Beverages | 0.1 | % | |||||
Biotechnology | 1.4 | % | |||||
Building Products | 2.1 | % | |||||
Capital Markets | 1.7 | % | |||||
Chemicals | 2.5 | % | |||||
Commercial Services & Supplies | 1.3 | % | |||||
Communications Equipment | 0.8 | % | |||||
Construction & Engineering | 1.5 | % | |||||
Construction Materials | 0.2 | % | |||||
Consumer Finance | 0.4 | % | |||||
Containers & Packaging | 0.7 | % | |||||
Diversified Consumer Services | 0.9 | % | |||||
Diversified Financial Services | 0.3 | % | |||||
Diversified Telecommunication Services | 0.2 | % | |||||
Electric Utilities | 1.0 | % | |||||
Electrical Equipment | 1.6 | % |
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO MIDCAP400 UMDD :: 109
Electronic Equipment, Instruments & Components | 2.7 | % | |||||
Energy Equipment & Services | 0.5 | % | |||||
Entertainment | 0.1 | % | |||||
Equity Real Estate Investment Trusts (REITs) | 7.5 | % | |||||
Food & Staples Retailing | 1.1 | % | |||||
Food Products | 1.6 | % | |||||
Gas Utilities | 1.4 | % | |||||
Health Care Equipment & Supplies | 2.5 | % | |||||
Health Care Providers & Services | 2.1 | % | |||||
Hotels, Restaurants & Leisure | 2.3 | % | |||||
Household Durables | 1.3 | % | |||||
Household Products | 0.1 | % | |||||
Insurance | 3.6 | % | |||||
Interactive Media & Services | 0.3 | % | |||||
IT Services | 1.9 | % | |||||
Leisure Products | 1.1 | % | |||||
Life Sciences Tools & Services | 1.3 | % | |||||
Machinery | 3.7 | % | |||||
Marine | 0.2 | % | |||||
Media | 0.8 | % | |||||
Metals & Mining | 2.8 | % | |||||
Multiline Retail | 0.7 | % | |||||
Multi-Utilities | 0.3 | % | |||||
Oil, Gas & Consumable Fuels | 3.3 | % | |||||
Paper & Forest Products | 0.2 | % | |||||
Personal Products | 0.3 | % | |||||
Pharmaceuticals | 0.6 | % | |||||
Professional Services | 1.5 | % | |||||
Real Estate Management & Development | 0.4 | % | |||||
Road & Rail | 1.5 | % | |||||
Semiconductors & Semiconductor Equipment | 2.9 | % | |||||
Software | 2.8 | % | |||||
Specialty Retail | 2.6 | % | |||||
Technology Hardware, Storage & Peripherals | 0.1 | % | |||||
Textiles, Apparel & Luxury Goods | 1.3 | % | |||||
Thrifts & Mortgage Finance | 0.5 | % | |||||
Trading Companies & Distributors | 0.8 | % | |||||
Water Utilities | 0.4 | % | |||||
Othera | 15.3 | % | |||||
100.0 | % |
a Includes any non-equity securities and net other assets (liabilities).
110 :: UMDD ULTRAPRO MIDCAP400 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Shares | Value | |||||||||
Common Stocks (a) — 81.1% | |||||||||||
Automobiles — 3.5% | |||||||||||
Lucid Group, Inc.*(b) | 1,570,890 | $ | 31,700,560 | ||||||||
Tesla, Inc.* | 591,683 | 448,649,552 | |||||||||
480,350,112 | |||||||||||
Beverages — 2.3% | |||||||||||
Keurig Dr Pepper, Inc. | 1,347,015 | 46,795,301 | |||||||||
Monster Beverage Corp.* | 502,959 | 44,823,706 | |||||||||
PepsiCo, Inc. | 1,314,344 | 220,481,206 | |||||||||
312,100,213 | |||||||||||
Biotechnology — 3.3% | |||||||||||
Amgen, Inc. | 529,119 | 135,846,012 | |||||||||
Biogen, Inc.* | 139,690 | 27,938,000 | |||||||||
Gilead Sciences, Inc. | 1,190,941 | 77,232,524 | |||||||||
Moderna, Inc.* | 382,865 | 55,641,771 | |||||||||
Regeneron Pharmaceuticals, Inc.* | 101,341 | 67,365,416 | |||||||||
Seagen, Inc.* | 174,513 | 23,677,924 | |||||||||
Vertex Pharmaceuticals, Inc.* | 241,816 | 64,963,868 | |||||||||
452,665,515 | |||||||||||
Commercial Services & Supplies — 0.5% | |||||||||||
Cintas Corp. | 98,415 | 39,201,647 | |||||||||
Copart, Inc.* | 225,382 | 25,813,000 | |||||||||
65,014,647 | |||||||||||
Communications Equipment — 1.3% | |||||||||||
Cisco Systems, Inc. | 3,946,739 | 177,800,592 | |||||||||
Electric Utilities — 1.1% | |||||||||||
American Electric Power Co., Inc. | 478,940 | 48,866,248 | |||||||||
Constellation Energy Corp. | 310,231 | 19,259,117 | |||||||||
Exelon Corp. | 931,066 | 45,761,894 | |||||||||
Xcel Energy, Inc. | 516,954 | 38,947,315 | |||||||||
152,834,574 | |||||||||||
Entertainment — 1.4% | |||||||||||
Activision Blizzard, Inc. | 740,213 | 57,647,788 | |||||||||
Electronic Arts, Inc. | 267,082 | 37,030,919 | |||||||||
NetEase, Inc., ADR | 198,946 | 20,636,669 | |||||||||
Netflix, Inc.* | 421,786 | 83,277,428 | |||||||||
198,592,804 | |||||||||||
Food & Staples Retailing — 1.7% | |||||||||||
Costco Wholesale Corp. | 421,368 | 196,450,189 | |||||||||
Walgreens Boots Alliance, Inc. | 820,231 | 35,950,725 | |||||||||
232,400,914 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Food Products — 0.9% | |||||||||||
Kraft Heinz Co. (The) | 1,162,481 | $ | 43,976,656 | ||||||||
Mondelez International, Inc., Class A | 1,318,984 | 83,834,623 | |||||||||
127,811,279 | |||||||||||
Health Care Equipment & Supplies — 1.1% | |||||||||||
Align Technology, Inc.* | 74,752 | 20,754,145 | |||||||||
Dexcom, Inc.* | 92,053 | 27,426,271 | |||||||||
IDEXX Laboratories, Inc.* | 79,957 | 31,312,760 | |||||||||
Intuitive Surgical, Inc.* | 339,865 | 77,366,869 | |||||||||
156,860,045 | |||||||||||
Hotels, Restaurants & Leisure — 2.0% | |||||||||||
Airbnb, Inc., Class A* | 352,672 | 42,627,465 | |||||||||
Booking Holdings, Inc.* | 38,936 | 87,355,252 | |||||||||
Marriott International, Inc., Class A | 310,110 | 53,208,674 | |||||||||
Starbucks Corp. | 1,092,796 | 85,784,486 | |||||||||
268,975,877 | |||||||||||
Industrial Conglomerates — 0.9% | |||||||||||
Honeywell International, Inc. | 651,763 | 126,194,352 | |||||||||
Interactive Media & Services — 9.1% | |||||||||||
Alphabet, Inc., Class A* | 172,343 | 392,121,687 | |||||||||
Alphabet, Inc., Class C* | 180,738 | 412,223,616 | |||||||||
Baidu, Inc., ADR* | 229,834 | 32,257,202 | |||||||||
Match Group, Inc.* | 270,873 | 21,339,375 | |||||||||
Meta Platforms, Inc., Class A* | 1,979,916 | 383,390,934 | |||||||||
1,241,332,814 | |||||||||||
Internet & Direct Marketing Retail — 6.0% | |||||||||||
Amazon.com, Inc.* | 291,347 | 700,453,544 | |||||||||
eBay, Inc. | 558,123 | 27,163,846 | |||||||||
JD.com, Inc., ADR | 566,712 | 31,803,878 | |||||||||
MercadoLibre, Inc.* | 47,875 | 37,624,005 | |||||||||
Pinduoduo, Inc., ADR* | 420,149 | 21,154,502 | |||||||||
818,199,775 | |||||||||||
IT Services — 2.6% | |||||||||||
Automatic Data Processing, Inc. | 399,086 | 88,972,233 | |||||||||
Cognizant Technology Solutions Corp., Class A |
498,194 | 37,215,092 | |||||||||
Fiserv, Inc.* | 619,435 | 62,054,998 | |||||||||
Okta, Inc.* | 141,053 | 11,714,452 | |||||||||
Paychex, Inc. | 342,587 | 42,422,548 | |||||||||
PayPal Holdings, Inc.* | 1,106,563 | 94,290,233 | |||||||||
VeriSign, Inc.* | 104,696 | 18,274,687 | |||||||||
354,944,243 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO QQQ TQQQ :: 111
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Life Sciences Tools & Services — 0.3% | |||||||||||
Illumina, Inc.* | 149,074 | $ | 35,700,241 | ||||||||
Machinery — 0.2% | |||||||||||
PACCAR, Inc. | 330,173 | 28,672,223 | |||||||||
Media — 2.2% | |||||||||||
Charter Communications, Inc., Class A* |
164,164 | 83,219,656 | |||||||||
Comcast Corp., Class A | 4,297,332 | 190,285,861 | |||||||||
Sirius XM Holdings, Inc. (b) | 3,750,735 | 24,004,704 | |||||||||
297,510,221 | |||||||||||
Multiline Retail — 0.2% | |||||||||||
Dollar Tree, Inc.* | 213,754 | 34,271,179 | |||||||||
Pharmaceuticals — 0.3% | |||||||||||
AstraZeneca plc, ADR | 541,947 | 36,028,637 | |||||||||
Professional Services — 0.2% | |||||||||||
Verisk Analytics, Inc. | 153,122 | 26,784,100 | |||||||||
Road & Rail — 0.7% | |||||||||||
CSX Corp. | 2,083,958 | 66,249,025 | |||||||||
Old Dominion Freight Line, Inc. | 108,869 | 28,114,330 | |||||||||
94,363,355 | |||||||||||
Semiconductors & Semiconductor Equipment — 13.3% | |||||||||||
Advanced Micro Devices, Inc.* | 1,546,048 | 157,480,449 | |||||||||
Analog Devices, Inc. | 497,188 | 83,726,459 | |||||||||
Applied Materials, Inc. | 839,197 | 98,429,416 | |||||||||
ASML Holding NV, NYRS | 78,770 | 45,394,363 | |||||||||
Broadcom, Inc. | 389,258 | 225,820,244 | |||||||||
Intel Corp. | 3,868,575 | 171,842,102 | |||||||||
KLA Corp. | 143,213 | 52,251,263 | |||||||||
Lam Research Corp. | 132,444 | 68,874,853 | |||||||||
Marvell Technology, Inc. | 801,489 | 47,408,074 | |||||||||
Microchip Technology, Inc. | 528,267 | 38,378,598 | |||||||||
Micron Technology, Inc. | 1,064,140 | 78,576,098 | |||||||||
NVIDIA Corp. | 2,013,217 | 375,907,878 | |||||||||
NXP Semiconductors NV | 249,392 | 47,324,626 | |||||||||
QUALCOMM, Inc. | 1,070,811 | 153,361,551 |
Investments | Shares | Value | |||||||||
Common Stocks (a) (continued) | |||||||||||
Skyworks Solutions, Inc. | 155,758 | $ | 16,957,374 | ||||||||
Texas Instruments, Inc. | 877,546 | 155,115,031 | |||||||||
1,816,848,379 | |||||||||||
Software — 13.8% | |||||||||||
Adobe, Inc.* | 448,606 | 186,835,427 | |||||||||
ANSYS, Inc.* | 83,020 | 21,615,087 | |||||||||
Atlassian Corp. plc, Class A* | 134,311 | 23,816,026 | |||||||||
Autodesk, Inc.* | 209,093 | 43,439,071 | |||||||||
Cadence Design Systems, Inc.* | 263,323 | 40,480,645 | |||||||||
Crowdstrike Holdings, Inc., Class A* | 197,831 | 31,650,982 | |||||||||
Datadog, Inc., Class A* | 251,220 | 23,963,876 | |||||||||
DocuSign, Inc.* | 187,904 | 15,767,025 | |||||||||
Fortinet, Inc.* | 152,730 | 44,924,002 | |||||||||
Intuit, Inc. | 268,888 | 111,443,320 | |||||||||
Microsoft Corp. | 4,292,993 | 1,167,136,007 | |||||||||
Palo Alto Networks, Inc.* | 93,670 | 47,095,403 | |||||||||
Splunk, Inc.* | 150,980 | 15,484,509 | |||||||||
Synopsys, Inc.* | 145,492 | 46,441,046 | |||||||||
Workday, Inc., Class A* | 186,225 | 29,106,967 | |||||||||
Zoom Video Communications, Inc., Class A* |
230,317 | 24,747,562 | |||||||||
Zscaler, Inc.* | 133,103 | 20,376,738 | |||||||||
1,894,323,693 | |||||||||||
Specialty Retail — 0.5% | |||||||||||
O'Reilly Automotive, Inc.* | 63,163 | 40,245,569 | |||||||||
Ross Stores, Inc. | 335,643 | 28,536,368 | |||||||||
68,781,937 | |||||||||||
Technology Hardware, Storage & Peripherals — 10.1% | |||||||||||
Apple, Inc. | 9,344,889 | 1,390,893,279 | |||||||||
Textiles, Apparel & Luxury Goods — 0.2% | |||||||||||
Lululemon Athletica, Inc.* | 117,455 | 34,377,904 | |||||||||
Trading Companies & Distributors — 0.2% | |||||||||||
Fastenal Co. | 546,763 | 29,284,626 | |||||||||
Wireless Telecommunication Services — 1.2% | |||||||||||
T-Mobile US, Inc.* | 1,186,726 | 158,178,709 | |||||||||
Total Common Stocks (Cost $13,249,770,510) |
11,112,096,239 |
112 :: TQQQ ULTRAPRO QQQ :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Shares | Value | |||||||||
Securities Lending Reinvestments (c) — 0.3% | |||||||||||
Investment Companies — 0.3% | |||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $43,716,530) |
43,716,530 | $ | 43,716,530 | ||||||||
Principal Amount |
|||||||||||
Short-Term Investments — 48.6% | |||||||||||
Repurchase Agreements (d) — 14.1% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $1,925,507,220 (Cost $1,925,468,443) |
$ | 1,925,468,443 | 1,925,468,443 | ||||||||
U.S. Treasury Obligations — 34.5% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.37%, 6/2/2022 (e) | 575,000,000 | 574,991,772 | |||||||||
0.37%, 6/7/2022 (e) | 250,000,000 | 249,979,583 | |||||||||
0.33%, 6/9/2022 (e) | 500,000,000 | 499,941,110 | |||||||||
0.42%, 6/16/2022 (e) | 550,000,000 | 549,867,367 | |||||||||
0.48%, 6/21/2022 (e) | 550,000,000 | 549,819,721 | |||||||||
0.44%, 6/23/2022 (b)(e) | 550,000,000 | 549,808,837 | |||||||||
0.56%, 6/30/2022 (e) | 550,000,000 | 549,698,721 | |||||||||
0.71%, 7/5/2022 (e) | 300,000,000 | 299,808,750 | |||||||||
0.07%, 7/14/2022 (e) | 500,000,000 | 499,505,700 | |||||||||
0.65%, 8/18/2022 (e) | 250,000,000 | 249,434,635 | |||||||||
0.51%, 11/3/2022 (e) | 100,000,000 | 99,389,257 | |||||||||
0.69%, 12/29/2022 (e) | 55,000,000 | 54,490,637 | |||||||||
Total U.S. Treasury Obligations (Cost $4,728,267,847) |
4,726,736,090 | ||||||||||
Total Short-Term Investments (Cost $6,653,736,290) |
6,652,204,533 | ||||||||||
Total Investments — 130.0% (Cost $19,947,223,330) |
17,808,017,302 | ||||||||||
Liabilities in excess of other assets — (30.0%) | (4,110,838,245 | ) | |||||||||
Net Assets — 100.0% | $ | 13,697,179,057 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $10,256,986,195.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $63,192,536, collateralized in the form of cash with a value of $43,716,530 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $21,788,836 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 7.13%, and maturity dates ranging from June 15, 2022 - May 15, 2052. The total value of collateral is $65,505,366.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $43,716,530.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(e) The rate shown was the current yield as of May 31, 2022.
Abbreviations
ADR American Depositary Receipt
NYRS New York Registry Shares
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 279,969,119 | |||||
Aggregate gross unrealized depreciation | (9,087,494,740 | ) | |||||
Net unrealized depreciation | $ | (8,807,525,621 | ) | ||||
Federal income tax cost | $ | 20,442,609,715 |
Futures Contracts Purchased
UltraPro QQQ had the following open long futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
NASDAQ 100 E-Mini Index | 6,194 | 6/17/2022 | USD | $ | 1,566,648,420 | $ | 16,912,746 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO QQQ TQQQ :: 113
Swap Agreementsa
UltraPro QQQ had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
2,521,959,887 | 5/8/2023 | Bank of America NA |
1.43 | % | NASDAQ-100 Index® |
(1,144,977,163 | ) | 957,847,163 | 187,130,000 | — | |||||||||||||||||||||||||
3,983,652,131 | 4/17/2023 | Barclays Capital |
1.43 | % | NASDAQ-100 Index® |
(167,052,290 | ) | — | 167,052,290 | — | |||||||||||||||||||||||||
1,918,135,265 | 5/8/2023 | BNP Paribas SA |
1.48 | % | NASDAQ-100 Index® |
(1,232,786,697 | ) | 1,062,377,187 | 170,409,510 | — | |||||||||||||||||||||||||
3,139,083,998 | 2/6/2023 | Citibank NA |
1.49 | % | NASDAQ-100 Index® |
(904,952,384 | ) | 904,938,263 | 14,121 | — | |||||||||||||||||||||||||
1,577,329,533 | 11/7/2022 | Credit Suisse International |
1.43 | % | NASDAQ-100 Index® |
(181,740,905 | ) | — | 181,740,905 | — | |||||||||||||||||||||||||
3,523,985,375 | 4/8/2024 | Goldman Sachs International |
1.53 | % | NASDAQ-100 Index® |
113,630,397 | (113,630,397 | ) | — | — | |||||||||||||||||||||||||
2,656,054,642 | 5/8/2023 | J.P. Morgan Securities |
1.23 | % | NASDAQ-100 Index® |
(932,083,505 | ) | 366,873,768 | 565,209,737 | — | |||||||||||||||||||||||||
1,664,673,802 | 4/10/2023 | Morgan Stanley & Co. International plc |
1.38 | % | NASDAQ-100 Index® |
(747,224,411 | ) | 465,785,693 | 281,438,718 | — | |||||||||||||||||||||||||
3,635,526,623 | 11/6/2023 | Societe Generale |
1.68 | % | NASDAQ-100 Index® |
29,199,812 | (29,114,240 | ) | (85,572 | ) | — | ||||||||||||||||||||||||
3,793,464,378 | 11/7/2022 | UBS AG |
1.63 | % | NASDAQ-100 Index® |
(1,021,858,808 | ) | 935,883,296 | 85,975,512 | — | |||||||||||||||||||||||||
28,413,865,634 | (6,189,845,954 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
142,830,209 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(6,332,676,163 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
114 :: TQQQ ULTRAPRO QQQ :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) — 82.1% | |||||||||||||||
AMC Entertainment Holdings, Inc., Class A*(b) (Entertainment) |
0.2 | % | 45,080 | $ | 646,447 | ||||||||||
Antero Resources Corp.* (Oil, Gas & Consumable Fuels) |
0.4 | % | 25,026 | 1,073,115 | |||||||||||
Avis Budget Group, Inc.* (Road & Rail) |
0.2 | % | 3,629 | 690,526 | |||||||||||
Biohaven Pharmaceutical Holding Co. Ltd.* (Biotechnology) |
0.3 | % | 4,882 | 701,690 | |||||||||||
BJ's Wholesale Club Holdings, Inc.* (Food & Staples Retailing) |
0.3 | % | 11,990 | 693,861 | |||||||||||
Chart Industries, Inc.* (Machinery) |
0.2 | % | 3,189 | 560,881 | |||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) |
0.4 | % | 9,175 | 893,461 | |||||||||||
CMC Materials, Inc. (Semiconductors & Semiconductor Equipment) |
0.2 | % | 2,477 | 438,280 | |||||||||||
EastGroup Properties, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.2 | % | 3,523 | 569,141 | |||||||||||
EMCOR Group, Inc. (Construction & Engineering) |
0.2 | % | 4,667 | 492,975 | |||||||||||
First Financial Bankshares, Inc. (b) (Banks) |
0.2 | % | 11,356 | 468,321 | |||||||||||
Glacier Bancorp, Inc. (Banks) | 0.2 | % | 9,635 | 466,430 | |||||||||||
Halozyme Therapeutics, Inc.* (Biotechnology) |
0.2 | % | 12,117 | 557,140 | |||||||||||
HealthEquity, Inc.* (Health Care Providers & Services) |
0.2 | % | 7,165 | 448,386 | |||||||||||
Helmerich & Payne, Inc. (Energy Equipment & Services) |
0.2 | % | 8,997 | 452,999 | |||||||||||
II-VI, Inc.*(b) (Electronic Equipment, Instruments & Components) |
0.2 | % | 9,257 | 578,562 | |||||||||||
Independence Realty Trust, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.2 | % | 19,328 | 454,401 | |||||||||||
KBR, Inc. (Professional Services) |
0.2 | % | 12,376 | 615,830 | |||||||||||
Lattice Semiconductor Corp.* (Semiconductors & Semiconductor Equipment) |
0.2 | % | 11,861 | 617,009 | |||||||||||
LHC Group, Inc.* (Health Care Providers & Services) |
0.2 | % | 2,663 | 443,815 | |||||||||||
Light & Wonder, Inc.* (Hotels, Restaurants & Leisure) |
0.2 | % | 8,415 | 444,312 | |||||||||||
Livent Corp.*(b) (Chemicals) | 0.2 | % | 14,177 | 450,687 | |||||||||||
Macy's, Inc. (Multiline Retail) | 0.2 | % | 26,379 | 623,863 | |||||||||||
Matador Resources Co. (Oil, Gas & Consumable Fuels) |
0.2 | % | 9,693 | 590,304 |
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) |
0.2 | % | 12,823 | $ | 543,952 | ||||||||||
Murphy USA, Inc. (Specialty Retail) |
0.2 | % | 2,043 | 508,952 | |||||||||||
Ovintiv, Inc. (Oil, Gas & Consumable Fuels) |
0.5 | % | 22,935 | 1,284,131 | |||||||||||
PDC Energy, Inc. (Oil, Gas & Consumable Fuels) |
0.2 | % | 8,535 | 675,460 | |||||||||||
Performance Food Group Co.* (Food & Staples Retailing) |
0.2 | % | 13,263 | 574,818 | |||||||||||
Power Integrations, Inc. (Semiconductors & Semiconductor Equipment) |
0.2 | % | 5,142 | 433,882 | |||||||||||
Range Resources Corp.* (Oil, Gas & Consumable Fuels) |
0.3 | % | 20,927 | 710,472 | |||||||||||
RBC Bearings, Inc.*(b) (Machinery) |
0.2 | % | 2,453 | 457,215 | |||||||||||
Rogers Corp.* (Electronic Equipment, Instruments & Components) |
0.2 | % | 1,638 | 434,692 | |||||||||||
Saia, Inc.* (Road & Rail) | 0.2 | % | 2,317 | 457,816 | |||||||||||
Sailpoint Technologies Holdings, Inc.* (Software) |
0.2 | % | 7,982 | 506,378 | |||||||||||
Shockwave Medical, Inc.* (Health Care Equipment & Supplies) |
0.2 | % | 2,951 | 484,584 | |||||||||||
Silicon Laboratories, Inc.* (Semiconductors & Semiconductor Equipment) |
0.2 | % | 3,312 | 494,018 | |||||||||||
SM Energy Co. (Oil, Gas & Consumable Fuels) |
0.2 | % | 10,504 | 507,028 | |||||||||||
SouthState Corp. (Banks) | 0.2 | % | 6,734 | 544,242 | |||||||||||
Southwest Gas Holdings, Inc. (Gas Utilities) |
0.2 | % | 5,758 | 536,243 | |||||||||||
Southwestern Energy Co.* (Oil, Gas & Consumable Fuels) |
0.3 | % | 88,880 | 810,586 | |||||||||||
STAG Industrial, Inc. (Equity Real Estate Investment Trusts (REITs)) |
0.2 | % | 15,674 | 521,944 | |||||||||||
Synaptics, Inc.* (Semiconductors & Semiconductor Equipment) |
0.2 | % | 3,465 | 513,236 | |||||||||||
Tenet Healthcare Corp.* (Health Care Providers & Services) |
0.2 | % | 9,286 | 600,897 | |||||||||||
Tetra Tech, Inc. (Commercial Services & Supplies) |
0.2 | % | 4,712 | 635,979 | |||||||||||
Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) |
0.2 | % | 6,139 | 478,658 | |||||||||||
United Bankshares, Inc. (Banks) |
0.2 | % | 11,534 | 433,217 | |||||||||||
Valley National Bancorp (Banks) |
0.2 | % | 35,026 | 445,180 |
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO RUSSELL2000 URTY :: 115
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
WESCO International, Inc.* (Trading Companies & Distributors) |
0.2 | % | 3,886 | $ | 488,004 | ||||||||||
WillScot Mobile Mini Holdings Corp.* (Construction & Engineering) |
0.2 | % | 18,233 | 651,465 | |||||||||||
Other Common Stocks (b) | 71.0 | % | 9,268,839 | 184,352,404 | |||||||||||
Total Common Stocks (Cost $269,613,647) |
213,057,889 | ||||||||||||||
No. of Rights |
|||||||||||||||
Rights — 0.0% (c) | |||||||||||||||
Contra Aduro Biotech I, CVR*(d)(e) |
0.0 | % | 899 | — | |||||||||||
Contraf-Nicotex-Tobacco GmbH*(d)(e) |
0.0 | % | 1,074 | 537 | |||||||||||
Oncternal Therapeutics, Inc., CVR*(d)(e) |
0.0 | % | 23 | — | |||||||||||
Tobira Therapeutics, Inc., CVR*(d)(e) |
0.0 | % | 218 | — | |||||||||||
Zogenix, Inc., CVR*(d)(e) | 0.0 | % | 6,278 | 4,269 | |||||||||||
Total Rights (Cost $2,659) |
4,806 | ||||||||||||||
Shares | |||||||||||||||
Securities Lending Reinvestments (f) — 1.9% | |||||||||||||||
Investment Companies — 1.9% | |||||||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $4,869,345) |
1.9 | % | 4,869,345 | 4,869,345 | |||||||||||
Principal Amount |
|||||||||||||||
Short-Term Investments — 19.4% | |||||||||||||||
Repurchase Agreements (g) — 19.4% | |||||||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $50,205,251 (Cost $50,204,239) |
$ | 50,204,239 | 50,204,239 | ||||||||||||
Total Investments — 103.4% (Cost $324,689,890) |
268,136,279 | ||||||||||||||
Liabilities in excess of other assets — (3.4%) | (8,697,036 | ) | |||||||||||||
Net Assets — 100.0% | $ | 259,439,243 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $68,015,286.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $7,750,898, collateralized in the form of cash with a value of $4,869,345 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $3,402,474 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 4.63%, and maturity dates ranging from June 15, 2022 - May 15, 2052. The total value of collateral is $8,271,819.
(c) Represents less than 0.05% of net assets.
(d) Illiquid security.
(e) Security fair valued as of May 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at May 31, 2022 amounted to $4,806, which represents approximately 0.00% of net assets of the Fund.
(f) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $4,869,345.
(g) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
Abbreviations
CVR Contingent Value Rights — No defined expiration
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 10,080,030 | |||||
Aggregate gross unrealized depreciation | (240,280,520 | ) | |||||
Net unrealized depreciation | $ | (230,200,490 | ) | ||||
Federal income tax cost | $ | 347,738,138 |
116 :: URTY ULTRAPRO RUSSELL2000 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Futures Contracts Purchased
UltraPro Russell2000 had the following open long futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
Russell 2000 E-Mini Index | 266 | 6/17/2022 | USD | $ | 24,763,270 | $ | 808,915 |
Swap Agreementsa
UltraPro Russell2000 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
110,356,760 | 5/8/2023 | Bank of America NA |
1.13 | % | Russell 2000® Index |
(30,879,445 | ) | 14,214,477 | 16,664,968 | — | |||||||||||||||||||||||||
6,466,355 | 11/6/2023 | Barclays Capital |
1.33 | % | Russell 2000® Index |
(47,190 | ) | — | — | (47,190 | ) | ||||||||||||||||||||||||
30,998,985 | 5/8/2023 | BNP Paribas SA |
0.98 | % | Russell 2000® Index |
(27,807,480 | ) | — | 27,807,480 | — | |||||||||||||||||||||||||
109,916,847 | 4/10/2023 | Citibank NA |
1.12 | % | Russell 2000® Index |
(47,210,497 | ) | — | 47,210,497 | — | |||||||||||||||||||||||||
32,861,161 | 11/7/2022 | Credit Suisse International |
1.28 | % | Russell 2000® Index |
(7,856,375 | ) | 1,233,792 | 6,622,583 | — | |||||||||||||||||||||||||
83,678,620 | 4/10/2023 | Goldman Sachs International |
1.23 | % | Russell 2000® Index |
4,258,976 | (4,258,976 | ) | — | — | |||||||||||||||||||||||||
58,830,967 | 11/6/2023 | Morgan Stanley & Co. International plc |
1.28 | % | Russell 2000® Index |
(12,259,503 | ) | — | 12,259,503 | — | |||||||||||||||||||||||||
38,882,010 | 3/7/2023 | Societe Generale |
1.18 | % | Russell 2000® Index |
(18,409,551 | ) | 581,732 | 17,827,819 | — | |||||||||||||||||||||||||
68,475,509 | 3/7/2023 | UBS AG |
0.83 | % | Russell 2000® Index |
(11,196,481 | ) | — | 11,196,481 | — | |||||||||||||||||||||||||
540,467,214 | (151,407,546 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
4,258,976 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(155,666,522 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO RUSSELL2000 URTY :: 117
UltraPro Russell2000 invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
Aerospace & Defense | 0.6 | % | |||||
Air Freight & Logistics | 0.3 | % | |||||
Airlines | 0.3 | % | |||||
Auto Components | 1.0 | % | |||||
Automobiles | 0.2 | % | |||||
Banks | 7.6 | % | |||||
Beverages | 0.4 | % | |||||
Biotechnology | 4.8 | % | |||||
Building Products | 1.1 | % | |||||
Capital Markets | 1.3 | % | |||||
Chemicals | 1.8 | % | |||||
Commercial Services & Supplies | 1.5 | % | |||||
Communications Equipment | 0.6 | % | |||||
Construction & Engineering | 1.4 | % | |||||
Construction Materials | 0.1 | % | |||||
Consumer Finance | 0.6 | % | |||||
Containers & Packaging | 0.3 | % | |||||
Distributors | 0.0 | %* | |||||
Diversified Consumer Services | 0.5 | % | |||||
Diversified Financial Services | 0.1 | % | |||||
Diversified Telecommunication Services | 0.5 | % | |||||
Electric Utilities | 0.6 | % | |||||
Electrical Equipment | 0.8 | % | |||||
Electronic Equipment, Instruments & Components | 2.0 | % | |||||
Energy Equipment & Services | 1.2 | % | |||||
Entertainment | 0.5 | % | |||||
Equity Real Estate Investment Trusts (REITs) | 5.8 | % | |||||
Food & Staples Retailing | 1.0 | % | |||||
Food Products | 0.9 | % | |||||
Gas Utilities | 1.1 | % | |||||
Health Care Equipment & Supplies | 2.7 | % | |||||
Health Care Providers & Services | 2.4 | % | |||||
Health Care Technology | 0.6 | % | |||||
Hotels, Restaurants & Leisure | 1.8 | % | |||||
Household Durables | 1.4 | % | |||||
Household Products | 0.2 | % | |||||
Independent Power and Renewable Electricity Producers | 0.3 | % | |||||
Insurance | 1.6 | % | |||||
Interactive Media & Services | 0.4 | % | |||||
Internet & Direct Marketing Retail | 0.3 | % | |||||
IT Services | 1.2 | % | |||||
Leisure Products | 0.4 | % | |||||
Life Sciences Tools & Services | 0.4 | % | |||||
Machinery | 3.0 | % | |||||
Marine | 0.2 | % | |||||
Media | 0.8 | % | |||||
Metals & Mining | 1.2 | % | |||||
Mortgage Real Estate Investment Trusts (REITs) | 1.1 | % | |||||
Multiline Retail | 0.4 | % | |||||
Multi-Utilities | 0.4 | % | |||||
Oil, Gas & Consumable Fuels | 5.6 | % | |||||
Paper & Forest Products | 0.1 | % | |||||
Personal Products | 0.5 | % |
118 :: URTY ULTRAPRO RUSSELL2000 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Pharmaceuticals | 1.1 | % | |||||
Professional Services | 1.5 | % | |||||
Real Estate Management & Development | 0.5 | % | |||||
Road & Rail | 0.7 | % | |||||
Semiconductors & Semiconductor Equipment | 2.7 | % | |||||
Software | 3.9 | % | |||||
Specialty Retail | 1.8 | % | |||||
Technology Hardware, Storage & Peripherals | 0.2 | % | |||||
Textiles, Apparel & Luxury Goods | 0.5 | % | |||||
Thrifts & Mortgage Finance | 1.2 | % | |||||
Tobacco | 0.1 | % | |||||
Trading Companies & Distributors | 1.5 | % | |||||
Water Utilities | 0.3 | % | |||||
Wireless Telecommunication Services | 0.2 | % | |||||
Othera | 17.9 | % | |||||
100.0 | % |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO RUSSELL2000 URTY :: 119
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) — 82.5% | |||||||||||||||
Abbott Laboratories (Health Care Equipment & Supplies) |
0.5 | % | 107,375 | $ | 12,612,268 | ||||||||||
AbbVie, Inc. (Biotechnology) | 0.6 | % | 107,351 | 15,820,317 | |||||||||||
Accenture plc, Class A (IT Services) |
0.4 | % | 38,371 | 11,452,209 | |||||||||||
Adobe, Inc.* (Software) | 0.5 | % | 28,644 | 11,929,653 | |||||||||||
Advanced Micro Devices, Inc.* (Semiconductors & Semiconductor Equipment) |
0.4 | % | 99,272 | 10,111,896 | |||||||||||
Alphabet, Inc., Class A* (Interactive Media & Services) |
1.6 | % | 18,265 | 41,557,259 | |||||||||||
Alphabet, Inc., Class C* (Interactive Media & Services) |
1.5 | % | 16,864 | 38,463,074 | |||||||||||
Amazon.com, Inc.* (Internet & Direct Marketing Retail) |
2.5 | % | 26,570 | 63,879,328 | |||||||||||
Apple, Inc. (Technology Hardware, Storage & Peripherals) |
5.5 | % | 941,389 | 140,116,339 | |||||||||||
AT&T, Inc. (Diversified Telecommunication Services) |
0.4 | % | 433,620 | 9,231,770 | |||||||||||
Bank of America Corp. (Banks) |
0.6 | % | 431,639 | 16,056,971 | |||||||||||
Berkshire Hathaway, Inc., Class B* (Diversified Financial Services) |
1.4 | % | 111,203 | 35,137,924 | |||||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) |
0.4 | % | 132,356 | 9,986,260 | |||||||||||
Broadcom, Inc. (Semiconductors & Semiconductor Equipment) |
0.6 | % | 25,067 | 14,542,119 | |||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) |
0.8 | % | 117,052 | 20,444,302 | |||||||||||
Cisco Systems, Inc. (Communications Equipment) |
0.4 | % | 256,103 | 11,537,440 | |||||||||||
Coca-Cola Co. (The) (Beverages) |
0.6 | % | 236,055 | 14,961,166 | |||||||||||
Comcast Corp., Class A (Media) |
0.5 | % | 274,692 | 12,163,362 | |||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) |
0.5 | % | 26,924 | 12,552,507 | |||||||||||
Danaher Corp. (Life Sciences Tools & Services) |
0.4 | % | 38,639 | 10,193,741 | |||||||||||
Eli Lilly & Co. (Pharmaceuticals) |
0.6 | % | 48,208 | 15,110,316 | |||||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) |
1.0 | % | 257,069 | 24,678,624 | |||||||||||
Home Depot, Inc. (The) (Specialty Retail) |
0.7 | % | 63,402 | 19,194,955 | |||||||||||
Intel Corp. (Semiconductors & Semiconductor Equipment) |
0.4 | % | 247,262 | 10,983,378 | |||||||||||
Johnson & Johnson (Pharmaceuticals) |
1.1 | % | 159,856 | 28,698,948 |
Percentage of Net Assets |
Shares | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
JPMorgan Chase & Co. (Banks) |
0.9 | % | 179,446 | $ | 23,728,145 | ||||||||||
Linde plc (Chemicals) | 0.4 | % | 31,125 | 10,105,665 | |||||||||||
Mastercard, Inc., Class A (IT Services) |
0.7 | % | 52,407 | 18,754,893 | |||||||||||
McDonald's Corp. (Hotels, Restaurants & Leisure) |
0.4 | % | 45,374 | 11,443,777 | |||||||||||
Merck & Co., Inc. (Pharmaceuticals) |
0.5 | % | 153,383 | 14,115,837 | |||||||||||
Meta Platforms, Inc., Class A* (Interactive Media & Services) |
1.1 | % | 140,207 | 27,149,683 | |||||||||||
Microsoft Corp. (Software) | 4.8 | % | 455,218 | 123,760,118 | |||||||||||
NextEra Energy, Inc. (Electric Utilities) |
0.4 | % | 119,141 | 9,017,782 | |||||||||||
NIKE, Inc., Class B (Textiles, Apparel & Luxury Goods) |
0.4 | % | 77,498 | 9,210,637 | |||||||||||
NVIDIA Corp. (Semiconductors & Semiconductor Equipment) |
1.1 | % | 151,801 | 28,344,283 | |||||||||||
PepsiCo, Inc. (Beverages) | 0.5 | % | 84,005 | 14,091,839 | |||||||||||
Pfizer, Inc. (Pharmaceuticals) | 0.7 | % | 340,820 | 18,077,093 | |||||||||||
Philip Morris International, Inc. (Tobacco) |
0.4 | % | 94,110 | 9,999,187 | |||||||||||
Procter & Gamble Co. (The) (Household Products) |
0.8 | % | 145,555 | 21,524,673 | |||||||||||
QUALCOMM, Inc. (Semiconductors & Semiconductor Equipment) |
0.4 | % | 68,432 | 9,800,831 | |||||||||||
Salesforce, Inc.* (Software) | 0.4 | % | 59,809 | 9,583,794 | |||||||||||
Tesla, Inc.* (Automobiles) | 1.5 | % | 50,833 | 38,544,631 | |||||||||||
Texas Instruments, Inc. (Semiconductors & Semiconductor Equipment) |
0.4 | % | 56,077 | 9,912,171 | |||||||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Services) |
0.5 | % | 23,925 | 13,579,112 | |||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Services) |
1.1 | % | 57,188 | 28,409,855 | |||||||||||
Verizon Communications, Inc. (Diversified Telecommunication Services) |
0.5 | % | 254,909 | 13,074,282 | |||||||||||
Visa, Inc., Class A (IT Services) |
0.8 | % | 100,696 | 21,364,670 | |||||||||||
Walmart, Inc. (Food & Staples Retailing) |
0.4 | % | 85,901 | 11,049,446 | |||||||||||
Walt Disney Co. (The)* (Entertainment) |
0.5 | % | 110,550 | 12,209,142 | |||||||||||
Wells Fargo & Co. (Banks) | 0.4 | % | 235,950 | 10,799,432 | |||||||||||
Other Common Stocks (b) | 38.6 | % | 10,511,819 | 992,797,061 | |||||||||||
Total Common Stocks (Cost $2,389,695,638) |
2,121,864,165 |
120 :: UPRO ULTRAPRO S&P500® :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Percentage of Net Assets |
Shares | Value | |||||||||||||
Securities Lending Reinvestments (c) — 0.0% (d) | |||||||||||||||
Investment Companies — 0.0% (d) | |||||||||||||||
BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $278,159) |
0.0 | % | 278,159 | $ | 278,159 |
Principal Amount |
|||||||||||
Short-Term Investments — 31.6% | |||||||||||
Repurchase Agreements (e) — 3.1% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $80,241,101 (Cost $80,239,486) |
$ | 80,239,486 | 80,239,486 | ||||||||
U.S. Treasury Obligations — 28.5% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.33%, 6/2/2022 (f) | 40,000,000 | 39,999,428 | |||||||||
0.37%, 6/7/2022 (f) | 45,000,000 | 44,996,325 | |||||||||
0.51%, 6/21/2022 (f) | 50,000,000 | 49,983,611 | |||||||||
0.71%, 7/5/2022 (f) | 250,000,000 | 249,840,625 | |||||||||
0.07%, 7/14/2022 (f) | 300,000,000 | 299,703,420 | |||||||||
1.00%, 8/18/2022 (f) | 50,000,000 | 49,886,927 | |||||||||
Total U.S. Treasury Obligations (Cost $734,683,029) |
734,410,336 | ||||||||||
Total Short-Term Investments (Cost $814,922,515) |
814,649,822 | ||||||||||
Total Investments — 114.1% (Cost $3,204,896,312) |
2,936,792,146 | ||||||||||
Liabilities in excess of other assets — (14.1%) | (363,719,012 | ) | |||||||||
Net Assets — 100.0% | $ | 2,573,073,134 |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $1,453,695,930.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $449,507, collateralized in the form of cash with a value of $278,159 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $187,005 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $465,164.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $278,159.
(d) Represents less than 0.05% of net assets.
(e) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(f) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 72,249,715 | |||||
Aggregate gross unrealized depreciation | (1,226,399,995 | ) | |||||
Net unrealized depreciation | $ | (1,154,150,280 | ) | ||||
Federal income tax cost | $ | 3,321,783,328 |
Futures Contracts Purchased
UltraPro S&P500® had the following open long futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
S&P 500 E-Mini Index | 879 | 6/17/2022 | USD | $ | 181,568,438 | $ | 75,471 |
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO S&P500® UPRO :: 121
Swap Agreementsa
UltraPro S&P500® had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
520,721,147 | 5/8/2023 | Bank of America NA |
1.38 | % | S&P 500® |
(132,057,460 | ) | 100,862,429 | 31,195,031 | — | |||||||||||||||||||||||||
537,125,782 | 5/8/2023 | BNP Paribas SA | 1.43 | % | S&P 500® | (113,937,121 | ) | 83,369,344 | 30,567,777 | — | |||||||||||||||||||||||||
240,726,662 | 4/10/2023 | Citibank NA | 1.49 | % | S&P 500® | (57,664,886 | ) | 27,381,209 | 30,283,677 | — | |||||||||||||||||||||||||
531,270,525 | 11/6/2023 | Credit Suisse International |
1.43 | % | S&P 500® |
(13,081,617 | ) | — | 13,081,617 | — | |||||||||||||||||||||||||
884,048,700 | 4/8/2024 | Goldman Sachs International |
1.43 | % | S&P 500® |
16,062,194 | (16,062,194 | ) | — | — | |||||||||||||||||||||||||
740,192,029 | 5/8/2023 | J.P. Morgan Securities |
1.23 | % | S&P 500® |
(141,894,819 | ) | 89,797,787 | 52,097,032 | — | |||||||||||||||||||||||||
585,934,738 | 4/10/2023 | Morgan Stanley & Co. International plc |
1.38 | % | S&P 500® |
(78,836,056 | ) | 47,917,910 | 30,918,146 | — | |||||||||||||||||||||||||
689,569,060 | 3/7/2023 | Societe Generale | 1.33 | % | S&P 500® | (153,079,760 | ) | 67,867,254 | 85,212,506 | — | |||||||||||||||||||||||||
686,432,758 | 3/7/2023 | UBS AG | 1.33 | % | S&P 500® | (94,745,044 | ) | 34,901,931 | 59,843,113 | — | |||||||||||||||||||||||||
5,416,021,401 | (769,234,569 | ) | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
16,062,194 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(785,296,763 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
122 :: UPRO ULTRAPRO S&P500® :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
UltraPro S&P500® invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
Aerospace & Defense | 1.3 | % | |||||
Air Freight & Logistics | 0.5 | % | |||||
Airlines | 0.2 | % | |||||
Auto Components | 0.1 | % | |||||
Automobiles | 1.8 | % | |||||
Banks | 3.3 | % | |||||
Beverages | 1.4 | % | |||||
Biotechnology | 1.7 | % | |||||
Building Products | 0.3 | % | |||||
Capital Markets | 2.4 | % | |||||
Chemicals | 1.6 | % | |||||
Commercial Services & Supplies | 0.4 | % | |||||
Communications Equipment | 0.6 | % | |||||
Construction & Engineering | 0.0 | %* | |||||
Construction Materials | 0.1 | % | |||||
Consumer Finance | 0.5 | % | |||||
Containers & Packaging | 0.3 | % | |||||
Distributors | 0.1 | % | |||||
Diversified Financial Services | 1.4 | % | |||||
Diversified Telecommunication Services | 0.9 | % | |||||
Electric Utilities | 1.6 | % | |||||
Electrical Equipment | 0.4 | % | |||||
Electronic Equipment, Instruments & Components | 0.5 | % | |||||
Energy Equipment & Services | 0.3 | % | |||||
Entertainment | 1.1 | % | |||||
Equity Real Estate Investment Trusts (REITs) | 2.2 | % | |||||
Food & Staples Retailing | 1.2 | % | |||||
Food Products | 0.9 | % | |||||
Gas Utilities | 0.0 | %* | |||||
Health Care Equipment & Supplies | 2.3 | % | |||||
Health Care Providers & Services | 2.7 | % | |||||
Health Care Technology | 0.1 | % | |||||
Hotels, Restaurants & Leisure | 1.6 | % | |||||
Household Durables | 0.3 | % | |||||
Household Products | 1.2 | % | |||||
Independent Power and Renewable Electricity Producers | 0.0 | %* | |||||
Industrial Conglomerates | 0.7 | % | |||||
Insurance | 1.8 | % | |||||
Interactive Media & Services | 4.3 | % | |||||
Internet & Direct Marketing Retail | 2.6 | % | |||||
IT Services | 3.6 | % | |||||
Leisure Products | 0.0 | %* | |||||
Life Sciences Tools & Services | 1.5 | % | |||||
Machinery | 1.3 | % | |||||
Media | 0.8 | % | |||||
Metals & Mining | 0.3 | % | |||||
Multiline Retail | 0.4 | % | |||||
Multi-Utilities | 0.8 | % |
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO S&P500® UPRO :: 123
Oil, Gas & Consumable Fuels | 3.6 | % | |||||
Personal Products | 0.1 | % | |||||
Pharmaceuticals | 3.6 | % | |||||
Professional Services | 0.2 | % | |||||
Real Estate Management & Development | 0.1 | % | |||||
Road & Rail | 0.7 | % | |||||
Semiconductors & Semiconductor Equipment | 4.7 | % | |||||
Software | 7.2 | % | |||||
Specialty Retail | 1.7 | % | |||||
Technology Hardware, Storage & Peripherals | 5.7 | % | |||||
Textiles, Apparel & Luxury Goods | 0.4 | % | |||||
Tobacco | 0.6 | % | |||||
Trading Companies & Distributors | 0.2 | % | |||||
Water Utilities | 0.1 | % | |||||
Wireless Telecommunication Services | 0.2 | % | |||||
Othera | 17.5 | % | |||||
100.0 | % |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
124 :: UPRO ULTRAPRO S&P500® :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 91.2% | |||||||||||
Repurchase Agreements (a) — 30.7% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $124,000,598 (Cost $123,998,104) |
$ | 123,998,104 | $ | 123,998,104 | |||||||
U.S. Treasury Obligations (b) — 60.5% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.33%, 6/2/2022 (c) | 30,000,000 | 29,999,571 | |||||||||
0.49%, 6/16/2022 (c) | 50,000,000 | 49,987,943 | |||||||||
0.55%, 6/21/2022 (c) | 50,000,000 | 49,983,611 | |||||||||
0.71%, 7/5/2022 (c) | 50,000,000 | 49,968,125 | |||||||||
0.39%, 7/21/2022 (c) | 25,000,000 | 24,970,833 | |||||||||
0.69%, 12/29/2022 (c) | 40,000,000 | 39,629,554 | |||||||||
Total U.S. Treasury Obligations (Cost $244,766,192) |
244,539,637 | ||||||||||
Total Short-Term Investments (Cost $368,764,296) |
368,537,741 | ||||||||||
Total Investments — 91.2% (Cost $368,764,296) |
368,537,741 | ||||||||||
Other assets less liabilities — 8.8% | 35,402,889 | ||||||||||
Net Assets — 100.0% | $ | 403,940,630 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $2,540,971.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 13,617,101 | |||||
Aggregate gross unrealized depreciation | (8,116,397 | ) | |||||
Net unrealized appreciation | $ | 5,500,704 | |||||
Federal income tax cost | $ | 368,764,296 |
Futures Contracts Sold
UltraPro Short 20+ Year Treasury had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
U.S. Treasury Long Bond | 100 | 9/21/2022 | USD | $ | 13,934,375 | $ | 152,150 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO SHORT 20+ YEAR TREASURY TTT :: 125
Swap Agreementsa
UltraPro Short 20+ Year Treasury had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(260,338,805 | ) | 1/16/2023 | Bank of America NA |
(0.53 | )% | ICE U.S. Treasury 20+ Year Bond Index |
5,330,825 | (430,053 | ) | — | 4,900,772 | ||||||||||||||||||||||||
(309,147,705 | ) | 2/17/2023 | Citibank NA |
(0.38 | )% | ICE U.S. Treasury 20+ Year Bond Index |
(7,888,071 | ) | — | 7,888,071 | — | ||||||||||||||||||||||||
(362,496,459 | ) | 1/16/2023 | Goldman Sachs International |
(0.41 | )% | ICE U.S. Treasury 20+ Year Bond Index |
2,380,218 | — | — | 2,380,218 | |||||||||||||||||||||||||
(274,777,570 | ) | 1/16/2024 | Societe Generale | (0.55 | )% | ICE U.S. Treasury 20+ Year Bond Index |
5,752,137 | (1,225,474 | ) | (7,395 | ) | 4,519,268 | |||||||||||||||||||||||
(1,206,760,539 | ) | 5,575,109 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
13,463,180 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(7,888,071 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
126 :: TTT ULTRAPRO SHORT 20+ YEAR TREASURY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 84.9% | |||||||||||
Repurchase Agreements (a) — 19.4% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $68,058,221 (Cost $68,056,851) |
$ | 68,056,851 | $ | 68,056,851 | |||||||
U.S. Treasury Obligations (b) — 65.5% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.37%, 6/7/2022 (c) | 15,000,000 | 14,998,775 | |||||||||
0.35%, 6/9/2022 (c) | 50,000,000 | 49,994,111 | |||||||||
0.49%, 6/16/2022 (c) | 5,000,000 | 4,998,794 | |||||||||
0.55%, 6/21/2022 (c) | 5,000,000 | 4,998,361 | |||||||||
0.55%, 6/23/2022 (c) | 5,000,000 | 4,998,262 | |||||||||
0.63%, 6/30/2022 (c) | 80,000,000 | 79,956,178 | |||||||||
0.07%, 7/14/2022 (c) | 12,047,000 | 12,035,090 | |||||||||
0.09%, 8/11/2022 (c) | 13,682,000 | 13,654,207 | |||||||||
1.00%, 8/18/2022 (c) | 25,000,000 | 24,943,464 | |||||||||
0.11%, 9/8/2022 (c) | 20,000,000 | 19,938,228 | |||||||||
Total U.S. Treasury Obligations (Cost $230,616,473) |
230,515,470 | ||||||||||
Total Short-Term Investments (Cost $298,673,324) |
298,572,321 | ||||||||||
Total Investments — 84.9% (Cost $298,673,324) |
298,572,321 | ||||||||||
Other assets less liabilities — 15.1% | 53,015,554 | ||||||||||
Net Assets — 100.0% | $ | 351,587,875 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $91,132,419.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 46,460,034 | |||||
Aggregate gross unrealized depreciation | (7,646,593 | ) | |||||
Net unrealized appreciation | $ | 38,813,441 | |||||
Federal income tax cost | $ | 298,673,324 |
Futures Contracts Sold
UltraPro Short Dow30SM had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
DJIA CBOT E-Mini Index | 39 | 6/17/2022 | USD | $ | 6,429,345 | $ | 161,966 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO SHORT DOW30SM SDOW :: 127
Swap Agreementsa
UltraPro Short Dow30SM had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(266,758,110 | ) | 5/8/2023 | Bank of America NA |
(1.03 | )% | Dow Jones Industrial AverageSM |
(657,409 | ) | — | 657,409 | — | ||||||||||||||||||||||||
(20,453,874 | ) | 11/6/2023 | Barclays Capital |
(1.03 | )% | Dow Jones Industrial AverageSM |
(19,570 | ) | — | — | (19,570 | ) | |||||||||||||||||||||||
(239,904,153 | ) | 5/8/2023 | BNP Paribas SA |
(1.13 | )% | Dow Jones Industrial AverageSM |
2,738,654 | (1,279,702 | ) | — | 1,458,952 | ||||||||||||||||||||||||
(32,231,347 | ) | 4/10/2023 | Citibank NA |
(1.31 | )% | Dow Jones Industrial AverageSM |
(1,830,634 | ) | 1,830,634 | — | — | ||||||||||||||||||||||||
(103,819,908 | ) | 3/7/2023 | Goldman Sachs International |
(1.18 | )% | Dow Jones Industrial AverageSM |
7,681,799 | (7,194,035 | ) | (12,750 | ) | 475,014 | |||||||||||||||||||||||
(178,707,480 | ) | 4/10/2023 | Morgan Stanley & Co. International plc |
(0.63 | )% | Dow Jones Industrial AverageSM |
17,659,946 | — | (17,022,000 | ) | 637,946 | ||||||||||||||||||||||||
(77,790,703 | ) | 4/10/2023 | Societe Generale |
(0.93 | )% | Dow Jones Industrial AverageSM |
(5,037,977 | ) | 4,537,977 | 500,000 | — | ||||||||||||||||||||||||
(128,685,518 | ) | 3/7/2023 | UBS AG |
(1.03 | )% | Dow Jones Industrial AverageSM |
18,217,669 | (11,633,834 | ) | (6,440,000 | ) | 143,835 | |||||||||||||||||||||||
(1,048,351,093 | ) | 38,752,478 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
46,298,068 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(7,545,590 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
128 :: SDOW ULTRAPRO SHORT DOW30SM :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 60.9% | |||||||||||
Repurchase Agreements (a) — 60.9% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $4,589,470 (Cost $4,589,378) |
$ | 4,589,378 | $ | 4,589,378 | |||||||
Total Investments — 60.9% (Cost $4,589,378) |
4,589,378 | ||||||||||
Other assets less liabilities — 39.1% | 2,949,318 | ||||||||||
Net Assets — 100.0% | $ | 7,538,696 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 940,417 | |||||
Aggregate gross unrealized depreciation | (406,501 | ) | |||||
Net unrealized appreciation | $ | 533,916 | |||||
Federal income tax cost | $ | 4,589,378 |
Futures Contracts Sold
UltraPro Short MidCap400 had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
S&P Midcap 400 E-Mini Index | 2 | 6/17/2022 | USD | $ | 502,640 | $ | 16,026 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO SHORT MIDCAP400 SMDD :: 129
Swap Agreementsa
UltraPro Short MidCap400 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(3,965,644 | ) | 11/7/2022 | Bank of America NA |
(0.93 | )% | S&P MidCap 400® |
(406,501 | ) | — | 406,501 | — | ||||||||||||||||||||||||
(6,332,266 | ) | 5/8/2023 | BNP Paribas SA |
(0.98 | )% | S&P MidCap 400® |
344,730 | (344,730 | ) | — | — | ||||||||||||||||||||||||
(2,296,012 | ) | 4/10/2023 | Citibank NA |
(1.03 | )% | S&P MidCap 400® |
428,939 | — | (428,939 | ) | — | ||||||||||||||||||||||||
(6,045,579 | ) | 4/10/2023 | Morgan Stanley & Co. International plc |
(0.63 | )% | S&P MidCap 400® |
57,741 | — | — | 57,741 | |||||||||||||||||||||||||
(3,472,939 | ) | 3/7/2023 | Societe Generale |
(0.56 | )% | S&P MidCap 400® |
92,981 | (86,884 | ) | — | 6,097 | ||||||||||||||||||||||||
(22,112,440 | ) | 517,890 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
924,391 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(406,501 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
130 :: SMDD ULTRAPRO SHORT MIDCAP400 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 86.4% | |||||||||||
Repurchase Agreements (a) — 7.2% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $203,544,057 (Cost $203,539,959) |
$ | 203,539,959 | $ | 203,539,959 | |||||||
U.S. Treasury Obligations (b) — 79.2% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.36%, 6/2/2022 (c) | 110,000,000 | 109,998,426 | |||||||||
0.37%, 6/7/2022 (c) | 100,000,000 | 99,991,833 | |||||||||
0.35%, 6/9/2022 (c) | 50,000,000 | 49,994,111 | |||||||||
0.27%, 6/16/2022 (c) | 125,000,000 | 124,969,856 | |||||||||
0.51%, 6/21/2022 (c) | 50,000,000 | 49,983,611 | |||||||||
0.56%, 6/23/2022 (c) | 175,000,000 | 174,939,175 | |||||||||
0.55%, 6/28/2022 (c) | 200,000,000 | 199,893,124 | |||||||||
0.62%, 6/30/2022 (c) | 375,000,000 | 374,794,583 | |||||||||
0.71%, 7/5/2022 (c) | 150,000,000 | 149,904,375 | |||||||||
0.07%, 7/14/2022 (c) | 100,000,000 | 99,901,140 | |||||||||
0.39%, 7/21/2022 (c) | 100,000,000 | 99,883,333 | |||||||||
0.10%, 8/11/2022 (c) | 100,000,000 | 99,796,861 | |||||||||
1.00%, 8/18/2022 (c) | 100,000,000 | 99,773,854 | |||||||||
0.13%, 9/8/2022 (c) | 400,000,000 | 398,764,564 |
Investments | Principal
Amount |
Value | |||||||||
U.S. Treasury Obligations (b) (continued) | |||||||||||
0.51%, 11/3/2022 (c) | $ | 60,000,000 | $ | 59,633,554 | |||||||
0.69%, 12/29/2022 (c) | 45,000,000 | 44,583,249 | |||||||||
Total U.S. Treasury Obligations (Cost $2,238,772,422) |
2,236,805,649 | ||||||||||
Total Short-Term Investments (Cost $2,442,312,381) |
2,440,345,608 | ||||||||||
Total Investments — 86.4% (Cost $2,442,312,381) |
2,440,345,608 | ||||||||||
Other assets less liabilities — 13.6% | 384,465,510 | ||||||||||
Net Assets — 100.0% | $ | 2,824,811,118 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $911,714,814.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 214,498,351 | |||||
Aggregate gross unrealized depreciation | (252,829,707 | ) | |||||
Net unrealized depreciation | $ | (38,331,356 | ) | ||||
Federal income tax cost | $ | 2,442,312,381 |
Futures Contracts Sold
UltraPro Short QQQ had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
NASDAQ 100 E-Mini Index | 38 | 6/17/2022 | USD | $ | 9,611,340 | $ | 1,706,580 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO SHORT QQQ SQQQ :: 131
Swap Agreementsa
UltraPro Short QQQ had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(1,357,432,845 | ) | 3/7/2023 | Bank of America NA |
(1.13 | )% | NASDAQ-100 Index® |
(76,386,571 | ) | 66,686,571 | 9,700,000 | — | ||||||||||||||||||||||||
(259,238,903 | ) | 11/6/2023 | Barclays Capital |
(1.03 | )% | NASDAQ-100 Index® |
(774,697 | ) | — | — | (774,697 | ) | |||||||||||||||||||||||
(552,358,633 | ) | 3/7/2023 | BNP Paribas SA |
(1.18 | )% | NASDAQ-100 Index® |
(53,641,518 | ) | 19,151,518 | 34,490,000 | — | ||||||||||||||||||||||||
(574,962,708 | ) | 11/6/2023 | Citibank NA |
(1.31 | )% | NASDAQ-100 Index® |
44,134,662 | — | (42,340,000 | ) | 1,794,662 | ||||||||||||||||||||||||
(1,527,911,564 | ) | 11/6/2023 | Goldman Sachs International |
(1.18 | )% | NASDAQ-100 Index® |
(38,247,230 | ) | 38,247,230 | — | — | ||||||||||||||||||||||||
(640,752,196 | ) | 5/8/2023 | J.P. Morgan Securities |
(0.98 | )% | NASDAQ-100 Index® |
114,039,579 | — | (112,035,000 | ) | 2,004,579 | ||||||||||||||||||||||||
(387,227,523 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.63 | )% | NASDAQ-100 Index® |
42,617,158 | — | (42,617,158 | ) | — | ||||||||||||||||||||||||
(1,290,303,295 | ) | 11/6/2023 | Societe Generale |
(1.38 | )% | NASDAQ-100 Index® |
11,995,060 | — | (11,995,060 | ) | — | ||||||||||||||||||||||||
(1,875,059,888 | ) | 11/6/2023 | UBS AG |
(0.98 | )% | NASDAQ-100 Index® |
(81,807,606 | ) | 81,807,606 | — | — | ||||||||||||||||||||||||
(8,465,247,555 | ) | (38,071,163 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
212,786,459 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(250,857,622 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
132 :: SQQQ ULTRAPRO SHORT QQQ :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 87.4% | |||||||||||
Repurchase Agreements (a) — 30.4% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $45,731,541 (Cost $45,730,619) |
$ | 45,730,619 | $ | 45,730,619 | |||||||
U.S. Treasury Obligations (b) — 57.0% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.34%, 6/2/2022 (c) | 25,000,000 | 24,999,642 | |||||||||
0.35%, 6/9/2022 (c) | 10,000,000 | 9,998,822 | |||||||||
0.08%, 6/16/2022 (c) | 25,847,000 | 25,840,767 | |||||||||
0.51%, 11/3/2022 (c) | 25,000,000 | 24,847,315 | |||||||||
Total U.S. Treasury Obligations (Cost $85,790,823) |
85,686,546 | ||||||||||
Total Short-Term Investments (Cost $131,521,442) |
131,417,165 | ||||||||||
Total Investments — 87.4% (Cost $131,521,442) |
131,417,165 | ||||||||||
Other assets less liabilities — 12.6% | 19,000,581 | ||||||||||
Net Assets — 100.0% | $ | 150,417,746 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $25,732,070.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 9,171,169 | |||||
Aggregate gross unrealized depreciation | (14,981,785 | ) | |||||
Net unrealized depreciation | $ | (5,810,616 | ) | ||||
Federal income tax cost | $ | 131,521,442 |
Futures Contracts Sold
UltraPro Short Russell2000 had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
Russell 2000 E-Mini Index | 36 | 6/17/2022 | USD | $ | 3,351,420 | $ | 453,293 |
Swap Agreementsa
UltraPro Short Russell2000 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value
and Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(164,702,846 | ) | 3/7/2023 | Bank of America NA |
(0.63 | )% | Russell 2000® Index |
(122,502 | ) | — | 122,502 | — | ||||||||||||||||||||||||
(5,508,238 | ) | 11/6/2023 | Barclays Capital |
(0.93 | )% | Russell 2000® Index |
(29,025 | ) | — | — | (29,025 | ) | |||||||||||||||||||||||
(80,323,348 | ) | 3/7/2023 | BNP Paribas SA |
(0.68 | )% | Russell 2000® Index |
7,986,366 | (7,036,012 | ) | — | 950,354 | ||||||||||||||||||||||||
(74,751,732 | ) | 11/6/2023 | Citibank NA |
(0.64 | )% | Russell 2000® Index |
731,510 | — | — | 731,510 | |||||||||||||||||||||||||
(39,691,004 | ) | 11/6/2023 | Goldman Sachs International |
(0.83 | )% | Russell 2000® Index |
(122,632 | ) | — | 122,632 | — | ||||||||||||||||||||||||
(47,738,064 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.53 | )% | Russell 2000® Index |
(10,792,219 | ) | 3,401,219 | 7,391,000 | — |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO SHORT RUSSELL2000 SRTY :: 133
Notional
Amount ($) |
Termination Dateb |
Counterparty | Rate
Paid (Received)c |
Reference Instrument |
Value
and Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(19,054,217 | ) | 11/7/2022 | Societe Generale |
(0.48 | )% | Russell 2000® Index |
(2,805,586 | ) | 705,586 | 2,100,000 | — | ||||||||||||||||||||||||
(16,144,551 | ) | 11/6/2023 | UBS AG |
(0.33 | )% | Russell 2000® Index |
(1,005,544 | ) | 966,544 | 39,000 | — | ||||||||||||||||||||||||
(447,914,000 | ) | (6,159,632 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
8,717,876 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(14,877,508 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
134 :: SRTY ULTRAPRO SHORT RUSSELL2000 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 77.9% | |||||||||||
Repurchase Agreements (a) — 11.4% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $82,176,467 (Cost $82,174,813) |
$ | 82,174,813 | $ | 82,174,813 | |||||||
U.S. Treasury Obligations (b) — 66.5% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.37%, 6/2/2022 (c) | 40,000,000 | 39,999,428 | |||||||||
0.37%, 6/7/2022 (c) | 10,000,000 | 9,999,183 | |||||||||
0.35%, 6/9/2022 (c) | 10,000,000 | 9,998,822 | |||||||||
0.35%, 6/16/2022 (c) | 75,000,000 | 74,981,914 | |||||||||
0.55%, 6/21/2022 (c) | 50,000,000 | 49,983,611 | |||||||||
0.55%, 6/23/2022 (c) | 25,000,000 | 24,991,311 | |||||||||
0.58%, 6/30/2022 (c) | 25,000,000 | 24,986,305 | |||||||||
0.07%, 7/14/2022 (c) | 30,000,000 | 29,970,342 | |||||||||
0.07%, 8/11/2022 (c) | 80,000,000 | 79,837,489 | |||||||||
0.65%, 8/18/2022 (c) | 25,000,000 | 24,943,463 | |||||||||
0.14%, 9/8/2022 (c) | 75,000,000 | 74,768,356 | |||||||||
0.51%, 11/3/2022 (c) | 35,000,000 | 34,786,240 | |||||||||
Total U.S. Treasury Obligations (Cost $479,797,956) |
479,246,464 | ||||||||||
Total Short-Term Investments (Cost $561,972,769) |
561,421,277 | ||||||||||
Total Investments — 77.9% (Cost $561,972,769) |
561,421,277 | ||||||||||
Other assets less liabilities — 22.1% | 159,293,560 | ||||||||||
Net Assets — 100.0% | $ | 720,714,837 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $213,384,281.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 144,139,502 | |||||
Aggregate gross unrealized depreciation | (52,390,572 | ) | |||||
Net unrealized appreciation | $ | 91,748,930 | |||||
Federal income tax cost | $ | 561,972,769 |
Futures Contracts Sold
UltraPro Short S&P500® had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
S&P 500 E-Mini Index | 21 | 6/17/2022 | USD | $ | 4,337,813 | $ | 394,324 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO SHORT S&P500® SPXU :: 135
Swap Agreementsa
UltraPro Short S&P500® had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(302,994,031 | ) | 5/8/2023 | Bank of America NA |
(1.08 | )% | S&P 500® |
32,642,778 | (32,057,324 | ) | — | 585,454 | ||||||||||||||||||||||||
(433,888,146 | ) | 11/7/2022 | BNP Paribas SA | (1.13 | )% | S&P 500® | (51,839,080 | ) | 46,499,080 | 5,340,000 | — | ||||||||||||||||||||||||
(219,264,276 | ) | 4/10/2023 | Citibank NA | (1.31 | )% | S&P 500® | 31,099,796 | — | (29,733,366 | ) | 1,366,430 | ||||||||||||||||||||||||
(130,294,954 | ) | 3/7/2023 | Goldman Sachs International |
(1.18 | )% | S&P 500® |
8,801,422 | (8,202,021 | ) | (16,688 | ) | 582,713 | |||||||||||||||||||||||
(364,868,845 | ) | 5/8/2023 | J.P. Morgan Securities |
(0.98 | )% | S&P 500® |
29,206,125 | — | (26,930,000 | ) | 2,276,125 | ||||||||||||||||||||||||
(111,216,817 | ) | 4/10/2023 | Morgan Stanley & Co. International plc |
(0.63 | )% | S&P 500® |
14,484,651 | — | (14,298,000 | ) | 186,651 | ||||||||||||||||||||||||
(314,068,193 | ) | 3/7/2023 | Societe Generale |
(1.03 | )% | S&P 500® |
859,149 | (831,159 | ) | (3,030 | ) | 24,960 | |||||||||||||||||||||||
(281,281,599 | ) | 3/7/2023 | UBS AG | (0.98 | )% | S&P 500® | 26,651,257 | — | (24,890,000 | ) | 1,761,257 | ||||||||||||||||||||||||
(2,157,876,861 | ) | 91,906,098 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
143,745,178 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(51,839,080 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
136 :: SPXU ULTRAPRO SHORT S&P500® :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 104.3% | |||||||||||
Repurchase Agreements (a) — 63.8% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $78,267,944 (Cost $78,266,369) |
$ | 78,266,369 | $ | 78,266,369 | |||||||
U.S. Treasury Obligations (b) — 40.5% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.55%, 6/21/2022 (c) | 25,000,000 | 24,991,806 | |||||||||
0.69%, 12/29/2022 (c) | 25,000,000 | 24,768,471 | |||||||||
Total U.S. Treasury Obligations (Cost $49,891,808) |
49,760,277 | ||||||||||
Total Short-Term Investments (Cost $128,158,177) |
128,026,646 | ||||||||||
Total Investments — 104.3% (Cost $128,158,177) |
128,026,646 | ||||||||||
Liabilities in excess of other assets — (4.3%) | (5,266,665 | ) | |||||||||
Net Assets — 100.0% | $ | 122,759,981 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $3,732,701.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 12,225 | |||||
Aggregate gross unrealized depreciation | (2,910,558 | ) | |||||
Net unrealized depreciation | $ | (2,898,333 | ) | ||||
Federal income tax cost | $ | 128,158,177 |
Futures Contracts Sold
UltraShort 7-10 Year Treasury had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
U.S. Treasury 10 Year Note | 14 | 9/21/2022 | USD | $ | 1,671,469 | $ | 12,225 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT 7-10 YEAR TREASURY PST :: 137
Swap Agreementsa
UltraShort 7-10 Year Treasury had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(134,856,699 | ) | 2/17/2023 | Citibank NA | (0.36 | )% | ICE U.S. Treasury 7-10 Year Bond Index |
(2,282,417 | ) | — | 2,282,417 | — | ||||||||||||||||||||||||
(108,676,416 | ) | 1/16/2024 | Societe Generale | (0.55 | )% | ICE U.S. Treasury 7-10 Year Bond Index |
(496,610 | ) | 496,610 | — | — | ||||||||||||||||||||||||
(243,533,115 | ) | (2,779,027 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(2,779,027 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
138 :: PST ULTRASHORT 7-10 YEAR TREASURY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 97.5% | |||||||||||
Repurchase Agreements (a) — 8.0% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $111,697,824 (Cost $111,695,574) |
$ | 111,695,574 | $ | 111,695,574 | |||||||
U.S. Treasury Obligations (b) — 89.5% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.29%, 6/2/2022 (c) | 270,000,000 | 269,996,135 | |||||||||
0.37%, 6/7/2022 (c) | 10,000,000 | 9,999,183 | |||||||||
0.35%, 6/9/2022 (c) | 10,000,000 | 9,998,822 | |||||||||
0.24%, 6/16/2022 (c) | 200,000,000 | 199,951,770 | |||||||||
0.55%, 6/21/2022 (c) | 50,000,000 | 49,983,611 | |||||||||
0.57%, 6/23/2022 (c) | 75,000,000 | 74,973,932 | |||||||||
0.55%, 6/28/2022 (c) | 50,000,000 | 49,973,281 | |||||||||
0.62%, 6/30/2022 (c) | 80,000,000 | 79,956,178 | |||||||||
0.07%, 7/14/2022 (c) | 75,000,000 | 74,925,855 | |||||||||
0.11%, 8/11/2022 (c) | 100,000,000 | 99,796,861 | |||||||||
0.65%, 8/18/2022 (c) | 100,000,000 | 99,773,854 | |||||||||
0.10%, 9/8/2022 (c) | 165,000,000 | 164,490,383 | |||||||||
0.51%, 11/3/2022 (c) | 35,000,000 | 34,786,240 | |||||||||
0.69%, 12/29/2022 (c) | 25,000,000 | 24,768,472 | |||||||||
Total U.S. Treasury Obligations (Cost $1,244,484,243) |
1,243,374,577 | ||||||||||
Total Short-Term Investments (Cost $1,356,179,817) |
1,355,070,151 | ||||||||||
Total Investments — 97.5% (Cost $1,356,179,817) |
1,355,070,151 | ||||||||||
Other assets less liabilities — 2.5% | 35,143,488 | ||||||||||
Net Assets — 100.0% | $ | 1,390,213,639 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $56,593,301.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 45,985,347 | |||||
Aggregate gross unrealized depreciation | (12,498,400 | ) | |||||
Net unrealized appreciation | $ | 33,486,947 | |||||
Federal income tax cost | $ | 1,356,179,817 |
Futures Contracts Sold
UltraShort 20+ Year Treasury had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
U.S. Treasury Long Bond | 160 | 9/21/2022 | USD | $ | 22,295,000 | $ | 243,440 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT 20+ YEAR TREASURY TBT :: 139
Swap Agreementsa
UltraShort 20+ Year Treasury had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(823,823,891 | ) | 1/16/2023 | Bank of America NA |
(0.53 | )% | ICE U.S. Treasury 20+ Year Bond Index |
18,709,320 | (4,725,366 | ) | — | 13,983,954 | ||||||||||||||||||||||||
(529,987,687 | ) | 2/17/2023 | Citibank NA |
(0.38 | )% | ICE U.S. Treasury 20+ Year Bond Index |
(11,388,734 | ) | 11,388,734 | — | — | ||||||||||||||||||||||||
(791,583,178 | ) | 1/16/2023 | Goldman Sachs International |
(0.41 | )% | ICE U.S. Treasury 20+ Year Bond Index |
9,624,270 | — | — | 9,624,270 | |||||||||||||||||||||||||
(634,853,471 | ) | 1/16/2024 | Societe Generale |
(0.55 | )% | ICE U.S. Treasury 20+ Year Bond Index |
17,408,317 | (5,937,871 | ) | (23,460 | ) | 11,446,986 | |||||||||||||||||||||||
(2,780,248,227 | ) | 34,353,173 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
45,741,907 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(11,388,734 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
140 :: TBT ULTRASHORT 20+ YEAR TREASURY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 92.5% | |||||||||||
Repurchase Agreements (a) — 92.5% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $2,251,982 (Cost $2,251,937) |
$ | 2,251,937 | $ | 2,251,937 | |||||||
Total Investments — 92.5% (Cost $2,251,937) |
2,251,937 | ||||||||||
Other assets less liabilities — 7.5% | 182,031 | ||||||||||
Net Assets — 100.0% | $ | 2,433,968 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | — | |||||
Aggregate gross unrealized depreciation | (625,828 | ) | |||||
Net unrealized depreciation | $ | (625,828 | ) | ||||
Federal income tax cost | $ | 2,251,937 |
Swap Agreementsa
UltraShort Basic Materials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(1,925,712 | ) | 5/8/2023 | Bank of America NA |
(0.43 | )% | Dow Jones U.S. Basic MaterialsSM Index |
(161,207 | ) | — | 161,207 | — | ||||||||||||||||||||||||
(654,298 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.48 | )% | Dow Jones U.S. Basic MaterialsSM Index |
(131,988 | ) | — | 128,000 | (3,988 | ) | |||||||||||||||||||||||
(1,618,974 | ) | 3/7/2023 | Societe Generale | (0.73 | )% | Dow Jones U.S. Basic MaterialsSM Index |
(126,143 | ) | — | 50,000 | (76,143 | ) | |||||||||||||||||||||||
(668,509 | ) | 3/7/2023 | UBS AG | (0.58 | )% | Dow Jones U.S. Basic MaterialsSM Index |
(206,490 | ) | — | 206,490 | — | ||||||||||||||||||||||||
(4,867,493 | ) | (625,828 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(625,828 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT BASIC MATERIALS SMN :: 141
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 86.8% | |||||||||||
Repurchase Agreements (a) — 86.8% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $2,007,974 (Cost $2,007,935) |
$ | 2,007,935 | $ | 2,007,935 | |||||||
Total Investments — 86.8% (Cost $2,007,935) |
2,007,935 | ||||||||||
Other assets less liabilities — 13.2% | 304,369 | ||||||||||
Net Assets — 100.0% | $ | 2,312,304 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 84,142 | |||||
Aggregate gross unrealized depreciation | (39,592 | ) | |||||
Net unrealized appreciation | $ | 44,550 | |||||
Federal income tax cost | $ | 2,007,935 |
Swap Agreementsa
UltraShort Consumer Goods had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(1,005,581 | ) | 5/8/2023 | Bank of America NA |
(0.68 | )% | Dow Jones U.S. Consumer GoodsSM Index |
19,967 | — | — | 19,967 | |||||||||||||||||||||||||
(302,121 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.48 | )% | Dow Jones U.S. Consumer GoodsSM Index |
(39,592 | ) | — | 39,592 | — | ||||||||||||||||||||||||
(933,180 | ) | 3/7/2023 | Societe Generale | (0.73 | )% | Dow Jones U.S. Consumer GoodsSM Index |
25,195 | — | — | 25,195 | |||||||||||||||||||||||||
(2,383,004 | ) | 3/7/2023 | UBS AG | (0.58 | )% | Dow Jones U.S. Consumer GoodsSM Index |
38,980 | — | — | 38,980 | |||||||||||||||||||||||||
(4,623,886 | ) | 44,550 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
84,142 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(39,592 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
142 :: SZK ULTRASHORT CONSUMER GOODS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 64.0% | |||||||||||
Repurchase Agreements (a) — 64.0% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $2,073,430 (Cost $2,073,388) |
$ | 2,073,388 | $ | 2,073,388 | |||||||
Total Investments — 64.0% (Cost $2,073,388) |
2,073,388 | ||||||||||
Other assets less liabilities — 36.0% | 1,164,354 | ||||||||||
Net Assets — 100.0% | $ | 3,237,742 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,039,622 | |||||
Aggregate gross unrealized depreciation | (11,237 | ) | |||||
Net unrealized appreciation | $ | 1,028,385 | |||||
Federal income tax cost | $ | 2,073,388 |
Swap Agreementsa
UltraShort Consumer Services had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(826,944 | ) | 5/8/2023 | Bank of America NA |
(0.73 | )% | Dow Jones U.S. Consumer ServicesSM Index |
245,557 | (245,557 | ) | — | — | ||||||||||||||||||||||||
(1,256,054 | ) | 5/8/2023 | BNP Paribas SA | (0.88 | )% | Dow Jones U.S. Consumer ServicesSM Index |
315,675 | (315,675 | ) | — | — | ||||||||||||||||||||||||
(497,918 | ) | 3/7/2023 | Goldman Sachs International |
(0.93 | )% | Dow Jones U.S. Consumer ServicesSM Index |
126,010 | — | — | 126,010 | |||||||||||||||||||||||||
(123,854 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.48 | )% | Dow Jones U.S. Consumer ServicesSM Index |
(11,237 | ) | — | — | (11,237 | ) | |||||||||||||||||||||||
(2,450,807 | ) | 3/7/2023 | Societe Generale | (0.73 | )% | Dow Jones U.S. Consumer ServicesSM Index |
12,104 | — | — | 12,104 | |||||||||||||||||||||||||
(1,316,105 | ) | 3/7/2023 | UBS AG | (0.58 | )% | Dow Jones U.S. Consumer ServicesSM Index |
340,276 | — | (260,000 | ) | 80,276 | ||||||||||||||||||||||||
(6,471,682 | ) | 1,028,385 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
1,039,622 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(11,237 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT CONSUMER SERVICES SCC :: 143
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
144 :: SCC ULTRASHORT CONSUMER SERVICES :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 79.0% | |||||||||||
Repurchase Agreements (a) — 33.1% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $36,121,112 (Cost $36,120,384) |
$ | 36,120,384 | $ | 36,120,384 | |||||||
U.S. Treasury Obligations (b) — 45.9% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.34%, 6/2/2022 (c) | 25,000,000 | 24,999,642 | |||||||||
1.00%, 8/18/2022 (c) | 25,000,000 | 24,943,463 | |||||||||
Total U.S. Treasury Obligations (Cost $49,945,734) |
49,943,105 | ||||||||||
Total Short-Term Investments (Cost $86,066,118) |
86,063,489 | ||||||||||
Total Investments — 79.0% (Cost $86,066,118) |
86,063,489 | ||||||||||
Other assets less liabilities — 21.0% | 22,934,195 | ||||||||||
Net Assets — 100.0% | $ | 108,997,684 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $2,028,974.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 9,854,757 | |||||
Aggregate gross unrealized depreciation | (8,285,934 | ) | |||||
Net unrealized appreciation | $ | 1,568,823 | |||||
Federal income tax cost | $ | 86,066,118 |
Futures Contracts Sold
UltraShort Dow30SM had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
DJIA CBOT E-Mini Index | 42 | 6/17/2022 | USD | $ | 6,923,910 | $ | 358,149 |
Swap Agreementsa
UltraShort Dow30SM had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(44,272,741 | ) | 11/7/2022 | Bank of America NA |
(1.03 | )% | Dow Jones Industrial AverageSM |
(8,265,770 | ) | — | 8,265,770 | — | ||||||||||||||||||||||||
(3,496,953 | ) | 11/6/2023 | Barclays Capital |
(1.03 | )% | Dow Jones Industrial AverageSM |
(17,535 | ) | — | — | (17,535 | ) | |||||||||||||||||||||||
(63,703,922 | ) | 5/8/2023 | BNP Paribas SA |
(1.13 | )% | Dow Jones Industrial AverageSM |
1,033,842 | (674,833 | ) | — | 359,009 | ||||||||||||||||||||||||
(19,134,269 | ) | 4/10/2023 | Citibank NA |
(1.31 | )% | Dow Jones Industrial AverageSM |
1,536,117 | — | (1,420,000 | ) | 116,117 | ||||||||||||||||||||||||
(30,758,767 | ) | 3/7/2023 | Goldman Sachs International |
(1.18 | )% | Dow Jones Industrial AverageSM |
2,929,937 | (2,808,797 | ) | (3,475 | ) | 117,665 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT DOW30SM DXD :: 145
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid
(Received)c |
Reference Instrument |
Value
and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(10,226,937 | ) | 3/7/2023 | Societe Generale |
(0.93 | )% | Dow Jones Industrial AverageSM |
1,863,652 | (1,855,873 | ) | (1,200 | ) | 6,579 | |||||||||||||||||||||||
(39,469,116 | ) | 3/7/2023 | UBS AG |
(1.03 | )% | Dow Jones Industrial AverageSM |
2,133,060 | — | (1,890,000 | ) | 243,060 | ||||||||||||||||||||||||
(211,062,705 | ) | 1,213,303 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
9,496,608 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(8,283,305 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
146 :: DXD ULTRASHORT DOW30SM :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 68.2% | |||||||||||
Repurchase Agreements (a) — 68.2% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $10,915,013 (Cost $10,914,793) |
$ | 10,914,793 | $ | 10,914,793 | |||||||
Total Investments — 68.2% (Cost $10,914,793) |
10,914,793 | ||||||||||
Other assets less liabilities — 31.8% | 5,090,509 | ||||||||||
Net Assets — 100.0% | $ | 16,005,302 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,379,102 | |||||
Aggregate gross unrealized depreciation | (1,708,964 | ) | |||||
Net unrealized depreciation | $ | (329,862 | ) | ||||
Federal income tax cost | $ | 10,914,793 |
Swap Agreementsa
UltraShort Financials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(8,314,527 | ) | 5/8/2023 | Bank of America NA |
(0.73 | )% | Dow Jones U.S. FinancialsSM Indexf |
372,466 | (372,466 | ) | — | — | ||||||||||||||||||||||||
(3,845,122 | ) | 5/8/2023 | BNP Paribas SA |
(1.03 | )% | Dow Jones U.S. FinancialsSM Indexf |
315,636 | (315,636 | ) | — | — | ||||||||||||||||||||||||
(3,793,484 | ) | 4/10/2023 | Citibank NA |
(0.98 | )% | Dow Jones U.S. FinancialsSM Indexf |
264,983 | — | (264,983 | ) | — | ||||||||||||||||||||||||
(1,260,898 | ) | 3/7/2023 | Goldman Sachs International |
(0.93 | )% | Dow Jones U.S. FinancialsSM Indexf |
389,294 | (278,584 | ) | (1,912 | ) | 108,798 | |||||||||||||||||||||||
(2,942,609 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.48 | )% | Dow Jones U.S. FinancialsSM Indexf |
(1,484,313 | ) | — | 1,478,001 | (6,312 | ) | |||||||||||||||||||||||
(2,759,177 | ) | 3/7/2023 | Societe Generale |
(0.93 | )% | Dow Jones U.S. FinancialsSM Indexf |
36,723 | — | — | 36,723 | |||||||||||||||||||||||||
(9,089,872 | ) | 3/7/2023 | UBS AG |
(0.93 | )% | Dow Jones U.S. FinancialsSM Indexf |
(224,651 | ) | — | 224,651 | — | ||||||||||||||||||||||||
(32,005,689 | ) | (329,862 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
1,379,102 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(1,708,964 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the Summary Schedule of Portfolio Investments of ProShares Ultra Financials for the components of the underlying reference instrument and their relative weightings.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT FINANCIALS SKF :: 147
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 78.7% | |||||||||||
Repurchase Agreements (a) — 78.7% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $19,218,927 (Cost $19,218,541) |
$ | 19,218,541 | $ | 19,218,541 | |||||||
Total Investments — 78.7% (Cost $19,218,541) |
19,218,541 | ||||||||||
Other assets less liabilities — 21.3% | 5,210,358 | ||||||||||
Net Assets — 100.0% | $ | 24,428,899 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 535,169 | |||||
Aggregate gross unrealized depreciation | (7,839,280 | ) | |||||
Net unrealized depreciation | $ | (7,304,111 | ) | ||||
Federal income tax cost | $ | 19,218,541 |
Swap Agreementsa,f
UltraShort FTSE China 50 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(4,928,164 | ) | 3/7/2023 |
Bank of America NA |
0.67 | % | iShares® China Large-Cap ETF |
(1,228,499 | ) | — | 1,228,499 | — | ||||||||||||||||||||||||
(29,831 | ) | 4/10/2023 |
Citibank NA |
1.92 | % | iShares® China Large-Cap ETF |
223,892 | — | (223,892 | ) | — | ||||||||||||||||||||||||
(9,854,972 | ) | 4/10/2023 |
Goldman Sachs International |
(0.33 | )% | iShares® China Large-Cap ETF |
(688,742 | ) | — | 688,742 | — | ||||||||||||||||||||||||
(1,398,652 | ) | 4/10/2023 |
Morgan Stanley & Co. International plc |
(0.28 | )% | iShares® China Large-Cap ETF |
311,277 | — | (311,277 | ) | — | ||||||||||||||||||||||||
(2,735,609 | ) | 4/10/2023 |
Societe Generale |
0.82 | % | iShares® China Large-Cap ETF |
(1,139,590 | ) | — | 1,139,590 | — | ||||||||||||||||||||||||
(30,009,664 | ) | 4/10/2023 |
UBS AG |
0.92 | % | iShares® China Large-Cap ETF |
(4,782,449 | ) | — | 4,782,449 | — | ||||||||||||||||||||||||
(48,956,892 | ) | (7,304,111 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
535,169 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(7,839,280 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
148 :: FXP ULTRASHORT FTSE CHINA 50 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 70.0% | |||||||||||
Repurchase Agreements (a) — 70.0% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $39,136,929 (Cost $39,136,139) |
$ | 39,136,139 | $ | 39,136,139 | |||||||
Total Investments — 70.0% (Cost $39,136,139) |
39,136,139 | ||||||||||
Other assets less liabilities — 30.0% | 16,744,416 | ||||||||||
Net Assets — 100.0% | $ | 55,880,555 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,553,737 | |||||
Aggregate gross unrealized depreciation | (3,346,132 | ) | |||||
Net unrealized depreciation | $ | (1,792,395 | ) | ||||
Federal income tax cost | $ | 39,136,139 |
Swap Agreementsa,f
UltraShort FTSE Europe had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(36,901,316 | ) | 4/10/2023 | Citibank NA |
(0.03 | )% | Vanguard® FTSE Europe ETF Shares |
1,501,607 | — | (1,400,000 | ) | 101,607 | ||||||||||||||||||||||||
(27,517,379 | ) | 3/7/2023 | Goldman Sachs International |
(0.08 | )% | Vanguard® FTSE Europe ETF Shares |
(1,957,145 | ) | — | 1,957,145 | — | ||||||||||||||||||||||||
(338,522 | ) | 4/10/2023 | Morgan Stanley & Co. International plc |
(0.28 | )% | Vanguard® FTSE Europe ETF Shares |
52,130 | — | — | 52,130 | |||||||||||||||||||||||||
(4,045,699 | ) | 3/7/2023 | Societe Generale |
0.12 | % | Vanguard® FTSE Europe ETF Shares |
(282,622 | ) | — | 282,622 | — | ||||||||||||||||||||||||
(42,620,874 | ) | 11/9/2022 | UBS AG |
(0.33 | )% | Vanguard® FTSE Europe ETF Shares |
(1,106,365 | ) | — | 1,106,365 | — | ||||||||||||||||||||||||
(111,423,790 | ) | (1,792,395 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
1,553,737 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(3,346,132 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT FTSE EUROPE EPV :: 149
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 85.6% | |||||||||||
Repurchase Agreements (a) — 85.6% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $2,904,829 (Cost $2,904,771) |
$ | 2,904,771 | $ | 2,904,771 | |||||||
Total Investments — 85.6% (Cost $2,904,771) |
2,904,771 | ||||||||||
Other assets less liabilities — 14.4% | 489,520 | ||||||||||
Net Assets — 100.0% | $ | 3,394,291 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 2,012 | |||||
Aggregate gross unrealized depreciation | (328,197 | ) | |||||
Net unrealized depreciation | $ | (326,185 | ) | ||||
Federal income tax cost | $ | 2,904,771 |
Swap Agreementsa
UltraShort Health Care had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(667,895 | ) | 5/8/2023 | Bank of America NA |
(0.88 | )% | Dow Jones U.S. Health CareSM Indexf |
2,012 | — | — | 2,012 | |||||||||||||||||||||||||
(63,141 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.48 | )% | Dow Jones U.S. Health CareSM Indexf |
(6,709 | ) | — | — | (6,709 | ) | |||||||||||||||||||||||
(1,393,318 | ) | 3/7/2023 | Societe Generale |
(0.83 | )% | Dow Jones U.S. Health CareSM Indexf |
(104,128 | ) | — | 10,000 | (94,128 | ) | |||||||||||||||||||||||
(4,668,247 | ) | 3/7/2023 | UBS AG |
(0.58 | )% | Dow Jones U.S. Health CareSM Indexf |
(217,360 | ) | — | 217,360 | — | ||||||||||||||||||||||||
(6,792,601 | ) | (326,185 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
2,012 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(328,197 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the Schedule of Portfolio Investments of ProShares Ultra Health Care for the components of the underlying reference instrument and their relative weightings.
150 :: RXD ULTRASHORT HEALTH CARE :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 71.2% | |||||||||||
Repurchase Agreements (a) — 71.2% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $2,010,636 (Cost $2,010,597) |
$ | 2,010,597 | $ | 2,010,597 | |||||||
Total Investments — 71.2% (Cost $2,010,597) |
2,010,597 | ||||||||||
Other assets less liabilities — 28.8% | 813,291 | ||||||||||
Net Assets — 100.0% | $ | 2,823,888 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 494,761 | |||||
Aggregate gross unrealized depreciation | — | ||||||
Net unrealized appreciation | $ | 494,761 | |||||
Federal income tax cost | $ | 2,010,597 |
Swap Agreementsa
UltraShort Industrials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Appreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(741,246 | ) | 11/7/2022 | Bank of America NA |
(0.73 | )% | Dow Jones U.S.
IndustrialsSM Index |
99,740 | — | — | 99,740 | |||||||||||||||||||||||||
(118,596 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.48 | )% | Dow Jones
U.S. IndustrialsSM Index |
2,227 | — | — | 2,227 | |||||||||||||||||||||||||
(1,275,612 | ) | 3/7/2023 | Societe Generale |
(0.73 | )% | Dow Jones U.S. IndustrialsSM Index |
178,247 | — | (20,000 | ) | 158,247 | ||||||||||||||||||||||||
(3,512,135 | ) | 3/7/2023 | UBS AG |
(0.58 | )% | Dow Jones U.S. IndustrialsSM Index |
214,547 | — | (214,547 | ) | — | ||||||||||||||||||||||||
(5,647,589 | ) | 494,761 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
494,761 |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT INDUSTRIALS SIJ :: 151
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 79.6% | |||||||||||
Repurchase Agreements (a) — 79.6% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $2,308,205 (Cost $2,308,157) |
$ | 2,308,157 | $ | 2,308,157 | |||||||
Total Investments — 79.6% (Cost $2,308,157) |
2,308,157 | ||||||||||
Other assets less liabilities — 20.4% | 590,179 | ||||||||||
Net Assets — 100.0% | $ | 2,898,336 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 242,253 | |||||
Aggregate gross unrealized depreciation | (680,202 | ) | |||||
Net unrealized depreciation | $ | (437,949 | ) | ||||
Federal income tax cost | $ | 2,308,157 |
Futures Contracts Sold
UltraShort MidCap400 had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
S&P Midcap 400 E-Mini Index | 1 | 6/17/2022 | USD | $ | 251,320 | $ | 14,228 |
Swap Agreementsa
UltraShort MidCap400 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(427,516 | ) | 5/8/2023 | Bank of America NA |
(0.93 | )% | S&P MidCap 400® |
(189,887 | ) | — | 189,887 | — | ||||||||||||||||||||||||
(880,180 | ) | 5/8/2023 | BNP Paribas SA | (0.98 | )% | S&P MidCap 400® | 140,536 | — | — | 140,536 | |||||||||||||||||||||||||
(892,754 | ) | 4/10/2023 | Citibank NA | (1.03 | )% | S&P MidCap 400® | 87,489 | — | — | 87,489 | |||||||||||||||||||||||||
(817,310 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.63 | )% | S&P MidCap 400® |
(181,002 | ) | — | 132,999 | (48,003 | ) | |||||||||||||||||||||||
(2,524,859 | ) | 3/7/2023 | Societe Generale | (0.56 | )% | S&P MidCap 400® | (309,313 | ) | — | 309,313 | — | ||||||||||||||||||||||||
(5,542,619 | ) | (452,177 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
228,025 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(680,202 | ) |
152 :: MZZ ULTRASHORT MIDCAP400 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT MIDCAP400 MZZ :: 153
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 76.2% | |||||||||||
Repurchase Agreements (a) — 76.2% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $10,280,369 (Cost $10,280,163) |
$ | 10,280,163 | $ | 10,280,163 | |||||||
Total Investments — 76.2% (Cost $10,280,163) |
10,280,163 | ||||||||||
Other assets less liabilities — 23.8% | 3,214,432 | ||||||||||
Net Assets — 100.0% | $ | 13,494,595 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 54,816 | |||||
Aggregate gross unrealized depreciation | (7,892,372 | ) | |||||
Net unrealized depreciation | $ | (7,837,556 | ) | ||||
Federal income tax cost | $ | 10,280,163 |
Swap Agreementsa,f
UltraShort MSCI Brazil Capped had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value
and Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(1,840,819 | ) | 11/9/2022 | Bank of America NA |
0.67 | % | iShares® MSCI Brazil Capped ETF |
54,816 | (54,816 | ) | — | — | ||||||||||||||||||||||||
(3,787,730 | ) | 4/10/2023 | Citibank NA |
(0.63 | )% | iShares® MSCI Brazil Capped ETF |
(2,618,565 | ) | — | 2,618,565 | — | ||||||||||||||||||||||||
(4,028,916 | ) | 3/7/2023 | Goldman Sachs International |
1.17 | % | iShares® MSCI Brazil Capped ETF |
(154,439 | ) | — | 154,439 | — | ||||||||||||||||||||||||
(1,790,064 | ) | 4/10/2023 |
Morgan Stanley & Co. International plc |
(0.28 | )% | iShares® MSCI Brazil Capped ETF |
(358,081 | ) | — | 358,081 | — | ||||||||||||||||||||||||
(2,323,318 | ) | 3/7/2023 | Societe Generale |
0.22 | % | iShares® MSCI Brazil Capped ETF |
(1,059,075 | ) | — | 1,059,075 | — | ||||||||||||||||||||||||
(13,092,196 | ) | 3/7/2023 | UBS AG |
(0.08 | )% | iShares® MSCI Brazil Capped ETF |
(3,702,212 | ) | — | 3,702,212 | — | ||||||||||||||||||||||||
(26,863,043 | ) | (7,837,556 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
54,816 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(7,892,372 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
154 :: BZQ ULTRASHORT MSCI BRAZIL CAPPED :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 87.3% | |||||||||||
Repurchase Agreements (a) — 87.3% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $1,418,730 (Cost $1,418,701) |
$ | 1,418,701 | $ | 1,418,701 | |||||||
Total Investments — 87.3% (Cost $1,418,701) |
1,418,701 | ||||||||||
Other assets less liabilities — 12.7% | 205,697 | ||||||||||
Net Assets — 100.0% | $ | 1,624,398 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 101,182 | |||||
Aggregate gross unrealized depreciation | (109,830 | ) | |||||
Net unrealized depreciation | $ | (8,648 | ) | ||||
Federal income tax cost | $ | 1,418,701 |
Swap Agreementsa,f
UltraShort MSCI EAFE had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value
and Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(843,537 | ) | 4/10/2023 | Citibank NA |
(0.43 | )% | iShares® MSCI EAFE ETF |
100,398 | — | — | 100,398 | |||||||||||||||||||||||||
(464,273 | ) | 4/10/2023 | Goldman Sachs International |
(0.88 | )% | iShares® MSCI EAFE ETF |
(26,739 | ) | — | — | (26,739 | ) | |||||||||||||||||||||||
(844,845 | ) | 3/7/2023 | Societe Generale |
(0.03 | )% | iShares® MSCI EAFE ETF |
784 | — | — | 784 | |||||||||||||||||||||||||
(1,090,714 | ) | 11/9/2022 | UBS AG |
(0.43 | )% | iShares® MSCI EAFE ETF |
(83,091 | ) | — | 83,091 | — | ||||||||||||||||||||||||
(3,243,369 | ) | (8,648 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
101,182 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(109,830 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT MSCI EAFE EFU :: 155
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 78.5% | |||||||||||
Repurchase Agreements (a) — 78.5% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $8,738,783 (Cost $8,738,608) |
$ | 8,738,608 | $ | 8,738,608 | |||||||
Total Investments — 78.5% (Cost $8,738,608) |
8,738,608 | ||||||||||
Other assets less liabilities — 21.5% | 2,389,597 | ||||||||||
Net Assets — 100.0% | $ | 11,128,205 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 877,283 | |||||
Aggregate gross unrealized depreciation | (1,531,738 | ) | |||||
Net unrealized depreciation | $ | (654,455 | ) | ||||
Federal income tax cost | $ | 8,738,608 |
Swap Agreementsa,f
UltraShort MSCI Emerging Markets had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value
and Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(179,452 | ) | 4/10/2023 | Citibank NA |
(0.28 | )% | iShares® MSCI Emerging Markets ETF |
877,283 | — | (877,283 | ) | — | ||||||||||||||||||||||||
(2,095,366 | ) | 4/10/2023 | Goldman Sachs International |
(0.33 | )% | iShares® MSCI Emerging Markets ETF |
(209,780 | ) | — | 209,780 | — | ||||||||||||||||||||||||
(2,798,396 | ) | 3/7/2023 | Societe Generale |
0.87 | % | iShares® MSCI Emerging Markets ETF |
(150,875 | ) | — | 40,000 | (110,875 | ) | |||||||||||||||||||||||
(17,073,274 | ) | 3/7/2023 | UBS AG |
0.27 | % | iShares® MSCI Emerging Markets ETF |
(1,171,083 | ) | — | 1,171,083 | — | ||||||||||||||||||||||||
(22,146,488 | ) | (654,455 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
877,283 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(1,531,738 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
156 :: EEV ULTRASHORT MSCI EMERGING MARKETS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 78.1% | |||||||||||
Repurchase Agreements (a) — 78.1% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $4,930,062 (Cost $4,929,962) |
$ | 4,929,962 | $ | 4,929,962 | |||||||
Total Investments — 78.1% (Cost $4,929,962) |
4,929,962 | ||||||||||
Other assets less liabilities — 21.9% | 1,379,302 | ||||||||||
Net Assets — 100.0% | $ | 6,309,264 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 319,564 | |||||
Aggregate gross unrealized depreciation | (335,325 | ) | |||||
Net unrealized depreciation | $ | (15,761 | ) | ||||
Federal income tax cost | $ | 4,929,962 |
Swap Agreementsa,f
UltraShort MSCI Japan had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(1,887,161 | ) | 11/9/2022 | Bank of America NA |
(0.38 | )% | iShares® MSCI Japan ETF |
115,170 | — | — | 115,170 | |||||||||||||||||||||||||
(1,050,339 | ) | 4/10/2023 |
Morgan Stanley & Co. International plc |
(0.28 | )% | iShares® MSCI Japan ETF |
204,394 | — | (143,000 | ) | 61,394 | ||||||||||||||||||||||||
(5,771,051 | ) | 4/10/2023 | Societe Generale |
0.32 | % | iShares® MSCI Japan ETF |
(142,256 | ) | — | 142,256 | — | ||||||||||||||||||||||||
(3,858,995 | ) | 4/10/2023 | UBS AG |
(0.18 | )% | iShares® MSCI Japan ETF |
(193,069 | ) | — | 193,069 | — | ||||||||||||||||||||||||
(12,567,546 | ) | (15,761 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
319,564 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(335,325 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT MSCI JAPAN EWV :: 157
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 43.1% | |||||||||||
Repurchase Agreements (a) — 43.1% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $3,628,912 (Cost $3,628,839) |
$ | 3,628,839 | $ | 3,628,839 | |||||||
Total Investments — 43.1% (Cost $3,628,839) |
3,628,839 | ||||||||||
Other assets less liabilities — 56.9% | 4,794,980 | ||||||||||
Net Assets — 100.0% | $ | 8,423,819 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 3,591,186 | |||||
Aggregate gross unrealized depreciation | (395,047 | ) | |||||
Net unrealized appreciation | $ | 3,196,139 | |||||
Federal income tax cost | $ | 3,628,839 |
Swap Agreementsa
UltraShort Nasdaq Biotechnology had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(4,768,673 | ) | 5/8/2023 |
Bank of America NA |
(0.58 | )% | NASDAQ Biotechnology Index® |
(313,331 | ) | — | 313,331 | — | ||||||||||||||||||||||||
(809,004 | ) | 11/6/2023 |
BNP Paribas SA |
(0.63 | )% | NASDAQ Biotechnology Index® |
(81,716 | ) | — | — | (81,716 | ) | |||||||||||||||||||||||
(3,915,137 | ) | 4/10/2023 |
Citibank NA |
0.17 | % | NASDAQ Biotechnology Index® |
1,004,758 | — | (1,004,758 | ) | — | ||||||||||||||||||||||||
(623,453 | ) | 11/7/2022 |
Morgan Stanley & Co. International plc |
(0.28 | )% | NASDAQ Biotechnology Index® |
59,169 | — | — | 59,169 | |||||||||||||||||||||||||
(3,310,239 | ) | 3/7/2023 |
Societe Generale |
(0.68 | )% | NASDAQ Biotechnology Index® |
1,090,346 | (1,087,609 | ) | (2,737 | ) | — | |||||||||||||||||||||||
(3,425,281 | ) | 11/6/2023 |
UBS AG |
0.17 | % | NASDAQ Biotechnology Index® |
1,436,913 | — | (1,430,000 | ) | 6,913 | ||||||||||||||||||||||||
(16,851,787 | ) | 3,196,139 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
3,591,186 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(395,047 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
158 :: BIS ULTRASHORT NASDAQ BIOTECHNOLOGY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT NASDAQ BIOTECHNOLOGY BIS :: 159
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 86.2% | |||||||||||
Repurchase Agreements (a) — 86.2% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $26,447,105 (Cost $26,446,572) |
$ | 26,446,572 | $ | 26,446,572 | |||||||
Total Investments — 86.2% (Cost $26,446,572) |
26,446,572 | ||||||||||
Other assets less liabilities — 13.8% | 4,229,915 | ||||||||||
Net Assets — 100.0% | $ | 30,676,487 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | — | |||||
Aggregate gross unrealized depreciation | (21,415,236 | ) | |||||
Net unrealized depreciation | $ | (21,415,236 | ) | ||||
Federal income tax cost | $ | 26,446,572 |
Swap Agreementsa
UltraShort Oil & Gas had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(8,120,327 | ) | 11/7/2022 | Bank of America NA |
(0.53 | )% | Dow Jones U.S. Oil & GasSM Index |
(6,463,944 | ) | — | 6,429,000 | (34,944 | ) | |||||||||||||||||||||||
(4,972,167 | ) | 11/6/2023 | BNP Paribas SA |
(0.93 | )% | Dow Jones U.S. Oil & GasSM Index |
(449,793 | ) | — | 449,793 | — | ||||||||||||||||||||||||
(12,081,376 | ) | 3/7/2023 | Goldman Sachs International |
(0.93 | )% | Dow Jones U.S. Oil & GasSM Index |
(3,421,895 | ) | — | 3,421,895 | — | ||||||||||||||||||||||||
(6,802,593 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.48 | )% | Dow Jones U.S. Oil & GasSM Index |
(3,236,145 | ) | — | 3,236,145 | — | ||||||||||||||||||||||||
(9,271,919 | ) | 3/7/2023 | Societe Generale |
(0.73 | )% | Dow Jones U.S. Oil & GasSM Index |
(2,842,392 | ) | — | 2,842,392 | — | ||||||||||||||||||||||||
(20,168,189 | ) | 3/7/2023 | UBS AG |
(0.68 | )% | Dow Jones U.S. Oil & GasSM Index |
(5,001,067 | ) | — | 5,001,067 | — | ||||||||||||||||||||||||
(61,416,571 | ) | (21,415,236 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(21,415,236 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
160 :: DUG ULTRASHORT OIL & GAS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 79.6% | |||||||||||
Repurchase Agreements (a) — 19.5% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $71,179,594 (Cost $71,178,161) |
$ | 71,178,161 | $ | 71,178,161 | |||||||
U.S. Treasury Obligations (b) — 60.1% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.37%, 6/7/2022 (c) | 5,000,000 | 4,999,592 | |||||||||
0.49%, 6/16/2022 (c) | 10,000,000 | 9,997,589 | |||||||||
0.55%, 6/21/2022 (c) | 10,000,000 | 9,996,722 | |||||||||
0.55%, 6/23/2022 (c) | 10,000,000 | 9,996,524 | |||||||||
0.55%, 6/28/2022 (c) | 50,000,000 | 49,973,281 | |||||||||
0.62%, 6/30/2022 (c) | 60,000,000 | 59,967,133 | |||||||||
0.15%, 9/8/2022 (c) | 75,000,000 | 74,768,356 | |||||||||
Total U.S. Treasury Obligations (Cost $219,909,957) |
219,699,197 | ||||||||||
Total Short-Term Investments (Cost $291,088,118) |
290,877,358 | ||||||||||
Total Investments — 79.6% (Cost $291,088,118) |
290,877,358 | ||||||||||
Other assets less liabilities — 20.4% | 74,452,609 | ||||||||||
Net Assets — 100.0% | $ | 365,329,967 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $55,691,604.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 70,838,066 | |||||
Aggregate gross unrealized depreciation | (20,107,607 | ) | |||||
Net unrealized appreciation | $ | 50,730,459 | |||||
Federal income tax cost | $ | 291,088,118 |
Futures Contracts Sold
UltraShort QQQ had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
NASDAQ 100 E-Mini Index | 31 | 6/17/2022 | USD | $ | 7,840,830 | $ | 1,392,210 |
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT QQQ QID :: 161
Swap Agreementsa
UltraShort QQQ had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(51,010,873 | ) | 3/7/2023 | Bank of America NA |
(1.13 | )% | NASDAQ-100 Index® |
(2,870,526 | ) | — | 2,870,526 | — | ||||||||||||||||||||||||
(10,796,353 | ) | 11/6/2023 | Barclays Capital |
(1.03 | )% | NASDAQ-100 Index® |
(744,884 | ) | — | 744,884 | — | ||||||||||||||||||||||||
(41,162,678 | ) | 3/7/2023 | BNP Paribas SA |
(1.18 | )% | NASDAQ-100 Index® |
(4,698,083 | ) | 4,288,083 | 410,000 | — | ||||||||||||||||||||||||
(64,929,826 | ) | 4/10/2023 | Citibank NA |
(1.31 | )% | NASDAQ-100 Index® |
21,393,070 | — | (21,200,000 | ) | 193,070 | ||||||||||||||||||||||||
(28,457,367 | ) | 3/7/2023 | Goldman Sachs International |
(1.18 | )% | NASDAQ-100 Index® |
21,124,909 | (21,116,103 | ) | (8,806 | ) | — | |||||||||||||||||||||||
(96,256,949 | ) | 5/8/2023 | J.P. Morgan Securities |
(0.98 | )% | NASDAQ-100 Index® |
11,570,378 | — | (11,270,000 | ) | 300,378 | ||||||||||||||||||||||||
(171,249,887 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.63 | )% | NASDAQ-100 Index® |
(11,583,354 | ) | 9,656,354 | 1,927,000 | — | ||||||||||||||||||||||||
(43,514,108 | ) | 3/7/2023 | Societe Generale |
(1.38 | )% | NASDAQ-100 Index® |
11,755,994 | (11,719,634 | ) | (36,360 | ) | — | |||||||||||||||||||||||
(215,443,369 | ) | 3/7/2023 | UBS AG |
(0.98 | )% | NASDAQ-100 Index® |
3,601,505 | — | (2,930,000 | ) | 671,505 | ||||||||||||||||||||||||
(722,821,410 | ) | 49,549,009 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
69,445,856 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(19,896,847 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
162 :: QID ULTRASHORT QQQ :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal
Amount |
Value | |||||||||
Short-Term Investments — 75.4% | |||||||||||
Repurchase Agreements (a) — 75.4% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $21,058,327 (Cost $21,057,903) |
$ | 21,057,903 | $ | 21,057,903 | |||||||
Total Investments — 75.4% (Cost $21,057,903) |
21,057,903 | ||||||||||
Other assets less liabilities — 24.6% | 6,861,738 | ||||||||||
Net Assets — 100.0% | $ | 27,919,641 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 3,585,116 | |||||
Aggregate gross unrealized depreciation | (436,024 | ) | |||||
Net unrealized appreciation | $ | 3,149,092 | |||||
Federal income tax cost | $ | 21,057,903 |
Swap Agreementsa
UltraShort Real Estate had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(17,902,251 | ) | 5/8/2023 | Bank of America NA |
(1.18 | )% | Dow Jones U.S. Real EstateSM Index |
713,745 | (713,745 | ) | — | — | ||||||||||||||||||||||||
(5,236,834 | ) | 5/8/2023 | BNP Paribas SA |
(1.03 | )% | Dow Jones U.S. Real EstateSM Index |
800,976 | (748,810 | ) | — | 52,166 | ||||||||||||||||||||||||
(7,991,174 | ) | 3/7/2023 | Goldman Sachs International |
(0.93 | )% | Dow Jones U.S. Real EstateSM Index |
118,466 | (118,466 | ) | — | — | ||||||||||||||||||||||||
(5,436,189 | ) | 4/10/2023 | Morgan Stanley & Co. International plc |
(0.48 | )% | Dow Jones U.S. Real EstateSM Index |
655,203 | — | (609,800 | ) | 45,403 | ||||||||||||||||||||||||
(4,982,723 | ) | 3/7/2023 | Societe Generale |
(0.88 | )% | Dow Jones U.S. Real EstateSM Index |
1,296,726 | (1,296,726 | ) | — | — | ||||||||||||||||||||||||
(14,224,399 | ) | 11/7/2022 | UBS AG |
(0.58 | )% | Dow Jones U.S. Real EstateSM Index |
(436,024 | ) | — | 436,024 | — | ||||||||||||||||||||||||
(55,773,570 | ) | 3,149,092 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
3,585,116 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(436,024 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT REAL ESTATE SRS :: 163
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 82.6% | |||||||||||
Repurchase Agreements (a) — 52.4% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $60,586,616 (Cost $60,585,395) |
$ | 60,585,395 | $ | 60,585,395 | |||||||
U.S. Treasury Obligations (b) — 30.2% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.34%, 6/2/2022 (c) | 10,000,000 | 9,999,857 | |||||||||
0.55%, 6/21/2022 (c) | 25,000,000 | 24,991,805 | |||||||||
Total U.S. Treasury Obligations (Cost $34,992,233) |
34,991,662 | ||||||||||
Total Short-Term Investments (Cost $95,577,628) |
95,577,057 | ||||||||||
Total Investments — 82.6% (Cost $95,577,628) |
95,577,057 | ||||||||||
Other assets less liabilities — 17.4% | 20,125,129 | ||||||||||
Net Assets — 100.0% | $ | 115,702,186 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $305,894.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 13,780,504 | |||||
Aggregate gross unrealized depreciation | (13,971,329 | ) | |||||
Net unrealized depreciation | $ | (190,825 | ) | ||||
Federal income tax cost | $ | 95,577,628 |
Futures Contracts Sold
UltraShort Russell2000 had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Depreciation |
|||||||||||||||||||
Russell 2000 E-Mini Index | 48 | 6/17/2022 | USD | $ | 4,468,560 | $ | (40,295 | ) |
164 :: TWM ULTRASHORT RUSSELL2000 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
UltraShort Russell2000 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(50,465,155 | ) | 11/7/2022 | Bank of America NA |
(0.63 | )% | Russell 2000® Index |
(4,791,522 | ) | — | 4,791,522 | — | ||||||||||||||||||||||||
(3,517,443 | ) | 11/6/2023 | Barclays Capital | (0.93 | )% | Russell 2000® Index |
(28,786 | ) | — | — | (28,786 | ) | |||||||||||||||||||||||
(1,288,052 | ) | 5/8/2023 | BNP Paribas SA | (0.68 | )% | Russell 2000® Index |
2,256,230 | (2,247,307 | ) | (8,923 | ) | — | |||||||||||||||||||||||
(29,114,441 | ) | 4/10/2023 | Citibank NA | (0.64 | )% | Russell 2000® Index |
3,675,886 | — | (3,310,000 | ) | 365,886 | ||||||||||||||||||||||||
(4,337,621 | ) | 3/7/2023 | Goldman Sachs International |
(0.83 | )% | Russell 2000® Index |
883,321 | (831,326 | ) | — | 51,995 | ||||||||||||||||||||||||
(79,762,272 | ) | 11/6/2023 | Morgan Stanley & Co. International plc |
(0.53 | )% | Russell 2000® Index |
(4,821,634 | ) | |||||||||||||||||||||||||||
(26,304,672 | ) | 11/6/2023 | Morgan Stanley & Co. International plc |
(0.53 | )% | iShares® Russell 2000 ETF |
(1,469,641 | ) | |||||||||||||||||||||||||||
(106,066,944 | ) | (6,291,275 | ) | — | 61,000 | (6,230,275 | ) | ||||||||||||||||||||||||||||
(14,375,476 | ) | 11/6/2023 | Societe Generale |
(0.48 | )% | Russell 2000® Index |
(2,818,880 | ) | 305,894 | 2,013,000 | (499,986 | ) | |||||||||||||||||||||||
(17,767,759 | ) | 3/7/2023 | UBS AG | (0.33 | )% | Russell 2000® Index |
6,965,067 | — | (6,740,000 | ) | 225,067 | ||||||||||||||||||||||||
(226,932,891 | ) | (149,959 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
13,780,504 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(13,930,463 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT RUSSELL2000 TWM :: 165
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 67.2% | |||||||||||
Repurchase Agreements (a) — 9.2% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $82,377,838 (Cost $82,376,178) |
$ | 82,376,178 | $ | 82,376,178 | |||||||
U.S. Treasury Obligations (b) — 58.0% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.36%, 6/2/2022 (c) | 175,000,000 | 174,997,496 | |||||||||
0.37%, 6/7/2022 (c) | 5,000,000 | 4,999,592 | |||||||||
0.44%, 6/9/2022 (c) | 70,000,000 | 69,991,755 | |||||||||
0.20%, 6/16/2022 (c) | 30,000,000 | 29,992,766 | |||||||||
0.52%, 6/21/2022 (c) | 35,000,000 | 34,988,528 | |||||||||
0.55%, 6/23/2022 (c) | 10,000,000 | 9,996,524 | |||||||||
0.58%, 6/30/2022 (c) | 10,000,000 | 9,994,522 | |||||||||
0.07%, 7/14/2022 (c) | 40,000,000 | 39,960,456 | |||||||||
0.39%, 7/21/2022 (c) | 25,000,000 | 24,970,833 | |||||||||
0.09%, 8/11/2022 (c) | 2,770,000 | 2,764,373 | |||||||||
1.00%, 8/18/2022 (c) | 25,000,000 | 24,943,464 | |||||||||
0.09%, 9/8/2022 (c) | 45,000,000 | 44,861,013 | |||||||||
0.51%, 11/3/2022 (c) | 25,000,000 | 24,847,314 | |||||||||
0.69%, 12/29/2022 (c) | 25,000,000 | 24,768,472 | |||||||||
Total U.S. Treasury Obligations (Cost $522,502,879) |
522,077,108 | ||||||||||
Total Short-Term Investments (Cost $604,879,057) |
604,453,286 | ||||||||||
Total Investments — 67.2% (Cost $604,879,057) |
604,453,286 | ||||||||||
Other assets less liabilities — 32.8% | 295,405,690 | ||||||||||
Net Assets — 100.0% | $ | 899,858,976 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $98,609,347.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 92,432,128 | |||||
Aggregate gross unrealized depreciation | (4,708,835 | ) | |||||
Net unrealized appreciation | $ | 87,723,293 | |||||
Federal income tax cost | $ | 604,879,057 |
Futures Contracts Sold
UltraShort S&P500® had the following open short futures contracts as of May 31, 2022:
Number of Contracts |
Expiration Date | Trading Currency |
Notional Amount | Value and Unrealized Appreciation |
|||||||||||||||||||
S&P 500 E-Mini Index | 27 | 6/17/2022 | USD | $ | 5,577,188 | $ | 451,409 |
166 :: SDS ULTRASHORT S&P500® MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
UltraShort S&P500® had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(237,028,388 | ) | 5/8/2023 | Bank of America NA |
(1.08 | )% | S&P 500® |
21,273,844 | (20,649,749 | ) | — | 624,095 | ||||||||||||||||||||||||
(372,848,027 | ) | 5/8/2023 | BNP Paribas SA | (1.13 | )% | S&P 500® | 15,005,826 | (12,950,668 | ) | — | 2,055,158 | ||||||||||||||||||||||||
(264,011,328 | ) | 4/10/2023 | Citibank NA | (1.31 | )% | S&P 500® | 22,389,178 | — | (20,740,000 | ) | 1,649,178 | ||||||||||||||||||||||||
(89,886,659 | ) | 3/7/2023 | Goldman Sachs International |
(1.18 | )% | S&P 500® |
7,383,946 | (6,997,019 | ) | (9,175 | ) | 377,752 | |||||||||||||||||||||||
(275,254,908 | ) | 11/7/2022 | J.P. Morgan Securities |
(0.98 | )% | S&P 500® |
9,613,486 | — | (7,900,000 | ) | 1,713,486 | ||||||||||||||||||||||||
(16,582,318 | ) | 4/10/2023 | Morgan Stanley & Co. International plc |
(0.63 | )% | S&P 500® |
2,159,647 | — | (2,130,000 | ) | 29,647 | ||||||||||||||||||||||||
(389,422,080 | ) | 3/7/2023 | Societe Generale |
(1.03 | )% | S&P 500® |
(4,283,064 | ) | 4,283,064 | — | — | ||||||||||||||||||||||||
(149,152,681 | ) | 3/7/2023 | UBS AG | (0.98 | )% | S&P 500® | 14,154,792 | — | (13,230,000 | ) | 924,792 | ||||||||||||||||||||||||
(1,794,186,389 | ) | 87,697,655 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
91,980,719 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(4,283,064 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT S&P500® SDS :: 167
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 93.0% | |||||||||||
Repurchase Agreements (a) — 93.0% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $6,253,281 (Cost $6,253,154) |
$ | 6,253,154 | $ | 6,253,154 | |||||||
Total Investments — 93.0% (Cost $6,253,154) |
6,253,154 | ||||||||||
Other assets less liabilities — 7.0% | 473,033 | ||||||||||
Net Assets — 100.0% | $ | 6,726,187 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 304,193 | |||||
Aggregate gross unrealized depreciation | (1,212,110 | ) | |||||
Net unrealized depreciation | $ | (907,917 | ) | ||||
Federal income tax cost | $ | 6,253,154 |
Swap Agreementsa
UltraShort Semiconductors had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(580,839 | ) | 5/8/2023 | Bank of America NA |
(0.83 | )% | Dow Jones U.S.
SemiconductorsSM Indexf |
(105,462 | ) | — | 105,462 | — | ||||||||||||||||||||||||
(2,015,012 | ) | 11/6/2023 | BNP Paribas SA | (0.93 | )% | Dow Jones U.S.
SemiconductorsSM Indexf |
(99,725 | ) | — | — | (99,725 | ) | |||||||||||||||||||||||
(265,322 | ) | 11/7/2022 | Goldman Sachs International |
(0.93 | )% | Dow Jones U.S.
SemiconductorsSM Indexf |
108,585 | — | — | 108,585 | |||||||||||||||||||||||||
(1,168,850 | ) | 5/8/2023 | J.P. Morgan Securities |
(1.03 | )% | Dow Jones U.S.
SemiconductorsSM Indexf |
84,505 | — | (80,000 | ) | 4,505 | ||||||||||||||||||||||||
(5,686,492 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.48 | )% | Dow Jones U.S.
SemiconductorsSM Indexf |
(691,541 | ) | — | 691,541 | — | ||||||||||||||||||||||||
(1,319,438 | ) | 3/7/2023 | Societe Generale |
(0.83 | )% | Dow Jones U.S.
SemiconductorsSM Indexf |
111,103 | — | — | 111,103 | |||||||||||||||||||||||||
(2,416,580 | ) | 11/7/2022 | UBS AG | (0.93 | )% | Dow Jones U.S.
SemiconductorsSM Indexf |
(315,382 | ) | — | 315,382 | — | ||||||||||||||||||||||||
(13,452,533 | ) | (907,917 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
304,193 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(1,212,110 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
168 :: SSG ULTRASHORT SEMICONDUCTORS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the Schedule of Portfolio Investments of ProShares Ultra Semiconductors for the components of the underlying reference instrument and their relative weightings.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT SEMICONDUCTORS SSG :: 169
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 81.6% | |||||||||||
Repurchase Agreements (a) — 81.6% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $3,783,900 (Cost $3,783,823) |
$ | 3,783,823 | $ | 3,783,823 | |||||||
Total Investments — 81.6% (Cost $3,783,823) |
3,783,823 | ||||||||||
Other assets less liabilities — 18.4% | 855,755 | ||||||||||
Net Assets — 100.0% | $ | 4,639,578 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | — | |||||
Aggregate gross unrealized depreciation | (446,065 | ) | |||||
Net unrealized depreciation | $ | (446,065 | ) | ||||
Federal income tax cost | $ | 3,783,823 |
Swap Agreementsa
UltraShort SmallCap600 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(956,362 | ) | 11/7/2022 | Bank of America NA |
(0.83 | )% | S&P SmallCap 600® |
(119,267 | ) | — | 119,267 | — | ||||||||||||||||||||||||
(5,363,783 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.48 | )% | S&P SmallCap 600® |
(191,628 | ) | — | 191,628 | — | ||||||||||||||||||||||||
(2,851,788 | ) | 4/10/2023 | Societe Generale |
(0.48 | )% | S&P SmallCap 600® |
(112,317 | ) | — | 112,317 | — | ||||||||||||||||||||||||
(105,027 | ) | 3/7/2023 | UBS AG | (0.68 | )% | S&P SmallCap 600® |
(22,853 | ) | — | 22,853 | — | ||||||||||||||||||||||||
(9,276,960 | ) | (446,065 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(446,065 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
170 :: SDD ULTRASHORT SMALLCAP600 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 65.9% | |||||||||||
Repurchase Agreements (a) — 65.9% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $5,113,080 (Cost $5,112,978) |
$ | 5,112,978 | $ | 5,112,978 | |||||||
Total Investments — 65.9% (Cost $5,112,978) |
5,112,978 | ||||||||||
Other assets less liabilities — 34.1% | 2,650,507 | ||||||||||
Net Assets — 100.0% | $ | 7,763,485 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 2,553,294 | |||||
Aggregate gross unrealized depreciation | (68,982 | ) | |||||
Net unrealized appreciation | $ | 2,484,312 | |||||
Federal income tax cost | $ | 5,112,978 |
Swap Agreementsa
UltraShort Technology had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and
Unrealized Appreciation/ (Depreciation)d ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(2,552,404 | ) | 5/8/2023 | Bank of America NA |
(0.78 | )% | Dow Jones U.S.
TechnologySM Indexf |
549,997 | (549,997 | ) | �� | — | ||||||||||||||||||||||||
(935,760 | ) | 5/8/2023 | BNP Paribas SA | (1.03 | )% | Dow Jones U.S.
TechnologySM Indexf |
610,176 | (610,176 | ) | — | — | ||||||||||||||||||||||||
(2,505,070 | ) | 3/7/2023 | Goldman Sachs International |
(0.93 | )% | Dow Jones U.S.
TechnologySM Indexf |
325,354 | (325,354 | ) | — | — | ||||||||||||||||||||||||
(924,837 | ) | 5/8/2023 | J.P. Morgan Securities |
(1.03 | )% | Dow Jones U.S.
TechnologySM Indexf |
592,520 | — | (592,520 | ) | — | ||||||||||||||||||||||||
(276,723 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.48 | )% | Dow Jones U.S.
TechnologySM Indexf |
(6,051 | ) | — | 6,051 | — | ||||||||||||||||||||||||
(2,151,884 | ) | 3/7/2023 | Societe Generale |
(0.73 | )% | Dow Jones U.S.
TechnologySM Indexf |
475,247 | (475,247 | ) | — | — | ||||||||||||||||||||||||
(6,215,341 | ) | 3/7/2023 | UBS AG | (0.68 | )% | Dow Jones U.S.
TechnologySM Indexf |
(62,931 | ) | — | 62,931 | — | ||||||||||||||||||||||||
(15,562,019 | ) | 2,484,312 | |||||||||||||||||||||||||||||||||
Total Unrealized Appreciation |
2,553,294 | ||||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(68,982 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT TECHNOLOGY REW :: 171
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the Schedule of Portfolio Investments of ProShares Ultra Technology for the components of the underlying reference instrument and their relative weightings.
172 :: REW ULTRASHORT TECHNOLOGY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Investments | Principal Amount |
Value | |||||||||
Short-Term Investments — 95.0% | |||||||||||
Repurchase Agreements (a) — 95.0% | |||||||||||
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $2,281,381 (Cost $2,281,332) |
$ | 2,281,332 | $ | 2,281,332 | |||||||
Total Investments — 95.0% (Cost $2,281,332) |
2,281,332 | ||||||||||
Other assets less liabilities — 5.0% | 120,484 | ||||||||||
Net Assets — 100.0% | $ | 2,401,816 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | — | |||||
Aggregate gross unrealized depreciation | (368,029 | ) | |||||
Net unrealized depreciation | $ | (368,029 | ) | ||||
Federal income tax cost | $ | 2,281,332 |
Swap Agreementsa
UltraShort Utilities had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional Amount ($) |
Termination Dateb |
Counterparty | Rate Paid (Received)c |
Reference Instrument |
Value and Unrealized Depreciationd ($) |
Financial Instruments for the Benefit of (the Fund)/the Counterparty ($) |
Cash Collateral for the Benefit of (the Fund)/the Counterparty ($) |
Net Amounte ($) |
|||||||||||||||||||||||||||
(1,439,676 | ) | 5/8/2023 | Bank of America NA |
(0.63 | )% | Dow Jones U.S. UtilitiesSM Indexf |
(112,923 | ) | — | 79,000 | (33,923 | ) | |||||||||||||||||||||||
(272,588 | ) | 11/7/2022 | Morgan Stanley & Co. International plc |
(0.48 | )% | Dow Jones U.S. UtilitiesSM Indexf |
(51,371 | ) | — | 51,371 | — | ||||||||||||||||||||||||
(1,414,098 | ) | 3/7/2023 | Societe Generale |
(0.73 | )% | Dow Jones U.S. UtilitiesSM Indexf |
(23,146 | ) | — | 12,000 | (11,146 | ) | |||||||||||||||||||||||
(1,673,532 | ) | 3/7/2023 | UBS AG | (0.58 | )% | Dow Jones U.S. UtilitiesSM Indexf |
(180,589 | ) | — | 180,589 | — | ||||||||||||||||||||||||
(4,799,894 | ) | (368,029 | ) | ||||||||||||||||||||||||||||||||
Total Unrealized Depreciation |
(368,029 | ) |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the Schedule of Portfolio Investments of ProShares Ultra Utilities for the components of the underlying reference instrument and their relative weightings.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT UTILITIES SDP :: 173
174 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
Short
7-10 Year Treasury |
Short
20+ Year Treasury |
Short
Dow30SM |
Short
Financials |
Short
FTSE China 50 |
Short
High Yield |
||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and Repurchase Agreements, at cost |
$ | 136,300,937 | $ | 679,458,381 | $ | 244,141,586 | $ | 15,866,010 | $ | 5,704,241 | $ | 296,392,657 | |||||||||||||||
Securities, at value | 74,942,747 | 599,090,626 | 199,534,643 | — | — | 224,909,979 | |||||||||||||||||||||
Repurchase Agreements, at value | 61,355,455 | 79,737,186 | 44,244,479 | 15,866,010 | 5,704,241 | 71,481,391 | |||||||||||||||||||||
Cash | 679,934 | — | 162 | — | 38 | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts |
24,310 | 376,200 | 925,650 | — | — | — | |||||||||||||||||||||
Segregated cash balances with custodian for swap agreements |
35,361,000 | — | 11,446,355 | 2,375,000 | 1,666,000 | 45,923,000 | |||||||||||||||||||||
Dividends and interest receivable | 1,150 | 1,495 | 830 | 297 | 107 | 1,340 | |||||||||||||||||||||
Receivable for capital shares issued | — | — | — | — | — | 8,299,407 | |||||||||||||||||||||
Receivable from Advisor | — | — | — | — | 5,281 | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts |
9,752 | 599,096 | 92,565 | — | — | — | |||||||||||||||||||||
Unrealized appreciation on non- exchange traded swap agreements |
2,640,313 | 8,325,196 | 10,090,469 | 661,249 | 243,135 | 2,516,197 | |||||||||||||||||||||
Prepaid expenses | 2,679 | 8,074 | 3,305 | 1,564 | 1,505 | 2,772 | |||||||||||||||||||||
Total Assets | 175,017,340 | 688,137,873 | 266,338,458 | 18,904,120 | 7,620,307 | 353,134,086 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | 71 | — | 34 | — | 1,017 | |||||||||||||||||||||
Payable for capital shares redeemed | — | 4,964,478 | 10,134,378 | — | — | 9,221,563 | |||||||||||||||||||||
Advisory fees payable | 126,919 | 463,522 | 170,829 | 5,651 | — | 163,883 | |||||||||||||||||||||
Management Services fees payable | 17,176 | 61,802 | 22,864 | 1,620 | — | 24,846 | |||||||||||||||||||||
Custodian fees payable | 1,684 | 6,906 | 2,740 | 148 | 99 | 1,227 | |||||||||||||||||||||
Administration fees payable | 13,857 | 24,733 | 16,257 | 6,502 | 6,502 | 15,203 | |||||||||||||||||||||
Trustee fees payable | 862 | 4,625 | 1,613 | 57 | 48 | 602 | |||||||||||||||||||||
Compliance services fees payable | 670 | 3,940 | 1,462 | 60 | 45 | 499 | |||||||||||||||||||||
Listing, Data and related fees payable | 6,972 | 36,458 | 104,459 | 4,544 | 3,088 | 27,661 | |||||||||||||||||||||
Professional fees payable | 17,947 | 20,911 | 18,547 | 17,254 | 24,829 | 23,068 | |||||||||||||||||||||
Unrealized depreciation on non- exchange traded swap agreements |
3,104,943 | 7,370,782 | 112,875 | 372,033 | 748,096 | 588,720 | |||||||||||||||||||||
Other liabilities | 9,656 | 16,710 | 15,559 | 2,402 | 1,177 | 23,976 | |||||||||||||||||||||
Total Liabilities | 3,300,686 | 12,974,938 | 10,601,583 | 410,305 | 783,884 | 10,092,265 | |||||||||||||||||||||
NET ASSETS | $ | 171,716,654 | $ | 675,162,935 | $ | 255,736,875 | $ | 18,493,815 | $ | 6,836,423 | $ | 343,041,821 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 172,770,140 | $ | 1,229,567,758 | $ | 785,896,819 | $ | 114,113,781 | $ | 18,708,465 | $ | 416,749,467 | |||||||||||||||
Distributable earnings (loss) | (1,053,486 | ) | (554,404,823 | ) | (530,159,944 | ) | (95,619,966 | ) | (11,872,042 | ) | (73,707,646 | ) | |||||||||||||||
NET ASSETS | $ | 171,716,654 | $ | 675,162,935 | $ | 255,736,875 | $ | 18,493,815 | $ | 6,836,423 | $ | 343,041,821 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) |
6,425,000 | 34,000,000 | 7,523,755 | 1,474,851 | 400,000 | 18,600,000 | |||||||||||||||||||||
Net Asset Value | $ | 26.73 | $ | 19.86 | $ | 33.99 | $ | 12.54 | $ | 17.09 | $ | 18.44 |
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 175
Short
MidCap400 |
Short
MSCI EAFE |
Short
MSCI Emerging Markets |
Short
QQQ |
Short
Real Estate |
Short
Russell2000 |
||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and Repurchase Agreements, at cost |
$ | 10,726,113 | $ | 70,838,913 | $ | 36,552,480 | $ | 1,005,216,592 | $ | 14,964,240 | $ | 404,707,754 | |||||||||||||||
Securities, at value | — | 34,990,628 | — | 883,957,951 | — | 339,370,274 | |||||||||||||||||||||
Repurchase Agreements, at value | 10,726,113 | 35,847,364 | 36,552,480 | 120,636,549 | 14,964,240 | 65,006,851 | |||||||||||||||||||||
Cash | 29 | — | — | — | 60 | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts |
108,000 | — | — | 1,193,500 | — | 1,427,800 | |||||||||||||||||||||
Segregated cash balances with custodian for swap agreements |
843,000 | 9,986,000 | 4,815,006 | 1,130,034 | 1,426,650 | 540,230 | |||||||||||||||||||||
Dividends and interest receivable | 201 | 672 | 685 | 2,262 | 281 | 1,219 | |||||||||||||||||||||
Due from counterparty | 4,582 | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | — | — | — | 663,155 | — | 1,204,479 | |||||||||||||||||||||
Receivable for variation margin on futures contracts |
9,720 | — | — | 43,750 | — | 282,024 | |||||||||||||||||||||
Unrealized appreciation on non- exchange traded swap agreements |
751,577 | 1,225,695 | 3,921,247 | 131,429,376 | 326,028 | 46,725,831 | |||||||||||||||||||||
Prepaid expenses | 4,324 | 2,324 | 1,988 | 8,737 | 1,527 | 3,900 | |||||||||||||||||||||
Total Assets | 12,447,546 | 82,052,683 | 45,291,406 | 1,139,065,314 | 16,718,786 | 454,562,608 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | 99 | 13 | 86 | — | 258 | |||||||||||||||||||||
Payable for capital shares redeemed | — | 15,629,434 | 1,431,540 | 52,961,239 | — | — | |||||||||||||||||||||
Advisory fees payable | 1,705 | 35,907 | 13,205 | 689,619 | 2,671 | 260,384 | |||||||||||||||||||||
Management Services fees payable | 980 | 6,094 | 3,632 | 101,019 | 1,291 | 38,292 | |||||||||||||||||||||
Custodian fees payable | 340 | 482 | 338 | 7,883 | 93 | 3,344 | |||||||||||||||||||||
Administration fees payable | 6,645 | 8,331 | 6,964 | 29,340 | 6,502 | 18,524 | |||||||||||||||||||||
Trustee fees payable | 67 | 254 | 182 | 5,025 | 51 | 1,912 | |||||||||||||||||||||
Compliance services fees payable | 62 | 153 | 189 | 3,963 | 47 | 1,698 | |||||||||||||||||||||
Listing, Data and related fees payable | — | — | — | 186,844 | 3,637 | 66,227 | |||||||||||||||||||||
Professional fees payable | 17,243 | 25,665 | 28,815 | 22,783 | 17,241 | 20,244 | |||||||||||||||||||||
Unrealized depreciation on non- exchange traded swap agreements |
212,953 | 1,380,638 | 756,433 | 1,239,218 | 425,896 | 846,480 | |||||||||||||||||||||
Other liabilities | 1,166 | 7,212 | 4,532 | 57,875 | 2,219 | 21,630 | |||||||||||||||||||||
Total Liabilities | 241,161 | 17,094,269 | 2,245,843 | 55,304,894 | 459,648 | 1,278,993 | |||||||||||||||||||||
NET ASSETS | $ | 12,206,385 | $ | 64,958,414 | $ | 43,045,563 | $ | 1,083,760,420 | $ | 16,259,138 | $ | 453,283,615 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 67,076,502 | $ | 197,612,600 | $ | 237,564,056 | $ | 1,937,324,825 | $ | 53,323,314 | $ | 1,202,430,495 | |||||||||||||||
Distributable earnings (loss) | (54,870,117 | ) | (132,654,186 | ) | (194,518,493 | ) | (853,564,405 | ) | (37,064,176 | ) | (749,146,880 | ) | |||||||||||||||
NET ASSETS | $ | 12,206,385 | $ | 64,958,414 | $ | 43,045,563 | $ | 1,083,760,420 | $ | 16,259,138 | $ | 453,283,615 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) |
493,667 | 3,325,000 | 3,050,000 | 81,712,500 | 899,888 | 18,816,642 | |||||||||||||||||||||
Net Asset Value | $ | 24.73 | $ | 19.54 | $ | 14.11 | $ | 13.26 | $ | 18.07 | $ | 24.09 |
176 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
Short
S&P500® |
Short
SmallCap600 |
Ultra
7-10 Year Treasury |
Ultra
20+ Year Treasury |
Ultra
Basic Materials |
Ultra
Consumer Goods |
||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and Repurchase Agreements, at cost |
$ | 2,362,696,915 | $ | 6,309,515 | $ | 17,384,871 | $ | 35,088,590 | $ | 56,436,959 | $ | 10,476,905 | |||||||||||||||
Securities, at value(a) | 2,152,861,080 | — | — | — | 48,036,424 | 7,143,614 | |||||||||||||||||||||
Repurchase Agreements, at value | 208,763,865 | 6,309,515 | 17,384,871 | 35,088,590 | 8,434,210 | 2,127,367 | |||||||||||||||||||||
Cash | 2,152,901 | 22 | — | 4 | — | 69 | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts |
2,777,600 | — | 1,870 | 8,360 | — | — | |||||||||||||||||||||
Segregated cash balances with custodian for swap agreements |
8,785,199 | 827,092 | 3,789,335 | 1,520,924 | 1,428,374 | 575,082 | |||||||||||||||||||||
Dividends and interest receivable | 3,914 | 118 | 326 | 658 | 73,921 | 6,239 | |||||||||||||||||||||
Receivable for security lending income | — | — | — | — | 92 | 239 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | — | 10,046,054 | 11,520 | |||||||||||||||||||||
Due from counterparty | — | — | — | — | 97,538 | 2,262 | |||||||||||||||||||||
Receivable from Advisor | — | 1,143 | — | — | — | 1,274 | |||||||||||||||||||||
Receivable for variation margin on futures contracts |
151,900 | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on non- exchange traded swap agreements |
106,635,337 | 287,375 | — | — | 697,152 | 736,392 | |||||||||||||||||||||
Prepaid expenses | 22,139 | 3,135 | 1,559 | 1,801 | 1,970 | 1,559 | |||||||||||||||||||||
Total Assets | 2,482,153,935 | 7,428,400 | 21,177,961 | 36,620,337 | 68,815,735 | 10,605,617 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | — | 27 | — | 46 | — | |||||||||||||||||||||
Payable for capital shares redeemed | 124,628,585 | — | — | — | 4,771,918 | — | |||||||||||||||||||||
Payable for cash collateral received from securities loaned |
— | — | — | — | 221,659 | 48,530 | |||||||||||||||||||||
Advisory fees payable | 1,587,280 | — | 7,167 | 19,987 | 28,190 | — | |||||||||||||||||||||
Management Services fees payable | 211,636 | — | — | 3,072 | 5,204 | — | |||||||||||||||||||||
Custodian fees payable | 15,759 | 69 | 548 | 929 | 961 | 1,501 | |||||||||||||||||||||
Administration fees payable | 40,540 | 6,502 | 6,607 | 6,651 | 15,275 | 12,610 | |||||||||||||||||||||
Trustee fees payable | 10,540 | 28 | 110 | 277 | 404 | 80 | |||||||||||||||||||||
Compliance services fees payable | 8,991 | 28 | 111 | 283 | 419 | 81 | |||||||||||||||||||||
Listing, Data and related fees payable | — | — | 884 | 2,362 | 27,594 | 5,545 | |||||||||||||||||||||
Professional fees payable | 27,753 | 17,214 | 17,651 | 17,797 | 22,319 | 21,001 | |||||||||||||||||||||
Payable for variation margin on futures contracts |
— | — | 750 | 3,188 | — | — | |||||||||||||||||||||
Unrealized depreciation on non- exchange traded swap agreements |
5,032,219 | 332,228 | 3,260,294 | 373,104 | 1,490,489 | 2,153,476 | |||||||||||||||||||||
Other liabilities | 131,904 | 1,140 | 1,480 | 4,013 | 2,463 | 1,007 | |||||||||||||||||||||
Total Liabilities | 131,695,207 | 357,209 | 3,295,629 | 431,663 | 6,586,941 | 2,243,831 | |||||||||||||||||||||
NET ASSETS | $ | 2,350,458,728 | $ | 7,071,191 | $ | 17,882,332 | $ | 36,188,674 | $ | 62,228,794 | $ | 8,361,786 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 6,472,541,965 | $ | 47,722,632 | $ | 148,828,385 | $ | 59,093,152 | $ | 51,960,273 | $ | 7,240,415 | |||||||||||||||
Distributable earnings (loss) | (4,122,083,237 | ) | (40,651,441 | ) | (130,946,053 | ) | (22,904,478 | ) | 10,268,521 | 1,121,371 | |||||||||||||||||
NET ASSETS | $ | 2,350,458,728 | $ | 7,071,191 | $ | 17,882,332 | $ | 36,188,674 | $ | 62,228,794 | $ | 8,361,786 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) |
154,380,826 | 393,681 | 325,000 | 1,075,000 | 2,325,000 | 400,000 | |||||||||||||||||||||
Net Asset Value | $ | 15.23 | $ | 17.96 | $ | 55.02 | $ | 33.66 | $ | 26.77 | $ | 20.90 | |||||||||||||||
(a) Includes securities on loan valued at: | $ | — | $ | — | $ | — | $ | — | $ | 193,247 | $ | 34,576 |
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 177
Ultra
Consumer Services |
Ultra
Dow30SM |
Ultra
Financials |
Ultra
FTSE China 50 |
Ultra
FTSE Europe |
Ultra
Health Care |
||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and Repurchase Agreements, at cost |
$ | 20,468,924 | $ | 453,440,608 | $ | 574,031,849 | $ | 4,077,094 | $ | 2,695,790 | $ | 137,942,415 | |||||||||||||||
Securities, at value(a) | 12,428,509 | 336,506,815 | 509,764,377 | — | — | 106,364,802 | |||||||||||||||||||||
Repurchase Agreements, at value | 3,904,044 | 89,649,849 | 13,710,246 | 4,077,094 | 2,695,790 | 21,512,698 | |||||||||||||||||||||
Cash | 270,107 | — | 144,738 | 259,985 | — | 7 | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts |
— | 2,057,000 | — | — | — | — | |||||||||||||||||||||
Segregated cash balances with custodian for swap agreements |
4,728,955 | 3,608,281 | 2,823,135 | 18,182,675 | 2,396,198 | 1,267,089 | |||||||||||||||||||||
Dividends and interest receivable | 5,353 | 921,526 | 502,394 | 76 | 51 | 160,896 | |||||||||||||||||||||
Receivable for security lending income | 104 | 192 | 2,210 | — | — | 94 | |||||||||||||||||||||
Receivable for investments sold | 4,863 | — | — | — | — | — | |||||||||||||||||||||
Receivable from Advisor | 41 | — | — | 5,619 | 5,487 | — | |||||||||||||||||||||
Unrealized appreciation on non- exchange traded swap agreements |
— | 4,217 | 146,142,591 | — | 56,204 | 48,645 | |||||||||||||||||||||
Prepaid expenses | 1,609 | 4,593 | 7,288 | 1,547 | 1,493 | 2,523 | |||||||||||||||||||||
Total Assets | 21,343,585 | 432,752,473 | 673,096,979 | 22,526,996 | 5,155,223 | 129,356,754 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | 142 | — | — | 14 | — | |||||||||||||||||||||
Payable for investments purchased | — | 4,510,733 | — | — | — | 22,620 | |||||||||||||||||||||
Payable for cash collateral received from securities loaned |
26,435 | — | 687,211 | — | — | 51,462 | |||||||||||||||||||||
Advisory fees payable | — | 238,820 | 398,195 | — | — | 70,245 | |||||||||||||||||||||
Management Services fees payable | — | 32,294 | 53,635 | — | — | 10,163 | |||||||||||||||||||||
Custodian fees payable | 2,304 | 5,245 | 11,671 | 138 | 46 | 2,640 | |||||||||||||||||||||
Administration fees payable | 12,609 | 27,818 | 33,052 | 6,117 | 6,502 | 19,329 | |||||||||||||||||||||
Trustee fees payable | 153 | 2,703 | 5,133 | 85 | 31 | 897 | |||||||||||||||||||||
Compliance services fees payable | 167 | 2,630 | 4,888 | 104 | 29 | 914 | |||||||||||||||||||||
Listing, Data and related fees payable | 11,376 | 176,049 | 331,921 | 4,736 | 565 | 56,682 | |||||||||||||||||||||
Professional fees payable | 20,566 | 22,824 | 30,573 | 29,767 | 30,143 | 22,924 | |||||||||||||||||||||
Payable for variation margin on futures contracts |
— | 205,699 | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on non- exchange traded swap agreements |
7,394,757 | 41,924,521 | — | 12,060,166 | 1,147,564 | 11,252,729 | |||||||||||||||||||||
Other liabilities | 1,473 | 10,897 | 18,023 | 1,807 | 879 | 3,494 | |||||||||||||||||||||
Total Liabilities | 7,469,840 | 47,160,375 | 1,574,302 | 12,102,920 | 1,185,773 | 11,514,099 | |||||||||||||||||||||
NET ASSETS | $ | 13,873,745 | $ | 385,592,098 | $ | 671,522,677 | $ | 10,424,076 | $ | 3,969,450 | $ | 117,842,655 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 21,833,489 | $ | 356,619,465 | $ | 582,667,908 | $ | 26,838,776 | $ | 4,025,460 | $ | 131,543,005 | |||||||||||||||
Distributable earnings (loss) | (7,959,744 | ) | 28,972,633 | 88,854,769 | (16,414,700 | ) | (56,010 | ) | (13,700,350 | ) | |||||||||||||||||
NET ASSETS | $ | 13,873,745 | $ | 385,592,098 | $ | 671,522,677 | $ | 10,424,076 | $ | 3,969,450 | $ | 117,842,655 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) |
475,000 | 5,900,000 | 12,457,750 | 350,000 | 75,000 | 1,275,000 | |||||||||||||||||||||
Net Asset Value | $ | 29.21 | $ | 65.35 | $ | 53.90 | $ | 29.78 | $ | 52.93 | $ | 92.43 | |||||||||||||||
(a) Includes securities on loan valued at: | $ | 116,228 | $ | 1,130,296 | $ | 4,056,340 | $ | — | $ | — | $ | 906,626 |
178 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
Ultra
High Yield |
Ultra
Industrials |
Ultra
MidCap400 |
Ultra
MSCI Brazil Capped |
Ultra
MSCI EAFE |
Ultra
MSCI Emerging Markets |
||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and Repurchase Agreements, at cost |
$ | 4,957,679 | $ | 22,840,799 | $ | 147,523,304 | $ | 5,752,142 | $ | 5,476,481 | $ | 17,573,951 | |||||||||||||||
Securities, at value(a) | — | 15,511,359 | 112,563,184 | — | — | — | |||||||||||||||||||||
Repurchase Agreements, at value | 4,957,679 | 3,162,129 | 37,348,285 | 5,752,142 | 5,476,481 | 17,573,951 | |||||||||||||||||||||
Cash | — | 51 | 150,883 | 34 | — | 568,678 | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts |
— | — | 1,215,000 | — | — | — | |||||||||||||||||||||
Segregated cash balances with custodian for swap agreements |
4,391,000 | 3,034,742 | 388,592 | 6,094,394 | 6,645,005 | 28,431,169 | |||||||||||||||||||||
Dividends and interest receivable | 93 | 32,829 | 107,977 | 108 | 103 | 329 | |||||||||||||||||||||
Receivable for security lending income | — | 37 | 387 | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | 15,171,943 | — | — | — | — | — | |||||||||||||||||||||
Receivable from Advisor | — | — | — | 5,797 | 7,013 | — | |||||||||||||||||||||
Unrealized appreciation on non- exchange traded swap agreements |
— | — | — | 19,592 | — | — | |||||||||||||||||||||
Prepaid expenses | 40,304 | 1,625 | 5,296 | 1,891 | 2,111 | 5,278 | |||||||||||||||||||||
Total Assets | 24,561,019 | 21,742,772 | 151,779,604 | 11,873,958 | 12,130,713 | 46,579,405 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | 18 | — | — | — | 16 | — | |||||||||||||||||||||
Payable for investments purchased | — | — | 2,066,821 | — | — | — | |||||||||||||||||||||
Payable for capital shares redeemed | 1,685,771 | — | — | — | — | — | |||||||||||||||||||||
Payable for cash collateral received from securities loaned |
— | 20,871 | 246,710 | — | — | — | |||||||||||||||||||||
Advisory fees payable | 50,840 | 12,308 | 67,294 | — | — | 8,338 | |||||||||||||||||||||
Management Services fees payable | — | 1,392 | 9,994 | — | — | 2,187 | |||||||||||||||||||||
Custodian fees payable | 89 | 1,808 | 14,441 | 117 | 94 | 368 | |||||||||||||||||||||
Administration fees payable | — | 12,763 | 18,661 | 6,502 | 6,502 | 5,611 | |||||||||||||||||||||
Trustee fees payable | 93 | 150 | 948 | 49 | 69 | 268 | |||||||||||||||||||||
Compliance services fees payable | 127 | 165 | 935 | 40 | 73 | 312 | |||||||||||||||||||||
Listing, Data and related fees payable | 2,583 | 11,266 | — | — | — | — | |||||||||||||||||||||
Professional fees payable | 22,613 | 20,327 | 19,563 | 30,353 | 30,375 | 28,994 | |||||||||||||||||||||
Payable for variation margin on futures contracts |
— | — | 11,410 | — | — | — | |||||||||||||||||||||
Unrealized depreciation on non- exchange traded swap agreements |
2,571,284 | 4,966,409 | 26,402,875 | 2,292,805 | 3,028,732 | 19,799,735 | |||||||||||||||||||||
Other liabilities | 1,015 | 1,511 | 5,620 | 1,579 | 1,091 | 2,907 | |||||||||||||||||||||
Total Liabilities | 4,334,433 | 5,048,970 | 28,865,272 | 2,331,445 | 3,066,952 | 19,848,720 | |||||||||||||||||||||
NET ASSETS | $ | 20,226,586 | $ | 16,693,802 | $ | 122,914,332 | $ | 9,542,513 | $ | 9,063,761 | $ | 26,730,685 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 21,402,741 | $ | 24,995,937 | $ | 243,867,568 | $ | 22,218,458 | $ | 15,473,430 | $ | 47,852,750 | |||||||||||||||
Distributable earnings (loss) | (1,176,155 | ) | (8,302,135 | ) | (120,953,236 | ) | (12,675,945 | ) | (6,409,669 | ) | (21,122,065 | ) | |||||||||||||||
NET ASSETS | $ | 20,226,586 | $ | 16,693,802 | $ | 122,914,332 | $ | 9,542,513 | $ | 9,063,761 | $ | 26,730,685 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) |
300,000 | 700,000 | 2,275,000 | 291,557 | 225,000 | 425,000 | |||||||||||||||||||||
Net Asset Value | $ | 67.42 | $ | 23.85 | $ | 54.03 | $ | 32.73 | $ | 40.28 | $ | 62.90 | |||||||||||||||
(a) Includes securities on loan valued at: | $ | — | $ | 60,891 | $ | 1,025,179 | $ | — | $ | — | $ | — |
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 179
Ultra
MSCI Japan |
Ultra
Nasdaq Biotechnology |
Ultra
Nasdaq Cloud Computing |
Ultra
Nasdaq Cybersecurity |
Ultra Oil & Gas | Ultra QQQ | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and Repurchase Agreements, at cost |
$ | 4,431,276 | $ | 129,533,168 | $ | 2,348,070 | $ | 996,853 | $ | 71,431,750 | $ | 4,823,162,532 | |||||||||||||||
Securities, at value(a) | 2,851,199 | 83,016,887 | 1,577,019 | 210,848 | 104,773,909 | 4,050,210,242 | |||||||||||||||||||||
Repurchase Agreements, at value | 1,081,705 | 8,683,464 | 312,760 | 752,261 | 694,298 | 224,175,700 | |||||||||||||||||||||
Cash | — | 818,408 | 366 | — | — | 11,831 | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts |
— | — | — | — | — | 26,018,300 | |||||||||||||||||||||
Segregated cash balances with custodian for swap agreements |
4,124,771 | 55,945,327 | 1,170,442 | 2,880,000 | 1,341,314 | 201,027,671 | |||||||||||||||||||||
Dividends and interest receivable | 20 | 82,044 | 2,003 | 14 | 745,414 | 2,866,906 | |||||||||||||||||||||
Receivable for security lending income | — | 6,915 | — | — | 100 | 56,314 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | — | 24,388,626 | — | |||||||||||||||||||||
Due from counterparty | — | — | — | — | 113,495 | — | |||||||||||||||||||||
Receivable for capital shares issued | — | — | — | — | — | 84,144,359 | |||||||||||||||||||||
Receivable from Advisor | 28,371 | — | 13,876 | — | — | — | |||||||||||||||||||||
Reclaims receivable | — | 13,218 | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on non- exchange traded swap agreements |
— | — | — | — | 98,237,569 | 88,656,556 | |||||||||||||||||||||
Prepaid expenses | 2,018 | 921 | 23 | 2,830 | 3,017 | 44,319 | |||||||||||||||||||||
Total Assets | 8,088,084 | 148,567,184 | 3,076,489 | 3,845,953 | 230,297,742 | 4,677,212,198 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | 13 | — | — | 18 | 20 | — | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | — | — | 11,072,879 | — | |||||||||||||||||||||
Payable for cash collateral received from securities loaned |
— | 2,366,248 | — | — | 242,444 | 13,789,342 | |||||||||||||||||||||
Advisory fees payable | — | 33,952 | — | 5,331 | 123,633 | 2,070,060 | |||||||||||||||||||||
Management Services fees payable | — | 7,869 | — | — | 17,476 | 294,483 | |||||||||||||||||||||
Custodian fees payable | 66 | 13,131 | 916 | 40 | 3,093 | 57,204 | |||||||||||||||||||||
Administration fees payable | 31,016 | 17,689 | 14,603 | — | 22,599 | 63,428 | |||||||||||||||||||||
Trustee fees payable | 51 | 828 | 18 | 25 | 1,386 | 30,683 | |||||||||||||||||||||
Compliance services fees payable | 46 | 1,192 | 15 | 23 | 1,164 | 29,499 | |||||||||||||||||||||
Listing, Data and related fees payable | — | 19,367 | 2,148 | 2,462 | 82,147 | 667,219 | |||||||||||||||||||||
Professional fees payable | 19,812 | 23,657 | 17,197 | 17,203 | 23,408 | 45,387 | |||||||||||||||||||||
Payable for variation margin on futures contracts |
— | — | — | — | — | 953,745 | |||||||||||||||||||||
Unrealized depreciation on non- exchange traded swap agreements |
2,275,777 | 52,388,108 | 1,210,948 | 1,487,155 | — | 979,808,973 | |||||||||||||||||||||
Other liabilities | 1,502 | 10,050 | 676 | 547 | 6,162 | 78,042 | |||||||||||||||||||||
Total Liabilities | 2,328,283 | 54,882,091 | 1,246,521 | 1,512,804 | 11,596,411 | 997,888,065 | |||||||||||||||||||||
NET ASSETS | $ | 5,759,801 | $ | 93,685,093 | $ | 1,829,968 | $ | 2,333,149 | $ | 218,701,331 | $ | 3,679,324,133 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 7,767,177 | $ | 271,214,403 | $ | 3,798,372 | $ | 3,535,397 | $ | 88,501,486 | $ | 4,687,411,885 | |||||||||||||||
Distributable earnings (loss) | (2,007,376 | ) | (177,529,310 | ) | (1,968,404 | ) | (1,202,248 | ) | 130,199,845 | (1,008,087,752 | ) | ||||||||||||||||
NET ASSETS | $ | 5,759,801 | $ | 93,685,093 | $ | 1,829,968 | $ | 2,333,149 | $ | 218,701,331 | $ | 3,679,324,133 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) |
175,000 | 1,950,000 | 100,001 | 75,001 | 5,002,944 | 72,600,000 | |||||||||||||||||||||
Net Asset Value | $ | 32.91 | $ | 48.04 | $ | 18.30 | $ | 31.11 | $ | 43.71 | $ | 50.68 | |||||||||||||||
(a) Includes securities on loan valued at: | $ | — | $ | 3,413,879 | $ | — | $ | — | $ | 1,517,994 | $ | 18,465,573 |
180 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
Ultra
Real Estate |
Ultra
Russell2000 |
Ultra S&P500® | Ultra
Semiconductors |
Ultra
SmallCap600 |
Ultra
Technology |
||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and Repurchase Agreements, at cost |
$ | 115,357,437 | $ | 248,563,884 | $ | 4,387,419,860 | $ | 252,747,139 | $ | 39,408,583 | $ | 732,601,701 | |||||||||||||||
Securities, at value(a) | 92,778,392 | 132,558,141 | 3,705,681,277 | 164,754,104 | 30,000,861 | 479,530,772 | |||||||||||||||||||||
Repurchase Agreements, at value | 15,273,632 | 66,531,831 | 219,203,627 | 73,963,623 | 6,447,256 | 167,884,223 | |||||||||||||||||||||
Cash | 1,312,019 | 1,412,839 | 5,218,946 | 9,669,682 | — | 9,224,803 | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts |
— | 980,100 | 28,112,000 | — | — | — | |||||||||||||||||||||
Segregated cash balances with custodian for swap agreements |
6,583,328 | 35,683,362 | 14,528,097 | 50,493,562 | 1,097,309 | 108,388,402 | |||||||||||||||||||||
Dividends and interest receivable | 44,239 | 122,465 | 4,597,384 | 205,815 | 25,271 | 427,498 | |||||||||||||||||||||
Receivable for security lending income | 190 | 7,895 | 1,071 | 42 | 171 | 409 | |||||||||||||||||||||
Receivable for investments sold | — | 7,521,562 | — | — | 156,617 | — | |||||||||||||||||||||
Receivable for capital shares issued | — | 13,031,712 | 27,178,588 | — | — | — | |||||||||||||||||||||
Receivable from Advisor | — | 43,392 | — | — | 6,312 | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts |
— | — | 4,140,666 | — | — | — | |||||||||||||||||||||
Unrealized appreciation on non- exchange traded swap agreements |
38,372 | 28,364 | 11,769,844 | 19,263,270 | — | 6,066,882 | |||||||||||||||||||||
Prepaid expenses | 2,361 | 3,177 | 40,022 | 3,999 | 3,374 | 7,841 | |||||||||||||||||||||
Total Assets | 116,032,533 | 257,924,840 | 4,020,471,522 | 318,354,097 | 37,737,171 | 771,530,830 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | — | — | — | 27 | — | |||||||||||||||||||||
Payable for investments purchased | — | 178,350 | 70,459,267 | — | — | 77,296 | |||||||||||||||||||||
Payable for capital shares redeemed | — | 7,610,364 | — | — | — | — | |||||||||||||||||||||
Payable for cash collateral received from securities loaned |
98,319 | 3,360,840 | 1,589,475 | 227,427 | 226,827 | 569,684 | |||||||||||||||||||||
Advisory fees payable | 54,722 | — | 2,086,943 | 135,944 | — | 293,931 | |||||||||||||||||||||
Management Services fees payable | 8,544 | — | 278,257 | 19,859 | — | 45,605 | |||||||||||||||||||||
Custodian fees payable | 1,880 | 180,542 | 175,981 | 5,598 | 14,079 | 31,492 | |||||||||||||||||||||
Administration fees payable | 18,333 | 18,354 | 60,547 | 23,402 | 12,975 | 31,199 | |||||||||||||||||||||
Trustee fees payable | 767 | 1,387 | 26,380 | 2,235 | 244 | 5,308 | |||||||||||||||||||||
Compliance services fees payable | 726 | 2,012 | 24,902 | 1,951 | 237 | 5,281 | |||||||||||||||||||||
Listing, Data and related fees payable | 47,091 | 27,615 | — | 128,451 | — | 340,704 | |||||||||||||||||||||
Professional fees payable | 22,956 | 21,704 | 42,932 | 18,817 | 17,761 | 24,690 | |||||||||||||||||||||
Payable for variation margin on futures contracts |
— | 193,581 | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on non- exchange traded swap agreements |
13,461,168 | 64,550,391 | 521,469,245 | 70,200,317 | 4,528,332 | 230,712,810 | |||||||||||||||||||||
Other liabilities | 4,588 | 9,601 | 58,279 | 10,440 | 1,668 | 13,203 | |||||||||||||||||||||
Total Liabilities | 13,719,094 | 76,154,741 | 596,272,208 | 70,774,441 | 4,802,150 | 232,151,203 | |||||||||||||||||||||
NET ASSETS | $ | 102,313,439 | $ | 181,770,099 | $ | 3,424,199,314 | $ | 247,579,656 | $ | 32,935,021 | $ | 539,379,627 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 104,340,522 | $ | 341,296,234 | $ | 3,356,805,893 | $ | 287,862,975 | $ | 35,454,221 | $ | 497,065,662 | |||||||||||||||
Distributable earnings (loss) | (2,027,083 | ) | (159,526,135 | ) | 67,393,421 | (40,283,319 | ) | (2,519,200 | ) | 42,313,965 | |||||||||||||||||
NET ASSETS | $ | 102,313,439 | $ | 181,770,099 | $ | 3,424,199,314 | $ | 247,579,656 | $ | 32,935,021 | $ | 539,379,627 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) |
1,233,744 | 4,900,000 | 63,550,000 | 8,750,000 | 1,325,000 | 15,425,000 | |||||||||||||||||||||
Net Asset Value | $ | 82.93 | $ | 37.10 | $ | 53.88 | $ | 28.29 | $ | 24.86 | $ | 34.97 | |||||||||||||||
(a) Includes securities on loan valued at: | $ | 1,316,000 | $ | 5,200,000 | $ | 31,941,272 | $ | 538,881 | $ | 1,199,319 | $ | 1,823,266 |
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 181
Ultra
Telecommunications |
Ultra Utilities | UltraPro
Dow30SM |
UltraPro
MidCap400 |
UltraPro QQQ | UltraPro
Russell2000 |
||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and Repurchase Agreements, at cost |
$ | 2,072,988 | $ | 20,751,300 | $ | 806,793,901 | $ | 39,456,430 | $ | 19,947,223,330 | $ | 324,689,890 | |||||||||||||||
Securities, at value(a) | 1,757,901 | 18,128,301 | 571,431,304 | 25,244,747 | 15,882,548,859 | 217,932,040 | |||||||||||||||||||||
Repurchase Agreements, at value | 357,543 | 3,924,461 | 150,844,557 | 11,048,363 | 1,925,468,443 | 50,204,239 | |||||||||||||||||||||
Cash | 58 | — | — | 370,149 | 560,804,966 | 4,737,087 | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts |
— | — | 4,922,775 | 216,000 | 158,411,550 | 2,413,950 | |||||||||||||||||||||
Segregated cash balances with custodian for swap agreements |
286,838 | 228,048 | 21,868,300 | 7,050,845 | 1,883,905,391 | 160,901,389 | |||||||||||||||||||||
Dividends and interest receivable | 1,788 | 79,822 | 1,614,916 | 25,284 | 10,214,342 | 185,655 | |||||||||||||||||||||
Receivable for security lending income |
5 | 8 | — | 30 | 212,742 | 10,944 | |||||||||||||||||||||
Receivable for investments sold | — | — | 6,101,913 | — | 109,008,061 | 2,764,897 | |||||||||||||||||||||
Due from counterparty | — | 4,427 | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | — | — | 3,060,757 | — | 10,001,853 | — | |||||||||||||||||||||
Receivable from Advisor | 9,073 | — | — | — | — | 113,228 | |||||||||||||||||||||
Reclaims receivable | — | — | — | — | — | 371 | |||||||||||||||||||||
Receivable for variation margin on futures contracts |
— | — | 1,065,442 | 29,527 | 23,963,016 | — | |||||||||||||||||||||
Unrealized appreciation on non- exchange traded swap agreements |
592 | 1,571,165 | 52,835,461 | — | 142,830,209 | 4,258,976 | |||||||||||||||||||||
Prepaid expenses | 1,478 | 1,635 | 7,586 | 3,504 | 147,204 | 3,756 | |||||||||||||||||||||
Total Assets | 2,415,276 | 23,937,867 | 813,753,011 | 43,988,449 | 20,707,516,636 | 443,526,532 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | 15 | 984 | — | — | — | |||||||||||||||||||||
Payable for investments purchased | — | — | 20,056,722 | 35,810 | 510,918,031 | 20,260,292 | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | 6,180,976 | — | 110,870,811 | 2,722,880 | |||||||||||||||||||||
Payable for cash collateral received from securities loaned |
53,017 | — | — | 9,835 | 43,716,530 | 4,869,345 | |||||||||||||||||||||
Advisory fees payable | — | 12,423 | 423,474 | 3,911 | 7,117,536 | — | |||||||||||||||||||||
Management Services fees payable | — | 1,922 | 57,501 | 2,546 | 1,101,065 | — | |||||||||||||||||||||
Custodian fees payable | 102 | 418 | 13,594 | 16,615 | 210,157 | 226,941 | |||||||||||||||||||||
Administration fees payable | 12,610 | 12,610 | 33,689 | 12,343 | 147,216 | 23,677 | |||||||||||||||||||||
Trustee fees payable | 15 | 128 | 5,044 | 277 | 107,035 | 2,149 | |||||||||||||||||||||
Compliance services fees payable | 14 | 125 | 5,120 | 284 | 90,661 | 2,097 | |||||||||||||||||||||
Listing, Data and related fees payable |
950 | 7,540 | 329,179 | — | 2,398,840 | 40,710 | |||||||||||||||||||||
Professional fees payable | 20,562 | 20,671 | 22,798 | 19,051 | 98,211 | 19,962 | |||||||||||||||||||||
Payable for variation margin on futures contracts |
— | — | — | — | — | 239,153 | |||||||||||||||||||||
Unrealized depreciation on non- exchange traded swap agreements |
361,714 | — | 94,880,927 | 14,087,373 | 6,332,676,163 | 155,666,522 | |||||||||||||||||||||
Other liabilities | 1,210 | 1,862 | 19,518 | 1,794 | 885,323 | 13,561 | |||||||||||||||||||||
Total Liabilities | 450,194 | 57,714 | 122,029,526 | 14,189,839 | 7,010,337,579 | 184,087,289 | |||||||||||||||||||||
NET ASSETS | $ | 1,965,082 | $ | 23,880,153 | $ | 691,723,485 | $ | 29,798,610 | $ | 13,697,179,057 | $ | 259,439,243 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 2,855,616 | $ | 22,236,654 | $ | 625,980,781 | $ | 22,312,319 | $ | 19,872,065,508 | $ | 388,419,924 | |||||||||||||||
Distributable earnings (loss) | (890,534 | ) | 1,643,499 | 65,742,704 | 7,486,291 | (6,174,886,451 | ) | (128,980,681 | ) | ||||||||||||||||||
NET ASSETS | $ | 1,965,082 | $ | 23,880,153 | $ | 691,723,485 | $ | 29,798,610 | $ | 13,697,179,057 | $ | 259,439,243 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) |
50,000 | 300,000 | 11,300,000 | 1,325,000 | 414,750,000 | 4,950,000 | |||||||||||||||||||||
Net Asset Value | $ | 39.30 | $ | 79.60 | $ | 61.21 | $ | 22.49 | $ | 33.03 | $ | 52.41 | |||||||||||||||
(a) Includes securities on loan valued at: | $ | 50,766 | $ | 82,234 | $ | 799,032 | $ | 70,921 | $ | 63,192,536 | $ | 7,750,898 |
182 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
UltraPro
S&P500® |
UltraPro
Short 20+ Year Treasury |
UltraPro
Short Dow30SM |
UltraPro
Short MidCap400 |
UltraPro
Short QQQ |
UltraPro
Short Russell2000 |
||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and Repurchase Agreements, at cost |
$ | 3,204,896,312 | $ | 368,764,296 | $ | 298,673,324 | $ | 4,589,378 | $ | 2,442,312,381 | $ | 131,521,442 | |||||||||||||||
Securities, at value(a) | 2,856,552,660 | 244,539,637 | 230,515,470 | — | 2,236,805,649 | 85,686,546 | |||||||||||||||||||||
Repurchase Agreements, at value | 80,239,486 | 123,998,104 | 68,056,851 | 4,589,378 | 203,539,959 | 45,730,619 | |||||||||||||||||||||
Cash | 132,706,814 | — | — | — | — | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts |
19,689,600 | 418,000 | 546,975 | 54,000 | 971,850 | 326,700 | |||||||||||||||||||||
Segregated cash balances with custodian for swap agreements |
339,416,890 | 26,506,000 | 9,487,000 | 2,395,650 | 45,106,000 | 24,978,001 | |||||||||||||||||||||
Dividends and interest receivable | 3,057,753 | 2,325 | 1,276 | 86 | 3,816 | 857 | |||||||||||||||||||||
Receivable for security lending income | 358 | — | — | — | — | — | |||||||||||||||||||||
Receivable for investments sold | 4,694,362 | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | 51,532,130 | 2,827,316 | 6,170,897 | — | 383,677,325 | 2,835,045 | |||||||||||||||||||||
Receivable from Advisor | — | — | — | 414 | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts |
3,129,178 | 444,161 | 36,467 | 4,860 | 23,755 | 43,028 | |||||||||||||||||||||
Unrealized appreciation on non- exchange traded swap agreements |
16,062,194 | 13,463,180 | 46,298,068 | 924,391 | 212,786,459 | 8,717,876 | |||||||||||||||||||||
Prepaid expenses | 29,990 | 3,305 | 4,105 | 3,250 | 32,401 | 2,737 | |||||||||||||||||||||
Total Assets | 3,507,111,415 | 412,202,028 | 361,117,109 | 7,972,029 | 3,082,947,214 | 168,321,409 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | 53 | 648 | 18 | 2,120 | 171 | |||||||||||||||||||||
Payable for investments purchased | 141,709,687 | — | — | — | — | — | |||||||||||||||||||||
Payable for capital shares redeemed | 4,640,403 | — | 1,521,133 | — | 4,696,457 | 2,835,045 | |||||||||||||||||||||
Payable for cash collateral received from securities loaned |
278,159 | — | — | — | — | — | |||||||||||||||||||||
Advisory fees payable | 1,518,267 | 266,958 | 218,422 | — | 1,669,373 | 102,672 | |||||||||||||||||||||
Management Services fees payable | 202,434 | 33,735 | 29,442 | — | 232,607 | 15,511 | |||||||||||||||||||||
Custodian fees payable | 184,748 | 2,440 | 3,573 | 265 | 22,130 | 2,097 | |||||||||||||||||||||
Administration fees payable | 51,525 | 17,934 | 17,721 | 6,502 | 44,535 | 13,339 | |||||||||||||||||||||
Trustee fees payable | 19,529 | 1,545 | 2,192 | 48 | 14,399 | 1,071 | |||||||||||||||||||||
Compliance services fees payable | 17,053 | 1,110 | 2,181 | 35 | 11,344 | 836 | |||||||||||||||||||||
Listing, Data and related fees payable | — | 12,632 | 153,826 | — | 488,796 | 30,118 | |||||||||||||||||||||
Professional fees payable | 34,241 | 18,531 | 20,365 | 18,484 | 30,114 | 19,277 | |||||||||||||||||||||
Unrealized depreciation on non- exchange traded swap agreements |
785,296,763 | 7,888,071 | 7,545,590 | 406,501 | 250,857,622 | 14,877,508 | |||||||||||||||||||||
Other liabilities | 85,472 | 18,389 | 14,141 | 1,480 | 66,599 | 6,018 | |||||||||||||||||||||
Total Liabilities | 934,038,281 | 8,261,398 | 9,529,234 | 433,333 | 258,136,096 | 17,903,663 | |||||||||||||||||||||
NET ASSETS | $ | 2,573,073,134 | $ | 403,940,630 | $ | 351,587,875 | $ | 7,538,696 | $ | 2,824,811,118 | $ | 150,417,746 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 2,723,361,216 | $ | 404,972,571 | $ | 1,891,806,615 | $ | 63,414,448 | $ | 7,389,433,928 | $ | 701,624,910 | |||||||||||||||
Distributable earnings (loss) | (150,288,082 | ) | (1,031,941 | ) | (1,540,218,740 | ) | (55,875,752 | ) | (4,564,622,810 | ) | (551,207,164 | ) | |||||||||||||||
NET ASSETS | $ | 2,573,073,134 | $ | 403,940,630 | $ | 351,587,875 | $ | 7,538,696 | $ | 2,824,811,118 | $ | 150,417,746 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) |
55,450,000 | 7,143,605 | 11,342,280 | 298,643 | 59,600,547 | 2,557,646 | |||||||||||||||||||||
Net Asset Value | $ | 46.40 | $ | 56.55 | $ | 31.00 | $ | 25.24 | $ | 47.40 | $ | 58.81 | |||||||||||||||
(a) Includes securities on loan valued at: | $ | 449,507 | $ | — | $ | — | $ | — | $ | — | $ | — |
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 183
UltraPro
Short S&P500® |
UltraShort 7-10 Year Treasury |
UltraShort 20+ Year Treasury |
UltraShort Basic Materials |
UltraShort Consumer Goods |
UltraShort Consumer Services |
||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and Repurchase Agreements, at cost |
$ | 561,972,769 | $ | 128,158,177 | $ | 1,356,179,817 | $ | 2,251,937 | $ | 2,007,935 | $ | 2,073,388 | |||||||||||||||
Securities, at value | 479,246,464 | 49,760,277 | 1,243,374,577 | — | — | — | |||||||||||||||||||||
Repurchase Agreements, at value | 82,174,813 | 78,266,369 | 111,695,574 | 2,251,937 | 2,007,935 | 2,073,388 | |||||||||||||||||||||
Cash | 674,527 | — | — | 24 | 38 | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts |
470,400 | 26,180 | 668,800 | — | — | — | |||||||||||||||||||||
Segregated cash balances with custodian for swap agreements |
18,134,001 | 6,373,766 | 5,532 | 844,160 | 279,707 | 159,007 | |||||||||||||||||||||
Dividends and interest receivable | 1,541 | 1,467 | 2,094 | 42 | 38 | 39 | |||||||||||||||||||||
Receivable for capital shares issued | 48,677,798 | — | — | — | — | — | |||||||||||||||||||||
Receivable from Advisor | — | — | — | 4,938 | 7,179 | 4,621 | |||||||||||||||||||||
Receivable for variation margin on futures contracts |
25,725 | 10,504 | 1,337,190 | — | — | — | |||||||||||||||||||||
Unrealized appreciation on non- exchange traded swap agreements |
143,745,178 | — | 45,741,907 | — | 84,142 | 1,039,622 | |||||||||||||||||||||
Prepaid expenses | 10,205 | 2,244 | 14,117 | 1,478 | 1,466 | 1,479 | |||||||||||||||||||||
Total Assets | 773,160,652 | 134,440,807 | 1,402,839,791 | 3,102,579 | 2,380,505 | 3,278,156 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | 63 | 93 | — | — | 50 | |||||||||||||||||||||
Payable for capital shares redeemed | — | 8,768,554 | — | — | — | — | |||||||||||||||||||||
Advisory fees payable | 450,429 | 78,150 | 923,317 | — | — | — | |||||||||||||||||||||
Management Services fees payable | 60,057 | 10,843 | 123,108 | — | — | — | |||||||||||||||||||||
Custodian fees payable | 5,756 | 1,301 | 11,362 | 33 | 18 | 53 | |||||||||||||||||||||
Administration fees payable | 23,924 | 11,262 | 33,109 | 6,502 | 6,502 | 6,502 | |||||||||||||||||||||
Trustee fees payable | 3,529 | 653 | 8,307 | 12 | 5 | 11 | |||||||||||||||||||||
Compliance services fees payable | 3,260 | 458 | 8,246 | 13 | 5 | 8 | |||||||||||||||||||||
Listing, Data and related fees payable | — | 4,847 | 71,268 | 796 | 371 | 610 | |||||||||||||||||||||
Professional fees payable | 21,614 | 17,678 | 25,541 | 17,197 | 20,548 | 19,193 | |||||||||||||||||||||
Unrealized depreciation on non- exchange traded swap agreements |
51,839,080 | 2,779,027 | 11,388,734 | 625,828 | 39,592 | 11,237 | |||||||||||||||||||||
Other liabilities | 38,166 | 7,990 | 33,067 | 18,230 | 1,160 | 2,750 | |||||||||||||||||||||
Total Liabilities | 52,445,815 | 11,680,826 | 12,626,152 | 668,611 | 68,201 | 40,414 | |||||||||||||||||||||
NET ASSETS | $ | 720,714,837 | $ | 122,759,981 | $ | 1,390,213,639 | $ | 2,433,968 | $ | 2,312,304 | $ | 3,237,742 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 4,720,950,935 | $ | 252,292,053 | $ | 6,391,141,332 | $ | 87,726,545 | $ | 11,544,481 | $ | 22,573,712 | |||||||||||||||
Distributable earnings (loss) | (4,000,236,098 | ) | (129,532,072 | ) | (5,000,927,693 | ) | (85,292,577 | ) | (9,232,177 | ) | (19,335,970 | ) | |||||||||||||||
NET ASSETS | $ | 720,714,837 | $ | 122,759,981 | $ | 1,390,213,639 | $ | 2,433,968 | $ | 2,312,304 | $ | 3,237,742 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) |
44,297,347 | 6,300,000 | 54,106,929 | 235,083 | 165,568 | 121,800 | |||||||||||||||||||||
Net Asset Value | $ | 16.27 | $ | 19.49 | $ | 25.69 | $ | 10.35 | $ | 13.97 | $ | 26.58 |
184 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
UltraShort Dow30SM |
UltraShort Financials |
UltraShort FTSE China 50 |
UltraShort FTSE Europe |
UltraShort Health Care |
UltraShort Industrials |
||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and Repurchase Agreements, at cost |
$ | 86,066,118 | $ | 10,914,793 | $ | 19,218,541 | $ | 39,136,139 | $ | 2,904,771 | $ | 2,010,597 | |||||||||||||||
Securities, at value | 49,943,105 | — | — | — | — | — | |||||||||||||||||||||
Repurchase Agreements, at value | 36,120,384 | 10,914,793 | 19,218,541 | 39,136,139 | 2,904,771 | 2,010,597 | |||||||||||||||||||||
Cash | — | — | — | 7 | — | 18 | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts |
392,700 | — | — | — | — | — | |||||||||||||||||||||
Segregated cash balances with custodian for swap agreements |
21,451,890 | 5,456,554 | 12,566,039 | 18,276,000 | 513,092 | 343,256 | |||||||||||||||||||||
Dividends and interest receivable | 677 | 205 | 360 | 734 | 54 | 38 | |||||||||||||||||||||
Due from counterparty | — | — | — | — | 558 | — | |||||||||||||||||||||
Receivable for capital shares issued | — | — | — | 327,775 | 322,525 | — | |||||||||||||||||||||
Receivable from Advisor | — | — | — | — | 6,858 | 5,783 | |||||||||||||||||||||
Receivable for variation margin on futures contracts |
39,270 | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on non- exchange traded swap agreements |
9,496,608 | 1,379,102 | 535,169 | 1,553,737 | 2,012 | 494,761 | |||||||||||||||||||||
Prepaid expenses | 2,171 | 1,552 | 1,636 | 1,672 | 1,472 | 1,486 | |||||||||||||||||||||
Total Assets | 117,446,805 | 17,752,206 | 32,321,745 | 59,296,064 | 3,751,342 | 2,855,939 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | 25 | 24 | 127 | — | 23 | — | |||||||||||||||||||||
Advisory fees payable | 65,461 | 3,493 | 4,993 | 19,900 | — | — | |||||||||||||||||||||
Management Services fees payable | 9,562 | 1,390 | 2,301 | 4,497 | — | — | |||||||||||||||||||||
Custodian fees payable | 1,300 | 141 | 244 | 303 | 53 | 48 | |||||||||||||||||||||
Administration fees payable | 10,497 | 6,355 | 6,095 | 7,524 | 6,502 | 6,502 | |||||||||||||||||||||
Trustee fees payable | 630 | 73 | 135 | 100 | 13 | 16 | |||||||||||||||||||||
Compliance services fees payable | 576 | 73 | 122 | 81 | 10 | 13 | |||||||||||||||||||||
Listing, Data and related fees payable | 41,886 | 5,380 | 9,405 | 3,439 | 752 | 821 | |||||||||||||||||||||
Professional fees payable | 18,631 | 17,258 | 27,738 | 27,894 | 20,553 | 20,926 | |||||||||||||||||||||
Unrealized depreciation on non- exchange traded swap agreements |
8,283,305 | 1,708,964 | 7,839,280 | 3,346,132 | 328,197 | — | |||||||||||||||||||||
Other liabilities | 17,248 | 3,753 | 2,406 | 5,639 | 948 | 3,725 | |||||||||||||||||||||
Total Liabilities | 8,449,121 | 1,746,904 | 7,892,846 | 3,415,509 | 357,051 | 32,051 | |||||||||||||||||||||
NET ASSETS | $ | 108,997,684 | $ | 16,005,302 | $ | 24,428,899 | $ | 55,880,555 | $ | 3,394,291 | $ | 2,823,888 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 836,567,514 | $ | 519,654,301 | $ | 277,322,596 | $ | 276,546,410 | $ | 14,986,187 | $ | 23,461,469 | |||||||||||||||
Distributable earnings (loss) | (727,569,830 | ) | (503,648,999 | ) | (252,893,697 | ) | (220,665,855 | ) | (11,591,896 | ) | (20,637,581 | ) | |||||||||||||||
NET ASSETS | $ | 108,997,684 | $ | 16,005,302 | $ | 24,428,899 | $ | 55,880,555 | $ | 3,394,291 | $ | 2,823,888 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) |
2,359,786 | 847,666 | 651,947 | 4,262,119 | 255,430 | 165,135 | |||||||||||||||||||||
Net Asset Value | $ | 46.19 | $ | 18.88 | $ | 37.47 | $ | 13.11 | $ | 13.29 | $ | 17.10 |
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 185
UltraShort MidCap400 |
UltraShort MSCI Brazil Capped |
UltraShort MSCI EAFE |
UltraShort MSCI Emerging Markets |
UltraShort MSCI Japan |
UltraShort Nasdaq Biotechnology |
||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and Repurchase Agreements, at cost |
$ | 2,308,157 | $ | 10,280,163 | $ | 1,418,701 | $ | 8,738,608 | $ | 4,929,962 | $ | 3,628,839 | |||||||||||||||
Securities, at value | — | — | — | — | — | — | |||||||||||||||||||||
Repurchase Agreements, at value | 2,308,157 | 10,280,163 | 1,418,701 | 8,738,608 | 4,929,962 | 3,628,839 | |||||||||||||||||||||
Cash | 17 | — | 14 | — | — | 29 | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts |
27,000 | — | — | — | — | — | |||||||||||||||||||||
Segregated cash balances with custodian for swap agreements |
1,031,304 | 11,086,000 | 236,650 | 3,075,000 | 1,421,091 | 1,629,000 | |||||||||||||||||||||
Dividends and interest receivable | 43 | 193 | 27 | 164 | 92 | 68 | |||||||||||||||||||||
Receivable from Advisor | 3,836 | 3,876 | 9,651 | 2,858 | 6,647 | 1,443 | |||||||||||||||||||||
Receivable for variation margin on futures contracts |
2,430 | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on non- exchange traded swap agreements |
228,025 | 54,816 | 101,182 | 877,283 | 319,564 | 3,591,186 | |||||||||||||||||||||
Prepaid expenses | 4,262 | 2,178 | 1,516 | 1,584 | 1,577 | 69 | |||||||||||||||||||||
Total Assets | 3,605,074 | 21,427,226 | 1,767,741 | 12,695,497 | 6,678,933 | 8,850,634 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | 25 | — | 26 | 15 | — | |||||||||||||||||||||
Custodian fees payable | 160 | 157 | 33 | 114 | 44 | 122 | |||||||||||||||||||||
Administration fees payable | 6,502 | 6,781 | 6,502 | 6,502 | 6,502 | 6,527 | |||||||||||||||||||||
Trustee fees payable | 12 | 84 | 9 | 49 | 25 | 60 | |||||||||||||||||||||
Compliance services fees payable | 11 | 83 | 8 | 41 | 24 | 47 | |||||||||||||||||||||
Listing, Data and related fees payable | — | — | — | — | — | 3,067 | |||||||||||||||||||||
Professional fees payable | 17,203 | 30,996 | 25,861 | 26,787 | 26,430 | 20,588 | |||||||||||||||||||||
Unrealized depreciation on non- exchange traded swap agreements |
680,202 | 7,892,372 | 109,830 | 1,531,738 | 335,325 | 395,047 | |||||||||||||||||||||
Other liabilities | 2,648 | 2,133 | 1,100 | 2,035 | 1,304 | 1,357 | |||||||||||||||||||||
Total Liabilities | 706,738 | 7,932,631 | 143,343 | 1,567,292 | 369,669 | 426,815 | |||||||||||||||||||||
NET ASSETS | $ | 2,898,336 | $ | 13,494,595 | $ | 1,624,398 | $ | 11,128,205 | $ | 6,309,264 | $ | 8,423,819 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 57,551,223 | $ | 107,270,299 | $ | 22,329,008 | $ | 177,557,961 | $ | 33,563,593 | $ | 79,813,818 | |||||||||||||||
Distributable earnings (loss) | (54,652,887 | ) | (93,775,704 | ) | (20,704,610 | ) | (166,429,756 | ) | (27,254,329 | ) | (71,389,999 | ) | |||||||||||||||
NET ASSETS | $ | 2,898,336 | $ | 13,494,595 | $ | 1,624,398 | $ | 11,128,205 | $ | 6,309,264 | $ | 8,423,819 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) |
163,510 | 658,667 | 137,428 | 538,771 | 374,913 | 296,096 | |||||||||||||||||||||
Net Asset Value | $ | 17.73 | $ | 20.49 | $ | 11.82 | $ | 20.65 | $ | 16.83 | $ | 28.45 |
186 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
UltraShort Oil & Gas |
UltraShort QQQ | UltraShort Real Estate |
UltraShort Russell2000 |
UltraShort S&P500® |
UltraShort Semiconductors |
||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and Repurchase Agreements, at cost |
$ | 26,446,572 | $ | 291,088,118 | $ | 21,057,903 | $ | 95,577,628 | $ | 604,879,057 | $ | 6,253,154 | |||||||||||||||
Securities, at value | — | 219,699,197 | — | 34,991,662 | 522,077,108 | — | |||||||||||||||||||||
Repurchase Agreements, at value | 26,446,572 | 71,178,161 | 21,057,903 | 60,585,395 | 82,376,178 | 6,253,154 | |||||||||||||||||||||
Cash | 91 | — | 11 | 282 | 777 | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts |
— | 528,550 | — | 290,400 | 604,800 | — | |||||||||||||||||||||
Segregated cash balances with custodian for swap agreements |
23,227,461 | 21,349,136 | 3,768,271 | 10,811,588 | 31,357,436 | 1,404,078 | |||||||||||||||||||||
Dividends and interest receivable | 496 | 1,335 | 395 | 1,136 | 1,544 | 117 | |||||||||||||||||||||
Due from broker | — | — | — | 9,221,198 | — | — | |||||||||||||||||||||
Receivable for capital shares issued | 2,482,995 | 16,773,301 | — | 836,734 | 176,377,677 | — | |||||||||||||||||||||
Receivable from Advisor | — | — | — | — | — | 2,110 | |||||||||||||||||||||
Receivable for variation margin on futures contracts |
— | 19,375 | — | 57,363 | 33,075 | — | |||||||||||||||||||||
Unrealized appreciation on non- exchange traded swap agreements |
— | 69,445,856 | 3,585,116 | 13,780,504 | 91,980,719 | 304,193 | |||||||||||||||||||||
Prepaid expenses | 1,696 | 3,641 | 1,584 | 2,171 | 9,448 | 1,492 | |||||||||||||||||||||
Total Assets | 52,159,311 | 398,998,552 | 28,413,280 | 130,578,433 | 904,818,762 | 7,965,144 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | 256 | — | — | — | 87 | |||||||||||||||||||||
Payable for capital shares redeemed | — | 13,383,311 | — | 816,467 | — | — | |||||||||||||||||||||
Advisory fees payable | 7,814 | 221,045 | 10,331 | 61,366 | 491,608 | — | |||||||||||||||||||||
Management Services fees payable | 2,402 | 32,636 | 2,475 | 9,980 | 65,547 | — | |||||||||||||||||||||
Custodian fees payable | 248 | 3,391 | 177 | 1,475 | 6,301 | 57 | |||||||||||||||||||||
Administration fees payable | 6,508 | 17,745 | 6,546 | 10,694 | 25,413 | 6,502 | |||||||||||||||||||||
Trustee fees payable | 99 | 2,042 | 100 | 620 | 4,052 | 25 | |||||||||||||||||||||
Compliance services fees payable | 113 | 1,513 | 91 | 506 | 3,553 | 19 | |||||||||||||||||||||
Listing, Data and related fees payable | 7,914 | 63,959 | 7,559 | 18,514 | — | 1,459 | |||||||||||||||||||||
Professional fees payable | 20,657 | 20,736 | 21,012 | 19,635 | 22,228 | 17,207 | |||||||||||||||||||||
Unrealized depreciation on non- exchange traded swap agreements |
21,415,236 | 19,896,847 | 436,024 | 13,930,463 | 4,283,064 | 1,212,110 | |||||||||||||||||||||
Other liabilities | 21,833 | 25,104 | 9,324 | 6,527 | 58,020 | 1,491 | |||||||||||||||||||||
Total Liabilities | 21,482,824 | 33,668,585 | 493,639 | 14,876,247 | 4,959,786 | 1,238,957 | |||||||||||||||||||||
NET ASSETS | $ | 30,676,487 | $ | 365,329,967 | $ | 27,919,641 | $ | 115,702,186 | $ | 899,858,976 | $ | 6,726,187 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 155,447,427 | $ | 1,920,856,989 | $ | 271,917,587 | $ | 867,301,214 | $ | 6,096,528,579 | $ | 52,347,698 | |||||||||||||||
Distributable earnings (loss) | (124,770,940 | ) | (1,555,527,022 | ) | (243,997,946 | ) | (751,599,028 | ) | (5,196,669,603 | ) | (45,621,511 | ) | |||||||||||||||
NET ASSETS | $ | 30,676,487 | $ | 365,329,967 | $ | 27,919,641 | $ | 115,702,186 | $ | 899,858,976 | $ | 6,726,187 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) |
1,853,254 | 16,295,774 | 1,847,077 | 6,913,966 | 20,806,249 | 299,460 | |||||||||||||||||||||
Net Asset Value | $ | 16.55 | $ | 22.42 | $ | 15.12 | $ | 16.73 | $ | 43.25 | $ | 22.46 |
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 187
UltraShort SmallCap600 |
UltraShort Technology |
UltraShort Utilities |
|||||||||||||
ASSETS: | |||||||||||||||
Securities and Repurchase Agreements, at cost | $ | 3,783,823 | $ | 5,112,978 | $ | 2,281,332 | |||||||||
Securities, at value | — | — | — | ||||||||||||
Repurchase Agreements, at value | 3,783,823 | 5,112,978 | 2,281,332 | ||||||||||||
Cash | — | 9 | — | ||||||||||||
Segregated cash balances with custodian for swap agreements | 1,320,382 | 1,613,192 | 508,683 | ||||||||||||
Dividends and interest receivable | 71 | 96 | 43 | ||||||||||||
Receivable from Advisor | 3,226 | 458 | 4,821 | ||||||||||||
Unrealized appreciation on non-exchange traded swap agreements | — | 2,553,294 | — | ||||||||||||
Prepaid expenses | 3,113 | 1,507 | 1,472 | ||||||||||||
Total Assets | 5,110,615 | 9,281,534 | 2,796,351 | ||||||||||||
LIABILITIES: | |||||||||||||||
Cash overdraft | 20 | — | 19 | ||||||||||||
Payable for capital shares redeemed | — | 1,415,573 | — | ||||||||||||
Custodian fees payable | 32 | 124 | 30 | ||||||||||||
Administration fees payable | 6,502 | 6,502 | 6,502 | ||||||||||||
Trustee fees payable | 20 | 39 | 8 | ||||||||||||
Compliance services fees payable | 18 | 31 | 11 | ||||||||||||
Listing, Data and related fees payable | — | 2,548 | 780 | ||||||||||||
Professional fees payable | 17,204 | 19,221 | 17,196 | ||||||||||||
Unrealized depreciation on non-exchange traded swap agreements | 446,065 | 68,982 | 368,029 | ||||||||||||
Other liabilities | 1,176 | 5,029 | 1,960 | ||||||||||||
Total Liabilities | 471,037 | 1,518,049 | 394,535 | ||||||||||||
NET ASSETS | $ | 4,639,578 | $ | 7,763,485 | $ | 2,401,816 | |||||||||
NET ASSETS CONSIST OF: | |||||||||||||||
Paid in Capital | $ | 36,107,423 | $ | 38,471,287 | $ | 15,211,016 | |||||||||
Distributable earnings (loss) | (31,467,845 | ) | (30,707,802 | ) | (12,809,200 | ) | |||||||||
NET ASSETS | $ | 4,639,578 | $ | 7,763,485 | $ | 2,401,816 | |||||||||
Shares (unlimited number of shares authorized, no par value) | 183,946 | 406,103 | 218,720 | ||||||||||||
Net Asset Value | $ | 25.22 | $ | 19.12 | $ | 10.98 |
188 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 189
Short
7-10 Year Treasury |
Short
20+ Year Treasury |
Short
Dow30SM |
Short
Financials |
Short
FTSE China 50 |
Short
High Yield |
||||||||||||||||||||||
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Interest | $ | 122,573 | $ | 644,125 | $ | 223,754 | $ | 11,706 | $ | 4,835 | $ | 154,326 | |||||||||||||||
Total Investment Income | 122,573 | 644,125 | 223,754 | 11,706 | 4,835 | 154,326 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 909,799 | 5,198,275 | 1,933,906 | 82,205 | 58,676 | 734,945 | |||||||||||||||||||||
Management Services fees (Note 4) | 121,306 | 693,098 | 257,852 | 10,961 | 7,824 | 97,992 | |||||||||||||||||||||
Professional fees | 18,539 | 24,475 | 19,255 | 17,254 | 32,455 | 28,240 | |||||||||||||||||||||
Administration fees (Note 5) | 69,322 | 154,873 | 98,580 | 38,471 | 38,471 | 60,664 | |||||||||||||||||||||
Custodian fees (Note 6) | 9,520 | 41,639 | 15,087 | 630 | 583 | 4,806 | |||||||||||||||||||||
Printing and Shareholder reports | 6,424 | 32,588 | — | 1,455 | 1,126 | — | |||||||||||||||||||||
Listing, Data and related fees (Note 7) |
19,019 | 62,632 | 113,063 | 14,304 | 17,352 | 57,270 | |||||||||||||||||||||
Trustees fees (Note 8) | 1,946 | 12,150 | 4,491 | 169 | 133 | 1,262 | |||||||||||||||||||||
Compliance services fees (Note 4) | 512 | 3,462 | 1,262 | 47 | 40 | 421 | |||||||||||||||||||||
Other fees | 13,323 | 21,983 | 8,447 | 5,048 | 4,449 | 25,402 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed |
1,169,710 | 6,245,175 | 2,451,943 | 170,544 | 161,109 | 1,011,002 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) |
(17,016 | ) | — | (2,500 | ) | (66,421 | ) | (86,746 | ) | (80,160 | ) | ||||||||||||||||
Total Net Expenses | 1,152,694 | 6,245,175 | 2,449,443 | 104,123 | 74,363 | 930,842 | |||||||||||||||||||||
Net Investment Income (Loss) | (1,030,121 | ) | (5,601,050 | ) | (2,225,689 | ) | (92,417 | ) | (69,528 | ) | (776,516 | ) | |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
|||||||||||||||||||||||||||
Transactions in investment securities | — | 261 | 10,617 | — | — | — | |||||||||||||||||||||
Expiration or closing of futures contracts |
116,943 | 1,629,849 | (31,975 | ) | — | — | — | ||||||||||||||||||||
Expiration or closing of non-exchange traded swap agreements |
12,914,031 | 90,200,264 | (55,072,803 | ) | (4,231,118 | ) | 999,309 | 2,776,015 | |||||||||||||||||||
Net realized gain (loss) | 13,030,974 | 91,830,374 | (55,094,161 | ) | (4,231,118 | ) | 999,309 | 2,776,015 | |||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: |
|||||||||||||||||||||||||||
Investments | (2,735 | ) | (655,838 | ) | (371,934 | ) | — | — | (1,287 | ) | |||||||||||||||||
Futures contracts | 11,478 | 143,103 | 998,325 | — | — | — | |||||||||||||||||||||
Non-exchange traded swap agreements |
359,259 | 9,943,333 | 51,438,064 | 4,256,674 | 420,688 | (2,561,667 | ) | ||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
368,002 | 9,430,598 | 52,064,455 | 4,256,674 | 420,688 | (2,562,954 | ) | ||||||||||||||||||||
Net realized and unrealized gain (loss) |
13,398,976 | 101,260,972 | (3,029,706 | ) | 25,556 | 1,419,997 | 213,061 | ||||||||||||||||||||
Change in Net Assets Resulting from Operations |
$ | 12,368,855 | $ | 95,659,922 | $ | (5,255,395 | ) | $ | (66,861 | ) | $ | 1,350,469 | $ | (563,455 | ) |
190 :: FOR THE YEAR ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
Short
MidCap400 |
Short
MSCI EAFE |
Short
MSCI Emerging Markets |
Short QQQ | Short
Real Estate |
Short
Russell2000 |
||||||||||||||||||||||
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Interest | $ | 7,577 | $ | 46,388 | $ | 25,350 | $ | 916,543 | $ | 9,584 | $ | 404,216 | |||||||||||||||
Total Investment Income | 7,577 | 46,388 | 25,350 | 916,543 | 9,584 | 404,216 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 82,118 | 217,938 | 252,753 | 5,391,315 | 64,582 | 2,291,017 | |||||||||||||||||||||
Management Services fees (Note 4) | 10,949 | 29,058 | 33,700 | 718,837 | 8,611 | 305,467 | |||||||||||||||||||||
Professional fees | 17,273 | 33,954 | 40,259 | 26,549 | 17,262 | 22,431 | |||||||||||||||||||||
Administration fees (Note 5) | 38,542 | 42,157 | 40,719 | 154,267 | 38,471 | 104,223 | |||||||||||||||||||||
Custodian fees (Note 6) | 2,290 | 1,782 | 2,117 | 38,125 | 442 | 17,812 | |||||||||||||||||||||
Printing and Shareholder reports | — | — | 1,939 | 32,752 | 581 | — | |||||||||||||||||||||
Listing, Data and related fees (Note 7) |
12,419 | 18,581 | 23,388 | 731,231 | 13,364 | 300,112 | |||||||||||||||||||||
Trustees fees (Note 8) | 192 | 420 | 552 | 11,745 | 138 | 5,084 | |||||||||||||||||||||
Compliance services fees (Note 4) | 45 | 132 | 162 | 3,507 | 33 | 1,436 | |||||||||||||||||||||
Other fees | 3,651 | 9,998 | 6,502 | 62,233 | 6,095 | 21,479 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed |
167,479 | 354,020 | 402,091 | 7,170,561 | 149,579 | 3,069,061 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) |
(63,467 | ) | (78,006 | ) | (81,822 | ) | (340,304 | ) | (67,794 | ) | (166,456 | ) | |||||||||||||||
Total Net Expenses | 104,012 | 276,014 | 320,269 | 6,830,257 | 81,785 | 2,902,605 | |||||||||||||||||||||
Net Investment Income (Loss) | (96,435 | ) | (229,626 | ) | (294,919 | ) | (5,913,714 | ) | (72,201 | ) | (2,498,389 | ) | |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
|||||||||||||||||||||||||||
Transactions in investment securities | 1,617 | 3,363 | 3,051 | 4,063 | — | 108 | |||||||||||||||||||||
Expiration or closing of futures contracts |
(43,872 | ) | — | — | 13,193,280 | — | 2,893,586 | ||||||||||||||||||||
Expiration or closing of non-exchange traded swap agreements |
(4,230,495 | ) | (2,815,363 | ) | (646,020 | ) | (134,998,755 | ) | (2,547,182 | ) | (46,343,144 | ) | |||||||||||||||
Net realized gain (loss) | (4,272,750 | ) | (2,812,000 | ) | (642,969 | ) | (121,801,412 | ) | (2,547,182 | ) | (43,449,450 | ) | |||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: |
|||||||||||||||||||||||||||
Investments | — | (921 | ) | — | (637,721 | ) | — | (338,726 | ) | ||||||||||||||||||
Futures contracts | 20,931 | — | — | 3,809,836 | — | 2,013,217 | |||||||||||||||||||||
Non-exchange traded swap agreements |
4,346,266 | 1,993,635 | 4,739,509 | 175,682,034 | 2,081,298 | 74,533,921 | |||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
4,367,197 | 1,992,714 | 4,739,509 | 178,854,149 | 2,081,298 | 76,208,412 | |||||||||||||||||||||
Net realized and unrealized gain (loss) |
94,447 | (819,286 | ) | 4,096,540 | 57,052,737 | (465,884 | ) | 32,758,962 | |||||||||||||||||||
Change in Net Assets Resulting from Operations |
$ | (1,988 | ) | $ | (1,048,912 | ) | $ | 3,801,621 | $ | 51,139,023 | $ | (538,085 | ) | $ | 30,260,573 |
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 191
Short
S&P500® |
Short
SmallCap600 |
Ultra
7-10 Year Treasury |
Ultra
20+ Year Treasury |
Ultra
Basic Materials |
Ultra
Consumer Goods |
||||||||||||||||||||||
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | $ | 1,163,610 | $ | 178,831 | |||||||||||||||
Interest | 2,077,257 | 4,878 | 165,600 | 221,060 | 6,447 | 1,203 | |||||||||||||||||||||
Securities lending income (Note 2) | — | — | 1,436 | 202 | 942 | 2,112 | |||||||||||||||||||||
Total Investment Income | 2,077,257 | 4,878 | 167,036 | 221,262 | 1,170,999 | 182,146 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 12,176,536 | 37,360 | 145,733 | 369,357 | 548,462 | 105,153 | |||||||||||||||||||||
Management Services fees (Note 4) | 1,623,526 | 4,981 | 19,431 | 49,247 | 73,128 | 14,020 | |||||||||||||||||||||
Professional fees | 32,885 | 17,227 | 18,069 | 18,322 | 27,502 | 24,438 | |||||||||||||||||||||
Administration fees (Note 5) | 215,226 | 38,471 | 70,634 | 78,706 | 96,341 | 74,931 | |||||||||||||||||||||
Custodian fees (Note 6) | 77,119 | 291 | 3,397 | 5,627 | 8,910 | 12,965 | |||||||||||||||||||||
Printing and Shareholder reports | 53,718 | 421 | 413 | 2,592 | 3,691 | 931 | |||||||||||||||||||||
Listing, Data and related fees (Note 7) |
18,113 | 12,415 | 11,332 | 13,614 | 39,172 | 15,528 | |||||||||||||||||||||
Trustees fees (Note 8) | 26,594 | 80 | 356 | 858 | 1,324 | 247 | |||||||||||||||||||||
Compliance services fees (Note 4) | 7,799 | 20 | 91 | 255 | 381 | 63 | |||||||||||||||||||||
Other fees | 138,081 | 4,375 | 4,774 | 7,144 | 5,388 | 4,044 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed |
14,369,597 | 115,641 | 274,230 | 545,722 | 804,299 | 252,320 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) |
— | (68,313 | ) | (89,715 | ) | (78,328 | ) | (109,585 | ) | (119,141 | ) | ||||||||||||||||
Total Net Expenses | 14,369,597 | 47,328 | 184,515 | 467,394 | 694,714 | 133,179 | |||||||||||||||||||||
Net Investment Income (Loss) | (12,292,340 | ) | (42,450 | ) | (17,479 | ) | (246,132 | ) | 476,285 | 48,967 | |||||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
|||||||||||||||||||||||||||
Transactions in investment securities | (37,633 | ) | 26 | (272,801 | ) | (1,209,870 | ) | (153,377 | ) | (237,716 | ) | ||||||||||||||||
Expiration or closing of futures contracts |
(8,471,879 | ) | — | (10,306 | ) | (104,756 | ) | — | — | ||||||||||||||||||
Expiration or closing of non-exchange traded swap agreements |
(401,652,689 | ) | (773,134 | ) | 452,693 | (17,711,935 | ) | 12,690,990 | 4,568,993 | ||||||||||||||||||
In-kind redemptions of investments | — | — | — | (742,803 | ) | 10,108,504 | 1,773,129 | ||||||||||||||||||||
Net realized gain (loss) | (410,162,201 | ) | (773,108 | ) | 169,586 | (19,769,364 | ) | 22,646,117 | 6,104,406 | ||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: |
|||||||||||||||||||||||||||
Investments | (1,180,917 | ) | — | (109,868 | ) | 2,013,346 | (10,026,224 | ) | (2,153,700 | ) | |||||||||||||||||
Futures contracts | 5,776,059 | — | (1,093 | ) | (4,120 | ) | — | — | |||||||||||||||||||
Non-exchange traded swap agreements |
368,257,990 | 1,086,075 | (3,419,370 | ) | (1,004,149 | ) | (14,960,918 | ) | (4,568,520 | ) | |||||||||||||||||
Change in net unrealized
appreciation/depreciation |
372,853,132 | 1,086,075 | (3,530,331 | ) | 1,005,077 | (24,987,142 | ) | (6,722,220 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) |
(37,309,069 | ) | 312,967 | (3,360,745 | ) | (18,764,287 | ) | (2,341,025 | ) | (617,814 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations |
$ | (49,601,409 | ) | $ | 270,517 | $ | (3,378,224 | ) | $ | (19,010,419 | ) | $ | (1,864,740 | ) | $ | (568,847 | ) |
192 :: FOR THE YEAR ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
Ultra
Consumer Services |
Ultra
Dow30SM |
Ultra
Financials |
Ultra
FTSE China 50 |
Ultra
FTSE Europe |
Ultra
Health Care |
||||||||||||||||||||||
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | 167,938 | $ | 6,995,906 | $ | 11,012,657 | $ | — | $ | — | $ | 1,869,270 | |||||||||||||||
Interest | 3,605 | 52,457 | 5,428 | 3,585 | 2,329 | 15,214 | |||||||||||||||||||||
Securities lending income (Note 2) | 845 | 857 | 9,362 | — | — | 1,181 | |||||||||||||||||||||
Foreign withholding tax on income | — | — | (1,305 | ) | — | — | — | ||||||||||||||||||||
Total Investment Income | 172,388 | 7,049,220 | 11,026,142 | 3,585 | 2,329 | 1,885,665 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 214,608 | 3,439,500 | 6,373,140 | 133,753 | 37,207 | 1,191,322 | |||||||||||||||||||||
Management Services fees (Note 4) | 28,614 | 458,597 | 849,746 | 17,833 | 4,961 | 158,842 | |||||||||||||||||||||
Professional fees | 16,075 | 23,684 | 42,012 | 40,694 | 31,993 | 26,804 | |||||||||||||||||||||
Administration fees (Note 5) | 74,932 | 178,258 | 219,329 | 39,037 | 38,489 | 124,394 | |||||||||||||||||||||
Custodian fees (Note 6) | 13,792 | 32,255 | 105,502 | 932 | 304 | 28,155 | |||||||||||||||||||||
Printing and Shareholder reports | 1,742 | 7,876 | 21,006 | 1,494 | 644 | 2,348 | |||||||||||||||||||||
Listing, Data and related fees (Note 7) |
21,366 | 193,362 | 349,824 | 26,862 | 11,408 | 73,458 | |||||||||||||||||||||
Trustees fees (Note 8) | 530 | 8,145 | 15,403 | 330 | 90 | 2,809 | |||||||||||||||||||||
Compliance services fees (Note 4) | 118 | 2,014 | 3,987 | 78 | 23 | 784 | |||||||||||||||||||||
Recoupment of prior expenses waived and/or reimbursed by Advisor (Note 4) |
— | — | 58,652 | — | — | — | |||||||||||||||||||||
Other fees | 4,406 | 14,674 | 24,674 | 4,675 | 4,195 | 7,580 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed |
376,183 | 4,358,365 | 8,063,275 | 265,688 | 129,314 | 1,616,496 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) |
(104,632 | ) | (2,666 | ) | — | (95,906 | ) | (82,191 | ) | (107,193 | ) | ||||||||||||||||
Total Net Expenses | 271,551 | 4,355,699 | 8,063,275 | 169,782 | 47,123 | 1,509,303 | |||||||||||||||||||||
Net Investment Income (Loss) | (99,163 | ) | 2,693,521 | 2,962,867 | (166,197 | ) | (44,794 | ) | 376,362 | ||||||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
|||||||||||||||||||||||||||
Transactions in investment securities | (1,420,111 | ) | (4,359,813 | ) | (6,487,864 | ) | — | — | (1,859,276 | ) | |||||||||||||||||
Expiration or closing of futures contracts |
— | (2,179,679 | ) | — | — | — | — | ||||||||||||||||||||
Expiration or closing of non-exchange traded swap agreements |
6,254,246 | 102,210,300 | (3,123,317 | ) | 248,528 | 1,391,855 | 30,590,422 | ||||||||||||||||||||
In-kind redemptions of investments | 1,817,884 | 33,207,902 | 178,062,449 | — | — | 27,397,070 | |||||||||||||||||||||
Net realized gain (loss) | 6,652,019 | 128,878,710 | 168,451,268 | 248,528 | 1,391,855 | 56,128,216 | |||||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: |
|||||||||||||||||||||||||||
Investments | (5,214,268 | ) | (49,047,715 | ) | (193,699,510 | ) | — | — | (22,723,656 | ) | |||||||||||||||||
Futures contracts | — | (1,288,669 | ) | — | — | — | — | ||||||||||||||||||||
Non-exchange traded swap agreements |
(12,224,031 | ) | (123,513,100 | ) | (44,613,124 | ) | (14,756,734 | ) | (2,301,983 | ) | (25,990,965 | ) | |||||||||||||||
Change in net unrealized appreciation/depreciation |
(17,438,299 | ) | (173,849,484 | ) | (238,312,634 | ) | (14,756,734 | ) | (2,301,983 | ) | (48,714,621 | ) | |||||||||||||||
Net realized and unrealized gain (loss) |
(10,786,280 | ) | (44,970,774 | ) | (69,861,366 | ) | (14,508,206 | ) | (910,128 | ) | 7,413,595 | ||||||||||||||||
Change in Net Assets Resulting from Operations |
$ | (10,885,443 | ) | $ | (42,277,253 | ) | $ | (66,898,499 | ) | $ | (14,674,403 | ) | $ | (954,922 | ) | $ | 7,789,957 |
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 193
Ultra
High Yield |
Ultra
Industrials |
Ultra
MidCap400 |
Ultra
MSCI Brazil Capped |
Ultra
MSCI EAFE |
Ultra
MSCI Emerging Markets |
||||||||||||||||||||||
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | — | $ | 281,257 | $ | 1,970,727 | $ | — | $ | — | $ | — | |||||||||||||||
Interest | 4,289 | 2,297 | 22,244 | 3,720 | 4,879 | 25,005 | |||||||||||||||||||||
Securities lending income (Note 2) | — | 282 | 4,251 | — | — | — | |||||||||||||||||||||
Total Investment Income | 4,289 | 283,836 | 1,997,222 | 3,720 | 4,879 | 25,005 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 162,100 | 213,866 | 1,218,130 | 53,915 | 94,473 | 401,904 | |||||||||||||||||||||
Management Services fees (Note 4) | 21,613 | 28,515 | 162,416 | 7,189 | 12,596 | 53,587 | |||||||||||||||||||||
Professional fees | 16,104 | 5,117 | 4,890 | 40,294 | 43,566 | 29,696 | |||||||||||||||||||||
Administration fees (Note 5) | 23,535 | 75,078 | 125,088 | 38,474 | 38,493 | 47,676 | |||||||||||||||||||||
Custodian fees (Note 6) | 1,423 | 26,294 | 73,291 | 549 | 747 | 2,984 | |||||||||||||||||||||
Printing and Shareholder reports | 887 | 1,781 | 6,482 | 1,404 | 1,128 | 4,412 | |||||||||||||||||||||
Listing, Data and related fees (Note 7) |
21,935 | 21,326 | 12,419 | 13,003 | 15,833 | 37,797 | |||||||||||||||||||||
Trustees fees (Note 8) | 402 | 529 | 2,937 | 122 | 227 | 1,024 | |||||||||||||||||||||
Compliance services fees (Note 4) | 92 | 106 | 711 | 34 | 53 | 238 | |||||||||||||||||||||
Other fees | 4,240 | 4,814 | 8,136 | 4,496 | 4,028 | 5,472 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed |
252,331 | 377,426 | 1,614,500 | 159,480 | 211,144 | 584,790 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) |
(47,055 | ) | (106,704 | ) | (72,278 | ) | (91,197 | ) | (91,543 | ) | (76,441 | ) | |||||||||||||||
Total Net Expenses | 205,276 | 270,722 | 1,542,222 | 68,283 | 119,601 | 508,349 | |||||||||||||||||||||
Net Investment Income (Loss) | (200,987 | ) | 13,114 | 455,000 | (64,563 | ) | (114,722 | ) | (483,344 | ) | |||||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
|||||||||||||||||||||||||||
Transactions in investment securities | — | (408,606 | ) | (3,909,365 | ) | — | 20 | 1,349 | |||||||||||||||||||
Expiration or closing of futures contracts |
— | — | (260,253 | ) | — | — | — | ||||||||||||||||||||
Expiration or closing of non-exchange traded swap agreements |
2,079,332 | 5,508,220 | 38,464,565 | 3,040,927 | 3,370,033 | 2,159,833 | |||||||||||||||||||||
In-kind redemptions of investments | — | 5,920,779 | 13,421,526 | — | — | — | |||||||||||||||||||||
Net realized gain (loss) | 2,079,332 | 11,020,393 | 47,716,473 | 3,040,927 | 3,370,053 | 2,161,182 | |||||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: |
|||||||||||||||||||||||||||
Investments | — | (8,558,949 | ) | (24,002,223 | ) | — | — | — | |||||||||||||||||||
Futures contracts | — | — | (324,071 | ) | — | — | — | ||||||||||||||||||||
Non-exchange traded swap agreements |
(3,822,149 | ) | (9,555,735 | ) | (54,632,789 | ) | (3,732,576 | ) | (6,735,618 | ) | (29,812,128 | ) | |||||||||||||||
Change in net unrealized appreciation/depreciation |
(3,822,149 | ) | (18,114,684 | ) | (78,959,083 | ) | (3,732,576 | ) | (6,735,618 | ) | (29,812,128 | ) | |||||||||||||||
Net realized and unrealized gain (loss) |
(1,742,817 | ) | (7,094,291 | ) | (31,242,610 | ) | (691,649 | ) | (3,365,565 | ) | (27,650,946 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations |
$ | (1,943,804 | ) | $ | (7,081,177 | ) | $ | (30,787,610 | ) | $ | (756,212 | ) | $ | (3,480,287 | ) | $ | (28,134,290 | ) |
194 :: FOR THE YEAR ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
Ultra
MSCI Japan |
Ultra
Nasdaq Biotechnology |
Ultra
Nasdaq Cloud Computing |
Ultra
Nasdaq Cybersecurity |
Ultra
Oil & Gas |
Ultra QQQ | ||||||||||||||||||||||
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | 14,654 | $ | 1,303,177 | $ | 13,164 | $ | 1,630 | $ | 6,040,185 | $ | 31,853,153 | |||||||||||||||
Interest | 1,164 | 7,858 | 244 | 695 | 1,007 | 687,187 | |||||||||||||||||||||
Securities lending income (Note 2) | — | 67,756 | — | — | 626 | 582,054 | |||||||||||||||||||||
Foreign withholding tax on income | — | (12,873 | ) | (162 | ) | — | — | (54,162 | ) | ||||||||||||||||||
Total Investment Income | 15,818 | 1,365,918 | 13,246 | 2,325 | 6,041,818 | 33,068,232 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 59,793 | 1,535,183 | 19,096 | 29,616 | 1,535,187 | 38,332,212 | |||||||||||||||||||||
Management Services fees (Note 4) | 7,972 | 204,689 | 2,546 | 3,949 | 204,690 | 5,110,920 | |||||||||||||||||||||
Professional fees | 28,122 | 23,189 | 17,211 | 17,227 | 24,444 | 74,231 | |||||||||||||||||||||
Administration fees (Note 5) | 63,390 | 133,952 | 42,201 | 25,969 | 135,890 | 439,766 | |||||||||||||||||||||
Custodian fees (Note 6) | 779 | 73,707 | 3,509 | 266 | 18,838 | 363,134 | |||||||||||||||||||||
Printing and Shareholder reports | 1,115 | 17,748 | 482 | 569 | 7,872 | 103,458 | |||||||||||||||||||||
Listing, Data and related fees (Note 7) |
13,267 | 207,477 | 763 | 90 | 91,798 | 5,124,762 | |||||||||||||||||||||
Trustees fees (Note 8) | 142 | 3,785 | 45 | 70 | 3,649 | 90,565 | |||||||||||||||||||||
Compliance services fees (Note 4) | 41 | 1,088 | 14 | 21 | 1,086 | 23,242 | |||||||||||||||||||||
Other fees | 4,240 | 9,423 | 2,704 | 3,718 | 9,098 | 148,049 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed |
178,861 | 2,210,241 | 88,571 | 81,495 | 2,032,552 | 49,810,339 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) |
(102,704 | ) | (267,592 | ) | (64,434 | ) | (44,002 | ) | (82,533 | ) | (1,282,847 | ) | |||||||||||||||
Total Net Expenses | 76,157 | 1,942,649 | 24,137 | 37,493 | 1,950,019 | 48,527,492 | |||||||||||||||||||||
Net Investment Income (Loss) | (60,339 | ) | (576,731 | ) | (10,891 | ) | (35,168 | ) | 4,091,799 | (15,459,260 | ) | ||||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
|||||||||||||||||||||||||||
Transactions in investment securities | (502,247 | ) | (33,729,774 | ) | (442,095 | ) | — | 102,910 | (369,137,894 | ) | |||||||||||||||||
Expiration or closing of futures contracts |
— | — | — | — | — | (101,769,676 | ) | ||||||||||||||||||||
Expiration or closing of non-exchange traded swap agreements |
2,031,191 | 20,792,442 | 202,173 | 428,661 | 68,038,458 | 1,009,029,702 | |||||||||||||||||||||
In-kind redemptions of investments | 12,469 | 16,320,565 | — | 14,939 | 71,112,874 | 832,746,488 | |||||||||||||||||||||
Net realized gain (loss) | 1,541,413 | 3,383,233 | (239,922 | ) | 443,600 | 139,254,242 | 1,370,868,620 | ||||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: |
|||||||||||||||||||||||||||
Investments | (498,372 | ) | (16,849,320 | ) | (454,232 | ) | (30,280 | ) | 7,185,400 | (1,021,715,360 | ) | ||||||||||||||||
Futures contracts | — | — | — | — | — | (18,959,417 | ) | ||||||||||||||||||||
Non-exchange traded swap agreements |
(4,668,907 | ) | (64,142,754 | ) | (1,292,665 | ) | (1,326,757 | ) | 55,975,445 | (1,363,725,008 | ) | ||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(5,167,279 | ) | (80,992,074 | ) | (1,746,897 | ) | (1,357,037 | ) | 63,160,845 | (2,404,399,785 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) |
(3,625,866 | ) | (77,608,841 | ) | (1,986,819 | ) | (913,437 | ) | 202,415,087 | (1,033,531,165 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations |
$ | (3,686,205 | ) | $ | (78,185,572 | ) | $ | (1,997,710 | ) | $ | (948,605 | ) | $ | 206,506,886 | $ | (1,048,990,425 | ) |
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 195
Ultra
Real Estate |
Ultra
Russell2000 |
Ultra
S&P500® |
Ultra
Semiconductors |
Ultra
SmallCap600 |
Ultra
Technology |
||||||||||||||||||||||
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | 2,007,982 | $ | 2,882,078 | $ | 51,617,513 | $ | 2,911,163 | $ | 415,388 | $ | 4,542,474 | |||||||||||||||
Interest | 11,424 | 41,870 | 629,731 | 75,174 | 4,302 | 149,015 | |||||||||||||||||||||
Securities lending income (Note 2) | 1,346 | 144,769 | 13,765 | 1,466 | 2,694 | 13,614 | |||||||||||||||||||||
Foreign withholding tax on income | — | (6,351 | ) | (10,050 | ) | (12,304 | ) | (169 | ) | (5,880 | ) | ||||||||||||||||
Total Investment Income | 2,020,752 | 3,062,366 | 52,250,959 | 2,975,499 | 422,215 | 4,699,223 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 947,424 | 2,593,029 | 32,466,427 | 2,536,322 | 308,948 | 6,829,159 | |||||||||||||||||||||
Management Services fees (Note 4) | 126,322 | 345,735 | 4,328,822 | 338,174 | 41,193 | 910,548 | |||||||||||||||||||||
Professional fees | 26,523 | 25,357 | 71,432 | 20,479 | 17,958 | 27,669 | |||||||||||||||||||||
Administration fees (Note 5) | 116,156 | 155,766 | 400,839 | 159,568 | 77,685 | 223,251 | |||||||||||||||||||||
Custodian fees (Note 6) | 18,935 | 1,014,853 | 1,031,780 | 36,889 | 62,653 | 145,291 | |||||||||||||||||||||
Printing and Shareholder reports | 3,801 | 17,963 | 121,672 | 16,086 | 2,168 | 14,123 | |||||||||||||||||||||
Listing, Data and related fees (Note 7) |
60,450 | 338,366 | 16,341 | 145,192 | 12,415 | 374,146 | |||||||||||||||||||||
Trustees fees (Note 8) | 2,235 | 6,546 | 76,882 | 5,968 | 742 | 16,389 | |||||||||||||||||||||
Compliance services fees (Note 4) | 607 | 1,413 | 20,008 | 1,619 | 180 | 4,074 | |||||||||||||||||||||
Recoupment of prior expenses waived and/or reimbursed by Advisor (Note 4) |
— | — | — | — | — | 72,020 | |||||||||||||||||||||
Other fees | 6,903 | 15,122 | 102,745 | 14,370 | 5,074 | 24,745 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed |
1,309,356 | 4,514,150 | 38,636,948 | 3,274,667 | 529,016 | 8,641,415 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) |
(109,263 | ) | (1,232,491 | ) | (206,222 | ) | (63,159 | ) | (137,910 | ) | — | ||||||||||||||||
Total Net Expenses | 1,200,093 | 3,281,659 | 38,430,726 | 3,211,508 | 391,106 | 8,641,415 | |||||||||||||||||||||
Net Investment Income (Loss) | 820,659 | (219,293 | ) | 13,820,233 | (236,009 | ) | 31,109 | (3,942,192 | ) | ||||||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
|||||||||||||||||||||||||||
Transactions in investment securities | (24,017 | ) | (13,833,822 | ) | (107,502,668 | ) | (44,525,269 | ) | (417,076 | ) | (58,159,064 | ) | |||||||||||||||
Expiration or closing of futures contracts |
— | (1,141,846 | ) | 3,222,049 | — | — | — | ||||||||||||||||||||
Expiration or closing of non-exchange traded swap agreements |
29,228,239 | 105,826,897 | 1,038,454,177 | 67,763,747 | 10,452,186 | 383,620,147 | |||||||||||||||||||||
In-kind redemptions of investments | 6,816,533 | 29,735,418 | 623,194,381 | 52,205,092 | 2,283,773 | 150,392,191 | |||||||||||||||||||||
Foreign currency transactions | — | — | (2 | ) | — | — | — | ||||||||||||||||||||
Net realized gain (loss) | 36,020,755 | 120,586,647 | 1,557,367,937 | 75,443,570 | 12,318,883 | 475,853,274 | |||||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: |
|||||||||||||||||||||||||||
Investments | (8,810,774 | ) | (66,219,343 | ) | (690,039,613 | ) | (37,377,749 | ) | (5,987,225 | ) | (170,374,797 | ) | |||||||||||||||
Futures contracts | — | (1,057,397 | ) | (2,914,933 | ) | — | — | — | |||||||||||||||||||
Non-exchange traded swap agreements |
(28,919,955 | ) | (167,044,404 | ) | (1,114,015,046 | ) | (85,650,513 | ) | (15,849,578 | ) | (400,933,833 | ) | |||||||||||||||
Foreign currency translations | — | — | 8 | — | — | — | |||||||||||||||||||||
Change in net unrealized appreciation/depreciation |
(37,730,729 | ) | (234,321,144 | ) | (1,806,969,584 | ) | (123,028,262 | ) | (21,836,803 | ) | (571,308,630 | ) | |||||||||||||||
Net realized and unrealized gain (loss) |
(1,709,974 | ) | (113,734,497 | ) | (249,601,647 | ) | (47,584,692 | ) | (9,517,920 | ) | (95,455,356 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations |
$ | (889,315 | ) | $ | (113,953,790 | ) | $ | (235,781,414 | ) | $ | (47,820,701 | ) | $ | (9,486,811 | ) | $ | (99,397,548 | ) |
196 :: FOR THE YEAR ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
Ultra
Telecommunications |
Ultra
Utilities |
UltraPro
Dow30SM |
UltraPro
MidCap400 |
UltraPro
QQQ |
UltraPro
Russell2000 |
||||||||||||||||||||||
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | 51,957 | $ | 580,153 | $ | 12,945,715 | $ | 473,437 | $ | 93,525,152 | $ | 2,972,182 | |||||||||||||||
Interest | 338 | 3,025 | 82,659 | 7,636 | 3,734,261 | 42,517 | |||||||||||||||||||||
Securities lending income (Note 2) | 42 | 10 | 700 | 842 | 1,931,257 | 137,977 | |||||||||||||||||||||
Foreign withholding tax on income |
— | — | — | — | (164,395 | ) | (5,417 | ) | |||||||||||||||||||
Total Investment Income | 52,337 | 583,188 | 13,029,074 | 481,915 | 99,026,275 | 3,147,259 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 18,012 | 164,979 | 6,674,665 | 367,677 | 118,596,637 | 2,730,565 | |||||||||||||||||||||
Management Services fees (Note 4) | 2,402 | 21,997 | 889,949 | 49,023 | 15,812,720 | 364,073 | |||||||||||||||||||||
Professional fees | 21,963 | 6,331 | 23,051 | 20,577 | 175,485 | 17,408 | |||||||||||||||||||||
Administration fees (Note 5) | 74,942 | 74,989 | 223,086 | 83,217 | 972,970 | 163,815 | |||||||||||||||||||||
Custodian fees (Note 6) | 752 | 5,128 | 85,368 | 103,787 | 1,174,779 | 1,012,554 | |||||||||||||||||||||
Printing and Shareholder reports | 441 | 2,095 | 25,757 | 2,512 | 453,808 | 11,229 | |||||||||||||||||||||
Listing, Data and related fees (Note 7) |
10,880 | 18,719 | 365,906 | 12,415 | 15,829,336 | 355,787 | |||||||||||||||||||||
Trustees fees (Note 8) | 43 | 375 | 15,866 | 906 | 277,249 | 6,597 | |||||||||||||||||||||
Compliance services fees (Note 4) | 11 | 104 | 3,916 | 221 | 72,916 | 1,550 | |||||||||||||||||||||
Recoupment of prior expenses waived and/or reimbursed by Advisor (Note 4) |
— | — | 114,791 | — | 542,098 | — | |||||||||||||||||||||
Other fees | 3,767 | 5,051 | 25,576 | 4,964 | 1,061,547 | 19,720 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed |
133,213 | 299,768 | 8,447,931 | 645,299 | 154,969,545 | 4,683,298 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) |
(110,398 | ) | (90,615 | ) | — | (179,962 | ) | (19,125,963 | ) | (1,230,426 | ) | ||||||||||||||||
Total Net Expenses | 22,815 | 209,153 | 8,447,931 | 465,337 | 135,843,582 | 3,452,872 | |||||||||||||||||||||
Net Investment Income (Loss) | 29,522 | 374,035 | 4,581,143 | 16,578 | (36,817,307 | ) | (305,613 | ) | |||||||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
|||||||||||||||||||||||||||
Transactions in investment securities | 844 | (290,684 | ) | (29,598,590 | ) | (3,489,328 | ) | (2,482,532,315 | ) | (35,438,063 | ) | ||||||||||||||||
Expiration or closing of futures contracts |
— | — | (6,004,614 | ) | (387,250 | ) | (296,073,510 | ) | (4,734,946 | ) | |||||||||||||||||
Expiration or closing of non-exchange traded swap agreements |
194,294 | 370,756 | 220,231,507 | 29,440,979 | 5,103,621,726 | 168,551,585 | |||||||||||||||||||||
In-kind redemptions of investments | — | 594,325 | 114,080,071 | 3,353,681 | 2,172,349,139 | 4,839,711 | |||||||||||||||||||||
Net realized gain (loss) | 195,138 | 674,397 | 298,708,374 | 28,918,082 | 4,497,365,040 | 133,218,287 | |||||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: |
|||||||||||||||||||||||||||
Investments | (169,925 | ) | 1,178,121 | (119,733,026 | ) | (5,675,522 | ) | (2,407,764,131 | ) | (41,673,599 | ) | ||||||||||||||||
Futures contracts | — | — | (2,028,341 | ) | (132,584 | ) | (11,791,309 | ) | (365,204 | ) | |||||||||||||||||
Non-exchange traded swap agreements |
(445,510 | ) | 2,074,589 | (256,082,861 | ) | (38,888,258 | ) | (9,245,959,681 | ) | (325,785,557 | ) | ||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(615,435 | ) | 3,252,710 | (377,844,228 | ) | (44,696,364 | ) | (11,665,515,121 | ) | (367,824,360 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) |
(420,297 | ) | 3,927,107 | (79,135,854 | ) | (15,778,282 | ) | (7,168,150,081 | ) | (234,606,073 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations |
$ | (390,775 | ) | $ | 4,301,142 | $ | (74,554,711 | ) | $ | (15,761,704 | ) | $ | (7,204,967,388 | ) | $ | (234,911,686 | ) |
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 197
UltraPro
S&P500® |
UltraPro
Short 20+ Year Treasury |
UltraPro
Short Dow30SM |
UltraPro
Short MidCap400 |
UltraPro
Short QQQ |
UltraPro
Short Russell2000 |
||||||||||||||||||||||
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | 31,998,017 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Interest | 459,897 | 328,602 | 295,317 | 4,180 | 2,178,376 | 149,428 | |||||||||||||||||||||
Securities lending income (Note 2) | 4,319 | — | — | — | — | — | |||||||||||||||||||||
Foreign withholding tax on income | (6,008 | ) | — | — | — | — | — | ||||||||||||||||||||
Total Investment Income | 32,456,225 | 328,602 | 295,317 | 4,180 | 2,178,376 | 149,428 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 22,281,146 | 1,525,488 | 2,864,461 | 47,561 | 15,192,905 | 1,107,876 | |||||||||||||||||||||
Management Services fees (Note 4) | 2,970,798 | 203,397 | 381,925 | 6,341 | 2,025,706 | 147,716 | |||||||||||||||||||||
Professional fees | 49,510 | 19,325 | 22,929 | 19,765 | 39,365 | 21,113 | |||||||||||||||||||||
Administration fees (Note 5) | 332,487 | 86,389 | 116,247 | 38,471 | 234,981 | 74,243 | |||||||||||||||||||||
Custodian fees (Note 6) | 1,136,979 | 12,590 | 21,317 | 2,035 | 106,626 | 10,976 | |||||||||||||||||||||
Printing and Shareholder reports | 106,887 | 5,946 | — | 679 | 154,048 | 6,964 | |||||||||||||||||||||
Listing, Data and related fees (Note 7) |
10,643 | 25,176 | 164,443 | 12,415 | 2,053,807 | 150,249 | |||||||||||||||||||||
Trustees fees (Note 8) | 52,471 | 3,121 | 6,689 | 106 | 34,106 | 2,532 | |||||||||||||||||||||
Compliance services fees (Note 4) | 14,059 | 1,046 | 1,909 | 28 | 10,585 | 752 | |||||||||||||||||||||
Recoupment of prior expenses waived and/or reimbursed by Advisor (Note 4) |
— | 34,368 | 27,850 | — | — | — | |||||||||||||||||||||
Other fees | 112,949 | 21,983 | 16,169 | 6,398 | 66,915 | 11,902 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed |
27,067,929 | 1,938,829 | 3,623,939 | 133,799 | 19,919,044 | 1,534,323 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) |
— | — | — | (73,576 | ) | (666,032 | ) | (129,738 | ) | ||||||||||||||||||
Total Net Expenses | 27,067,929 | 1,938,829 | 3,623,939 | 60,223 | 19,253,012 | 1,404,585 | |||||||||||||||||||||
Net Investment Income (Loss) | 5,388,296 | (1,610,227 | ) | (3,328,622 | ) | (56,043 | ) | (17,074,636 | ) | (1,255,157 | ) | ||||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
|||||||||||||||||||||||||||
Transactions in investment securities | (205,822,890 | ) | — | (41,756 | ) | — | (20,277 | ) | (220 | ) | |||||||||||||||||
Expiration or closing of futures contracts |
(20,912,793 | ) | 1,085,095 | 2,472,018 | 1,770 | 33,992,109 | 3,685,449 | ||||||||||||||||||||
Expiration or closing of non-exchange traded swap agreements |
1,240,249,457 | 120,093,961 | (266,719,759 | ) | (5,456,008 | ) | (21,597,728 | ) | (2,843,233 | ) | |||||||||||||||||
In-kind redemptions of investments | 331,502,190 | — | — | — | — | — | |||||||||||||||||||||
Foreign currency transactions | (1 | ) | — | — | — | — | — | ||||||||||||||||||||
Net realized gain (loss) | 1,345,015,963 | 121,179,056 | (264,289,497 | ) | (5,454,238 | ) | 12,374,104 | 841,996 | |||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: |
|||||||||||||||||||||||||||
Investments | (346,845,883 | ) | (226,555 | ) | (126,910 | ) | — | (2,133,766 | ) | (106,365 | ) | ||||||||||||||||
Futures contracts | (6,548,006 | ) | 153,692 | 345,260 | 24,460 | 1,025,740 | 438,251 | ||||||||||||||||||||
Non-exchange traded swap agreements |
(1,452,209,600 | ) | 10,653,094 | 254,028,901 | 4,881,089 | 359,698,679 | 54,379,000 | ||||||||||||||||||||
Foreign currency translations | 5 | — | — | — | — | — | |||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(1,805,603,484 | ) | 10,580,231 | 254,247,251 | 4,905,549 | 358,590,653 | 54,710,886 | ||||||||||||||||||||
Net realized and unrealized gain (loss) |
(460,587,521 | ) | 131,759,287 | (10,042,246 | ) | (548,689 | ) | 370,964,757 | 55,552,882 | ||||||||||||||||||
Change in Net Assets Resulting from Operations |
$ | (455,199,225 | ) | $ | 130,149,060 | $ | (13,370,868 | ) | $ | (604,732 | ) | $ | 353,890,121 | $ | 54,297,725 |
198 :: FOR THE YEAR ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
UltraPro
Short S&P500® |
UltraShort 7-10 Year Treasury |
UltraShort 20+ Year Treasury |
UltraShort Basic Materials |
UltraShort Consumer Goods |
UltraShort Consumer Services |
||||||||||||||||||||||
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Interest | $ | 575,874 | $ | 144,384 | $ | 1,286,759 | $ | 1,484 | $ | 927 | $ | 2,040 | |||||||||||||||
Total Investment Income | 575,874 | 144,384 | 1,286,759 | 1,484 | 927 | 2,040 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 4,352,537 | 620,791 | 10,850,404 | 17,148 | 7,153 | 11,269 | |||||||||||||||||||||
Management Services fees (Note 4) | 580,334 | 82,771 | 1,446,710 | 2,286 | 954 | 1,503 | |||||||||||||||||||||
Professional fees | 23,989 | 17,920 | 35,725 | 17,196 | 23,907 | 21,191 | |||||||||||||||||||||
Administration fees (Note 5) | 141,685 | 59,073 | 208,019 | 38,471 | 38,471 | 38,471 | |||||||||||||||||||||
Custodian fees (Note 6) | 32,901 | 6,816 | 82,000 | 215 | 87 | 153 | |||||||||||||||||||||
Printing and Shareholder reports | 40,015 | 3,580 | 67,498 | 1,115 | 566 | 840 | |||||||||||||||||||||
Listing, Data and related fees (Note 7) |
10,065 | 16,129 | 122,357 | 10,835 | 10,301 | 10,521 | |||||||||||||||||||||
Trustees fees (Note 8) | 9,776 | 1,347 | 25,198 | 38 | 16 | 21 | |||||||||||||||||||||
Compliance services fees (Note 4) | 2,774 | 415 | 7,075 | 12 | 4 | 7 | |||||||||||||||||||||
Other fees | 37,991 | 10,702 | 40,547 | 4,886 | 4,850 | 3,819 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed |
5,232,067 | 819,544 | 12,885,533 | 92,202 | 86,309 | 87,795 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) |
— | (32,718 | ) | — | (70,502 | ) | (77,253 | ) | (73,495 | ) | |||||||||||||||||
Total Net Expenses | 5,232,067 | 786,826 | 12,885,533 | 21,700 | 9,056 | 14,300 | |||||||||||||||||||||
Net Investment Income (Loss) | (4,656,193 | ) | (642,442 | ) | (11,598,774 | ) | (20,216 | ) | (8,129 | ) | (12,260 | ) | |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
|||||||||||||||||||||||||||
Transactions in investment securities | (8,704 | ) | 13,431 | 120,675 | 10,182 | 1,873 | 2,393 | ||||||||||||||||||||
Expiration or closing of futures contracts |
(467,154 | ) | 134,029 | 4,967,145 | — | — | — | ||||||||||||||||||||
Expiration or closing of non-exchange traded swap agreements |
(385,214,962 | ) | 24,029,047 | 238,676,996 | (1,081,800 | ) | (376,719 | ) | (193,157 | ) | |||||||||||||||||
Net realized gain (loss) | (385,690,820 | ) | 24,176,507 | 243,764,816 | (1,071,618 | ) | (374,846 | ) | (190,764 | ) | |||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: |
|||||||||||||||||||||||||||
Investments | (601,373 | ) | (131,531 | ) | (1,199,468 | ) | — | — | — | ||||||||||||||||||
Futures contracts | 866,639 | 13,490 | 259,960 | — | — | — | |||||||||||||||||||||
Non-exchange traded swap agreements |
328,715,190 | (2,144,107 | ) | 82,257,033 | 356,984 | 260,346 | 1,179,180 | ||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
328,980,456 | (2,262,148 | ) | 81,317,525 | 356,984 | 260,346 | 1,179,180 | ||||||||||||||||||||
Net realized and unrealized gain (loss) |
(56,710,364 | ) | 21,914,359 | 325,082,341 | (714,634 | ) | (114,500 | ) | 988,416 | ||||||||||||||||||
Change in Net Assets Resulting from Operations |
$ | (61,366,557 | ) | $ | 21,271,917 | $ | 313,483,567 | $ | (734,850 | ) | $ | (122,629 | ) | $ | 976,156 |
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 199
UltraShort Dow30SM |
UltraShort Financials |
UltraShort FTSE China 50 |
UltraShort FTSE Europe |
UltraShort Health Care |
UltraShort Industrials |
||||||||||||||||||||||
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Interest | $ | 87,319 | $ | 7,832 | $ | 14,081 | $ | 25,603 | $ | 1,782 | $ | 2,318 | |||||||||||||||
Total Investment Income | 87,319 | 7,832 | 14,081 | 25,603 | 1,782 | 2,318 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 764,183 | 97,235 | 163,129 | 120,056 | 13,933 | 17,140 | |||||||||||||||||||||
Management Services fees (Note 4) | 101,890 | 12,965 | 21,750 | 16,007 | 1,858 | 2,285 | |||||||||||||||||||||
Professional fees | 19,631 | 17,246 | 38,183 | 38,481 | 23,915 | 24,656 | |||||||||||||||||||||
Administration fees (Note 5) | 63,883 | 38,397 | 38,267 | 39,487 | 38,471 | 38,471 | |||||||||||||||||||||
Custodian fees (Note 6) | 7,318 | 739 | 1,311 | 993 | 227 | 227 | |||||||||||||||||||||
Printing and Shareholder reports | 5,713 | 5,531 | 2,145 | 1,399 | 740 | 614 | |||||||||||||||||||||
Listing, Data and related fees (Note 7) |
50,677 | 15,106 | 30,583 | 14,722 | 10,663 | 10,834 | |||||||||||||||||||||
Trustees fees (Note 8) | 1,769 | 217 | 362 | 189 | 31 | 35 | |||||||||||||||||||||
Compliance services fees (Note 4) | 496 | 57 | 90 | 73 | 8 | 12 | |||||||||||||||||||||
Other fees | 8,206 | 6,300 | 4,410 | 8,005 | 4,952 | 6,063 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed |
1,023,766 | 193,793 | 300,230 | 239,412 | 94,798 | 100,337 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) |
(55,917 | ) | (70,655 | ) | (93,416 | ) | (87,390 | ) | (77,168 | ) | (78,616 | ) | |||||||||||||||
Total Net Expenses | 967,849 | 123,138 | 206,814 | 152,022 | 17,630 | 21,721 | |||||||||||||||||||||
Net Investment Income (Loss) | (880,530 | ) | (115,306 | ) | (192,733 | ) | (126,419 | ) | (15,848 | ) | (19,403 | ) | |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
|||||||||||||||||||||||||||
Transactions in investment securities | 45,750 | 36,583 | 36,745 | 191 | 351 | 4,534 | |||||||||||||||||||||
Expiration or closing of futures contracts |
105,535 | — | — | — | — | — | |||||||||||||||||||||
Expiration or closing of non-exchange traded swap agreements |
(34,659,584 | ) | (9,429,599 | ) | 2,758,393 | (3,555,074 | ) | (623,077 | ) | (417,299 | ) | ||||||||||||||||
Net realized gain (loss) | (34,508,299 | ) | (9,393,016 | ) | 2,795,138 | (3,554,883 | ) | (622,726 | ) | (412,765 | ) | ||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: |
|||||||||||||||||||||||||||
Investments | (6,036 | ) | — | — | — | — | — | ||||||||||||||||||||
Futures contracts | 452,014 | — | — | — | — | — | |||||||||||||||||||||
Non-exchange traded swap agreements |
31,776,622 | 8,658,777 | 2,887,793 | 2,085,442 | 21,513 | 859,127 | |||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
32,222,600 | 8,658,777 | 2,887,793 | 2,085,442 | 21,513 | 859,127 | |||||||||||||||||||||
Net realized and unrealized gain (loss) |
(2,285,699 | ) | (734,239 | ) | 5,682,931 | (1,469,441 | ) | (601,213 | ) | 446,362 | |||||||||||||||||
Change in Net Assets Resulting from Operations |
$ | (3,166,229 | ) | $ | (849,545 | ) | $ | 5,490,198 | $ | (1,595,860 | ) | $ | (617,061 | ) | $ | 426,959 |
200 :: FOR THE YEAR ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
UltraShort MidCap400 |
UltraShort MSCI Brazil Capped |
UltraShort MSCI EAFE |
UltraShort MSCI Emerging Markets |
UltraShort MSCI Japan |
UltraShort Nasdaq Biotechnology |
||||||||||||||||||||||
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Interest | $ | 1,833 | $ | 8,200 | $ | 1,166 | $ | 6,170 | $ | 3,188 | $ | 3,247 | |||||||||||||||
Total Investment Income | 1,833 | 8,200 | 1,166 | 6,170 | 3,188 | 3,247 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 15,639 | 108,885 | 10,092 | 55,299 | 32,843 | 62,224 | |||||||||||||||||||||
Management Services fees (Note 4) | 2,085 | 14,518 | 1,346 | 7,373 | 4,379 | 8,296 | |||||||||||||||||||||
Professional fees | 17,204 | 44,740 | 34,531 | 36,338 | 35,658 | 23,935 | |||||||||||||||||||||
Administration fees (Note 5) | 38,471 | 38,610 | 38,471 | 38,471 | 38,471 | 38,483 | |||||||||||||||||||||
Custodian fees (Note 6) | 1,615 | 1,101 | 137 | 546 | 304 | 622 | |||||||||||||||||||||
Printing and Shareholder reports | 774 | 1,280 | 687 | 1,741 | 760 | 1,482 | |||||||||||||||||||||
Listing, Data and related fees (Note 7) |
12,419 | 16,771 | 10,533 | 12,926 | 11,996 | 12,526 | |||||||||||||||||||||
Trustees fees (Note 8) | 34 | 251 | 23 | 119 | 74 | 149 | |||||||||||||||||||||
Compliance services fees (Note 4) | 9 | 67 | 6 | 34 | 19 | 32 | |||||||||||||||||||||
Other fees | 6,076 | 5,483 | 3,746 | 4,133 | 3,884 | 4,313 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed |
94,326 | 231,706 | 99,572 | 156,980 | 128,388 | 152,062 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) |
(74,531 | ) | (93,871 | ) | (86,783 | ) | (86,877 | ) | (86,774 | ) | (73,206 | ) | |||||||||||||||
Total Net Expenses | 19,795 | 137,835 | 12,789 | 70,103 | 41,614 | 78,856 | |||||||||||||||||||||
Net Investment Income (Loss) | (17,962 | ) | (129,635 | ) | (11,623 | ) | (63,933 | ) | (38,426 | ) | (75,609 | ) | |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
|||||||||||||||||||||||||||
Transactions in investment securities | 11,230 | 110 | 16,407 | 49,706 | 3,251 | — | |||||||||||||||||||||
Expiration or closing of futures contracts |
(24,119 | ) | — | — | — | — | — | ||||||||||||||||||||
Expiration or closing of non-exchange traded swap agreements |
(890,456 | ) | (6,012,333 | ) | (389,345 | ) | 2,187,973 | (1,017,006 | ) | (7,146,131 | ) | ||||||||||||||||
Net realized gain (loss) | (903,345 | ) | (6,012,223 | ) | (372,938 | ) | 2,237,679 | (1,013,755 | ) | (7,146,131 | ) | ||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: |
|||||||||||||||||||||||||||
Futures contracts | 22,662 | — | — | — | — | — | |||||||||||||||||||||
Non-exchange traded swap agreements |
369,930 | 3,142,811 | 603,554 | (313,630 | ) | 1,734,955 | 9,072,853 | ||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
392,592 | 3,142,811 | 603,554 | (313,630 | ) | 1,734,955 | 9,072,853 | ||||||||||||||||||||
Net realized and unrealized gain (loss) |
(510,753 | ) | (2,869,412 | ) | 230,616 | 1,924,049 | 721,200 | 1,926,722 | |||||||||||||||||||
Change in Net Assets Resulting from Operations |
$ | (528,715 | ) | $ | (2,999,047 | ) | $ | 218,993 | $ | 1,860,116 | $ | 682,774 | $ | 1,851,113 |
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 201
UltraShort Oil & Gas |
UltraShort QQQ |
UltraShort Real Estate |
UltraShort Russell2000 |
UltraShort S&P500® |
UltraShort Semiconductors |
||||||||||||||||||||||
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Interest | $ | 20,293 | $ | 244,477 | $ | 15,382 | $ | 85,127 | $ | 649,720 | $ | 3,943 | |||||||||||||||
Total Investment Income | 20,293 | 244,477 | 15,382 | 85,127 | 649,720 | 3,943 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 151,555 | 2,037,624 | 124,039 | 676,734 | 4,728,334 | 26,194 | |||||||||||||||||||||
Management Services fees (Note 4) | 20,207 | 271,681 | 16,538 | 90,231 | 630,440 | 3,492 | |||||||||||||||||||||
Professional fees | 24,077 | 23,266 | 24,758 | 21,807 | 24,678 | 17,199 | |||||||||||||||||||||
Administration fees (Note 5) | 38,474 | 98,136 | 38,493 | 60,334 | 146,790 | 38,471 | |||||||||||||||||||||
Custodian fees (Note 6) | 1,288 | 16,659 | 803 | 7,431 | 33,313 | 285 | |||||||||||||||||||||
Printing and Shareholder reports | 2,772 | 22,390 | 4,584 | 3,687 | 50,133 | 538 | |||||||||||||||||||||
Listing, Data and related fees (Note 7) |
18,003 | 281,601 | 16,535 | 95,638 | 17,091 | 11,317 | |||||||||||||||||||||
Trustees fees (Note 8) | 307 | 4,617 | 265 | 1,547 | 10,720 | 57 | |||||||||||||||||||||
Compliance services fees (Note 4) | 93 | 1,423 | 70 | 450 | 3,091 | 17 | |||||||||||||||||||||
Other fees | 7,809 | 18,657 | 6,452 | 8,760 | 34,021 | 5,516 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed |
264,585 | 2,776,054 | 232,537 | 966,619 | 5,678,611 | 103,086 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) |
(73,259 | ) | (193,776 | ) | (75,437 | ) | (109,034 | ) | — | (69,945 | ) | ||||||||||||||||
Total Net Expenses | 191,326 | 2,582,278 | 157,100 | 857,585 | 5,678,611 | 33,141 | |||||||||||||||||||||
Net Investment Income (Loss) | (171,033 | ) | (2,337,801 | ) | (141,718 | ) | (772,458 | ) | (5,028,891 | ) | (29,198 | ) | |||||||||||||||
NET REALIZED GAIN (LOSS) FROM: |
|||||||||||||||||||||||||||
Transactions in investment securities | 23,208 | 79,487 | 38,263 | — | 178,626 | 400 | |||||||||||||||||||||
Expiration or closing of futures contracts |
— | 7,410,044 | — | 1,670,321 | (1,517,891 | ) | — | ||||||||||||||||||||
Expiration or closing of non-exchange traded swap agreements |
(10,727,538 | ) | (47,860,466 | ) | (20,225,210 | ) | (12,946,941 | ) | (327,683,551 | ) | (1,900,931 | ) | |||||||||||||||
Net realized gain (loss) | (10,704,330 | ) | (40,370,935 | ) | (20,186,947 | ) | (11,276,620 | ) | (329,022,816 | ) | (1,900,531 | ) | |||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: |
|||||||||||||||||||||||||||
Investments | — | (225,041 | ) | — | (1,842 | ) | (466,967 | ) | — | ||||||||||||||||||
Futures contracts | — | 1,245,298 | — | (5,873 | ) | 1,174,635 | — | ||||||||||||||||||||
Non-exchange traded swap agreements |
(12,993,449 | ) | 93,139,454 | 20,370,032 | 29,676,280 | 302,794,976 | 546,756 | ||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(12,993,449 | ) | 94,159,711 | 20,370,032 | 29,668,565 | 303,502,644 | 546,756 | ||||||||||||||||||||
Net realized and unrealized gain (loss) |
(23,697,779 | ) | 53,788,776 | 183,085 | 18,391,945 | (25,520,172 | ) | (1,353,775 | ) | ||||||||||||||||||
Change in Net Assets Resulting from Operations |
$ | (23,868,812 | ) | $ | 51,450,975 | $ | 41,367 | $ | 17,619,487 | $ | (30,549,063 | ) | $ | (1,382,973 | ) |
202 :: FOR THE YEAR ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
UltraShort SmallCap600 |
UltraShort Technology |
UltraShort Utilities |
|||||||||||||
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
Year Ended May 31, 2022 |
|||||||||||||
INVESTMENT INCOME: | |||||||||||||||
Interest | $ | 2,934 | $ | 5,097 | $ | 1,587 | |||||||||
Total Investment Income | 2,934 | 5,097 | 1,587 | ||||||||||||
EXPENSES: | |||||||||||||||
Advisory fees (Note 4) | 24,014 | 42,371 | 14,109 | ||||||||||||
Management Services fees (Note 4) | 3,202 | 5,649 | 1,881 | ||||||||||||
Professional fees | 17,211 | 21,234 | 17,197 | ||||||||||||
Administration fees (Note 5) | 38,471 | 38,471 | 38,471 | ||||||||||||
Custodian fees (Note 6) | 144 | 478 | 160 | ||||||||||||
Printing and Shareholder reports | 662 | 1,810 | 585 | ||||||||||||
Listing, Data and related fees (Note 7) | 12,415 | 12,180 | 10,673 | ||||||||||||
Trustees fees (Note 8) | 51 | 88 | 31 | ||||||||||||
Compliance services fees (Note 4) | 15 | 27 | 8 | ||||||||||||
Other fees | 6,167 | 5,507 | 4,842 | ||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 102,352 | 127,815 | 87,957 | ||||||||||||
LESS: | |||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) | (71,932 | ) | (74,128 | ) | (70,103 | ) | |||||||||
Total Net Expenses | 30,420 | 53,687 | 17,854 | ||||||||||||
Net Investment Income (Loss) | (27,486 | ) | (48,590 | ) | (16,267 | ) | |||||||||
NET REALIZED GAIN (LOSS) FROM: | |||||||||||||||
Transactions in investment securities | 144 | 557 | 562 | ||||||||||||
Expiration or closing of non-exchange traded swap agreements | (379,342 | ) | (4,058,509 | ) | (1,490,625 | ) | |||||||||
Net realized gain (loss) | (379,198 | ) | (4,057,952 | ) | (1,490,063 | ) | |||||||||
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: | |||||||||||||||
Non-exchange traded swap agreements | 607,339 | 4,848,322 | 882,779 | ||||||||||||
Change in net unrealized appreciation/depreciation | 607,339 | 4,848,322 | 882,779 | ||||||||||||
Net realized and unrealized gain (loss) | 228,141 | 790,370 | (607,284 | ) | |||||||||||
Change in Net Assets Resulting from Operations | $ | 200,655 | $ | 741,780 | $ | (623,551 | ) |
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 203
204 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
Short 7-10 Year Treasury | Short 20+ Year Treasury | Short Dow30SM | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (1,030,121 | ) | $ | (333,015 | ) | $ | (5,601,050 | ) | $ | (2,699,999 | ) | $ | (2,225,689 | ) | $ | (3,018,749 | ) | |||||||||
Net realized gain (loss) | 13,030,974 | (127,285 | ) | 91,830,374 | 48,465,998 | (55,094,161 | ) | (140,673,909 | ) | ||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
368,002 | 1,155,049 | 9,430,598 | (3,729,613 | ) | 52,064,455 | 7,736,316 | ||||||||||||||||||||
Change in net assets resulting from operations |
12,368,855 | 694,749 | 95,659,922 | 42,036,386 | (5,255,395 | ) | (135,956,342 | ) | |||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 223,921,675 | 84,104,689 | 1,201,934,471 | 1,198,738,480 | 370,483,867 | 306,917,383 | |||||||||||||||||||||
Cost of shares redeemed | (154,551,261 | ) | (10,329,210 | ) | (1,219,984,465 | ) | (803,142,952 | ) | (342,315,337 | ) | (440,722,758 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
69,370,414 | 73,775,479 | (18,049,994 | ) | 395,595,528 | 28,168,530 | (133,805,375 | ) | |||||||||||||||||||
Change in net assets | 81,739,269 | 74,470,228 | 77,609,928 | 437,631,914 | 22,913,135 | (269,761,717 | ) | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 89,977,385 | $ | 15,507,157 | $ | 597,553,007 | $ | 159,921,093 | $ | 232,823,740 | $ | 502,585,457 | |||||||||||||||
End of period | $ | 171,716,654 | $ | 89,977,385 | $ | 675,162,935 | $ | 597,553,007 | $ | 255,736,875 | $ | 232,823,740 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 3,625,000 | 650,000 | 33,950,000 | 10,300,000 | 6,823,755 | 10,223,755 | |||||||||||||||||||||
Issued | 8,850,000 | 3,400,000 | 70,750,000 | 72,900,000 | 11,050,000 | 7,300,000 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (6,050,000 | ) | (425,000 | ) | (70,700,000 | ) | (49,250,000 | ) | (10,350,000 | ) | (10,700,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 6,425,000 | 3,625,000 | 34,000,000 | 33,950,000 | 7,523,755 | 6,823,755 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 205
Short Financials | Short FTSE China 50 | Short High Yield | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (92,417 | ) | $ | (178,415 | ) | $ | (69,528 | ) | $ | (47,199 | ) | $ | (776,516 | ) | $ | (690,475 | ) | |||||||||
Net realized gain (loss) | (4,231,118 | ) | (6,862,073 | ) | 999,309 | (550,265 | ) | 2,776,015 | (12,350,687 | ) | |||||||||||||||||
Change in net unrealized
appreciation/depreciation |
4,256,674 | (2,033,527 | ) | 420,688 | (1,007,344 | ) | (2,562,954 | ) | 1,520,614 | ||||||||||||||||||
Change in net assets resulting from operations |
(66,861 | ) | (9,074,015 | ) | 1,350,469 | (1,604,808 | ) | (563,455 | ) | (11,520,548 | ) | ||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 24,036,193 | 18,931,554 | 16,851,461 | 895,685 | 328,770,206 | 25,335,522 | |||||||||||||||||||||
Cost of shares redeemed | (15,330,244 | ) | (32,274,571 | ) | (14,200,857 | ) | (2,979,467 | ) | (39,849,609 | ) | (78,151,728 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
8,705,949 | (13,343,017 | ) | 2,650,604 | (2,083,782 | ) | 288,920,597 | (52,816,206 | ) | ||||||||||||||||||
Change in net assets | 8,639,088 | (22,417,032 | ) | 4,001,073 | (3,688,590 | ) | 288,357,142 | (64,336,754 | ) | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 9,854,727 | $ | 32,271,759 | $ | 2,835,350 | $ | 6,523,940 | $ | 54,684,679 | $ | 119,021,433 | |||||||||||||||
End of period | $ | 18,493,815 | $ | 9,854,727 | $ | 6,836,423 | $ | 2,835,350 | $ | 343,041,821 | $ | 54,684,679 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 774,851 | 1,574,851 | 200,000 | 350,000 | 3,000,000 | 5,700,000 | |||||||||||||||||||||
Issued | 1,950,000 | 1,000,000 | 1,000,000 | 50,000 | 17,800,000 | 1,300,000 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (1,250,000 | ) | (1,800,000 | ) | (800,000 | ) | (200,000 | ) | (2,200,000 | ) | (4,000,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 1,474,851 | 774,851 | 400,000 | 200,000 | 18,600,000 | 3,000,000 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
206 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
Short MidCap400 | Short MSCI EAFE | Short MSCI Emerging Markets | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (96,435 | ) | $ | (207,055 | ) | $ | (229,626 | ) | $ | (207,284 | ) | $ | (294,919 | ) | $ | (383,638 | ) | |||||||||
Net realized gain (loss) | (4,272,750 | ) | (17,501,501 | ) | (2,812,000 | ) | (14,153,009 | ) | (642,969 | ) | (28,928,215 | ) | |||||||||||||||
Change in net unrealized
appreciation/depreciation |
4,367,197 | 6,191,667 | 1,992,714 | 4,533,486 | 4,739,509 | 5,637,223 | |||||||||||||||||||||
Change in net assets resulting from operations |
(1,988 | ) | (11,516,889 | ) | (1,048,912 | ) | (9,826,807 | ) | 3,801,621 | (23,674,630 | ) | ||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 9,848,424 | 9,163,106 | 161,390,383 | 32,012,837 | 76,804,412 | 25,069,525 | |||||||||||||||||||||
Cost of shares redeemed | (9,643,569 | ) | (16,664,309 | ) | (104,931,666 | ) | (57,884,461 | ) | (58,307,370 | ) | (68,618,536 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
204,855 | (7,501,203 | ) | 56,458,717 | (25,871,624 | ) | 18,497,042 | (43,549,011 | ) | ||||||||||||||||||
Change in net assets | 202,867 | (19,018,092 | ) | 55,409,805 | (35,698,431 | ) | 22,298,663 | (67,223,641 | ) | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 12,003,518 | $ | 31,021,610 | $ | 9,548,609 | $ | 45,247,040 | $ | 20,746,900 | $ | 87,970,541 | |||||||||||||||
End of period | $ | 12,206,385 | $ | 12,003,518 | $ | 64,958,414 | $ | 9,548,609 | $ | 43,045,563 | $ | 20,746,900 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 493,667 | 768,667 | 525,000 | 1,725,000 | 1,750,000 | 4,750,000 | |||||||||||||||||||||
Issued | 400,000 | 250,000 | 8,500,000 | 1,350,000 | 5,850,000 | 1,700,000 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (400,000 | ) | (525,000 | ) | (5,700,000 | ) | (2,550,000 | ) | (4,550,000 | ) | (4,700,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 493,667 | 493,667 | 3,325,000 | 525,000 | 3,050,000 | 1,750,000 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 207
Short QQQ | Short Real Estate | Short Russell2000 | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (5,913,714 | ) | $ | (5,049,642 | ) | $ | (72,201 | ) | $ | (157,123 | ) | $ | (2,498,389 | ) | $ | (2,972,120 | ) | |||||||||
Net realized gain (loss) | (121,801,412 | ) | (331,320,929 | ) | (2,547,182 | ) | (6,485,026 | ) | (43,449,450 | ) | (257,494,066 | ) | |||||||||||||||
Change in net unrealized
appreciation/depreciation |
178,854,149 | 73,017,903 | 2,081,298 | 1,324,352 | 76,208,412 | 58,153,651 | |||||||||||||||||||||
Change in net assets resulting from operations |
51,139,023 | (263,352,668 | ) | (538,085 | ) | (5,317,797 | ) | 30,260,573 | (202,312,535 | ) | |||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 1,741,063,208 | 1,144,258,995 | 12,565,640 | 5,075,190 | 488,113,314 | 593,230,095 | |||||||||||||||||||||
Cost of shares redeemed | (1,303,970,149 | ) | (787,726,884 | ) | (3,419,993 | ) | (19,379,367 | ) | (338,502,314 | ) | (602,770,756 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
437,093,059 | 356,532,111 | 9,145,647 | (14,304,177 | ) | 149,611,000 | (9,540,661 | ) | |||||||||||||||||||
Change in net assets | 488,232,082 | 93,179,443 | 8,607,562 | (19,621,974 | ) | 179,871,573 | (211,853,196 | ) | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 595,528,338 | $ | 502,348,895 | $ | 7,651,576 | $ | 27,273,550 | $ | 273,412,042 | $ | 485,265,238 | |||||||||||||||
End of period | $ | 1,083,760,420 | $ | 595,528,338 | $ | 16,259,138 | $ | 7,651,576 | $ | 453,283,615 | $ | 273,412,042 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 45,062,500 | 24,712,500 | 400,000 | (b) | 1,025,000 | (b) | 12,766,642 | 12,766,642 | |||||||||||||||||||
Issued | 142,150,000 | 72,450,000 | 700,000 | (b) | 200,000 | (b) | 21,550,000 | 20,600,000 | |||||||||||||||||||
Issued in-kind | — | — | — | (b) | — | (b) | — | — | |||||||||||||||||||
Redeemed | (105,500,000 | ) | (52,100,000 | ) | (200,112 | )(b) | (825,000 | )(b) | (15,500,000 | ) | (20,600,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | (b) | — | (b) | — | — | |||||||||||||||||||
Shares outstanding, end of period | 81,712,500 | 45,062,500 | 899,888 | (b) | 400,000 | (b) | 18,816,642 | 12,766,642 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(b) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective January 13, 2022.
208 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
Short S&P500® | Short SmallCap600 | Ultra 7-10 Year Treasury | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (12,292,340 | ) | $ | (17,667,014 | ) | $ | (42,450 | ) | $ | (87,250 | ) | $ | (17,479 | ) | $ | 116,627 | ||||||||||
Net realized gain (loss) | (410,162,201 | ) | (1,256,303,759 | ) | (773,108 | ) | (7,393,825 | ) | 169,586 | 3,247,503 | |||||||||||||||||
Change in net unrealized
appreciation/depreciation |
372,853,132 | 354,728,530 | 1,086,075 | 1,572,108 | (3,530,331 | ) | (7,082,459 | ) | |||||||||||||||||||
Change in net assets resulting from operations |
(49,601,409 | ) | (919,242,243 | ) | 270,517 | (5,908,967 | ) | (3,378,224 | ) | (3,718,329 | ) | ||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings | — | — | — | — | (38,868 | ) | (140,892 | ) | |||||||||||||||||||
Total distributions | — | — | — | — | (38,868 | ) | (140,892 | ) | |||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 3,427,800,937 | 1,531,572,440 | 3,026,104 | 3,217,771 | 19,618,935 | 14,713,463 | |||||||||||||||||||||
Cost of shares redeemed | (2,432,461,110 | ) | (2,905,039,359 | ) | (887,256 | ) | (6,297,508 | ) | (16,783,261 | ) | (26,577,409 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
995,339,827 | (1,373,466,919 | ) | 2,138,848 | (3,079,737 | ) | 2,835,674 | (11,863,946 | ) | ||||||||||||||||||
Change in net assets | 945,738,418 | (2,292,709,162 | ) | 2,409,365 | (8,988,704 | ) | (581,418 | ) | (15,723,167 | ) | |||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 1,404,720,310 | $ | 3,697,429,472 | $ | 4,661,826 | $ | 13,650,530 | $ | 18,463,750 | $ | 34,186,917 | |||||||||||||||
End of period | $ | 2,350,458,728 | $ | 1,404,720,310 | $ | 7,071,191 | $ | 4,661,826 | $ | 17,882,332 | $ | 18,463,750 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 89,080,826 | 161,055,826 | 268,681 | 418,681 | 275,000 | 450,000 | |||||||||||||||||||||
Issued | 231,025,000 | 80,325,000 | 175,000 | 100,000 | 300,000 | 200,000 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (165,725,000 | ) | (152,300,000 | ) | (50,000 | ) | (250,000 | ) | (250,000 | ) | (375,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 154,380,826 | 89,080,826 | 393,681 | 268,681 | 325,000 | 275,000 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 209
Ultra 20+ Year Treasury | Ultra Basic Materials | Ultra Consumer Goods | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (246,132 | ) | $ | (126,251 | ) | $ | 476,285 | $ | 206,091 | $ | 48,967 | $ | 33,317 | |||||||||||||
Net realized gain (loss) | (19,769,364 | ) | (3,914,933 | ) | 22,646,117 | 6,772,711 | 6,104,406 | 1,716,162 | |||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
1,005,077 | (9,153,278 | ) | (24,987,142 | ) | 32,930,762 | (6,722,220 | ) | 5,043,154 | ||||||||||||||||||
Change in net assets resulting from operations |
(19,010,419 | ) | (13,194,462 | ) | (1,864,740 | ) | 39,909,564 | (568,847 | ) | 6,792,633 | |||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings | — | — | (468,191 | ) | (222,206 | ) | (43,776 | ) | (37,605 | ) | |||||||||||||||||
Total distributions | — | — | (468,191 | ) | (222,206 | ) | (43,776 | ) | (37,605 | ) | |||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 123,228,567 | 99,240,889 | 5,304,711 | 45,033,317 | 27,663,961 | 22,038,627 | |||||||||||||||||||||
Cost of shares redeemed | (96,826,893 | ) | (107,325,194 | ) | (45,219,591 | ) | (7,940,390 | ) | (32,152,708 | ) | (20,719,420 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
26,401,674 | (8,084,305 | ) | (39,914,880 | ) | 37,092,927 | (4,488,747 | ) | 1,319,207 | ||||||||||||||||||
Change in net assets | 7,391,255 | (21,278,767 | ) | (42,247,811 | ) | 76,780,285 | (5,101,370 | ) | 8,074,235 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 28,797,419 | $ | 50,076,186 | $ | 104,476,605 | $ | 27,696,320 | $ | 13,463,156 | $ | 5,388,921 | |||||||||||||||
End of period | $ | 36,188,674 | $ | 28,797,419 | $ | 62,228,794 | $ | 104,476,605 | $ | 8,361,786 | $ | 13,463,156 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 600,000 | 750,000 | 3,900,000 | (f) | 2,500,000 | (f) | 600,000 | (c) | 500,000 | (c) | |||||||||||||||||
Issued | 2,300,000 | 1,625,000 | — | (f) | — | (f) | 1,150,000 | (c) | 1,200,000 | (c) | |||||||||||||||||
Issued in-kind | — | — | 200,000 | (f) | 1,900,000 | (f) | 50,000 | (c) | 300,000 | (c) | |||||||||||||||||
Redeemed | (1,375,000 | ) | (725,000 | ) | (25,000 | )(f) | — | (f) | — | (c) | — | (c) | |||||||||||||||
Redemption in-kind | (450,000 | ) | (1,050,000 | ) | (1,750,000 | )(f) | (500,000 | )(f) | (1,400,000 | )(c) | (1,400,000 | )(c) | |||||||||||||||
Shares outstanding, end of period | 1,075,000 | 600,000 | 2,325,000 | (f) | 3,900,000 | (f) | 400,000 | (c) | 600,000 | (c) |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(c) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 4:1 stock split effective January 13, 2022.
(f) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 4:1 stock split effective May 27, 2022.
210 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
Ultra Consumer Services | Ultra Dow30SM | Ultra Financials | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (99,163 | ) | $ | (104,853 | ) | $ | 2,693,521 | $ | 1,887,567 | $ | 2,962,867 | $ | 2,423,942 | |||||||||||||
Net realized gain (loss) | 6,652,019 | 8,370,076 | 128,878,710 | 80,659,309 | 168,451,268 | 302,224,245 | |||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(17,438,299 | ) | 6,627,092 | (173,849,484 | ) | 142,486,666 | (238,312,634 | ) | 190,640,287 | ||||||||||||||||||
Change in net assets resulting from operations |
(10,885,443 | ) | 14,892,315 | (42,277,253 | ) | 225,033,542 | (66,898,499 | ) | 495,288,474 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings | — | — | (1,513,762 | ) | (558,454 | ) | (42,664,109 | ) | (2,781,787 | ) | |||||||||||||||||
Total distributions | — | — | (1,513,762 | ) | (558,454 | ) | (42,664,109 | ) | (2,781,787 | ) | |||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 17,917,755 | 11,835,241 | 184,408,771 | 551,703,099 | 1,178,507,703 | 145,060,479 | |||||||||||||||||||||
Cost of shares redeemed | (24,780,629 | ) | (13,552,011 | ) | (253,346,080 | ) | (575,640,753 | ) | (1,321,139,297 | ) | (162,148,943 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
(6,862,874 | ) | (1,716,770 | ) | (68,937,309 | ) | (23,937,654 | ) | (142,631,594 | ) | (17,088,464 | ) | |||||||||||||||
Change in net assets | (17,748,317 | ) | 13,175,545 | (112,728,324 | ) | 200,537,434 | (252,194,202 | ) | 475,418,223 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 31,622,062 | $ | 18,446,517 | $ | 498,320,422 | $ | 297,782,988 | $ | 923,716,879 | $ | 448,298,656 | |||||||||||||||
End of period | $ | 13,873,745 | $ | 31,622,062 | $ | 385,592,098 | $ | 498,320,422 | $ | 671,522,677 | $ | 923,716,879 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 650,000 | (d) | 700,000 | (d) | 6,900,000 | 7,550,000 | 14,507,750 | 15,207,750 | |||||||||||||||||||
Issued | 350,000 | (d) | 200,000 | (d) | 2,500,000 | 11,100,000 | 18,550,000 | 2,650,000 | |||||||||||||||||||
Issued in-kind | — | (d) | 50,000 | (d) | — | — | — | — | |||||||||||||||||||
Redeemed | — | (d) | — | (d) | — | — | — | — | |||||||||||||||||||
Redemption in-kind | (525,000 | )(d) | (300,000 | )(d) | (3,500,000 | ) | (11,750,000 | ) | (20,600,000 | ) | (3,350,000 | ) | |||||||||||||||
Shares outstanding, end of period | 475,000 | (d) | 650,000 | (d) | 5,900,000 | 6,900,000 | 12,457,750 | 14,507,750 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(d) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 13, 2022.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 211
Ultra FTSE China 50 | Ultra FTSE Europe | Ultra Health Care | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (166,197 | ) | $ | (313,663 | ) | $ | (44,794 | ) | $ | (42,088 | ) | $ | 376,362 | $ | 190,611 | |||||||||||
Net realized gain (loss) | 248,528 | 2,932,833 | 1,391,855 | 1,896,339 | 56,128,216 | 24,659,344 | |||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(14,756,734 | ) | 4,227,489 | (2,301,983 | ) | 1,252,036 | (48,714,621 | ) | 18,153,574 | ||||||||||||||||||
Change in net assets resulting from operations |
(14,674,403 | ) | 6,846,659 | (954,922 | ) | 3,106,287 | 7,789,957 | 43,003,529 | |||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings | — | — | — | — | (247,844 | ) | (116,619 | ) | |||||||||||||||||||
Total distributions | — | — | — | — | (247,844 | ) | (116,619 | ) | |||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 13,222,258 | 17,688,326 | 2,942,584 | 1,422,507 | 305,986,945 | 17,528,027 | |||||||||||||||||||||
Cost of shares redeemed | (16,214,710 | ) | (16,606,011 | ) | (3,257,674 | ) | (2,789,027 | ) | (326,091,063 | ) | (40,726,691 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
(2,992,452 | ) | 1,082,315 | (315,090 | ) | (1,366,520 | ) | (20,104,118 | ) | (23,198,664 | ) | ||||||||||||||||
Change in net assets | (17,666,855 | ) | 7,928,974 | (1,270,012 | ) | 1,739,767 | (12,562,005 | ) | 19,688,246 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 28,090,931 | $ | 20,161,957 | $ | 5,239,462 | $ | 3,499,695 | $ | 130,404,660 | $ | 110,716,414 | |||||||||||||||
End of period | $ | 10,424,076 | $ | 28,090,931 | $ | 3,969,450 | $ | 5,239,462 | $ | 117,842,655 | $ | 130,404,660 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 400,000 | 400,000 | 75,000 | 100,000 | 1,475,000 | 1,800,000 | |||||||||||||||||||||
Issued | 300,000 | 250,000 | 50,000 | 25,000 | 2,575,000 | 175,000 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | 525,000 | 50,000 | |||||||||||||||||||||
Redeemed | (350,000 | ) | (250,000 | ) | (50,000 | ) | (50,000 | ) | (200,000 | ) | (125,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | (3,100,000 | ) | (425,000 | ) | |||||||||||||||||||
Shares outstanding, end of period | 350,000 | 400,000 | 75,000 | 75,000 | 1,275,000 | 1,475,000 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
212 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
Ultra High Yield | Ultra Industrials | Ultra MidCap400 | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (200,987 | ) | $ | (109,709 | ) | $ | 13,114 | $ | 14,941 | $ | 455,000 | $ | 217,770 | |||||||||||||
Net realized gain (loss) | 2,079,332 | 154,302 | 11,020,393 | 3,514,515 | 47,716,473 | 38,598,782 | |||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(3,822,149 | ) | 1,324,987 | (18,114,684 | ) | 13,903,043 | (78,959,083 | ) | 82,578,947 | ||||||||||||||||||
Change in net assets resulting from operations |
(1,943,804 | ) | 1,369,580 | (7,081,177 | ) | 17,432,499 | (30,787,610 | ) | 121,395,499 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings | (135,724 | ) | (319,707 | ) | (5,279 | ) | (36,211 | ) | (321,289 | ) | (268,889 | ) | |||||||||||||||
Total distributions | (135,724 | ) | (319,707 | ) | (5,279 | ) | (36,211 | ) | (321,289 | ) | (268,889 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 116,463,565 | 46,566,158 | 34,328,479 | 11,512,934 | 53,890,439 | 35,618,242 | |||||||||||||||||||||
Cost of shares redeemed | (122,571,396 | ) | (24,015,252 | ) | (50,998,764 | ) | (3,296,459 | ) | (89,029,395 | ) | (72,618,438 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
(6,107,831 | ) | 22,550,906 | (16,670,285 | ) | 8,216,475 | (35,138,956 | ) | (37,000,196 | ) | |||||||||||||||||
Change in net assets | (8,187,359 | ) | 23,600,779 | (23,756,741 | ) | 25,612,763 | (66,247,855 | ) | 84,126,414 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 28,413,945 | $ | 4,813,166 | $ | 40,450,543 | $ | 14,837,780 | $ | 189,162,187 | $ | 105,035,773 | |||||||||||||||
End of period | $ | 20,226,586 | $ | 28,413,945 | $ | 16,693,802 | $ | 40,450,543 | $ | 122,914,332 | $ | 189,162,187 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 375,000 | 75,000 | 1,225,000 | 1,000,000 | 2,875,000 | 3,675,000 | |||||||||||||||||||||
Issued | 1,525,000 | 625,000 | 1,000,000 | 275,000 | 600,000 | 600,000 | |||||||||||||||||||||
Issued in-kind | — | — | 50,000 | 100,000 | 200,000 | 500,000 | |||||||||||||||||||||
Redeemed | (1,600,000 | ) | (300,000 | ) | — | — | (600,000 | ) | (150,000 | ) | |||||||||||||||||
Redemption in-kind | — | (25,000 | ) | (1,575,000 | ) | (150,000 | ) | (800,000 | ) | (1,750,000 | ) | ||||||||||||||||
Shares outstanding, end of period | 300,000 | 375,000 | 700,000 | 1,225,000 | 2,275,000 | 2,875,000 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 213
Ultra MSCI Brazil Capped | Ultra MSCI EAFE | Ultra MSCI Emerging Markets | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (64,563 | ) | $ | (64,854 | ) | $ | (114,722 | ) | $ | (97,380 | ) | $ | (483,344 | ) | $ | (501,330 | ) | |||||||||
Net realized gain (loss) | 3,040,927 | 1,918,387 | 3,370,053 | 2,805,983 | 2,161,182 | 12,230,299 | |||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(3,732,576 | ) | 2,303,302 | (6,735,618 | ) | 3,187,495 | (29,812,128 | ) | 12,404,023 | ||||||||||||||||||
Change in net assets resulting from operations |
(756,212 | ) | 4,156,835 | (3,480,287 | ) | 5,896,098 | (28,134,290 | ) | 24,132,992 | ||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 10,315,500 | 1,247,283 | 7,541,381 | 7,417,253 | 20,744,168 | 81,768,155 | |||||||||||||||||||||
Cost of shares redeemed | (7,156,563 | ) | (3,150,599 | ) | (8,205,537 | ) | (3,697,312 | ) | (58,484,193 | ) | (26,057,083 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
3,158,937 | (1,903,316 | ) | (664,156 | ) | 3,719,941 | (37,740,025 | ) | 55,711,072 | ||||||||||||||||||
Change in net assets | 2,402,725 | 2,253,519 | (4,144,443 | ) | 9,616,039 | (65,874,315 | ) | 79,844,064 | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 7,139,788 | $ | 4,886,269 | $ | 13,208,204 | $ | 3,592,165 | $ | 92,605,000 | $ | 12,760,936 | |||||||||||||||
End of period | $ | 9,542,513 | $ | 7,139,788 | $ | 9,063,761 | $ | 13,208,204 | $ | 26,730,685 | $ | 92,605,000 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 191,557 | 241,557 | 250,000 | 125,000 | 875,000 | 250,000 | |||||||||||||||||||||
Issued | 375,000 | 50,000 | 150,000 | 200,000 | 225,000 | 900,000 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (275,000 | ) | (100,000 | ) | (175,000 | ) | (75,000 | ) | (675,000 | ) | (275,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 291,557 | 191,557 | 225,000 | 250,000 | 425,000 | 875,000 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
214 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
Ultra MSCI Japan | Ultra Nasdaq Biotechnology | Ultra Nasdaq Cloud Computing | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
January
19, 2021* through May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (60,339 | ) | $ | (50,938 | ) | $ | (576,731 | ) | $ | (999,348 | ) | $ | (10,891 | ) | $ | (5,495 | ) | |||||||||
Net realized gain (loss) | 1,541,413 | 1,074,325 | 3,383,233 | 74,081,880 | (239,922 | ) | 144,108 | ||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(5,167,279 | ) | 1,025,730 | (80,992,074 | ) | (35,130,549 | ) | (1,746,897 | ) | 77,658 | |||||||||||||||||
Change in net assets resulting from operations |
(3,686,205 | ) | 2,049,117 | (78,185,572 | ) | 37,951,983 | (1,997,710 | ) | 216,271 | ||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 36,793,949 | 2,296,581 | 99,642,381 | 280,939,595 | 1,868,676 | 4,000,040 | |||||||||||||||||||||
Cost of shares redeemed | (33,245,054 | ) | (2,367,519 | ) | (215,160,010 | ) | (215,482,923 | ) | — | (2,257,309 | ) | ||||||||||||||||
Change in net assets resulting from capital transactions |
3,548,895 | (70,938 | ) | (115,517,629 | ) | 65,456,672 | 1,868,676 | 1,742,731 | |||||||||||||||||||
Change in net assets | (137,310 | ) | 1,978,179 | (193,703,201 | ) | 103,408,655 | (129,034 | ) | 1,959,002 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 5,897,111 | $ | 3,918,932 | $ | 287,388,294 | $ | 183,979,639 | $ | 1,959,002 | $ | — | |||||||||||||||
End of period | $ | 5,759,801 | $ | 5,897,111 | $ | 93,685,093 | $ | 287,388,294 | $ | 1,829,968 | $ | 1,959,002 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 125,000 | 125,000 | 3,400,000 | 2,600,000 | 50,001 | — | |||||||||||||||||||||
Issued | 750,000 | 50,000 | 100,000 | 200,000 | — | 100,001 | |||||||||||||||||||||
Issued in-kind | — | — | 1,000,000 | 3,300,000 | 50,000 | — | |||||||||||||||||||||
Redeemed | (575,000 | ) | (50,000 | ) | (550,000 | ) | (350,000 | ) | — | — | |||||||||||||||||
Redemption in-kind | (125,000 | ) | — | (2,000,000 | ) | (2,350,000 | ) | — | (50,000 | ) | |||||||||||||||||
Shares outstanding, end of period | 175,000 | 125,000 | 1,950,000 | 3,400,000 | 100,001 | 50,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 215
Ultra Nasdaq Cybersecurity | Ultra Oil & Gas | Ultra QQQ | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
January
19, 2021* through May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (35,168 | ) | $ | (9,770 | ) | $ | 4,091,799 | $ | 4,014,682 | $ | (15,459,260 | ) | $ | (11,682,255 | ) | |||||||||||
Net realized gain (loss) | 443,600 | — | 139,254,242 | 26,090,175 | 1,370,868,620 | 1,710,052,490 | |||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(1,357,037 | ) | (163,862 | ) | 63,160,845 | 63,220,343 | (2,404,399,785 | ) | 410,296,228 | ||||||||||||||||||
Change in net assets resulting from operations |
(948,605 | ) | (173,632 | ) | 206,506,886 | 93,325,200 | (1,048,990,425 | ) | 2,108,666,463 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings | (29,506 | ) | — | (4,771,573 | ) | (4,169,364 | ) | — | — | ||||||||||||||||||
Total distributions | (29,506 | ) | — | (4,771,573 | ) | (4,169,364 | ) | — | — | ||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 6,528,568 | 4,000,040 | 48,974,498 | 81,427,791 | 4,485,156,617 | 1,454,540,260 | |||||||||||||||||||||
Cost of shares redeemed | (6,032,433 | ) | (1,011,283 | ) | (243,215,147 | ) | (75,852,503 | ) | (4,051,362,587 | ) | (1,639,798,684 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
496,135 | 2,988,757 | (194,240,649 | ) | 5,575,288 | 433,794,030 | (185,258,424 | ) | |||||||||||||||||||
Change in net assets | (481,976 | ) | 2,815,125 | 7,494,664 | 94,731,124 | (615,196,395 | ) | 1,923,408,039 | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 2,815,125 | $ | — | $ | 211,206,667 | $ | 116,475,543 | $ | 4,294,520,528 | $ | 2,371,112,489 | |||||||||||||||
End of period | $ | 2,333,149 | $ | 2,815,125 | $ | 218,701,331 | $ | 211,206,667 | $ | 3,679,324,133 | $ | 4,294,520,528 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 75,001 | — | 12,652,944 | (f) | 11,652,944 | (f) | 67,500,000 | 72,000,000 | |||||||||||||||||||
Issued | 100,000 | 100,001 | 1,200,000 | (f) | 3,000,000 | (f) | 41,200,000 | 15,200,000 | |||||||||||||||||||
Issued in-kind | 25,000 | — | 1,400,000 | (f) | 4,800,000 | (f) | 22,100,000 | 11,750,000 | |||||||||||||||||||
Redeemed | (75,000 | ) | (25,000 | ) | (1,400,000 | )(f) | — | (f) | — | — | |||||||||||||||||
Redemption in-kind | (50,000 | ) | — | (8,850,000 | )(f) | (6,800,000 | )(f) | (58,200,000 | ) | (31,450,000 | ) | ||||||||||||||||
Shares outstanding, end of period | 75,001 | 75,001 | 5,002,944 | (f) | 12,652,944 | (f) | 72,600,000 | 67,500,000 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(f) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 4:1 stock split effective May 27, 2022.
216 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
Ultra Real Estate | Ultra Russell2000 | Ultra S&P500® | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 820,659 | $ | 774,013 | $ | (219,293 | ) | $ | (1,028,961 | ) | $ | 13,820,233 | $ | 11,160,299 | |||||||||||||
Net realized gain (loss) | 36,020,755 | (19,075,577 | ) | 120,586,647 | 173,833,379 | 1,557,367,937 | 918,063,517 | ||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(37,730,729 | ) | 64,427,810 | (234,321,144 | ) | 152,603,267 | (1,806,969,584 | ) | 870,708,018 | ||||||||||||||||||
Change in net assets resulting from operations |
(889,315 | ) | 46,126,246 | (113,953,790 | ) | 325,407,685 | (235,781,414 | ) | 1,799,931,834 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings | (888,447 | ) | (613,192 | ) | — | (58,617 | ) | (9,133,655 | ) | (5,190,269 | ) | ||||||||||||||||
Total distributions | (888,447 | ) | (613,192 | ) | — | (58,617 | ) | (9,133,655 | ) | (5,190,269 | ) | ||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 23,294,422 | 32,896,676 | 384,304,250 | 775,638,701 | 5,124,560,438 | 2,324,587,585 | |||||||||||||||||||||
Cost of shares redeemed | (36,327,183 | ) | (37,931,952 | ) | (831,269,828 | ) | (482,962,530 | ) | (5,282,901,568 | ) | (2,457,702,513 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
(13,032,761 | ) | (5,035,276 | ) | (446,965,578 | ) | 292,676,171 | (158,341,130 | ) | (133,114,928 | ) | ||||||||||||||||
Change in net assets | (14,810,523 | ) | 40,477,778 | (560,919,368 | ) | 618,025,239 | (403,256,199 | ) | 1,661,626,637 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 117,123,962 | $ | 76,646,184 | $ | 742,689,467 | $ | 124,664,228 | $ | 3,827,455,513 | $ | 2,165,828,876 | |||||||||||||||
End of period | $ | 102,313,439 | $ | 117,123,962 | $ | 181,770,099 | $ | 742,689,467 | $ | 3,424,199,314 | $ | 3,827,455,513 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 1,383,744 | 1,483,744 | 12,850,000 | 5,400,000 | 67,000,000 | (d) | 71,200,000 | (d) | |||||||||||||||||||
Issued | 100,000 | 100,000 | 7,550,000 | 19,100,000 | 38,900,000 | (d) | 34,300,000 | (d) | |||||||||||||||||||
Issued in-kind | 125,000 | 400,000 | 100,000 | — | 40,750,000 | (d) | 20,300,000 | (d) | |||||||||||||||||||
Redeemed | — | — | (50,000 | ) | (3,200,000 | ) | — | (d) | — | (d) | |||||||||||||||||
Redemption in-kind | (375,000 | ) | (600,000 | ) | (15,550,000 | ) | (8,450,000 | ) | (83,100,000 | )(d) | (58,800,000 | )(d) | |||||||||||||||
Shares outstanding, end of period | 1,233,744 | 1,383,744 | 4,900,000 | 12,850,000 | 63,550,000 | (d) | 67,000,000 | (d) |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(d) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 13, 2022.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 217
Ultra Semiconductors | Ultra SmallCap600 | Ultra Technology | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (236,009 | ) | $ | (19,155 | ) | $ | 31,109 | $ | (30,131 | ) | $ | (3,942,192 | ) | $ | (2,695,348 | ) | ||||||||||
Net realized gain (loss) | 75,443,570 | 57,643,268 | 12,318,883 | 1,917,689 | 475,853,274 | 237,700,185 | |||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(123,028,262 | ) | 51,908,796 | (21,836,803 | ) | 22,951,072 | (571,308,630 | ) | 195,420,094 | ||||||||||||||||||
Change in net assets resulting from operations |
(47,820,701 | ) | 109,532,909 | (9,486,811 | ) | 24,838,630 | (99,397,548 | ) | 430,424,931 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings | — | (105,331 | ) | — | (7,958 | ) | — | — | |||||||||||||||||||
Total distributions | — | (105,331 | ) | — | (7,958 | ) | — | — | |||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 365,953,832 | 140,489,154 | 4,390,038 | 12,318,475 | 486,250,284 | 214,327,328 | |||||||||||||||||||||
Cost of shares redeemed | (323,870,726 | ) | (74,223,284 | ) | (8,077,079 | ) | (5,518,371 | ) | (610,701,807 | ) | (299,261,412 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
42,083,106 | 66,265,870 | (3,687,041 | ) | 6,800,104 | (124,451,523 | ) | (84,934,084 | ) | ||||||||||||||||||
Change in net assets | (5,737,595 | ) | 175,693,448 | (13,173,852 | ) | 31,630,776 | (223,849,071 | ) | 345,490,847 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 253,317,251 | $ | 77,623,803 | $ | 46,108,873 | $ | 14,478,097 | $ | 763,228,698 | $ | 417,737,851 | |||||||||||||||
End of period | $ | 247,579,656 | $ | 253,317,251 | $ | 32,935,021 | $ | 46,108,873 | $ | 539,379,627 | $ | 763,228,698 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 8,075,000 | 5,600,000 | 1,450,000 | 1,250,000 | 18,300,000 | (d) | 20,200,000 | (d) | |||||||||||||||||||
Issued | 5,575,000 | 900,000 | 25,000 | 25,000 | 7,650,000 | (d) | 2,000,000 | (d) | |||||||||||||||||||
Issued in-kind | 4,125,000 | 4,700,000 | 125,000 | 375,000 | 1,975,000 | (d) | 4,900,000 | (d) | |||||||||||||||||||
Redeemed | — | — | — | — | — | (d) | — | (d) | |||||||||||||||||||
Redemption in-kind | (9,025,000 | ) | (3,125,000 | ) | (275,000 | ) | (200,000 | ) | (12,500,000 | )(d) | (8,800,000 | )(d) | |||||||||||||||
Shares outstanding, end of period | 8,750,000 | 8,075,000 | 1,325,000 | 1,450,000 | 15,425,000 | (d) | 18,300,000 | (d) |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(d) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 13, 2022.
218 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
Ultra Telecommunications | Ultra Utilities | UltraPro Dow30SM | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 29,522 | $ | 18,392 | $ | 374,035 | $ | 186,284 | $ | 4,581,143 | $ | 3,756,328 | |||||||||||||||
Net realized gain (loss) | 195,138 | (12,542 | ) | 674,397 | (1,568,487 | ) | 298,708,374 | 333,836,349 | |||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(615,435 | ) | 470,827 | 3,252,710 | 4,235,552 | (377,844,228 | ) | 314,154,037 | |||||||||||||||||||
Change in net assets resulting from operations |
(390,775 | ) | 476,677 | 4,301,142 | 2,853,349 | (74,554,711 | ) | 651,746,714 | |||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings | (34,809 | ) | (14,027 | ) | (308,736 | ) | (89,337 | ) | (2,586,002 | ) | (1,653,264 | ) | |||||||||||||||
Total distributions | (34,809 | ) | (14,027 | ) | (308,736 | ) | (89,337 | ) | (2,586,002 | ) | (1,653,264 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | — | 1,068,573 | 21,966,904 | 1,176,993 | 2,965,496,366 | 1,157,370,619 | |||||||||||||||||||||
Cost of shares redeemed | — | — | (15,816,548 | ) | (5,518,309 | ) | (3,154,717,709 | ) | (1,554,430,853 | ) | |||||||||||||||||
Change in net assets resulting from capital transactions |
— | 1,068,573 | 6,150,356 | (4,341,316 | ) | (189,221,343 | ) | (397,060,234 | ) | ||||||||||||||||||
Change in net assets | (425,584 | ) | 1,531,223 | 10,142,762 | (1,577,304 | ) | (266,362,056 | ) | 253,033,216 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 2,390,666 | $ | 859,443 | $ | 13,737,391 | $ | 15,314,695 | $ | 958,085,541 | $ | 705,052,325 | |||||||||||||||
End of period | $ | 1,965,082 | $ | 2,390,666 | $ | 23,880,153 | $ | 13,737,391 | $ | 691,723,485 | $ | 958,085,541 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 50,000 | 25,000 | 225,000 | 300,000 | 13,050,000 | 22,800,000 | |||||||||||||||||||||
Issued | — | 25,000 | 150,000 | 25,000 | 12,150,000 | 9,900,000 | |||||||||||||||||||||
Issued in-kind | — | — | 175,000 | — | 27,700,000 | 16,700,000 | |||||||||||||||||||||
Redeemed | — | — | (100,000 | ) | (25,000 | ) | — | — | |||||||||||||||||||
Redemption in-kind | — | — | (150,000 | ) | (75,000 | ) | (41,600,000 | ) | (36,350,000 | ) | |||||||||||||||||
Shares outstanding, end of period | 50,000 | 50,000 | 300,000 | 225,000 | 11,300,000 | 13,050,000 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 219
UltraPro MidCap400 | UltraPro QQQ | UltraPro Russell2000 | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 16,578 | $ | (56,428 | ) | $ | (36,817,307 | ) | $ | (36,239,925 | ) | $ | (305,613 | ) | $ | (842,388 | ) | ||||||||||
Net realized gain (loss) | 28,918,082 | 15,327,376 | 4,497,365,040 | 5,905,595,254 | 133,218,287 | 178,693,170 | |||||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(44,696,364 | ) | 30,522,251 | (11,665,515,121 | ) | 2,072,765,461 | (367,824,360 | ) | 161,433,711 | ||||||||||||||||||
Change in net assets resulting from operations |
(15,761,704 | ) | 45,793,199 | (7,204,967,388 | ) | 7,942,120,790 | (234,911,686 | ) | 339,284,493 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings | (51,309 | ) | (9,726 | ) | (15,428 | ) | (15,367 | ) | — | (11,923 | ) | ||||||||||||||||
Total distributions | (51,309 | ) | (9,726 | ) | (15,428 | ) | (15,367 | ) | — | (11,923 | ) | ||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 24,576,472 | 17,526,663 | 25,961,592,213 | 14,695,431,557 | 791,082,250 | 754,634,730 | |||||||||||||||||||||
Cost of shares redeemed | (40,824,039 | ) | (22,398,463 | ) | (17,121,308,190 | ) | (16,407,531,794 | ) | (707,251,591 | ) | (868,342,638 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
(16,247,567 | ) | (4,871,800 | ) | 8,840,284,023 | (1,712,100,237 | ) | 83,830,659 | (113,707,908 | ) | |||||||||||||||||
Change in net assets | (32,060,580 | ) | 40,911,673 | 1,635,301,207 | 6,230,005,186 | (151,081,027 | ) | 225,564,662 | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 61,859,190 | $ | 20,947,517 | $ | 12,061,877,850 | $ | 5,831,872,664 | $ | 410,520,270 | $ | 184,955,608 | |||||||||||||||
End of period | $ | 29,798,610 | $ | 61,859,190 | $ | 13,697,179,057 | $ | 12,061,877,850 | $ | 259,439,243 | $ | 410,520,270 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 1,925,000 | 2,125,000 | 235,800,000 | (d) | 281,600,000 | (d) | 3,700,000 | 6,000,000 | |||||||||||||||||||
Issued | 625,000 | 375,000 | 202,200,000 | (d) | 225,400,000 | (d) | 9,300,000 | 12,900,000 | |||||||||||||||||||
Issued in-kind | 175,000 | 500,000 | 248,250,000 | (d) | 173,000,000 | (d) | — | — | |||||||||||||||||||
Redeemed | — | — | — | (d) | — | (d) | — | (6,500,000 | ) | ||||||||||||||||||
Redemption in-kind | (1,400,000 | ) | (1,075,000 | ) | (271,500,000 | )(d) | (444,200,000 | )(d) | (8,050,000 | ) | (8,700,000 | ) | |||||||||||||||
Shares outstanding, end of period | 1,325,000 | 1,925,000 | 414,750,000 | (d) | 235,800,000 | (d) | 4,950,000 | 3,700,000 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(d) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 13, 2022.
220 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
UltraPro S&P500® | UltraPro Short 20+ Year Treasury | UltraPro Short Dow30SM | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 5,388,296 | $ | 2,078,867 | $ | (1,610,227 | ) | $ | (372,392 | ) | $ | (3,328,622 | ) | $ | (4,173,147 | ) | |||||||||||
Net realized gain (loss) | 1,345,015,963 | 773,683,671 | 121,179,056 | 15,232,679 | (264,289,497 | ) | (995,442,595 | ) | |||||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(1,805,603,484 | ) | 808,847,102 | 10,580,231 | (844,586 | ) | 254,247,251 | 384,710,999 | |||||||||||||||||||
Change in net assets resulting from operations |
(455,199,225 | ) | 1,584,609,640 | 130,149,060 | 14,015,701 | (13,370,868 | ) | (614,904,743 | ) | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings | (3,324,709 | ) | (1,265,472 | ) | — | — | — | — | |||||||||||||||||||
Total distributions | (3,324,709 | ) | (1,265,472 | ) | — | — | — | — | |||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 5,797,360,726 | 2,242,123,359 | 260,672,851 | 121,956,972 | 1,300,969,673 | 907,813,074 | |||||||||||||||||||||
Cost of shares redeemed | (5,161,666,508 | ) | (2,802,958,861 | ) | (76,482,016 | ) | (69,876,736 | ) | (1,295,357,297 | ) | (749,537,285 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
635,694,218 | (560,835,502 | ) | 184,190,835 | 52,080,236 | 5,612,376 | 158,275,789 | ||||||||||||||||||||
Change in net assets | 177,170,284 | 1,022,508,666 | 314,339,895 | 66,095,937 | (7,758,492 | ) | (456,628,954 | ) | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 2,395,902,850 | $ | 1,373,394,184 | $ | 89,600,735 | $ | 23,504,798 | $ | 359,346,367 | $ | 815,975,321 | |||||||||||||||
End of period | $ | 2,573,073,134 | $ | 2,395,902,850 | $ | 403,940,630 | $ | 89,600,735 | $ | 351,587,875 | $ | 359,346,367 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 45,100,000 | (d) | 63,800,000 | (d) | 2,143,605 | 793,605 | 10,845,991 | 7,595,991 | |||||||||||||||||||
Issued | 41,300,000 | (d) | 36,400,000 | (d) | 6,950,000 | 3,600,000 | 43,500,000 | 14,700,000 | |||||||||||||||||||
Issued in-kind | 52,400,000 | (d) | 26,800,000 | (d) | — | — | — | — | |||||||||||||||||||
Redeemed | — | (d) | — | (d) | (1,950,000 | ) | (2,250,000 | ) | (43,003,711 | ) | (11,450,000 | ) | |||||||||||||||
Redemption in-kind | (83,350,000 | )(d) | (81,900,000 | )(d) | — | — | — | — | |||||||||||||||||||
Shares outstanding, end of period | 55,450,000 | (d) | 45,100,000 | (d) | 7,143,605 | 2,143,605 | 11,342,280 | 10,845,991 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(d) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 13, 2022.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 221
UltraPro Short MidCap400 | UltraPro Short QQQ | UltraPro Short Russell2000 | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (56,043 | ) | $ | (92,392 | ) | $ | (17,074,636 | ) | $ | (11,931,418 | ) | $ | (1,255,157 | ) | $ | (1,104,079 | ) | |||||||||
Net realized gain (loss) | (5,454,238 | ) | (19,330,034 | ) | 12,374,104 | (2,512,427,211 | ) | 841,996 | (326,798,271 | ) | |||||||||||||||||
Change in net unrealized
appreciation/depreciation |
4,905,549 | 3,228,971 | 358,590,653 | 759,223,222 | 54,710,886 | 90,168,684 | |||||||||||||||||||||
Change in net assets resulting from operations |
(604,732 | ) | (16,193,455 | ) | 353,890,121 | (1,765,135,407 | ) | 54,297,725 | (237,733,666 | ) | |||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 5,629,202 | 10,182,789 | 8,702,950,687 | 7,199,409,693 | 503,283,235 | 435,956,128 | |||||||||||||||||||||
Cost of shares redeemed | (1,487,579 | ) | (4,673,660 | ) | (7,990,990,311 | ) | (4,788,822,629 | ) | (514,755,014 | ) | (260,945,478 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
4,141,623 | 5,509,129 | 711,960,376 | 2,410,587,064 | (11,471,779 | ) | 175,010,650 | ||||||||||||||||||||
Change in net assets | 3,536,891 | (10,684,326 | ) | 1,065,850,497 | 645,451,657 | 42,825,946 | (62,723,016 | ) | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 4,001,805 | $ | 14,686,131 | $ | 1,758,960,621 | $ | 1,113,508,964 | $ | 107,591,800 | $ | 170,314,816 | |||||||||||||||
End of period | $ | 7,538,696 | $ | 4,001,805 | $ | 2,824,811,118 | $ | 1,758,960,621 | $ | 150,417,746 | $ | 107,591,800 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 148,946 | 105,235 | 31,687,817 | (e) | 4,728,849 | (e) | 2,228,368 | (e) | 524,526 | (e) | |||||||||||||||||
Issued | 200,000 | 106,250 | 218,040,000 | (e) | 79,942,000 | (e) | 9,690,000 | (e) | 4,144,000 | (e) | |||||||||||||||||
Issued in-kind | — | — | — | (e) | — | (e) | — | (e) | — | (e) | |||||||||||||||||
Redeemed | (50,303 | ) | (62,539 | ) | (190,127,270 | )(e) | (52,983,032 | )(e) | (9,360,722 | )(e) | (2,440,158 | )(e) | |||||||||||||||
Redemption in-kind | — | — | — | (e) | — | (e) | — | (e) | — | (e) | |||||||||||||||||
Shares outstanding, end of period | 298,643 | 148,946 | 59,600,547 | (e) | 31,687,817 | (e) | 2,557,646 | (e) | 2,228,368 | (e) |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(e) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective January 13, 2022.
222 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
UltraPro Short S&P500® | UltraShort 7-10 Year Treasury | UltraShort 20+ Year Treasury | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (4,656,193 | ) | $ | (5,711,368 | ) | $ | (642,442 | ) | $ | (298,260 | ) | $ | (11,598,774 | ) | $ | (5,708,594 | ) | |||||||||
Net realized gain (loss) | (385,690,820 | ) | (1,793,836,595 | ) | 24,176,507 | (4,070,102 | ) | 243,764,816 | (19,240,773 | ) | |||||||||||||||||
Change in net unrealized
appreciation/depreciation |
328,980,456 | 837,064,215 | (2,262,148 | ) | 6,401,272 | 81,317,525 | 183,835,207 | ||||||||||||||||||||
Change in net assets resulting from operations |
(61,366,557 | ) | (962,483,748 | ) | 21,271,917 | 2,032,910 | 313,483,567 | 158,885,840 | |||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings | — | — | — | — | — | (1,039 | ) | ||||||||||||||||||||
Tax return of capital | — | — | — | — | — | (6,804 | ) | ||||||||||||||||||||
Total distributions | — | — | — | — | — | (7,843 | ) | ||||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 2,783,384,071 | 1,458,234,773 | 171,120,287 | 24,534,135 | 1,096,405,024 | 1,120,112,194 | |||||||||||||||||||||
Cost of shares redeemed | (2,477,314,661 | ) | (1,343,407,933 | ) | (113,122,009 | ) | (12,948,525 | ) | (1,434,789,753 | ) | (298,573,461 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
306,069,410 | 114,826,840 | 57,998,278 | 11,585,610 | (338,384,729 | ) | 821,538,733 | ||||||||||||||||||||
Change in net assets | 244,702,853 | (847,656,908 | ) | 79,270,195 | 13,618,520 | (24,901,162 | ) | 980,416,730 | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 476,011,984 | $ | 1,323,668,892 | $ | 43,489,786 | $ | 29,871,266 | $ | 1,415,114,801 | $ | 434,698,071 | |||||||||||||||
End of period | $ | 720,714,837 | $ | 476,011,984 | $ | 122,759,981 | $ | 43,489,786 | $ | 1,390,213,639 | $ | 1,415,114,801 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 24,297,347 | 20,349,727 | 2,600,000 | 1,950,000 | 69,006,929 | 27,056,929 | |||||||||||||||||||||
Issued | 178,450,000 | 45,540,000 | 9,850,000 | 1,500,000 | 58,850,000 | 59,000,000 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (158,450,000 | ) | (41,592,380 | ) | (6,150,000 | ) | (850,000 | ) | (73,750,000 | ) | (17,050,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 44,297,347 | 24,297,347 | 6,300,000 | 2,600,000 | 54,106,929 | 69,006,929 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 223
UltraShort Basic Materials | UltraShort Consumer Goods | UltraShort Consumer Services | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (20,216 | ) | $ | (22,442 | ) | $ | (8,129 | ) | $ | (9,329 | ) | $ | (12,260 | ) | $ | (10,443 | ) | |||||||||
Net realized gain (loss) | (1,071,618 | ) | (3,638,965 | ) | (374,846 | ) | (1,482,825 | ) | (190,764 | ) | (1,713,108 | ) | |||||||||||||||
Change in net unrealized
appreciation/depreciation |
356,984 | 797,931 | 260,346 | 509,340 | 1,179,180 | 789,116 | |||||||||||||||||||||
Change in net assets resulting from operations |
(734,850 | ) | (2,863,476 | ) | (122,629 | ) | (982,814 | ) | 976,156 | (934,435 | ) | ||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 5,071,122 | 1,039,261 | 1,407,478 | 442,847 | 3,473,748 | 1,000,852 | |||||||||||||||||||||
Cost of shares redeemed | (3,620,442 | ) | (878,145 | ) | (473 | ) | (450 | ) | (2,151,998 | ) | (890,718 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
1,450,680 | 161,116 | 1,407,005 | 442,397 | 1,321,750 | 110,134 | |||||||||||||||||||||
Change in net assets | 715,830 | (2,702,360 | ) | 1,284,376 | (540,417 | ) | 2,297,906 | (824,301 | ) | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 1,718,138 | $ | 4,420,498 | $ | 1,027,928 | $ | 1,568,345 | $ | 939,836 | $ | 1,764,137 | |||||||||||||||
End of period | $ | 2,433,968 | $ | 1,718,138 | $ | 2,312,304 | $ | 1,027,928 | $ | 3,237,742 | $ | 939,836 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 135,178 | 110,178 | 65,598 | 40,615 | 46,800 | (g) | 40,580 | (g) | |||||||||||||||||||
Issued | 400,000 | 50,000 | 100,000 | 25,000 | 150,000 | (g) | 37,500 | (g) | |||||||||||||||||||
Issued in-kind | — | — | — | — | — | (g) | — | (g) | |||||||||||||||||||
Redeemed | (300,095 | ) | (25,000 | ) | (30 | ) | (17 | ) | (75,000 | )(g) | (31,280 | )(g) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | (g) | — | (g) | |||||||||||||||||||
Shares outstanding, end of period | 235,083 | 135,178 | 165,568 | 65,598 | 121,800 | (g) | 46,800 | (g) |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(g) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective May 27, 2022.
224 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
UltraShort Dow30SM | UltraShort Financials | UltraShort FTSE China 50 | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (880,530 | ) | $ | (1,240,886 | ) | $ | (115,306 | ) | $ | (248,277 | ) | $ | (192,733 | ) | $ | (236,739 | ) | |||||||||
Net realized gain (loss) | (34,508,299 | ) | (175,964,457 | ) | (9,393,016 | ) | (21,905,967 | ) | 2,795,138 | (11,378,838 | ) | ||||||||||||||||
Change in net unrealized
appreciation/depreciation |
32,222,600 | 64,709,490 | 8,658,777 | (2,187,218 | ) | 2,887,793 | (6,808,173 | ) | |||||||||||||||||||
Change in net assets resulting from operations |
(3,166,229 | ) | (112,495,853 | ) | (849,545 | ) | (24,341,462 | ) | 5,490,198 | (18,423,750 | ) | ||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 127,646,368 | 91,975,438 | 9,180,072 | 7,210,780 | 18,280,085 | 16,555,429 | |||||||||||||||||||||
Cost of shares redeemed | (115,912,424 | ) | (89,399,482 | ) | (5,234,581 | ) | (12,223,203 | ) | (15,939,969 | ) | (22,684,768 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
11,733,944 | 2,575,956 | 3,945,491 | (5,012,423 | ) | 2,340,116 | (6,129,339 | ) | |||||||||||||||||||
Change in net assets | 8,567,715 | (109,919,897 | ) | 3,095,946 | (29,353,885 | ) | 7,830,314 | (24,553,089 | ) | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 100,429,969 | $ | 210,349,866 | $ | 12,909,356 | $ | 42,263,241 | $ | 16,598,585 | $ | 41,151,674 | |||||||||||||||
End of period | $ | 108,997,684 | $ | 100,429,969 | $ | 16,005,302 | $ | 12,909,356 | $ | 24,428,899 | $ | 16,598,585 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 2,130,854 | (e) | 2,100,854 | (e) | 648,348 | (b) | 786,208 | (b) | 551,947 | 751,947 | |||||||||||||||||
Issued | 2,830,000 | (e) | 1,190,000 | (e) | 487,500 | (b) | 168,750 | (b) | 450,000 | 500,000 | |||||||||||||||||
Issued in-kind | — | (e) | — | (e) | — | (b) | — | (b) | — | — | |||||||||||||||||
Redeemed | (2,601,068 | )(e) | (1,160,000 | )(e) | (288,182 | )(b) | (306,610 | )(b) | (350,000 | ) | (700,000 | ) | |||||||||||||||
Redemption in-kind | — | (e) | — | (e) | — | (b) | — | (b) | — | — | |||||||||||||||||
Shares outstanding, end of period | 2,359,786 | (e) | 2,130,854 | (e) | 847,666 | (b) | 648,348 | (b) | 651,947 | 551,947 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(b) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective January 13, 2022.
(e) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective January 13, 2022.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 225
UltraShort FTSE Europe | UltraShort Health Care | UltraShort Industrials | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (126,419 | ) | $ | (116,485 | ) | $ | (15,848 | ) | $ | (17,397 | ) | $ | (19,403 | ) | $ | (15,384 | ) | |||||||||
Net realized gain (loss) | (3,554,883 | ) | (15,763,355 | ) | (622,726 | ) | (1,631,347 | ) | (412,765 | ) | (3,053,067 | ) | |||||||||||||||
Change in net unrealized
appreciation/depreciation |
2,085,442 | 4,275,387 | 21,513 | 745,770 | 859,127 | 1,327,126 | |||||||||||||||||||||
Change in net assets resulting from operations |
(1,595,860 | ) | (11,604,453 | ) | (617,061 | ) | (902,974 | ) | 426,959 | (1,741,325 | ) | ||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings | (425 | ) | — | — | — | — | — | ||||||||||||||||||||
Total distributions | (425 | ) | — | — | — | — | — | ||||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 68,873,982 | 1,830,466 | 10,737,275 | 1,573,009 | 8,195,100 | 847,786 | |||||||||||||||||||||
Cost of shares redeemed | (18,697,523 | ) | (5,849,968 | ) | (7,993,306 | ) | (1,480,796 | ) | (6,741,361 | ) | (1,431,542 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
50,176,459 | (4,019,502 | ) | 2,743,969 | 92,213 | 1,453,739 | (583,756 | ) | |||||||||||||||||||
Change in net assets | 48,580,174 | (15,623,955 | ) | 2,126,908 | (810,761 | ) | 1,880,698 | (2,325,081 | ) | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 7,300,381 | $ | 22,924,336 | $ | 1,267,383 | $ | 2,078,144 | $ | 943,190 | $ | 3,268,271 | |||||||||||||||
End of period | $ | 55,880,555 | $ | 7,300,381 | $ | 3,394,291 | $ | 1,267,383 | $ | 2,823,888 | $ | 943,190 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 612,119 | 812,119 | 80,453 | 80,453 | 65,187 | 83,961 | |||||||||||||||||||||
Issued | 5,025,000 | 100,000 | 775,000 | 62,500 | 550,000 | 31,250 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (1,375,000 | ) | (300,000 | ) | (600,023 | ) | (62,500 | ) | (450,052 | ) | (50,024 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 4,262,119 | 612,119 | 255,430 | 80,453 | 165,135 | 65,187 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
226 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
UltraShort MidCap400 | UltraShort MSCI Brazil Capped | UltraShort MSCI EAFE | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (17,962 | ) | $ | (36,423 | ) | $ | (129,635 | ) | $ | (195,245 | ) | $ | (11,623 | ) | $ | (19,119 | ) | |||||||||
Net realized gain (loss) | (903,345 | ) | (6,797,539 | ) | (6,012,223 | ) | (21,538,222 | ) | (372,938 | ) | (1,314,138 | ) | |||||||||||||||
Change in net unrealized
appreciation/depreciation |
392,592 | 2,923,599 | 3,142,811 | (2,321,890 | ) | 603,554 | (257,751 | ) | |||||||||||||||||||
Change in net assets resulting from operations |
(528,715 | ) | (3,910,363 | ) | (2,999,047 | ) | (24,055,357 | ) | 218,993 | (1,591,008 | ) | ||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 6,910,584 | 1,150,336 | 22,396,394 | 31,863,363 | 1,643,923 | — | |||||||||||||||||||||
Cost of shares redeemed | (5,490,865 | ) | (1,625,743 | ) | (18,338,125 | ) | (33,070,783 | ) | (1,648,923 | ) | — | ||||||||||||||||
Change in net assets resulting from capital transactions |
1,419,719 | (475,407 | ) | 4,058,269 | (1,207,420 | ) | (5,000 | ) | — | ||||||||||||||||||
Change in net assets | 891,004 | (4,385,770 | ) | 1,059,222 | (25,262,777 | ) | 213,993 | (1,591,008 | ) | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 2,007,332 | $ | 6,393,102 | $ | 12,435,373 | $ | 37,698,150 | $ | 1,410,405 | $ | 3,001,413 | |||||||||||||||
End of period | $ | 2,898,336 | $ | 2,007,332 | $ | 13,494,595 | $ | 12,435,373 | $ | 1,624,398 | $ | 1,410,405 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 113,590 | 126,125 | 458,720 | (g) | 433,720 | (g) | 137,428 | 137,428 | |||||||||||||||||||
Issued | 350,000 | 25,000 | 800,000 | (g) | 675,000 | (g) | 150,000 | — | |||||||||||||||||||
Issued in-kind | — | — | — | (g) | — | (g) | — | — | |||||||||||||||||||
Redeemed | (300,080 | ) | (37,535 | ) | (600,053 | )(g) | (650,000 | )(g) | (150,000 | ) | — | ||||||||||||||||
Redemption in-kind | — | — | — | (g) | — | (g) | — | — | |||||||||||||||||||
Shares outstanding, end of period | 163,510 | 113,590 | 658,667 | (g) | 458,720 | (g) | 137,428 | 137,428 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(g) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective May 27, 2022.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 227
UltraShort MSCI Emerging Markets |
UltraShort MSCI Japan | UltraShort Nasdaq Biotechnology | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (63,933 | ) | $ | (84,675 | ) | $ | (38,426 | ) | $ | (62,001 | ) | $ | (75,609 | ) | $ | (106,474 | ) | |||||||||
Net realized gain (loss) | 2,237,679 | (14,009,251 | ) | (1,013,755 | ) | (2,822,311 | ) | (7,146,131 | ) | (8,241,188 | ) | ||||||||||||||||
Change in net unrealized
appreciation/depreciation |
(313,630 | ) | 3,913,349 | 1,734,955 | (911,084 | ) | 9,072,853 | 3,869,641 | |||||||||||||||||||
Change in net assets resulting from operations |
1,860,116 | (10,180,577 | ) | 682,774 | (3,795,396 | ) | 1,851,113 | (4,478,021 | ) | ||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 11,291,272 | 4,337,729 | 4,445,824 | 517,911 | 12,707,538 | 23,184,039 | |||||||||||||||||||||
Cost of shares redeemed | (7,489,954 | ) | (5,351,898 | ) | (3,619,099 | ) | (3,137,290 | ) | (15,801,058 | ) | (21,595,981 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
3,801,318 | (1,014,169 | ) | 826,725 | (2,619,379 | ) | (3,093,520 | ) | 1,588,058 | ||||||||||||||||||
Change in net assets | 5,661,434 | (11,194,746 | ) | 1,509,499 | (6,414,775 | ) | (1,242,407 | ) | (2,889,963 | ) | |||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 5,466,771 | $ | 16,661,517 | $ | 4,799,765 | $ | 11,214,540 | $ | 9,666,226 | $ | 12,556,189 | |||||||||||||||
End of period | $ | 11,128,205 | $ | 5,466,771 | $ | 6,309,264 | $ | 4,799,765 | $ | 8,423,819 | $ | 9,666,226 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 363,771 | 438,771 | 349,913 | 474,913 | 446,096 | 371,250 | |||||||||||||||||||||
Issued | 600,000 | 150,000 | 300,000 | 25,000 | 550,000 | 937,500 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (425,000 | ) | (225,000 | ) | (275,000 | ) | (150,000 | ) | (700,000 | ) | (862,654 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 538,771 | 363,771 | 374,913 | 349,913 | 296,096 | 446,096 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
228 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
UltraShort Oil & Gas | UltraShort QQQ | UltraShort Real Estate | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (171,033 | ) | $ | (162,235 | ) | $ | (2,337,801 | ) | $ | (2,083,885 | ) | $ | (141,718 | ) | $ | (276,418 | ) | |||||||||
Net realized gain (loss) | (10,704,330 | ) | (23,104,837 | ) | (40,370,935 | ) | (371,427,541 | ) | (20,186,947 | ) | (22,401,573 | ) | |||||||||||||||
Change in net unrealized
appreciation/depreciation |
(12,993,449 | ) | 7,911,197 | 94,159,711 | 147,327,079 | 20,370,032 | 1,359,407 | ||||||||||||||||||||
Change in net assets resulting from operations |
(23,868,812 | ) | (15,355,875 | ) | 51,450,975 | (226,184,347 | ) | 41,367 | (21,318,584 | ) | |||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 71,553,140 | 38,941,467 | 1,325,163,725 | 737,455,753 | 21,812,410 | 21,783,218 | |||||||||||||||||||||
Cost of shares redeemed | (34,261,373 | ) | (22,732,728 | ) | (1,232,988,157 | ) | (538,075,095 | ) | (10,360,730 | ) | (38,707,472 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
37,291,767 | 16,208,739 | 92,175,568 | 199,380,658 | 11,451,680 | (16,924,254 | ) | ||||||||||||||||||||
Change in net assets | 13,422,955 | 852,864 | 143,626,543 | (26,803,689 | ) | 11,493,047 | (38,242,838 | ) | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 17,253,532 | $ | 16,400,668 | $ | 221,703,424 | $ | 248,507,113 | $ | 16,426,594 | $ | 54,669,432 | |||||||||||||||
End of period | $ | 30,676,487 | $ | 17,253,532 | $ | 365,329,967 | $ | 221,703,424 | $ | 27,919,641 | $ | 16,426,594 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 263,422 | (e) | 73,422 | (e) | 9,445,774 | 4,261,058 | 947,919 | 1,572,919 | |||||||||||||||||||
Issued | 2,700,000 | (e) | 310,000 | (e) | 68,600,000 | 22,100,000 | 1,600,000 | 750,000 | |||||||||||||||||||
Issued in-kind | — | (e) | — | (e) | — | — | — | — | |||||||||||||||||||
Redeemed | (1,110,168 | )(e) | (120,000 | )(e) | (61,750,000 | ) | (16,915,284 | ) | (700,842 | ) | (1,375,000 | ) | |||||||||||||||
Redemption in-kind | — | (e) | — | (e) | — | — | — | — | |||||||||||||||||||
Shares outstanding, end of period | 1,853,254 | (e) | 263,422 | (e) | 16,295,774 | 9,445,774 | 1,847,077 | 947,919 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(e) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective January 13, 2022.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 229
UltraShort Russell2000 | UltraShort S&P500® | UltraShort Semiconductors | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (772,458 | ) | $ | (799,032 | ) | $ | (5,028,891 | ) | $ | (6,884,645 | ) | $ | (29,198 | ) | $ | (41,773 | ) | |||||||||
Net realized gain (loss) | (11,276,620 | ) | (194,691,650 | ) | (329,022,816 | ) | (1,136,300,751 | ) | (1,900,531 | ) | (5,907,472 | ) | |||||||||||||||
Change in net unrealized
appreciation/depreciation |
29,668,565 | 81,375,979 | 303,502,644 | 399,483,934 | 546,756 | (19,542 | ) | ||||||||||||||||||||
Change in net assets resulting from operations |
17,619,487 | (114,114,703 | ) | (30,549,063 | ) | (743,701,462 | ) | (1,382,973 | ) | (5,968,787 | ) | ||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 263,101,783 | 194,590,688 | 2,391,220,902 | 827,177,086 | 8,654,749 | 3,855,421 | |||||||||||||||||||||
Cost of shares redeemed | (238,788,601 | ) | (139,653,180 | ) | (2,043,460,606 | ) | (980,866,395 | ) | (3,279,458 | ) | (2,706,281 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
24,313,182 | 54,937,508 | 347,760,296 | (153,689,309 | ) | 5,375,291 | 1,149,140 | ||||||||||||||||||||
Change in net assets | 41,932,669 | (59,177,195 | ) | 317,211,233 | (897,390,771 | ) | 3,992,318 | (4,819,647 | ) | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 73,769,517 | $ | 132,946,712 | $ | 582,647,743 | $ | 1,480,038,514 | $ | 2,733,869 | $ | 7,553,516 | |||||||||||||||
End of period | $ | 115,702,186 | $ | 73,769,517 | $ | 899,858,976 | $ | 582,647,743 | $ | 6,726,187 | $ | 2,733,869 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 5,313,966 | 2,864,859 | 12,269,213 | (e) | 14,389,213 | (e) | 74,586 | 58,997 | |||||||||||||||||||
Issued | 17,300,000 | 8,850,000 | 57,480,000 | (e) | 11,970,000 | (e) | 375,000 | 71,875 | |||||||||||||||||||
Issued in-kind | — | — | — | (e) | — | (e) | — | — | |||||||||||||||||||
Redeemed | (15,700,000 | ) | (6,400,893 | ) | (48,942,964 | )(e) | (14,090,000 | )(e) | (150,126 | ) | (56,286 | ) | |||||||||||||||
Redemption in-kind | — | — | — | (e) | — | (e) | — | — | |||||||||||||||||||
Shares outstanding, end of period | 6,913,966 | 5,313,966 | 20,806,249 | (e) | 12,269,213 | (e) | 299,460 | 74,586 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(e) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective January 13, 2022.
230 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
UltraShort SmallCap600 | UltraShort Technology | UltraShort Utilities | |||||||||||||||||||||||||
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
Year
Ended May 31, 2022 |
Year
Ended May 31, 2021 |
||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (27,486 | ) | $ | (44,801 | ) | $ | (48,590 | ) | $ | (52,912 | ) | $ | (16,267 | ) | $ | (19,890 | ) | |||||||||
Net realized gain (loss) | (379,198 | ) | (10,893,634 | ) | (4,057,952 | ) | (7,248,960 | ) | (1,490,063 | ) | (161,695 | ) | |||||||||||||||
Change in net unrealized
appreciation/depreciation |
607,339 | 4,556,384 | 4,848,322 | 1,477,267 | 882,779 | (539,269 | ) | ||||||||||||||||||||
Change in net assets resulting from operations |
200,655 | (6,382,051 | ) | 741,780 | (5,824,605 | ) | (623,551 | ) | (720,854 | ) | |||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 2,379,702 | — | 20,266,014 | 16,341,690 | 1,420,525 | 4,516,358 | |||||||||||||||||||||
Cost of shares redeemed | (4,964 | ) | (1,053,066 | ) | (18,110,127 | ) | (10,507,138 | ) | (742,347 | ) | (3,320,041 | ) | |||||||||||||||
Change in net assets resulting from capital transactions |
2,374,738 | (1,053,066 | ) | 2,155,887 | 5,834,552 | 678,178 | 1,196,317 | ||||||||||||||||||||
Change in net assets | 2,575,393 | (7,435,117 | ) | 2,897,667 | 9,947 | 54,627 | 475,463 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 2,064,185 | $ | 9,499,302 | $ | 4,865,818 | $ | 4,855,871 | $ | 2,347,189 | $ | 1,871,726 | |||||||||||||||
End of period | $ | 4,639,578 | $ | 2,064,185 | $ | 7,763,485 | $ | 4,865,818 | $ | 2,401,816 | $ | 2,347,189 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 84,141 | 102,916 | 218,867 | (b) | 81,441 | (b) | 143,720 | 81,245 | |||||||||||||||||||
Issued | 100,000 | — | 1,162,500 | (b) | 506,250 | (b) | 125,000 | 237,500 | |||||||||||||||||||
Issued in-kind | — | — | — | (b) | — | (b) | — | — | |||||||||||||||||||
Redeemed | (195 | ) | (18,775 | ) | (975,264 | )(b) | (368,824 | )(b) | (50,000 | ) | (175,025 | ) | |||||||||||||||
Redemption in-kind | — | — | — | (b) | — | (b) | — | — | |||||||||||||||||||
Shares outstanding, end of period | 183,946 | 84,141 | 406,103 | (b) | 218,867 | (b) | 218,720 | 143,720 |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(b) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective January 13, 2022.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 231
232 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Short 7-10 Year Treasury | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 24.82 | $ | (0.21 | ) | $ | 2.12 | $ | — | $ | 1.91 | $ | — | $ | — | $ | — | $ | — | $ | 26.73 | 7.67 | % | 8.04 | % | 0.96 | % | 0.95 | % | (0.86 | )% | (0.85 | )% | $ | 171,717 | — | % | ||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
23.86 | (0.23 | ) | 1.19 | — | 0.96 | — | — | — | — | 24.82 | 4.04 | 3.77 | 1.10 | 0.95 | (1.09 | ) | (0.94 | ) | 89,977 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
27.27 | 0.17 | (3.24 | ) | — | (3.07 | ) | (0.32 | ) | — | (0.02 | )# | (0.34 | ) | 23.86 | (11.40 | ) | (11.28 | ) | 1.22 | 0.95 | 0.40 | 0.67 | 15,507 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
29.07 | 0.32 | (1.82 | ) | — | (1.50 | ) | (0.30 | ) | — | — | (0.30 | ) | 27.27 | (5.21 | ) | (5.36 | ) | 1.04 | 0.95 | 1.00 | 1.09 | 25,228 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
28.08 | 0.06 | 0.93 | — | 0.99 | — | — | — | — | 29.07 | 3.53 | 3.75 | 1.05 | 0.95 | 0.11 | 0.21 | 83,576 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Short 20+ Year Treasury | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
17.60 | (0.14 | ) | 2.40 | — | 2.26 | — | — | — | — | 19.86 | 12.81 | 12.33 | 0.90 | 0.90 | (0.81 | ) | (0.81 | ) | 675,163 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
15.53 | (0.15 | ) | 2.22 | — | 2.07 | — | — | — | — | 17.60 | 13.36 | 13.62 | 0.92 | 0.92 | (0.87 | ) | (0.87 | ) | 597,553 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
20.67 | 0.22 | (5.06 | ) | — | (4.84 | ) | (0.26 | ) | — | (0.04 | )# | (0.30 | ) | 15.53 | (23.72 | ) | (23.43 | ) | 0.94 | 0.94 | 1.18 | 1.18 | 159,921 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
22.67 | 0.28 | (2.02 | ) | — | (1.74 | ) | (0.26 | ) | — | — | (0.26 | ) | 20.67 | (7.75 | ) | (8.42 | ) | 0.92 | 0.92 | 1.23 | 1.23 | 317,346 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
22.62 | 0.07 | (0.02 | ) | — | 0.05 | — | — | — | — | 22.67 | 0.23 | 0.57 | 0.91 | 0.91 | 0.30 | 0.30 | 631,426 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Short Dow30SM | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
34.12 | (0.29 | ) | 0.16 | (i) | — | (0.13 | ) | — | — | — | — | 33.99 | (0.39 | ) | (0.38 | ) | 0.95 | 0.95 | (0.86 | ) | (0.86 | ) | 255,737 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
49.16 | (0.36 | ) | (14.68 | ) | — | (15.04 | ) | — | — | — | — | 34.12 | (30.59 | ) | (30.65 | ) | 0.96 | 0.95 | (0.88 | ) | (0.86 | ) | 232,824 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
57.46 | 0.27 | (7.93 | ) | — | (7.66 | ) | (0.59 | ) | — | (0.05 | )# | (0.64 | ) | 49.16 | (13.40 | ) | (13.38 | ) | 0.99 | 0.95 | 0.47 | 0.51 | 502,585 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
59.62 | 0.77 | (2.29 | ) | — | (1.52 | ) | (0.64 | ) | — | — | (0.64 | ) | 57.46 | (2.54 | ) | (2.55 | ) | 0.98 | 0.95 | 1.32 | 1.35 | 268,563 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(m) |
70.91 | 0.26 | (11.47 | ) | — | (11.21 | ) | (0.08 | ) | — | — | (0.08 | ) | 59.62 | (15.82 | ) | (15.78 | ) | 0.97 | 0.95 | 0.39 | 0.41 | 233,932 | — |
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 233
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Short Financials | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 12.72 | $ | (0.10 | ) | $ | (0.08 | )(i) | $ | — | $ | (0.18 | ) | $ | — | $ | — | $ | — | $ | — | $ | 12.54 | (1.41 | )% | (1.34 | )% | 1.56 | % | 0.95 | % | (1.45 | )% | (0.84 | )% | $ | 18,494 | — | % | ||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
20.49 | (0.16 | ) | (7.61 | ) | — | (7.77 | ) | — | — | — | — | 12.72 | (37.93 | ) | (37.85 | ) | 1.29 | 0.95 | (1.28 | ) | (0.93 | ) | 9,855 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
22.52 | 0.09 | (1.92 | ) | — | (1.83 | ) | (0.18 | ) | — | (0.02 | )# | (0.20 | ) | 20.49 | (8.12 | ) | (8.43 | ) | 1.27 | 0.95 | 0.11 | 0.43 | 32,272 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
23.14 | 0.23 | (0.69 | )(i) | — | (0.46 | ) | (0.16 | ) | — | — | (0.16 | ) | 22.52 | (2.03 | ) | (1.94 | ) | 1.27 | 0.95 | 0.68 | 1.01 | 21,956 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(n) |
27.22 | 0.03 | (4.11 | ) | — | (4.08 | ) | — | — | — | — | 23.14 | (14.99 | ) | (15.14 | ) | 1.22 | 0.95 | (0.15 | ) | 0.11 | 19,089 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Short FTSE China 50 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
14.18 | (0.15 | ) | 3.06 | — | 2.91 | — | — | — | — | 17.09 | 20.55 | 20.62 | 2.06 | 0.95 | (2.00 | ) | (0.89 | ) | 6,836 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
18.64 | (0.14 | ) | (4.32 | ) | — | (4.46 | ) | — | — | — | — | 14.18 | (23.94 | ) | (24.08 | ) | 2.34 | 0.95 | (2.33 | ) | (0.94 | ) | 2,835 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
20.20 | 0.05 | (1.46 | ) | — | (1.41 | ) | (0.14 | ) | — | (0.01 | )# | (0.15 | ) | 18.64 | (6.97 | ) | (6.84 | ) | 1.98 | 0.95 | (0.75 | ) | 0.28 | 6,524 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
18.57 | 0.19 | 1.53 | — | 1.72 | (0.09 | ) | — | — | (0.09 | ) | 20.20 | 9.30 | 9.77 | 2.05 | 0.95 | (0.15 | ) | 0.95 | 8,079 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
23.07 | 0.02 | (4.52 | ) | — | (4.50 | ) | — | — | — | — | 18.57 | (19.52 | ) | (20.01 | ) | 2.00 | 0.95 | (0.94 | ) | 0.11 | 5,570 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Short High Yield | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
18.23 | (0.14 | ) | 0.35 | — | 0.21 | — | — | — | — | 18.44 | 1.17 | 1.26 | 1.03 | 0.95 | (0.87 | ) | (0.79 | ) | 343,042 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
20.88 | (0.18 | ) | (2.47 | ) | — | (2.65 | ) | — | — | — | — | 18.23 | (12.70 | ) | (12.70 | ) | 1.05 | 0.95 | (1.01 | ) | (0.91 | ) | 54,685 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
22.17 | 0.10 | (1.17 | ) | — | (1.07 | ) | (0.21 | ) | — | (0.01 | )# | (0.22 | ) | 20.88 | (4.83 | ) | (4.81 | ) | 1.02 | 0.95 | 0.42 | 0.48 | 119,021 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
23.25 | 0.24 | (1.10 | ) | — | (0.86 | ) | (0.22 | ) | — | — | (0.22 | ) | 22.17 | (3.75 | ) | (3.89 | ) | 1.00 | 0.95 | 1.00 | 1.05 | 113,047 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
23.58 | 0.08 | (0.41 | ) | — | (0.33 | ) | — | (h) | — | — | — | (h) | 23.25 | (1.37 | ) | (1.38 | ) | 0.99 | 0.95 | 0.29 | 0.33 | 140,683 | — |
234 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Short MidCap400 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 24.32 | $ | (0.21 | ) | $ | 0.62 | $ | — | $ | 0.41 | $ | — | $ | — | $ | — | $ | — | $ | 24.73 | 1.68 | % | 1.73 | % | 1.53 | % | 0.95 | % | (1.46 | )% | (0.88 | )% | $ | 12,206 | — | % | ||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
40.36 | (0.30 | ) | (15.74 | ) | — | (16.04 | ) | — | — | — | — | 24.32 | (39.75 | ) | (39.76 | ) | 1.22 | 0.95 | (1.21 | ) | (0.94 | ) | 12,004 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
46.08 | 0.09 | (5.33 | ) | — | (5.24 | ) | (0.46 | ) | — | (0.02 | )# | (0.48 | ) | 40.36 | (11.42 | ) | (11.51 | ) | 1.37 | 0.95 | (0.22 | ) | 0.20 | 31,022 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
43.50 | 0.57 | 2.32 | (i) | — | 2.89 | (0.31 | ) | — | — | (0.31 | ) | 46.08 | 6.65 | 6.74 | 1.38 | 0.95 | 0.84 | 1.28 | 14,683 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(m) |
50.02 | 0.09 | (6.61 | ) | — | (6.52 | ) | — | — | — | — | 43.50 | (13.03 | ) | (13.16 | ) | 1.40 | 0.95 | (0.25 | ) | 0.20 | 10,600 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Short MSCI EAFE | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
18.19 | (0.15 | ) | 1.50 | (i) | — | 1.35 | — | — | — | — | 19.54 | 7.41 | 7.43 | 1.22 | 0.95 | (1.06 | ) | (0.79 | ) | 64,958 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
26.23 | (0.21 | ) | (7.83 | ) | — | (8.04 | ) | — | — | — | — | 18.19 | (30.66 | ) | (30.69 | ) | 1.28 | 0.95 | (1.26 | ) | (0.93 | ) | 9,549 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
27.52 | 0.11 | (1.10 | ) | — | (0.99 | ) | (0.29 | ) | — | (0.01 | )# | (0.30 | ) | 26.23 | (3.54 | ) | (3.55 | ) | 1.15 | 0.95 | 0.19 | 0.39 | 45,247 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
25.74 | 0.32 | 1.64 | — | 1.96 | (0.18 | ) | — | — | (0.18 | ) | 27.52 | 7.62 | 7.72 | 1.12 | 0.95 | 1.00 | 1.16 | 40,588 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
27.79 | 0.04 | (2.09 | ) | — | (2.05 | ) | — | — | — | — | 25.74 | (7.38 | ) | (7.42 | ) | 1.22 | 0.95 | (0.12 | ) | 0.15 | 18,662 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Short MSCI Emerging Markets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
11.86 | (0.11 | ) | 2.36 | — | 2.25 | — | — | — | — | 14.11 | 19.04 | 18.97 | 1.19 | 0.95 | (1.12 | ) | (0.87 | ) | 43,046 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
18.52 | (0.13 | ) | (6.53 | ) | — | (6.66 | ) | — | — | — | — | 11.86 | (35.98 | ) | (35.96 | ) | 1.12 | 0.95 | (1.10 | ) | (0.93 | ) | 20,747 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
19.50 | 0.11 | (0.89 | ) | — | (0.78 | ) | (0.18 | ) | — | (0.02 | )# | (0.20 | ) | 18.52 | (3.96 | ) | (3.83 | ) | 1.05 | 0.95 | 0.47 | 0.57 | 87,971 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
18.24 | 0.21 | 1.28 | — | 1.49 | (0.23 | ) | — | — | (0.23 | ) | 19.50 | 8.11 | 7.97 | 0.99 | 0.95 | 1.02 | 1.06 | 95,536 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
21.06 | 0.04 | (2.86 | ) | — | (2.82 | ) | — | — | — | — | 18.24 | (13.39 | ) | (13.39 | ) | 0.98 | 0.95 | 0.19 | 0.22 | 156,881 | — |
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 235
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Short QQQ | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 13.22 | $ | (0.10 | ) | $ | 0.14 | $ | — | $ | 0.04 | $ | — | $ | — | $ | — | $ | — | $ | 13.26 | 0.35 | % | 0.38 | % | 1.00 | % | 0.95 | % | (0.87 | )% | (0.82 | )% | $ | 1,083,760 | — | % | ||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
20.33 | (0.13 | ) | (6.98 | ) | — | (7.11 | ) | — | — | — | — | 13.22 | (34.99 | ) | (35.09 | ) | 1.00 | 0.95 | (0.90 | ) | (0.85 | ) | 595,528 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
30.49 | 0.24 | (10.03 | ) | — | (9.79 | ) | (0.33 | ) | — | (0.04 | )# | (0.37 | ) | 20.33 | (32.40 | ) | (32.33 | ) | 1.02 | 0.95 | 0.86 | 0.92 | 502,349 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
32.17 | 0.46 | (1.75 | ) | — | (1.29 | ) | (0.39 | ) | — | — | (0.39 | ) | 30.49 | (4.03 | ) | (3.97 | ) | 1.01 | 0.95 | 1.42 | 1.48 | 652,888 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
39.55 | 0.16 | (7.49 | ) | — | (7.33 | ) | (0.05 | ) | — | — | (0.05 | ) | 32.17 | (18.55 | ) | (18.62 | ) | 1.01 | 0.95 | 0.37 | 0.43 | 330,128 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Short Real Estate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(ii) |
19.13 | (0.15 | ) | (0.91 | ) | — | (1.06 | ) | — | — | — | — | 18.07 | (5.55 | ) | (5.34 | ) | 1.74 | 0.95 | (1.63 | ) | (0.84 | ) | 16,259 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(ii) |
26.61 | (0.22 | ) | (7.26 | ) | — | (7.48 | ) | — | — | — | — | 19.13 | (28.07 | ) | (28.20 | ) | 1.37 | 0.95 | (1.35 | ) | (0.94 | ) | 7,652 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(ii) |
28.38 | 0.02 | (1.53 | ) | — | (1.51 | ) | (0.24 | ) | — | (0.02 | )# | (0.26 | ) | 26.61 | (5.31 | ) | (5.43 | ) | 1.60 | 0.95 | (0.57 | ) | 0.08 | 27,274 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(ii) |
32.50 | 0.35 | (4.25 | ) | — | (3.90 | ) | (0.22 | ) | — | — | (0.22 | ) | 28.38 | (12.06 | ) | (11.88 | ) | 1.70 | 0.95 | 0.40 | 1.14 | 8,513 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(ii) |
33.53 | 0.04 | (1.07 | ) | — | (1.03 | ) | — | — | — | — | 32.50 | (3.07 | ) | (3.19 | ) | 1.39 | 0.95 | (0.33 | ) | 0.11 | 9,750 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Short Russell2000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
21.42 | (0.18 | ) | 2.85 | — | 2.67 | — | — | — | — | 24.09 | 12.47 | 12.62 | 1.00 | 0.95 | (0.87 | ) | (0.82 | ) | 453,284 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
38.01 | (0.24 | ) | (16.35 | ) | — | (16.59 | ) | — | — | — | — | 21.42 | (43.66 | ) | (43.71 | ) | 1.02 | 0.95 | (0.92 | ) | (0.85 | ) | 273,412 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
42.76 | 0.26 | (4.49 | ) | — | (4.23 | ) | (0.47 | ) | — | (0.05 | )# | (0.52 | ) | 38.01 | (9.94 | ) | (9.96 | ) | 1.03 | 0.95 | 0.55 | 0.63 | 485,265 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
39.36 | 0.58 | 3.29 | — | 3.87 | (0.47 | ) | — | — | (0.47 | ) | 42.76 | 9.89 | 9.98 | 1.02 | 0.95 | 1.36 | 1.43 | 351,303 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
47.91 | 0.19 | (8.67 | ) | — | (8.48 | ) | (0.07 | ) | — | — | (0.07 | ) | 39.36 | (17.71 | ) | (17.75 | ) | 1.02 | 0.95 | 0.37 | 0.44 | 248,618 | — |
236 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Short S&P500® | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 15.77 | $ | (0.11 | ) | $ | (0.43 | ) | $ | — | $ | (0.54 | ) | $ | — | $ | — | $ | — | $ | — | $ | 15.23 | (3.46 | )% | (3.55 | )% | 0.89 | % | 0.89 | % | (0.76 | )% | (0.76 | )% | $ | 2,350,459 | — | % | ||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
22.96 | (0.15 | ) | (7.04 | ) | — | (7.19 | ) | — | — | — | — | 15.77 | (31.31 | ) | (31.38 | ) | 0.88 | 0.88 | (0.77 | ) | (0.77 | ) | 1,404,720 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
28.53 | 0.16 | (5.38 | ) | — | (5.22 | ) | (0.32 | ) | — | (0.03 | )# | (0.35 | ) | 22.96 | (18.45 | ) | (18.40 | ) | 0.90 | 0.90 | 0.63 | 0.63 | 3,697,429 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
29.53 | 0.44 | (1.06 | ) | — | (0.62 | ) | (0.38 | ) | — | — | (0.38 | ) | 28.53 | (2.10 | ) | (2.10 | ) | 0.89 | 0.89 | 1.52 | 1.52 | 2,060,778 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
33.69 | 0.15 | (4.25 | ) | — | (4.10 | ) | (0.06 | ) | — | — | (0.06 | ) | 29.53 | (12.20 | ) | (12.18 | ) | 0.89 | 0.89 | 0.46 | 0.46 | 1,374,040 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Short SmallCap600 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
17.35 | (0.15 | ) | 0.76 | — | 0.61 | — | — | — | — | 17.96 | 3.51 | 3.57 | 2.32 | 0.95 | (2.22 | ) | (0.85 | ) | 7,071 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
32.60 | (0.23 | ) | (15.02 | ) | — | (15.25 | ) | — | — | — | — | 17.35 | (46.78 | ) | (46.75 | ) | 1.66 | 0.95 | (1.65 | ) | (0.94 | ) | 4,662 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
34.96 | — | (h) | (2.08 | ) | — | (2.08 | ) | (0.27 | ) | — | (0.01 | )# | (0.28 | ) | 32.60 | (5.93 | ) | (5.96 | ) | 2.21 | 0.95 | (1.27 | ) | (0.01 | ) | 13,651 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
31.57 | 0.35 | 3.19 | — | 3.54 | (0.15 | ) | — | — | (0.15 | ) | 34.96 | 11.22 | 11.11 | 2.63 | 0.95 | (0.59 | ) | 1.08 | 4,149 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
39.09 | 0.04 | (7.56 | ) | — | (7.52 | ) | — | — | — | — | 31.57 | (19.25 | ) | (19.31 | ) | 1.68 | 0.95 | (0.62 | ) | 0.11 | 3,747 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra 7-10 Year Treasury | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
67.14 | (0.06 | ) | (11.92 | ) | — | (11.98 | ) | (0.14 | ) | — | — | (0.14 | ) | 55.02 | (17.88 | ) | (18.01 | ) | 1.41 | 0.95 | (0.55 | ) | (0.09 | ) | 17,882 | 57 | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
75.97 | 0.29 | (8.79 | ) | — | (8.50 | ) | (0.33 | ) | — | — | (0.33 | ) | 67.14 | (11.23 | ) | (11.19 | ) | 1.25 | 0.95 | 0.09 | 0.39 | 18,464 | 56 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
60.72 | 0.68 | 15.28 | — | 15.96 | (0.71 | ) | — | — | (0.71 | ) | 75.97 | 26.49 | 26.24 | 1.20 | 0.95 | 0.77 | 1.02 | 34,187 | 193 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
54.31 | 0.94 | 6.56 | — | 7.50 | (1.09 | ) | — | — | (1.09 | ) | 60.72 | 14.05 | 14.70 | 1.18 | 0.95 | 1.50 | 1.73 | 24,289 | 327 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
59.02 | 0.63 | (4.76 | ) | — | (4.13 | ) | (0.58 | ) | — | — | (0.58 | ) | 54.31 | (7.03 | ) | (7.25 | ) | 1.12 | 0.95 | 0.94 | 1.12 | 24,440 | 234 |
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 237
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra 20+ Year Treasury | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 48.00 | $ | (0.25 | ) | $ | (14.09 | ) | $ | — | $ | (14.34 | ) | $ | — | $ | — | $ | — | $ | — | $ | 33.66 | (29.86 | )% | (29.47 | )% | 1.11 | % | 0.95 | % | (0.66 | )% | (0.50 | )% | $ | 36,189 | 58 | % | ||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(u) |
66.77 | (0.17 | ) | (18.60 | ) | — | (18.77 | ) | — | — | — | — | 48.00 | (28.12 | ) | (28.26 | ) | 1.14 | 0.95 | (0.47 | ) | (0.28 | ) | 28,797 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(u) |
44.89 | 0.46 | 22.16 | — | 22.62 | (0.74 | ) | — | — | (0.74 | ) | 66.77 | 50.92 | 49.64 | 1.17 | 0.95 | 0.61 | 0.84 | 50,076 | 292 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(u) |
38.47 | 0.70 | 6.34 | — | 7.04 | (0.62 | ) | — | — | (0.62 | ) | 44.89 | 18.62 | 20.55 | 1.26 | 0.95 | 1.55 | 1.86 | 31,423 | 264 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(u) |
40.03 | 0.54 | (1.59 | ) | — | (1.05 | ) | (0.51 | ) | — | — | (0.51 | ) | 38.47 | (2.64 | ) | (3.29 | ) | 1.14 | 0.95 | 1.17 | 1.36 | 23,085 | 75 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Basic Materials | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(mm) |
26.79 | 0.16 | (0.02 | ) | — | 0.14 | (0.16 | ) | — | — | (0.16 | ) | 26.77 | 0.54 | 0.22 | 1.10 | 0.95 | 0.50 | 0.65 | 62,229 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(mm) |
11.08 | 0.08 | 15.72 | — | 15.80 | (0.09 | ) | — | — | (0.09 | ) | 26.79 | 143.30 | 143.29 | 1.15 | 0.95 | 0.25 | 0.45 | 104,477 | 12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(mm) |
11.89 | 0.15 | (0.77 | ) | — | (0.62 | ) | (0.19 | ) | — | — | (0.19 | ) | 11.08 | (5.43 | ) | (5.04 | ) | 1.23 | 0.95 | 0.85 | 1.13 | 27,696 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(mm) |
17.19 | 0.19 | (5.36 | ) | — | (5.17 | ) | (0.13 | ) | — | — | (0.13 | ) | 11.89 | (30.15 | ) | (30.33 | ) | 1.16 | 0.95 | 1.07 | 1.27 | 35,681 | 38 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(mm) |
13.79 | 0.10 | 3.39 | — | 3.49 | (0.09 | ) | — | — | (0.09 | ) | 17.19 | 25.23 | 25.89 | 1.11 | 0.95 | 0.45 | 0.61 | 60,156 | 11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Consumer Goods | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(jj) |
22.44 | 0.09 | (1.56 | ) | — | (1.47 | ) | (0.07 | ) | — | — | (0.07 | ) | 20.90 | (6.57 | ) | (6.61 | ) | 1.80 | 0.95 | (0.50 | ) | 0.35 | 8,362 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(jj) |
10.78 | 0.05 | 11.67 | — | 11.72 | (0.06 | ) | — | — | (0.06 | ) | 22.44 | 109.16 | 108.35 | 1.94 | 0.95 | (0.69 | ) | 0.30 | 13,463 | 4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(jj) |
9.92 | 0.15 | 0.83 | — | 0.98 | (0.12 | ) | — | — | (0.12 | ) | 10.78 | 9.90 | 10.30 | 2.71 | 0.95 | (0.45 | ) | 1.31 | 5,389 | 23 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(jj) |
9.85 | 0.18 | (0.04 | )(i) | — | 0.14 | (0.07 | ) | — | — | (0.07 | ) | 9.92 | 1.54 | 1.83 | 2.35 | 0.95 | 0.36 | 1.76 | 6,946 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(jj) |
11.32 | 0.13 | (1.52 | ) | — | (1.39 | ) | (0.08 | ) | — | — | (0.08 | ) | 9.85 | (12.45 | ) | (13.15 | ) | 1.71 | 0.95 | 0.36 | 1.12 | 9,846 | 8 |
238 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Consumer Services | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(kk) |
$ | 48.65 | $ | (0.16 | ) | $ | (19.28 | ) | $ | — | $ | (19.44 | ) | $ | — | $ | — | $ | — | $ | — | $ | 29.21 | (39.97 | )% | (39.99 | )% | 1.32 | % | 0.95 | % | (0.71 | )% | (0.35 | )% | $ | 13,874 | 18 | % | ||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(u)(kk) |
26.35 | (0.16 | ) | 22.46 | — | 22.30 | — | — | — | — | 48.65 | 84.62 | 86.48 | 1.40 | 0.95 | (0.85 | ) | (0.40 | ) | 31,622 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(u)(kk) |
24.45 | 0.03 | 1.93 | — | 1.96 | (0.06 | ) | — | — | (0.06 | ) | 26.35 | 8.01 | 6.98 | 1.51 | 0.95 | (0.45 | ) | 0.11 | 18,447 | 37 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(u)(kk) |
21.69 | 0.03 | 2.76 | — | 2.79 | (0.03 | ) | — | — | (0.03 | ) | 24.45 | 12.92 | 12.99 | 1.35 | 0.95 | (0.30 | ) | 0.10 | 22,009 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(u)(kk) |
17.65 | 0.03 | 4.04 | — | 4.07 | (0.03 | ) | — | — | (0.03 | ) | 21.69 | 23.05 | 24.53 | 1.47 | 0.95 | (0.38 | ) | 0.14 | 23,856 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Dow30SM | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
72.22 | 0.43 | (7.05 | ) | — | (6.62 | ) | (0.25 | ) | — | — | (0.25 | ) | 65.35 | (9.21 | ) | (9.21 | ) | 0.95 | 0.95 | 0.59 | 0.59 | 385,592 | 4 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
39.44 | 0.26 | 32.60 | — | 32.86 | (0.08 | ) | — | — | (0.08 | ) | 72.22 | 83.38 | 83.65 | 0.96 | 0.95 | 0.47 | 0.49 | 498,320 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
42.44 | 0.55 | (3.17 | ) | — | (2.62 | ) | (0.38 | ) | — | — | (0.38 | ) | 39.44 | (6.20 | ) | (6.29 | ) | 0.98 | 0.95 | 1.15 | 1.18 | 297,783 | 31 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
42.33 | 0.46 | 0.01 | — | 0.47 | (0.36 | ) | — | — | (0.36 | ) | 42.44 | 1.08 | 1.13 | 0.97 | 0.95 | 1.01 | 1.03 | 318,329 | 35 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(o) |
31.66 | 0.32 | 10.63 | — | 10.95 | (0.28 | ) | — | — | (0.28 | ) | 42.33 | 34.72 | 34.67 | 0.96 | 0.95 | 0.80 | 0.81 | 421,225 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Financials | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
63.67 | 0.22 | (6.71 | ) | — | (6.49 | ) | (0.18 | ) | (3.10 | ) | — | (3.28 | ) | 53.90 | (11.16 | ) | (11.22 | ) | 0.95 | 0.95 | 0.35 | 0.35 | 671,523 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
29.48 | 0.17 | 34.21 | — | 34.38 | (0.19 | ) | — | — | (0.19 | ) | 63.67 | 117.16 | 117.29 | 0.95 | 0.95 | 0.40 | 0.40 | 923,717 | 7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
40.74 | 0.45 | (11.19 | ) | — | (10.74 | ) | (0.52 | ) | — | — | (0.52 | ) | 29.48 | (26.67 | ) | (26.57 | ) | 0.97 | 0.95 | 1.02 | 1.04 | 448,299 | 21 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
41.06 | 0.43 | (0.30 | ) | — | 0.13 | (0.45 | ) | — | — | (0.45 | ) | 40.74 | 0.42 | 0.40 | 0.95 | 0.95 | 1.05 | 1.06 | 735,704 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(o) |
31.67 | 0.34 | 9.31 | — | 9.65 | (0.26 | ) | — | — | (0.26 | ) | 41.06 | 30.49 | 30.49 | 0.95 | 0.95 | 0.86 | 0.86 | 883,120 | 3 |
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 239
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra FTSE China 50 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 70.23 | $ | (0.44 | ) | $ | (40.01 | ) | $ | — | $ | (40.45 | ) | $ | — | $ | — | $ | — | $ | — | $ | 29.78 | (57.59 | )% | (57.66 | )% | 1.49 | % | 0.95 | % | (1.47 | )% | (0.93 | )% | $ | 10,424 | — | % | ||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
50.40 | (0.66 | ) | 20.49 | — | 19.83 | — | — | — | — | 70.23 | 39.33 | 39.60 | 1.19 | 0.95 | (1.18 | ) | (0.95 | ) | 28,091 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
58.75 | 0.09 | (5.94 | ) | — | (5.85 | ) | (2.50 | ) | — | — | (2.50 | ) | 50.40 | (10.42 | ) | (10.64 | ) | 1.95 | 0.95 | (0.86 | ) | 0.15 | 20,162 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
82.45 | 0.47 | (23.25 | ) | — | (22.78 | ) | (0.18 | ) | (0.74 | ) | — | (0.92 | ) | 58.75 | (27.63 | ) | (27.37 | ) | 1.19 | 0.95 | 0.47 | 0.70 | 38,189 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
61.80 | (0.24 | ) | 20.89 | — | 20.65 | — | — | — | — | 82.45 | 33.41 | 32.72 | 1.11 | 0.95 | (0.46 | ) | (0.30 | ) | 43,285 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra FTSE Europe | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
69.86 | (0.59 | ) | (16.34 | ) | — | (16.93 | ) | — | — | — | — | 52.93 | (24.25 | ) | (24.74 | ) | 2.61 | 0.95 | (2.56 | ) | (0.90 | ) | 3,969 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
35.00 | (0.47 | ) | 35.33 | — | 34.86 | — | — | — | — | 69.86 | 99.64 | 100.63 | 2.94 | 0.95 | (2.93 | ) | (0.95 | ) | 5,239 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
43.65 | 0.09 | (8.46 | ) | — | (8.37 | ) | (0.28 | ) | — | — | (0.28 | ) | 35.00 | (19.36 | ) | (18.74 | ) | 2.33 | 0.95 | (1.18 | ) | 0.20 | 3,500 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
55.05 | 0.28 | (10.16 | ) | — | (9.88 | ) | (0.13 | ) | (1.39 | ) | — | (1.52 | ) | 43.65 | (17.51 | ) | (18.68 | ) | 1.77 | 0.95 | (0.24 | ) | 0.58 | 5,456 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
51.03 | (0.09 | ) | 4.11 | — | 4.02 | — | — | — | — | 55.05 | 7.88 | 9.22 | 1.37 | 0.95 | (0.58 | ) | (0.16 | ) | 11,010 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Health Care | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
88.41 | 0.23 | 3.95 | — | 4.18 | (0.16 | ) | — | — | (0.16 | ) | 92.43 | 4.70 | 4.60 | 1.02 | 0.95 | 0.17 | 0.24 | 117,843 | 12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(z) |
61.51 | 0.12 | 26.86 | — | 26.98 | (0.08 | ) | — | — | (0.08 | ) | 88.41 | 43.89 | 43.81 | 1.04 | 0.95 | 0.07 | 0.17 | 130,405 | 4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(z) |
46.34 | 0.35 | 15.01 | — | 15.36 | (0.19 | ) | — | — | (0.19 | ) | 61.51 | 33.26 | 33.58 | 1.08 | 0.95 | 0.50 | 0.63 | 110,716 | 21 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(z) |
43.63 | 0.29 | 2.59 | (i) | — | 2.88 | (0.17 | ) | — | — | (0.17 | ) | 46.34 | 6.58 | 6.48 | 1.05 | 0.95 | 0.47 | 0.57 | 99,639 | 11 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(z) |
36.46 | 0.17 | 7.08 | — | 7.25 | (0.08 | ) | — | — | (0.08 | ) | 43.63 | 19.90 | 20.43 | 1.06 | 0.95 | 0.29 | 0.40 | 89,443 | 6 |
240 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra High Yield | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 75.77 | $ | (0.71 | ) | $ | (7.39 | ) | $ | — | $ | (8.10 | ) | $ | — | $ | (0.25 | ) | $ | — | $ | (0.25 | ) | $ | 67.42 | (10.74 | )% | (10.63 | )% | 1.17 | % | 0.95 | % | (1.15 | )% | (0.93 | )% | $ | 20,227 | — | % | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
64.18 | (0.63 | ) | 14.17 | — | 13.54 | (1.95 | ) | — | — | (1.95 | ) | 75.77 | 21.27 | 21.30 | 1.95 | 0.97 | (1.84 | ) | (0.86 | ) | 28,414 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
66.69 | 1.16 | (0.95 | ) | — | 0.21 | (2.72 | ) | — | — | (2.72 | ) | 64.18 | 0.03 | 0.34 | 2.86 | 1.04 | (0.13 | ) | 1.70 | 4,813 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
63.95 | 1.93 | 2.74 | — | 4.67 | (1.93 | ) | — | — | (1.93 | ) | 66.69 | 7.47 | 7.79 | 5.64 | 0.95 | (1.74 | ) | 2.95 | 3,334 | 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
65.06 | 1.82 | (1.11 | ) | — | 0.71 | (1.82 | ) | — | — | (1.82 | ) | 63.95 | 1.09 | 1.58 | 5.35 | 0.95 | (1.61 | ) | 2.79 | 3,198 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Industrials | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
33.02 | 0.01 | (9.17 | ) | — | (9.16 | ) | (0.01 | ) | — | — | (0.01 | ) | 23.85 | (27.77 | ) | (27.70 | ) | 1.32 | 0.95 | (0.33 | ) | 0.05 | 16,694 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(dd) |
14.84 | 0.02 | 18.20 | — | 18.22 | (0.04 | ) | — | — | (0.04 | ) | 33.02 | 123.00 | 122.38 | 1.55 | 0.95 | (0.53 | ) | 0.07 | 40,451 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(dd) |
17.09 | 0.14 | (2.26 | ) | — | (2.12 | ) | (0.13 | ) | — | — | (0.13 | ) | 14.84 | (12.47 | ) | (12.37 | ) | 1.61 | 0.95 | 0.09 | 0.74 | 14,838 | 31 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(dd) |
17.59 | 0.12 | (0.53 | ) | — | (0.41 | ) | (0.09 | ) | — | — | (0.09 | ) | 17.09 | (2.29 | ) | (2.20 | ) | 1.43 | 0.95 | 0.21 | 0.70 | 18,804 | 5 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(dd) |
14.16 | 0.07 | 3.40 | — | 3.47 | (0.04 | ) | — | — | (0.04 | ) | 17.59 | 24.50 | 24.44 | 1.40 | 0.95 | (0.03 | ) | 0.43 | 26,392 | 6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra MidCap400 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
65.80 | 0.18 | (11.82 | ) | — | (11.64 | ) | (0.13 | ) | — | — | (0.13 | ) | 54.03 | (17.73 | ) | (17.75 | ) | 0.99 | 0.95 | 0.24 | 0.28 | 122,914 | 52 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
28.58 | 0.06 | 37.24 | — | 37.30 | (0.08 | ) | — | — | (0.08 | ) | 65.80 | 130.66 | 130.86 | 1.06 | 0.95 | 0.04 | 0.15 | 189,162 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
35.41 | 0.26 | (6.77 | ) | — | (6.51 | ) | (0.32 | ) | — | — | (0.32 | ) | 28.58 | (18.51 | ) | (18.50 | ) | 1.06 | 0.95 | 0.58 | 0.69 | 105,036 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
42.46 | 0.22 | (7.07 | ) | — | (6.85 | ) | (0.20 | ) | — | — | (0.20 | ) | 35.41 | (16.13 | ) | (16.26 | ) | 1.04 | 0.95 | 0.47 | 0.56 | 130,137 | 31 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(o) |
33.70 | 0.15 | 8.71 | — | 8.86 | (0.10 | ) | — | — | (0.10 | ) | 42.46 | 26.30 | 26.46 | 1.02 | 0.95 | 0.32 | 0.39 | 153,913 | 42 |
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 241
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra MSCI Brazil Capped | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 37.27 | $ | (0.27 | ) | $ | (4.27 | ) | $ | — | $ | (4.54 | ) | $ | — | $ | — | $ | — | $ | — | $ | 32.73 | (12.21 | )% | (11.88 | )% | 2.22 | % | 0.95 | % | (2.17 | )% | (0.90 | )% | $ | 9,543 | — | % | ||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
20.23 | (0.27 | ) | 17.31 | — | 17.04 | — | — | — | — | 37.27 | 84.28 | 85.11 | 2.00 | 0.95 | (2.00 | ) | (0.95 | ) | 7,140 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
70.62 | 0.06 | (50.07 | ) | — | (50.01 | ) | (0.38 | ) | — | — | (0.38 | ) | 20.23 | (71.21 | ) | (71.30 | ) | 2.10 | 0.96 | (1.03 | ) | 0.10 | 4,886 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
57.70 | 0.33 | 12.77 | — | 13.10 | (0.18 | ) | — | — | (0.18 | ) | 70.62 | 22.70 | 21.48 | 1.70 | 0.95 | (0.22 | ) | 0.53 | 8,231 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
59.23 | (0.07 | ) | (1.46 | ) | — | (1.53 | ) | — | — | — | — | 57.70 | (2.59 | ) | (1.67 | ) | 1.26 | 0.95 | (0.40 | ) | (0.09 | ) | 9,611 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra MSCI EAFE | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
52.83 | (0.45 | ) | (12.10 | ) | — | (12.55 | ) | — | — | — | — | 40.28 | (23.76 | ) | (23.48 | ) | 1.68 | 0.95 | (1.64 | ) | (0.91 | ) | 9,064 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
28.74 | (0.39 | ) | 24.48 | — | 24.09 | — | — | — | — | 52.83 | 83.86 | 82.35 | 1.56 | 0.95 | (1.56 | ) | (0.95 | ) | 13,208 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
34.62 | 0.01 | (5.77 | ) | — | (5.76 | ) | (0.12 | ) | — | — | (0.12 | ) | 28.74 | (16.71 | ) | (16.08 | ) | 2.22 | 0.95 | (1.23 | ) | 0.04 | 3,592 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
41.92 | 0.15 | (7.38 | ) | — | (7.23 | ) | (0.07 | ) | — | — | (0.07 | ) | 34.62 | (17.25 | ) | (17.54 | ) | 1.72 | 0.95 | (0.37 | ) | 0.41 | 6,058 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(o) |
37.71 | (0.09 | ) | 4.30 | — | 4.21 | — | — | — | — | 41.92 | 11.17 | 11.29 | 1.35 | 0.95 | (0.62 | ) | (0.22 | ) | 11,528 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra MSCI Emerging Markets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
105.83 | (0.80 | ) | (42.13 | ) | — | (42.93 | ) | — | — | — | — | 62.90 | (40.57 | ) | (40.56 | ) | 1.09 | 0.95 | (1.05 | ) | (0.90 | ) | 26,731 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
51.04 | (0.87 | ) | 55.66 | — | 54.79 | — | — | — | — | 105.83 | 107.34 | 107.36 | 1.09 | 0.95 | (1.08 | ) | (0.95 | ) | 92,605 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
65.46 | 0.22 | (13.61 | ) | — | (13.39 | ) | (1.03 | ) | — | — | (1.03 | ) | 51.04 | (20.88 | ) | (20.89 | ) | 1.39 | 0.95 | (0.10 | ) | 0.34 | 12,761 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
85.50 | 0.63 | (20.46 | ) | — | (19.83 | ) | (0.21 | ) | — | — | (0.21 | ) | 65.46 | (23.20 | ) | (23.21 | ) | 1.13 | 0.95 | 0.69 | 0.87 | 36,005 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
70.55 | (0.11 | ) | 15.06 | — | 14.95 | — | — | — | — | 85.50 | 21.20 | 21.43 | 1.06 | 0.95 | (0.23 | ) | (0.13 | ) | 51,299 | — |
242 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra MSCI Japan | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 47.18 | $ | (0.33 | ) | $ | (13.94 | ) | $ | — | $ | (14.27 | ) | $ | — | $ | — | $ | — | $ | — | $ | 32.91 | (30.24 | )% | (30.26 | )% | 2.25 | % | 0.96 | % | (2.05 | )% | (0.76 | )% | $ | 5,760 | 579 | % | ||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
31.35 | (0.39 | ) | 16.22 | — | 15.83 | — | — | — | — | 47.18 | 50.48 | 50.81 | 2.34 | 0.95 | (2.34 | ) | (0.95 | ) | 5,897 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
30.01 | (0.09 | ) | 1.48 | — | 1.39 | (0.04 | ) | — | (0.01 | ) | (0.05 | ) | 31.35 | 4.61 | 4.49 | 2.33 | 0.95 | (1.66 | ) | (0.28 | ) | 3,919 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
41.94 | 0.14 | (10.73 | ) | — | (10.59 | ) | (0.06 | ) | (1.28 | ) | — | (1.34 | ) | 30.01 | (25.03 | ) | (25.04 | ) | 4.18 | 0.95 | (2.82 | ) | 0.41 | 5,251 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(o) |
34.24 | (0.10 | ) | 7.80 | — | 7.70 | — | — | — | — | 41.94 | 22.51 | 22.82 | 1.42 | 0.95 | (0.71 | ) | (0.25 | ) | 9,437 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Nasdaq Biotechnology | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
84.53 | (0.23 | ) | (36.26 | ) | — | (36.49 | ) | — | — | — | — | 48.04 | (43.17 | ) | (43.05 | ) | 1.08 | 0.95 | (0.41 | ) | (0.28 | ) | 93,685 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
70.76 | (0.36 | ) | 14.13 | — | 13.77 | — | — | — | — | 84.53 | 19.46 | 19.50 | 1.08 | 0.95 | (0.58 | ) | (0.45 | ) | 287,388 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
43.67 | (0.09 | ) | 27.18 | — | 27.09 | — | — | — | — | 70.76 | 62.03 | 61.87 | 1.10 | 0.95 | (0.31 | ) | (0.17 | ) | 183,980 | 37 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
55.88 | (0.13 | ) | (12.08 | ) | — | (12.21 | ) | — | — | — | — | 43.67 | (21.85 | ) | (21.82 | ) | 1.06 | 0.95 | (0.35 | ) | (0.24 | ) | 207,454 | 31 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
45.61 | (0.21 | ) | 10.48 | — | 10.27 | — | — | — | — | 55.88 | 22.54 | 22.71 | 1.04 | 0.95 | (0.46 | ) | (0.37 | ) | 363,252 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Nasdaq Cloud Computing | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
39.18 | (0.16 | ) | (20.72 | ) | — | (20.88 | ) | — | — | — | — | 18.30 | (53.30 | ) | (53.81 | ) | 3.49 | 0.95 | (2.96 | ) | (0.43 | ) | 1,830 | 74 | ||||||||||||||||||||||||||||||||||||||||||||||||||
January 19, 2021* through May 31, 2021 |
40.00 | (0.09 | ) | (0.73 | )(i) | — | (0.82 | ) | — | — | — | — | 39.18 | (2.04 | ) | (0.95 | ) | 3.85 | 0.95 | (3.47 | ) | (0.57 | ) | 1,959 | 6 |
* Commencement of investment operations.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 243
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Nasdaq Cybersecurity | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 37.53 | $ | (0.41 | ) | $ | (5.77 | ) | $ | — | $ | (6.18 | ) | $ | — | $ | (0.24 | ) | $ | — | $ | (0.24 | ) | $ | 31.11 | (16.75 | )% | (16.09 | )% | 2.07 | % | 0.95 | % | (2.01 | )% | (0.89 | )% | $ | 2,333 | — | % | ||||||||||||||||||||||||||||||||||
January 19, 2021* through May 31, 2021 |
40.00 | (0.13 | ) | (2.34 | ) | — | (2.47 | ) | — | — | — | — | 37.53 | (6.15 | ) | (6.40 | ) | 3.52 | 0.95 | (3.52 | ) | (0.95 | ) | 2,815 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Oil & Gas | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(mm) |
16.69 | 0.43 | 27.11 | — | 27.54 | (0.52 | ) | — | — | (0.52 | ) | 43.71 | 168.23 | 167.93 | 0.99 | 0.95 | 1.95 | 1.99 | 218,701 | 31 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 (ee)(mm) |
10.00 | 0.31 | 6.71 | — | 7.02 | (0.33 | ) | — | — | (0.33 | ) | 16.69 | 73.14 | 72.84 | 1.03 | 0.95 | 2.84 | 2.92 | 211,207 | 24 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 (s)(ee)(mm) |
29.90 | 0.62 | (19.79 | ) | — | (19.17 | ) | (0.73 | ) | — | — | (0.73 | ) | 10.00 | (65.49 | ) | (65.44 | ) | 1.14 | 0.95 | 3.27 | 3.47 | 116,476 | 4 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 (s)(ee)(mm) |
54.14 | 0.70 | (24.23 | ) | — | (23.53 | ) | (0.71 | ) | — | — | (0.71 | ) | 29.90 | (43.83 | ) | (43.77 | ) | 1.07 | 0.95 | 1.53 | 1.65 | 71,168 | 14 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (s)(ee)(mm) |
40.22 | 0.85 | 13.94 | — | 14.79 | (0.87 | ) | — | — | (0.87 | ) | 54.14 | 37.30 | 37.33 | 1.04 | 0.95 | 1.83 | 1.92 | 126,699 | 14 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra QQQ | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
63.62 | (0.22 | ) | (12.72 | ) | — | (12.94 | ) | — | — | — | — | 50.68 | (20.35 | ) | (20.44 | ) | 0.98 | 0.95 | (0.33 | ) | (0.30 | ) | 3,679,324 | 54 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(u)(ee) |
32.93 | (0.17 | ) | 30.86 | — | 30.69 | — | — | — | — | 63.62 | 93.20 | 93.78 | 0.97 | 0.95 | (0.35 | ) | (0.33 | ) | 4,294,521 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(u)(ee) |
20.83 | — | 12.13 | — | 12.13 | (0.03 | ) | — | — | (0.03 | ) | 32.93 | 58.25 | 58.04 | 0.99 | 0.95 | (0.04 | ) | 0.01 | 2,371,112 | 33 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(u)(ee) |
21.23 | 0.03 | (0.40 | ) | — | (0.37 | ) | (0.03 | ) | — | — | (0.03 | ) | 20.83 | (1.74 | ) | (1.92 | ) | 0.99 | 0.95 | 0.10 | 0.13 | 1,691,571 | 7 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (l)(u)(ee) |
15.19 | (0.01 | ) | 6.05 | — | 6.04 | — | (h) | — | — | — | (h) | 21.23 | 39.75 | 39.85 | 0.99 | 0.95 | (0.07 | ) | (0.03 | ) | 1,783,133 | 2 |
* Commencement of investment operations.
244 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Real Estate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 84.64 | $ | 0.63 | $ | (1.66 | ) | $ | — | $ | (1.03 | ) | $ | (0.68 | ) | $ | — | $ | — | $ | (0.68 | ) | $ | 82.93 | (1.39 | )% | (1.59 | )% | 1.04 | % | 0.95 | % | 0.56 | % | 0.65 | % | $ | 102,313 | 10 | % | |||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
51.66 | 0.56 | 32.86 | — | 33.42 | (0.44 | ) | — | — | (0.44 | ) | 84.64 | 65.16 | 65.51 | 1.07 | 0.95 | 0.77 | 0.89 | 117,124 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
75.11 | 1.16 | (23.52 | ) | — | (22.36 | ) | (1.09 | ) | — | — | (1.09 | ) | 51.66 | (30.18 | ) | (30.15 | ) | 1.06 | 0.95 | 1.40 | 1.51 | 76,646 | 41 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
61.06 | 1.26 | 13.65 | — | 14.91 | (0.86 | ) | — | — | (0.86 | ) | 75.11 | 24.82 | 24.75 | 1.04 | 0.95 | 1.79 | 1.88 | 137,733 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(l) |
60.63 | 1.06 | (0.01 | )(i) | — | 1.05 | (0.62 | ) | — | — | (0.62 | ) | 61.06 | 1.68 | 1.64 | 1.03 | 0.95 | 1.63 | 1.71 | 131,803 | 4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Russell2000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
57.80 | (0.03 | ) | (20.67 | ) | — | (20.70 | ) | — | — | — | — | 37.10 | (35.82 | ) | (35.93 | ) | 1.31 | 0.95 | (0.42 | ) | (0.06 | ) | 181,770 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(ee) |
23.09 | (0.11 | ) | 34.83 | — | 34.72 | (0.01 | ) | — | — | (0.01 | ) | 57.80 | 150.40 | 151.15 | 1.15 | 0.95 | (0.44 | ) | (0.24 | ) | 742,689 | 20 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(ee) |
30.32 | 0.16 | (7.18 | ) | — | (7.02 | ) | (0.21 | ) | — | — | (0.21 | ) | 23.09 | (23.32 | ) | (23.49 | ) | 1.24 | 0.95 | 0.21 | 0.51 | 124,664 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(ee) |
39.40 | 0.16 | (9.11 | ) | — | (8.95 | ) | (0.13 | ) | — | — | (0.13 | ) | 30.32 | (22.70 | ) | (22.78 | ) | 1.25 | 0.95 | 0.14 | 0.44 | 160,681 | 41 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(l)(ee) |
28.24 | 0.06 | 11.14 | — | 11.20 | (0.04 | ) | — | — | (0.04 | ) | 39.40 | 39.66 | 39.78 | 1.37 | 0.95 | (0.24 | ) | 0.18 | 263,967 | 15 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra S&P500® | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(kk) |
57.13 | 0.20 | (3.32 | ) | — | (3.12 | ) | (0.13 | ) | — | — | (0.13 | ) | 53.88 | (5.49 | ) | (5.53 | ) | 0.89 | 0.89 | 0.31 | 0.32 | 3,424,199 | 19 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(u)(kk) |
30.42 | 0.16 | 26.63 | — | 26.79 | (0.08 | ) | — | — | (0.08 | ) | 57.13 | 88.11 | 88.62 | 0.89 | 0.89 | 0.38 | 0.38 | 3,827,456 | 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(u)(kk) |
27.69 | 0.28 | 2.63 | — | 2.91 | (0.18 | ) | — | — | (0.18 | ) | 30.42 | 10.56 | 10.46 | 0.91 | 0.91 | 0.88 | 0.88 | 2,165,829 | 46 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(u)(kk) |
27.60 | 0.25 | 0.03 | (i) | — | 0.28 | (0.19 | ) | — | — | (0.19 | ) | 27.69 | 1.04 | 1.00 | 0.90 | 0.90 | 0.87 | 0.87 | 2,215,265 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(u)(kk) |
22.15 | 0.19 | 5.38 | — | 5.57 | (0.12 | ) | — | — | (0.12 | ) | 27.60 | 25.17 | 25.13 | 0.90 | 0.90 | 0.72 | 0.72 | 2,340,284 | 3 |
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 245
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Semiconductors | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 31.37 | $ | (0.03 | ) | $ | (3.05 | ) | $ | — | $ | (3.08 | ) | $ | — | $ | — | $ | — | $ | — | $ | 28.29 | (9.81 | )% | (9.79 | )% | 0.97 | % | 0.95 | % | (0.09 | )% | (0.07 | )% | $ | 247,580 | 83 | % | ||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(dd) |
13.86 | — | (h) | 17.53 | — | 17.53 | (0.02 | ) | — | — | (0.02 | ) | 31.37 | 126.56 | 127.69 | 1.01 | 0.95 | (0.07 | ) | (0.01 | ) | 253,317 | 11 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(dd) |
8.19 | 0.10 | 5.68 | — | 5.78 | (0.11 | ) | — | — | (0.11 | ) | 13.86 | 70.79 | 69.70 | 1.11 | 0.95 | 0.63 | 0.80 | 77,624 | 58 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(dd) |
12.28 | 0.10 | (4.11 | ) | — | (4.01 | ) | (0.08 | ) | — | — | (0.08 | ) | 8.19 | (32.72 | ) | (32.67 | ) | 1.13 | 0.95 | 0.84 | 1.02 | 38,511 | 38 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(o)(dd) |
7.50 | 0.06 | 4.76 | — | 4.82 | (0.04 | ) | — | — | (0.04 | ) | 12.28 | 64.38 | 64.91 | 1.09 | 0.95 | 0.51 | 0.65 | 79,845 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra SmallCap600 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
31.80 | 0.02 | (6.96 | ) | — | (6.94 | ) | — | — | — | — | 24.86 | (21.84 | ) | (21.78 | ) | 1.29 | 0.95 | (0.26 | ) | 0.08 | 32,935 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(ff) |
11.58 | (0.02 | ) | 20.25 | — | 20.23 | (0.01 | ) | — | — | (0.01 | ) | 31.80 | 174.63 | 173.87 | 1.35 | 0.95 | (0.51 | ) | (0.11 | ) | 46,109 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(ff) |
16.91 | 0.10 | (5.36 | ) | — | (5.26 | ) | (0.07 | ) | — | — | (0.07 | ) | 11.58 | (31.26 | ) | (30.98 | ) | 1.59 | 0.95 | (0.08 | ) | 0.56 | 14,478 | 53 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(ff) |
22.73 | 0.09 | (5.86 | ) | — | (5.77 | ) | (0.05 | ) | — | — | (0.05 | ) | 16.91 | (25.36 | ) | (25.80 | ) | 1.35 | 0.95 | 0.02 | 0.42 | 23,249 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(ff) |
15.82 | 0.01 | 6.90 | — | 6.91 | — | — | — | — | 22.73 | 43.68 | 44.31 | 1.53 | 0.95 | (0.50 | ) | 0.08 | 28,407 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Technology | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(kk) |
41.71 | (0.22 | ) | (6.52 | ) | — | (6.74 | ) | — | — | — | — | 34.97 | (16.16 | ) | (16.21 | ) | 0.95 | 0.95 | (0.43 | ) | (0.43 | ) | 539,380 | 41 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(v)(kk) |
20.68 | (0.13 | ) | 21.16 | — | 21.03 | — | — | — | — | 41.71 | 101.68 | 102.46 | 0.95 | 0.95 | (0.40 | ) | (0.40 | ) | 763,229 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(v)(kk) |
12.73 | 0.03 | 7.96 | — | 7.99 | (0.04 | ) | — | — | (0.04 | ) | 20.68 | 62.84 | 62.48 | 0.99 | 0.95 | 0.13 | 0.16 | 417,738 | 31 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(v)(kk) |
13.15 | 0.03 | (0.41 | ) | — | (0.38 | ) | (0.04 | ) | — | — | (0.04 | ) | 12.73 | (2.92 | ) | (3.09 | ) | 0.99 | 0.95 | 0.21 | 0.25 | 300,442 | 14 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(l)(v)(kk) |
8.69 | 0.02 | 4.45 | — | 4.47 | (0.01 | ) | — | — | (0.01 | ) | 13.15 | 51.57 | 51.56 | 1.00 | 0.95 | 0.12 | 0.17 | 342,018 | 5 |
246 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Telecommunications | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 47.81 | $ | 0.59 | $ | (8.40 | ) | $ | — | $ | (7.81 | ) | $ | (0.70 | ) | $ | — | $ | — | $ | (0.70 | ) | $ | 39.30 | (16.64 | )% | (16.77 | )% | 5.55 | % | 0.95 | % | (3.37 | )% | 1.23 | % | $ | 1,965 | 34 | % | |||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
34.38 | 0.53 | 13.40 | — | 13.93 | (0.50 | ) | — | — | (0.50 | ) | 47.81 | 41.06 | 41.47 | 8.63 | 0.95 | (6.37 | ) | 1.31 | 2,391 | 18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
36.53 | 0.60 | (2.33 | ) | — | (1.73 | ) | (0.42 | ) | — | — | (0.42 | ) | 34.38 | (4.66 | ) | (5.08 | ) | 9.92 | 0.95 | (7.40 | ) | 1.57 | 859 | 29 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
35.66 | 0.66 | 0.91 | — | 1.57 | (0.70 | ) | — | — | (0.70 | ) | 36.53 | 4.67 | (0.19 | ) | 7.94 | 0.95 | (5.29 | ) | 1.70 | 913 | 221 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
52.69 | 0.52 | (16.91 | ) | — | (16.39 | ) | (0.64 | ) | — | — | (0.64 | ) | 35.66 | (31.38 | ) | (27.70 | ) | 3.82 | 0.95 | (1.70 | ) | 1.16 | 2,674 | 106 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Utilities | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
61.06 | 1.16 | 18.30 | — | 19.46 | (0.92 | ) | — | — | (0.92 | ) | 79.60 | 32.18 | 31.65 | 1.36 | 0.95 | 1.29 | 1.70 | 23,880 | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
51.05 | 0.72 | 9.69 | — | 10.41 | (0.40 | ) | — | — | (0.40 | ) | 61.06 | 20.47 | 20.81 | 1.91 | 0.95 | 0.37 | 1.32 | 13,737 | 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
56.78 | 1.06 | (5.98 | ) | — | (4.92 | ) | (0.81 | ) | — | — | (0.81 | ) | 51.05 | (8.74 | ) | (8.51 | ) | 1.41 | 0.95 | 1.21 | 1.67 | 15,315 | 13 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
44.68 | 0.94 | 11.97 | — | 12.91 | (0.81 | ) | — | — | (0.81 | ) | 56.78 | 29.38 | 29.52 | 1.65 | 0.95 | 1.14 | 1.85 | 17,035 | 5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
47.88 | 0.85 | (3.33 | ) | — | (2.48 | ) | (0.72 | ) | — | — | (0.72 | ) | 44.68 | (5.22 | ) | (6.99 | ) | 1.51 | 0.95 | 1.26 | 1.82 | 12,286 | 25 | |||||||||||||||||||||||||||||||||||||||||||||||||||
UltraPro Dow30SM | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
73.42 | 0.38 | (12.38 | ) | — | (12.00 | ) | (0.21 | ) | — | — | (0.21 | ) | 61.21 | (16.40 | ) | (16.40 | ) | 0.95 | 0.95 | 0.51 | 0.51 | 691,723 | 36 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(ee) |
30.92 | 0.23 | 42.39 | — | 42.62 | (0.12 | ) | — | — | (0.12 | ) | 73.42 | 137.92 | 138.58 | 0.95 | 0.95 | 0.50 | 0.50 | 958,086 | 15 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(ee) |
42.05 | 0.44 | (11.26 | )(i) | — | (10.82 | ) | (0.31 | ) | — | — | (0.31 | ) | 30.92 | (25.94 | ) | (25.95 | ) | 0.98 | 0.95 | 1.04 | 1.07 | 705,052 | 61 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(ee) |
43.35 | 0.48 | (1.48 | )(i) | — | (1.00 | ) | (0.30 | ) | — | — | (0.30 | ) | 42.05 | (2.33 | ) | (2.46 | ) | 0.96 | 0.95 | 1.02 | 1.04 | 407,844 | 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(l)(ee) |
28.73 | 0.31 | 14.43 | — | 14.74 | (0.12 | ) | — | — | (0.12 | ) | 43.35 | 51.32 | 51.32 | 0.96 | 0.95 | 0.71 | 0.72 | 576,616 | 1 |
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 247
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraPro MidCap400 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 32.13 | $ | 0.01 | $ | (9.62 | ) | $ | — | $ | (9.61 | ) | $ | (0.03 | ) | $ | — | $ | — | $ | (0.03 | ) | $ | 22.49 | (29.95 | )% | (30.05 | )% | 1.32 | % | 0.95 | % | (0.33 | )% | 0.03 | % | $ | 29,799 | 96 | % | |||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(ff) |
9.86 | (0.03 | ) | 22.30 | — | 22.27 | — | (h) | — | — | — | (h) | 32.13 | 226.00 | 225.64 | 1.23 | 0.95 | (0.42 | ) | (0.14 | ) | 61,859 | 19 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(ff) |
17.42 | 0.10 | (7.57 | ) | — | (7.47 | ) | (0.09 | ) | — | — | (0.09 | ) | 9.86 | (43.06 | ) | (43.03 | ) | 1.61 | 0.95 | (0.08 | ) | 0.58 | 20,948 | 51 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(ff) |
23.84 | 0.12 | (6.48 | ) | — | (6.36 | ) | (0.06 | ) | — | — | (0.06 | ) | 17.42 | (26.64 | ) | (28.43 | ) | 1.32 | 0.95 | 0.19 | 0.56 | 19,593 | 41 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(ff) |
17.29 | 0.03 | 6.52 | — | 6.55 | — | — | — | — | 23.84 | 37.87 | 41.22 | 1.28 | 0.95 | (0.19 | ) | 0.14 | 35,754 | 16 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraPro QQQ | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(kk) |
51.15 | (0.14 | ) | (17.98 | ) | — | (18.12 | ) | — | (h) | — | — | — | (h) | 33.03 | (35.44 | ) | (35.57 | ) | 0.98 | 0.86 | (0.35 | ) | (0.23 | ) | 13,697,179 | 127 | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(z)(kk) |
20.71 | (0.15 | ) | 30.59 | — | 30.44 | — | — | — | — | 51.15 | 147.00 | 147.89 | 1.01 | 0.95 | (0.46 | ) | (0.39 | ) | 12,061,878 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(z)(kk) |
12.55 | — | (h) | 8.17 | — | 8.17 | (0.01 | ) | — | — | (0.01 | ) | 20.71 | 65.11 | 64.87 | 0.98 | 0.95 | (0.06 | ) | (0.03 | ) | 5,831,873 | 53 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(z)(kk) |
13.94 | 0.03 | (1.40 | ) | — | (1.37 | ) | (0.02 | ) | — | — | (0.02 | ) | 12.55 | (9.85 | ) | (10.01 | ) | 0.98 | 0.95 | 0.22 | 0.25 | 3,189,760 | 15 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (o)(z)(kk) |
8.84 | (0.01 | ) | 5.11 | — | 5.10 | — | — | — | — | 13.94 | 57.64 | 57.84 | 0.98 | 0.95 | (0.15 | ) | (0.12 | ) | 3,448,958 | 2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraPro Russell2000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
110.95 | (0.07 | ) | (58.47 | ) | — | (58.54 | ) | — | — | — | — | 52.41 | (52.76 | ) | (52.92 | ) | 1.29 | 0.95 | (0.42 | ) | (0.08 | ) | 259,439 | 60 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
30.83 | (0.18 | ) | 80.30 | — | 80.12 | — | (h) | — | — | — | (h) | 110.95 | 259.95 | 261.40 | 1.26 | 0.95 | (0.58 | ) | (0.27 | ) | 410,520 | 43 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
60.84 | 0.21 | (30.10 | )(i) | — | (29.89 | ) | (0.12 | ) | — | — | (0.12 | ) | 30.83 | (49.27 | ) | (49.46 | ) | 1.99 | 0.95 | (0.61 | ) | 0.43 | 184,956 | 68 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
95.44 | 0.29 | (34.72 | ) | — | (34.43 | ) | (0.17 | ) | — | — | (0.17 | ) | 60.84 | (36.03 | ) | (36.02 | ) | 1.56 | 0.95 | (0.26 | ) | 0.35 | 76,056 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(l) |
59.65 | — | (h) | 35.79 | — | 35.79 | — | — | — | — | 95.44 | 59.98 | 60.17 | 1.53 | 0.95 | (0.58 | ) | — | (j) | 152,699 | 14 |
248 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraPro S&P500® | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(kk) |
$ | 53.12 | $ | 0.11 | $ | (6.76 | ) | $ | — | $ | (6.65 | ) | $ | (0.07 | ) | $ | — | $ | — | $ | (0.07 | ) | $ | 46.40 | (12.57 | )% | (12.58 | )% | 0.91 | % | 0.91 | % | 0.18 | % | 0.18 | % | $ | 2,573,073 | 66 | % | |||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(kk) |
21.53 | 0.04 | 31.58 | — | 31.62 | (0.03 | ) | — | — | (0.03 | ) | 53.12 | 146.97 | 147.74 | 0.91 | 0.91 | 0.12 | 0.12 | 2,395,903 | 4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(kk) |
22.37 | 0.20 | (0.91 | )(i) | — | (0.71 | ) | (0.13 | ) | — | — | (0.13 | ) | 21.53 | (3.23 | ) | (3.33 | ) | 0.93 | 0.93 | 0.76 | 0.76 | 1,373,394 | 69 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(kk) |
23.16 | 0.21 | (0.86 | )(i) | — | (0.65 | ) | (0.14 | ) | — | — | (0.14 | ) | 22.37 | (2.77 | ) | (2.89 | ) | 0.92 | 0.92 | 0.87 | 0.87 | 1,105,011 | 15 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (o)(kk) |
17.06 | 0.09 | 6.03 | — | 6.12 | (0.02 | ) | — | — | (0.02 | ) | 23.16 | 35.82 | 35.93 | 0.92 | 0.92 | 0.43 | 0.43 | 1,445,225 | 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraPro Short 20+ Year Treasury | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
41.80 | (0.30 | ) | 15.05 | — | 14.75 | — | — | — | — | 56.55 | 35.27 | 34.06 | 0.95 | 0.95 | (0.79 | ) | (0.79 | ) | 403,941 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
29.62 | (0.34 | ) | 12.52 | — | 12.18 | — | — | — | — | 41.80 | 41.13 | 41.82 | 1.07 | 0.95 | (1.06 | ) | (0.94 | ) | 89,601 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(t) |
78.88 | 0.71 | (48.91 | ) | — | (48.20 | ) | (0.97 | ) | — | (0.09 | )# | (1.06 | ) | 29.62 | (61.79 | ) | (61.45 | ) | 1.15 | 0.95 | 1.11 | 1.31 | 23,505 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(t) |
106.43 | 0.94 | (27.77 | ) | — | (26.83 | ) | (0.72 | ) | — | — | (0.72 | ) | 78.88 | (25.37 | ) | (27.02 | ) | 1.00 | 0.95 | 0.82 | 0.87 | 36,975 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(t) |
109.74 | 0.17 | (3.48 | ) | — | (3.31 | ) | — | — | — | — | 106.43 | (3.02 | ) | (1.89 | ) | 0.98 | 0.95 | 0.13 | 0.16 | 95,117 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraPro Short Dow30SM | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
33.13 | (0.26 | ) | (1.87 | ) | — | (2.13 | ) | — | — | — | — | 31.00 | (6.45 | ) | (6.47 | ) | 0.95 | 0.95 | (0.87 | ) | (0.87 | ) | 351,588 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(gg) |
107.42 | (0.46 | ) | (73.83 | ) | — | (74.29 | ) | — | — | — | — | 33.13 | (69.16 | ) | (69.27 | ) | 0.96 | 0.95 | (0.81 | ) | (0.79 | ) | 359,346 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(gg) |
246.00 | 0.86 | (136.56 | ) | — | (135.70 | ) | (2.60 | ) | — | (0.28 | )# | (2.88 | ) | 107.42 | (55.65 | ) | (55.55 | ) | 0.99 | 0.95 | 0.50 | 0.54 | 815,975 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 (q)(gg) |
296.19 | 4.43 | (50.66 | ) | — | (46.23 | ) | (3.96 | ) | — | — | (3.96 | ) | 246.00 | (15.73 | ) | (15.64 | ) | 0.98 | 0.95 | 1.77 | 1.81 | 254,249 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (q)(gg) |
526.84 | 2.54 | (232.39 | ) | — | (229.85 | ) | (0.80 | ) | — | — | (0.80 | ) | 296.19 | (43.63 | ) | (43.65 | ) | 1.00 | 0.95 | 0.65 | 0.70 | 177,459 | — |
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 249
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraPro Short MidCap400 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 26.87 | $ | (0.22 | ) | $ | (1.41 | ) | $ | — | $ | (1.63 | ) | $ | — | $ | — | $ | — | $ | — | $ | 25.24 | (6.05 | )% | (6.07 | )% | 2.11 | % | 0.95 | % | (2.04 | )% | (0.88 | )% | $ | 7,539 | — | % | ||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 (aa)(gg) |
139.56 | (0.63 | ) | (112.06 | ) | — | (112.69 | ) | — | — | — | — | 26.87 | (80.75 | ) | (80.78 | ) | 1.67 | 0.95 | (1.66 | ) | (0.94 | ) | 4,002 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 (t)(aa)(gg) |
315.61 | (0.56 | ) | (173.22 | ) | — | (173.78 | ) | (2.19 | ) | — | (0.08 | )# | (2.27 | ) | 139.56 | (55.37 | ) | (55.36 | ) | 2.31 | 0.95 | (1.61 | ) | (0.24 | ) | 14,686 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 (t)(aa)(gg) |
288.41 | 3.09 | 25.25 | (i) | — | 28.34 | (1.14 | ) | — | — | (1.14 | ) | 315.61 | 9.82 | 12.55 | 4.18 | 0.95 | (2.18 | ) | 1.04 | 2,650 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (t)(aa)(gg) |
461.94 | 0.11 | (173.64 | ) | — | (173.53 | ) | — | — | — | — | 288.41 | (37.57 | ) | (37.90 | ) | 3.42 | 0.95 | (2.44 | ) | 0.03 | 1,971 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraPro Short QQQ | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(ll) |
55.51 | (0.34 | ) | (7.77 | )(i) | — | (8.11 | ) | — | — | — | — | 47.40 | (14.62 | ) | (14.53 | ) | 0.98 | 0.95 | (0.88 | ) | (0.84 | ) | 2,824,811 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 (w)(ll) |
235.47 | (0.69 | ) | (179.27 | ) | — | (179.96 | ) | — | — | — | — | 55.51 | (76.43 | ) | (76.52 | ) | 1.00 | 0.95 | (0.86 | ) | (0.81 | ) | 1,758,961 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 (w)(ll) |
1,111.93 | 6.91 | (868.32 | ) | — | (861.41 | ) | (13.45 | ) | — | (1.60 | )# | (15.05 | ) | 235.47 | (78.39 | ) | (78.35 | ) | 1.02 | 0.95 | 1.19 | 1.26 | 1,113,509 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 (q)(w)(ll) |
1,498.39 | 25.01 | (387.46 | ) | — | (362.45 | ) | (24.01 | ) | — | — | (24.01 | ) | 1,111.93 | (24.46 | ) | (24.35 | ) | 1.00 | 0.95 | 2.06 | 2.11 | 1,130,668 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (q)(w)(ll) |
3,035.67 | 19.52 | (1,550.24 | ) | — | (1,530.72 | ) | (6.56 | ) | — | — | (6.56 | ) | 1,498.39 | (50.46 | ) | (50.55 | ) | 1.01 | 0.95 | 0.84 | 0.89 | 584,899 | — |
250 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraPro Short Russell2000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(ll) |
$ | 48.28 | $ | (0.42 | ) | $ | 10.95 | $ | — | $ | 10.53 | $ | — | $ | — | $ | — | $ | — | $ | 58.81 | 21.80 | % | 21.89 | % | 1.04 | % | 0.95 | % | (0.94 | )% | (0.85 | )% | $ | 150,418 | — | % | ||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 (bb)(ll) |
324.70 | (0.90 | ) | (275.52 | ) | — | (276.42 | ) | — | — | — | — | 48.28 | (85.13 | ) | (85.15 | ) | 1.08 | 0.95 | (0.97 | ) | (0.84 | ) | 107,592 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 (bb)(ll) |
723.77 | 2.60 | (393.61 | ) | — | (391.01 | ) | (7.21 | ) | — | (0.85 | )# | (8.06 | ) | 324.70 | (54.50 | ) | (54.49 | ) | 1.11 | 0.95 | 0.33 | 0.49 | 170,315 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 (bb)(ll) |
628.62 | 8.71 | 94.25 | — | 102.96 | (7.81 | ) | — | — | (7.81 | ) | 723.77 | 16.43 | 16.48 | 1.11 | 0.95 | 1.21 | 1.36 | 81,442 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (bb)(ll) |
1,204.26 | 3.94 | (577.86 | ) | — | (573.92 | ) | (1.72 | ) | — | — | (1.72 | ) | 628.62 | (47.68 | ) | (47.68 | ) | 1.09 | 0.95 | 0.30 | 0.44 | 69,478 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
UltraPro Short S&P500® | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
19.59 | (0.12 | ) | (3.20 | ) | — | (3.32 | ) | — | — | — | — | 16.27 | (16.96 | ) | (17.15 | ) | 0.90 | 0.90 | (0.80 | ) | (0.80 | ) | 720,715 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(bb) |
65.05 | (0.26 | ) | (45.20 | ) | — | (45.46 | ) | — | — | — | — | 19.59 | (69.88 | ) | (69.98 | ) | 0.90 | 0.90 | (0.73 | ) | (0.73 | ) | 476,012 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(bb) |
171.06 | 0.75 | (104.83 | ) | — | (104.08 | ) | (1.72 | ) | — | (0.21 | )# | (1.93 | ) | 65.05 | (61.39 | ) | (61.26 | ) | 0.93 | 0.93 | 0.71 | 0.71 | 1,323,669 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(bb) |
204.34 | 3.25 | (33.36 | ) | — | (30.11 | ) | (3.17 | ) | — | — | (3.17 | ) | 171.06 | (14.89 | ) | (14.86 | ) | 0.91 | 0.91 | 1.84 | 1.84 | 610,645 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (m)(bb) |
319.03 | 1.87 | (115.79 | ) | — | (113.92 | ) | (0.77 | ) | — | — | (0.77 | ) | 204.34 | (35.72 | ) | (35.76 | ) | 0.91 | 0.91 | 0.75 | 0.75 | 463,787 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort 7-10 Year Treasury | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
16.73 | (0.13 | ) | 2.89 | — | 2.76 | — | — | — | — | 19.49 | 16.48 | 16.50 | 0.99 | 0.95 | (0.82 | ) | (0.78 | ) | 122,760 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
15.32 | (0.15 | ) | 1.56 | — | 1.41 | — | — | — | — | 16.73 | 9.20 | 9.13 | 1.10 | 0.95 | (1.08 | ) | (0.92 | ) | 43,490 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
19.99 | 0.21 | (4.57 | ) | — | (4.36 | ) | (0.29 | ) | — | (0.02 | )# | (0.31 | ) | 15.32 | (22.11 | ) | (21.90 | ) | 1.06 | 0.95 | 1.03 | 1.15 | 29,871 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
22.73 | 0.26 | (2.79 | ) | — | (2.53 | ) | (0.21 | ) | — | — | (0.21 | ) | 19.99 | (11.21 | ) | (11.83 | ) | 0.97 | 0.95 | 1.12 | 1.14 | 66,966 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
21.23 | 0.04 | 1.46 | — | 1.50 | — | — | — | — | 22.73 | 7.03 | 7.53 | 0.95 | 0.95 | 0.19 | 0.19 | 142,045 | — |
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 251
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort 20+ Year Treasury | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 20.51 | $ | (0.15 | ) | $ | 5.33 | $ | — | $ | 5.18 | $ | — | $ | — | $ | — | $ | — | $ | 25.69 | 25.29 | % | 24.21 | % | 0.89 | % | 0.89 | % | (0.80 | )% | (0.80 | )% | $ | 1,390,214 | — | % | ||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
16.07 | (0.15 | ) | 4.59 | — | 4.44 | — | (h) | — | — | (h) | — | (h) | 20.51 | 27.64 | 27.87 | 0.90 | 0.90 | (0.83 | ) | (0.83 | ) | 1,415,115 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
29.69 | 0.37 | (13.49 | ) | — | (13.12 | ) | (0.45 | ) | — | (0.05 | )# | (0.50 | ) | 16.07 | (44.80 | ) | (44.32 | ) | 0.92 | 0.92 | 1.58 | 1.58 | 434,698 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
36.01 | 0.45 | (6.34 | ) | — | (5.89 | ) | (0.43 | ) | — | — | (0.43 | ) | 29.69 | (16.54 | ) | (17.80 | ) | 0.90 | 0.90 | 1.22 | 1.22 | 886,565 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
36.35 | 0.13 | (0.44 | )(i) | — | (0.31 | ) | (0.03 | ) | — | — | (0.03 | ) | 36.01 | (0.86 | ) | (0.07 | ) | 0.89 | 0.89 | 0.35 | 0.35 | 1,843,935 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort Basic Materials | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
12.71 | (0.11 | ) | (2.25 | ) | — | (2.36 | ) | — | — | — | — | 10.35 | (18.55 | ) | (18.45 | ) | 4.04 | 0.95 | (3.97 | ) | (0.88 | ) | 2,434 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(hh) |
40.12 | (0.22 | ) | (27.19 | ) | — | (27.41 | ) | — | — | — | — | 12.71 | (68.32 | ) | (68.30 | ) | 3.84 | 0.95 | (3.84 | ) | (0.94 | ) | 1,718 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(hh) |
65.72 | 0.08 | (25.42 | ) | — | (25.34 | ) | (0.26 | ) | — | — | (0.26 | ) | 40.12 | (38.64 | ) | (38.75 | ) | 2.12 | 0.95 | (1.03 | ) | 0.14 | 4,420 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(hh) |
53.00 | 0.30 | 12.54 | — | 12.84 | (0.12 | ) | — | — | (0.12 | ) | 65.72 | 24.22 | 25.02 | 2.15 | 0.95 | (0.68 | ) | 0.51 | 5,598 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (n)(hh) |
73.60 | (0.06 | ) | (20.54 | ) | — | (20.60 | ) | — | — | — | — | 53.00 | (27.99 | ) | (29.37 | ) | 2.01 | 0.95 | (1.16 | ) | (0.10 | ) | 4,515 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort Consumer Goods | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
15.67 | (0.12 | ) | (1.58 | ) | — | (1.70 | ) | — | — | — | — | 13.97 | (10.88 | ) | (10.29 | ) | 9.05 | 0.95 | (8.96 | ) | (0.85 | ) | 2,312 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 (x)(hh) |
38.62 | (0.21 | ) | (22.74 | ) | — | (22.95 | ) | — | — | — | — | 15.67 | (59.42 | ) | (59.33 | ) | 7.90 | 0.95 | (7.89 | ) | (0.94 | ) | 1,028 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 (x)(hh) |
60.88 | 0.32 | (21.98 | ) | — | (21.66 | ) | (0.56 | ) | — | (0.04 | )# | (0.60 | ) | 38.62 | (35.81 | ) | (36.03 | ) | 4.28 | 0.95 | (2.68 | ) | 0.66 | 1,568 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 (x)(hh) |
65.62 | 0.67 | (4.88 | ) | — | (4.21 | ) | (0.53 | ) | — | — | (0.53 | ) | 60.88 | (6.43 | ) | (6.18 | ) | 3.75 | 0.95 | (1.70 | ) | 1.10 | 3,234 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (x)(hh) |
60.79 | 0.16 | 4.67 | — | 4.83 | — | — | — | — | 65.62 | 7.94 | 7.99 | 3.75 | 0.95 | (2.53 | ) | 0.27 | 2,665 | — |
252 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort Consumer Services | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(nn) |
$ | 20.08 | $ | (0.17 | ) | $ | 6.67 | $ | — | $ | 6.50 | $ | — | $ | — | $ | — | $ | — | $ | 26.58 | 32.36 | % | 31.85 | % | 5.83 | % | 0.95 | % | (5.70 | )% | (0.81 | )% | $ | 3,238 | — | % | ||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(x)(nn) |
43.47 | (0.25 | ) | (23.14 | ) | — | (23.39 | ) | — | — | — | — | 20.08 | (53.81 | ) | (53.74 | ) | 7.25 | 0.95 | (7.24 | ) | (0.94 | ) | 940 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(x)(nn) |
66.77 | 0.28 | (22.47 | ) | — | (22.19 | ) | (1.09 | ) | — | (0.02 | )# | (1.11 | ) | 43.47 | (33.62 | ) | (33.86 | ) | 6.72 | 0.95 | (5.28 | ) | 0.49 | 1,764 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(x)(nn) |
86.26 | 1.16 | (19.68 | ) | — | (18.52 | ) | (0.97 | ) | — | — | (0.97 | ) | 66.77 | (21.58 | ) | (21.30 | ) | 7.14 | 0.95 | (4.63 | ) | 1.57 | 623 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(x)(nn) |
114.02 | 0.33 | (28.00 | ) | — | (27.67 | ) | (0.09 | ) | — | — | (0.09 | ) | 86.26 | (24.27 | ) | (28.36 | ) | 4.82 | 0.95 | (3.55 | ) | 0.32 | 1,344 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort Dow30SM | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(ll) |
47.13 | (0.39 | ) | (0.55 | ) | — | (0.94 | ) | — | — | — | — | 46.19 | (2.01 | ) | (1.93 | ) | 1.00 | 0.95 | (0.92 | ) | (0.86 | ) | 108,998 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(ll) |
100.13 | (0.58 | ) | (52.42 | ) | — | (53.00 | ) | — | — | — | — | 47.13 | (52.93 | ) | (53.02 | ) | 1.00 | 0.95 | (0.90 | ) | (0.84 | ) | 100,430 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(ll) |
153.73 | 1.02 | (52.92 | ) | — | (51.90 | ) | (1.50 | ) | — | (0.20 | )# | (1.70 | ) | 100.13 | (33.99 | ) | (33.94 | ) | 1.01 | 0.95 | 0.75 | 0.81 | 210,350 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(ll) |
170.27 | 2.52 | (16.81 | ) | — | (14.29 | ) | (2.25 | ) | — | — | (2.25 | ) | 153.73 | (8.44 | ) | (8.45 | ) | 1.01 | 0.95 | 1.59 | 1.64 | 143,100 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(m)(ll) |
245.94 | 1.23 | (76.40 | ) | — | (75.17 | ) | (0.50 | ) | — | — | (0.50 | ) | 170.27 | (30.57 | ) | (30.61 | ) | 0.99 | 0.95 | 0.59 | 0.63 | 143,173 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort Financials | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(ii) |
19.91 | (0.16 | ) | (0.87 | ) | — | (1.03 | ) | — | — | — | — | 18.88 | (5.18 | ) | (5.27 | ) | 1.50 | 0.95 | (1.43 | ) | (0.89 | ) | 16,005 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(aa)(ii) |
53.76 | (0.35 | ) | (33.50 | ) | — | (33.85 | ) | — | — | — | — | 19.91 | (62.96 | ) | (62.84 | ) | 1.21 | 0.95 | (1.20 | ) | (0.94 | ) | 12,909 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(aa)(ii) |
75.89 | 0.23 | (21.76 | ) | — | (21.53 | ) | (0.56 | ) | — | (0.04 | )# | (0.60 | ) | 53.76 | (28.50 | ) | (28.66 | ) | 1.20 | 0.95 | 0.11 | 0.36 | 42,263 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(aa)(ii) |
82.20 | 0.45 | (6.56 | ) | — | (6.11 | ) | (0.20 | ) | — | — | (0.20 | ) | 75.89 | (7.44 | ) | (7.38 | ) | 1.20 | 0.95 | 0.32 | 0.57 | 27,413 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(aa)(ii) |
116.11 | 0.02 | (33.93 | ) | — | (33.91 | ) | — | — | — | — | 82.20 | (29.21 | ) | (29.41 | ) | 1.13 | 0.95 | (0.16 | ) | 0.02 | 27,635 | — |
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 253
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort FTSE China 50 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 30.07 | $ | (0.33 | ) | $ | 7.73 | $ | — | $ | 7.40 | $ | — | $ | — | $ | — | $ | — | $ | 37.47 | 24.57 | % | 24.58 | % | 1.38 | % | 0.95 | % | (1.31 | )% | (0.89 | )% | $ | 24,429 | — | % | ||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
54.73 | (0.34 | ) | (24.32 | ) | — | (24.66 | ) | — | — | — | — | 30.07 | (45.04 | ) | (45.15 | ) | 1.26 | 0.95 | (1.24 | ) | (0.93 | ) | 16,599 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
69.54 | 0.19 | (14.48 | ) | — | (14.29 | ) | (0.50 | ) | — | (0.02 | )# | (0.52 | ) | 54.73 | (20.64 | ) | (20.38 | ) | 1.17 | 0.95 | 0.08 | 0.30 | 41,152 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
61.78 | 0.63 | 7.39 | — | 8.02 | (0.26 | ) | — | — | (0.26 | ) | 69.54 | 13.02 | 12.97 | 1.20 | 0.95 | 0.68 | 0.93 | 38,384 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(m) |
99.51 | 0.03 | (37.76 | ) | — | (37.73 | ) | — | — | — | — | 61.78 | (37.91 | ) | (38.02 | ) | 1.20 | 0.95 | (0.21 | ) | 0.04 | 27,923 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort FTSE Europe | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
11.93 | (0.10 | ) | 1.28 | (i) | — | 1.18 | — | (h) | — | — | — | (h) | 13.11 | 9.93 | 9.91 | 1.50 | 0.95 | (1.34 | ) | (0.79 | ) | 55,881 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
28.23 | (0.18 | ) | (16.12 | ) | — | (16.30 | ) | — | — | — | — | 11.93 | (57.75 | ) | (57.48 | ) | 1.48 | 0.95 | (1.46 | ) | (0.93 | ) | 7,300 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
34.43 | 0.06 | (6.03 | ) | — | (5.97 | ) | (0.22 | ) | — | (0.01 | )# | (0.23 | ) | 28.23 | (17.37 | ) | (17.90 | ) | 1.37 | 0.95 | (0.24 | ) | 0.17 | 22,924 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
31.32 | 0.27 | 2.98 | — | 3.25 | (0.14 | ) | — | — | (0.14 | ) | 34.43 | 10.37 | 10.13 | 1.31 | 0.95 | 0.43 | 0.79 | 16,770 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
36.36 | 0.04 | (5.08 | ) | — | (5.04 | ) | — | — | — | — | 31.32 | (13.87 | ) | (13.74 | ) | 1.17 | 0.95 | (0.11 | ) | 0.11 | 18,386 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort Health Care | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
15.75 | (0.12 | ) | (2.34 | ) | — | (2.46 | ) | — | — | — | — | 13.29 | (15.65 | ) | (15.79 | ) | 5.11 | 0.95 | (5.01 | ) | (0.85 | ) | 3,394 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(hh) |
25.83 | (0.20 | ) | (9.88 | ) | — | (10.08 | ) | — | — | — | — | 15.75 | (39.01 | ) | (38.97 | ) | 4.61 | 0.95 | (4.60 | ) | (0.94 | ) | 1,267 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(hh) |
49.12 | 0.27 | (23.06 | ) | — | (22.79 | ) | (0.46 | ) | — | (0.04 | )# | (0.50 | ) | 25.83 | (46.77 | ) | (46.67 | ) | 4.01 | 0.95 | (2.36 | ) | 0.70 | 2,078 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(hh) |
57.71 | 0.62 | (8.97 | ) | — | (8.35 | ) | (0.24 | ) | — | — | (0.24 | ) | 49.12 | (14.46 | ) | (13.10 | ) | 4.94 | 0.95 | (2.67 | ) | 1.32 | 2,724 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(hh) |
75.14 | 0.09 | (17.52 | ) | — | (17.43 | ) | — | — | — | — | 57.71 | (23.19 | ) | (26.26 | ) | 6.35 | 0.95 | (5.25 | ) | 0.14 | 1,036 | — |
254 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort Industrials | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 14.47 | $ | (0.13 | ) | $ | 2.76 | $ | — | $ | 2.63 | $ | — | $ | — | $ | — | $ | — | $ | 17.10 | 18.18 | % | 18.34 | % | 4.39 | % | 0.95 | % | (4.29 | )% | (0.85 | )% | $ | 2,824 | — | % | ||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(aa)(hh) |
38.93 | (0.23 | ) | (24.23 | ) | — | (24.46 | ) | — | — | — | — | 14.47 | (62.83 | ) | (62.72 | ) | 5.16 | 0.95 | (5.15 | ) | (0.94 | ) | 943 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(aa)(hh) |
59.34 | 0.09 | (19.98 | ) | — | (19.89 | ) | (0.52 | ) | — | — | (0.52 | ) | 38.93 | (33.71 | ) | (34.02 | ) | 3.89 | 0.95 | (2.76 | ) | 0.18 | 3,268 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(aa)(hh) |
65.48 | 0.64 | (6.33 | ) | — | (5.69 | ) | (0.45 | ) | — | — | (0.45 | ) | 59.34 | (8.75 | ) | (8.49 | ) | 3.38 | 0.95 | (1.41 | ) | 1.02 | 2,386 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(aa)(hh) |
88.41 | 0.15 | (23.08 | ) | — | (22.93 | ) | — | — | — | — | 65.48 | (25.93 | ) | (26.47 | ) | 3.16 | 0.95 | (2.00 | ) | 0.21 | 3,042 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort MidCap400 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
17.67 | (0.15 | ) | 0.21 | (i) | — | 0.06 | — | — | — | — | 17.73 | 0.30 | 0.45 | 4.53 | 0.95 | (4.44 | ) | (0.86 | ) | 2,898 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(aa)(hh) |
50.69 | (0.30 | ) | (32.72 | ) | — | (33.02 | ) | — | — | — | — | 17.67 | (65.14 | ) | (65.04 | ) | 2.78 | 0.95 | (2.77 | ) | (0.94 | ) | 2,007 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(aa)(hh) |
75.68 | 0.17 | (24.45 | ) | — | (24.28 | ) | (0.65 | ) | — | (0.06 | )# | (0.71 | ) | 50.69 | (32.29 | ) | (32.63 | ) | 2.95 | 0.95 | (1.74 | ) | 0.26 | 6,393 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(aa)(hh) |
69.55 | 0.88 | 5.94 | — | 6.82 | (0.69 | ) | — | — | (0.69 | ) | 75.68 | 9.83 | 11.13 | 2.90 | 0.95 | (0.72 | ) | 1.23 | 2,923 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(aa)(hh) |
93.64 | 0.17 | (24.26 | ) | — | (24.09 | ) | — | — | — | — | 69.55 | (25.73 | ) | (26.36 | ) | 2.39 | 0.95 | (1.23 | ) | 0.22 | 3,556 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort MSCI Brazil Capped | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(nn) |
27.11 | (0.26 | ) | (6.36 | ) | — | (6.62 | ) | — | — | — | — | 20.49 | (24.45 | ) | (24.28 | ) | 1.60 | 0.95 | (1.54 | ) | (0.89 | ) | 13,495 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 (hh)(nn) |
86.92 | (0.44 | ) | (59.37 | ) | — | (59.81 | ) | — | — | — | — | 27.11 | (68.80 | ) | (68.92 | ) | 1.27 | 0.95 | (1.26 | ) | (0.93 | ) | 12,435 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 (hh)(nn) |
109.20 | 0.72 | (21.80 | )(i) | — | (21.08 | ) | (1.12 | ) | — | (0.08 | )# | (1.20 | ) | 86.92 | (19.34 | ) | (19.03 | ) | 1.16 | 0.95 | 0.52 | 0.72 | 37,698 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 (hh)(nn) |
215.55 | 1.67 | (107.22 | ) | — | (105.55 | ) | (0.80 | ) | — | — | (0.80 | ) | 109.20 | (49.00 | ) | (49.02 | ) | 1.14 | 0.95 | 0.96 | 1.15 | 29,616 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (p)(hh)(nn) |
272.96 | 0.22 | (57.63 | ) | — | (57.41 | ) | — | — | — | — | 215.55 | (21.04 | ) | (21.01 | ) | 1.18 | 0.95 | (0.11 | ) | 0.12 | 30,170 | — |
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 255
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort MSCI EAFE | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 10.26 | $ | (0.09 | ) | $ | 1.65 | $ | — | $ | 1.56 | $ | — | $ | — | $ | — | $ | — | $ | 11.82 | 15.16 | % | 15.41 | % | 7.40 | % | 0.95 | % | (7.31 | )% | (0.86 | )% | $ | 1,624 | — | % | ||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
21.84 | (0.14 | ) | (11.44 | ) | — | (11.58 | ) | — | — | — | — | 10.26 | (53.01 | ) | (52.98 | ) | 4.29 | 0.95 | (4.28 | ) | (0.94 | ) | 1,410 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
25.89 | 0.03 | (3.92 | ) | — | (3.89 | ) | (0.15 | ) | — | (0.01 | )# | (0.16 | ) | 21.84 | (15.05 | ) | (15.10 | ) | 3.83 | 0.95 | (2.76 | ) | 0.12 | 3,001 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
23.15 | 0.18 | 2.65 | — | 2.83 | (0.09 | ) | — | — | (0.09 | ) | 25.89 | 12.24 | 12.11 | 2.87 | 0.95 | (1.23 | ) | 0.70 | 3,557 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
27.32 | 0.03 | (4.20 | ) | — | (4.17 | ) | — | — | — | — | 23.15 | (15.26 | ) | (15.09 | ) | 3.00 | 0.95 | (1.94 | ) | 0.11 | 3,181 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort MSCI Emerging Markets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
15.03 | (0.15 | ) | 5.77 | — | 5.62 | — | — | — | — | 20.65 | 37.43 | 37.63 | 2.13 | 0.95 | (2.04 | ) | (0.87 | ) | 11,128 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
37.97 | (0.20 | ) | (22.74 | ) | — | (22.94 | ) | — | — | — | — | 15.03 | (60.42 | ) | (60.55 | ) | 1.71 | 0.95 | (1.69 | ) | (0.93 | ) | 5,467 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
46.57 | 0.15 | (8.37 | ) | — | (8.22 | ) | (0.36 | ) | — | (0.02 | )# | (0.38 | ) | 37.97 | (17.70 | ) | (17.50 | ) | 1.31 | 0.95 | (0.01 | ) | 0.35 | 16,662 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
42.20 | 0.47 | 4.21 | — | 4.68 | (0.31 | ) | — | — | (0.31 | ) | 46.57 | 11.11 | 11.05 | 1.26 | 0.95 | 0.70 | 1.01 | 19,271 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(p) |
58.06 | 0.10 | (15.96 | ) | — | (15.86 | ) | — | — | — | — | 42.20 | (27.31 | ) | (27.45 | ) | 1.18 | 0.95 | (0.01 | ) | 0.22 | 15,352 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort MSCI Japan | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
13.72 | (0.12 | ) | 3.23 | — | 3.11 | — | — | — | — | 16.83 | 22.67 | 22.79 | 2.93 | 0.95 | (2.86 | ) | (0.88 | ) | 6,309 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 |
23.61 | (0.17 | ) | (9.72 | ) | — | (9.89 | ) | — | — | — | — | 13.72 | (41.91 | ) | (41.84 | ) | 1.98 | 0.95 | (1.97 | ) | (0.94 | ) | 4,800 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 |
31.53 | (0.06 | ) | (7.79 | ) | — | (7.85 | ) | (0.07 | ) | — | — | (0.07 | ) | 23.61 | (24.89 | ) | (24.92 | ) | 1.78 | 0.95 | (1.03 | ) | (0.21 | ) | 11,215 | — | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 |
26.01 | 0.02 | 5.51 | — | 5.53 | (0.01 | ) | — | — | (0.01 | ) | 31.53 | 21.26 | 21.50 | 2.01 | 0.95 | (1.00 | ) | 0.06 | 7,091 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 |
34.57 | (0.04 | ) | (8.52 | ) | — | (8.56 | ) | — | — | — | — | 26.01 | (24.78 | ) | (25.42 | ) | 1.66 | 0.95 | (0.84 | ) | (0.13 | ) | 5,199 | — |
256 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort Nasdaq Biotechnology | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 21.67 | $ | (0.20 | ) | $ | 6.98 | $ | — | $ | 6.78 | $ | — | $ | — | $ | — | $ | — | $ | 28.45 | 31.29 | % | 31.59 | % | 1.83 | % | 0.95 | % | (1.79 | )% | (0.91 | )% | $ | 8,424 | — | % | ||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(y) |
33.82 | (0.24 | ) | (11.91 | ) | — | (12.15 | ) | — | — | — | — | 21.67 | (35.93 | ) | (36.17 | ) | 1.55 | 0.95 | (1.53 | ) | (0.93 | ) | 9,666 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(y) |
82.20 | 0.58 | (47.98 | ) | — | (47.40 | ) | (0.88 | ) | — | (0.10 | )# | (0.98 | ) | 33.82 | (58.25 | ) | (58.11 | ) | 1.31 | 0.95 | 0.59 | 0.94 | 12,556 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(y) |
80.47 | 0.94 | 1.39 | — | 2.33 | (0.60 | ) | — | — | (0.60 | ) | 82.20 | 2.95 | 3.15 | 1.21 | 0.95 | 1.03 | 1.28 | 26,408 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(y) |
116.10 | 0.09 | (35.72 | ) | — | (35.63 | ) | — | — | — | — | 80.47 | (30.69 | ) | (30.75 | ) | 1.12 | 0.95 | (0.06 | ) | 0.10 | 31,888 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort Oil & Gas | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(ll) |
65.50 | (0.29 | ) | (48.66 | ) | — | (48.95 | ) | — | — | — | — | 16.55 | (74.73 | ) | (74.74 | ) | 1.31 | 0.95 | (1.21 | ) | (0.85 | ) | 30,676 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(ll) |
223.38 | (1.23 | ) | (156.65 | ) | — | (157.88 | ) | — | — | — | — | 65.50 | (70.68 | ) | (70.58 | ) | 1.32 | 0.95 | (1.31 | ) | (0.94 | ) | 17,254 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(ll) |
230.37 | 0.36 | (6.35 | )(i) | — | (5.99 | ) | (0.85 | ) | — | (0.15 | )# | (1.00 | ) | 223.38 | (2.59 | ) | (3.03 | ) | 1.33 | 0.95 | (0.23 | ) | 0.15 | 16,401 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(ll) |
155.14 | 1.30 | 74.88 | — | 76.18 | (0.95 | ) | — | — | (0.95 | ) | 230.37 | 49.15 | 49.61 | 1.31 | 0.95 | 0.37 | 0.74 | 19,218 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(ll) |
242.00 | 0.17 | (87.03 | ) | — | (86.86 | ) | — | — | — | — | 155.14 | (35.89 | ) | (35.92 | ) | 1.18 | 0.95 | (0.15 | ) | 0.08 | 23,801 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort QQQ | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
23.47 | (0.17 | ) | (0.88 | )(i) | — | (1.05 | ) | — | — | — | — | 22.42 | (4.49 | ) | (4.48 | ) | 1.02 | 0.95 | (0.93 | ) | (0.86 | ) | 365,330 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(cc) |
58.32 | (0.26 | ) | (34.59 | ) | — | (34.85 | ) | — | — | — | — | 23.47 | (59.75 | ) | (59.83 | ) | 1.03 | 0.95 | (0.90 | ) | (0.82 | ) | 221,703 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(cc) |
146.74 | 1.26 | (87.51 | ) | — | (86.25 | ) | (1.91 | ) | — | (0.26 | )# | (2.17 | ) | 58.32 | (59.49 | ) | (59.44 | ) | 1.04 | 0.95 | 1.18 | 1.27 | 248,507 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(cc) |
171.61 | 2.98 | (25.10 | ) | — | (22.12 | ) | (2.75 | ) | — | — | (2.75 | ) | 146.74 | (13.01 | ) | (12.94 | ) | 1.03 | 0.95 | 1.88 | 1.95 | 355,626 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (m)(cc) |
267.36 | 1.44 | (96.67 | ) | — | (95.23 | ) | (0.52 | ) | — | — | (0.52 | ) | 171.61 | (35.64 | ) | (35.63 | ) | 1.02 | 0.95 | 0.59 | 0.66 | 257,160 | — |
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 257
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort Real Estate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 17.33 | $ | (0.12 | ) | $ | (2.09 | )(i) | $ | — | $ | (2.21 | ) | $ | — | $ | — | $ | — | $ | — | $ | 15.12 | (12.78 | )% | (12.77 | )% | 1.41 | % | 0.95 | % | (1.31 | )% | (0.86 | )% | $ | 27,920 | — | % | ||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(hh) |
34.76 | (0.24 | ) | (17.19 | ) | — | (17.43 | ) | — | — | — | — | 17.33 | (50.14 | ) | (50.29 | ) | 1.20 | 0.95 | (1.19 | ) | (0.94 | ) | 16,427 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(hh) |
45.29 | 0.17 | (10.12 | ) | — | (9.95 | ) | (0.54 | ) | — | (0.04 | )# | (0.58 | ) | 34.76 | (22.18 | ) | (22.10 | ) | 1.31 | 0.95 | 0.06 | 0.42 | 54,669 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(hh) |
60.82 | 0.66 | (15.75 | ) | — | (15.09 | ) | (0.44 | ) | — | — | (0.44 | ) | 45.29 | (24.94 | ) | (24.88 | ) | 1.32 | 0.95 | 0.88 | 1.25 | 21,421 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(hh) |
65.72 | 0.10 | (5.00 | ) | — | (4.90 | ) | — | — | — | — | 60.82 | (7.45 | ) | (7.63 | ) | 1.18 | 0.95 | (0.07 | ) | 0.16 | 21,160 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort Russell2000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
13.88 | (0.12 | ) | 2.97 | — | 2.85 | — | — | — | — | 16.73 | 20.54 | 20.61 | 1.07 | 0.95 | (0.98 | ) | (0.86 | ) | 115,702 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(cc) |
46.41 | (0.20 | ) | (32.33 | ) | — | (32.53 | ) | — | — | — | — | 13.88 | (70.09 | ) | (70.11 | ) | 1.09 | 0.95 | (0.98 | ) | (0.85 | ) | 73,770 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(cc) |
67.88 | 0.31 | (21.10 | ) | — | (20.79 | ) | (0.60 | ) | — | (0.08 | )# | (0.68 | ) | 46.41 | (30.85 | ) | (30.72 | ) | 1.09 | 0.95 | 0.38 | 0.52 | 132,947 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(cc) |
59.72 | 0.71 | 8.10 | — | 8.81 | (0.65 | ) | — | — | (0.65 | ) | 67.88 | 14.83 | 14.83 | 1.08 | 0.95 | 1.03 | 1.16 | 98,592 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(cc) |
90.34 | 0.35 | (30.84 | ) | — | (30.49 | ) | (0.13 | ) | — | — | (0.13 | ) | 59.72 | (33.77 | ) | (33.84 | ) | 1.06 | 0.95 | 0.36 | 0.47 | 88,972 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort S&P500® | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(ll) |
47.49 | (0.33 | ) | (3.91 | ) | — | (4.24 | ) | — | — | — | — | 43.25 | (8.93 | ) | (9.07 | ) | 0.90 | 0.90 | (0.80 | ) | (0.80 | ) | 899,859 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(ll) |
102.86 | (0.53 | ) | (54.84 | ) | — | (55.37 | ) | — | — | — | — | 47.49 | (53.83 | ) | (53.86 | ) | 0.90 | 0.90 | (0.75 | ) | (0.75 | ) | 582,648 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(ll) |
176.27 | 1.13 | (72.44 | ) | — | (71.31 | ) | (1.80 | ) | — | (0.30 | )# | (2.10 | ) | 102.86 | (40.80 | ) | (40.72 | ) | 0.91 | 0.91 | 0.83 | 0.83 | 1,480,039 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(ll) |
193.67 | 2.94 | (17.54 | ) | — | (14.60 | ) | (2.80 | ) | — | — | (2.80 | ) | 176.27 | (7.60 | ) | (7.60 | ) | 0.89 | 0.89 | 1.65 | 1.65 | 1,131,491 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(k)(ll) |
256.60 | 1.38 | (63.76 | ) | — | (62.38 | ) | (0.55 | ) | — | — | (0.55 | ) | 193.67 | (24.31 | ) | (24.33 | ) | 0.90 | 0.90 | 0.63 | 0.63 | 848,104 | — |
258 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort Semiconductors | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
$ | 36.65 | $ | (0.20 | ) | $ | (13.99 | ) | $ | — | $ | (14.19 | ) | $ | — | $ | — | $ | — | $ | — | $ | 22.46 | (38.73 | )% | (38.85 | )% | 2.95 | % | 0.95 | % | (2.84 | )% | (0.84 | )% | $ | 6,726 | — | % | ||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 (y)(gg) |
128.03 | (0.62 | ) | (90.76 | ) | — | (91.38 | ) | — | — | — | — | 36.65 | (71.37 | ) | (71.48 | ) | 2.52 | 0.95 | (2.51 | ) | (0.94 | ) | 2,734 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 (y)(gg) |
520.18 | 1.17 | (390.11 | ) | — | (388.94 | ) | (3.01 | ) | — | (0.20 | )# | (3.21 | ) | 128.03 | (75.16 | ) | (75.02 | ) | 1.85 | 0.95 | (0.45 | ) | 0.45 | 7,554 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 (r)(y)(gg) |
477.08 | 5.91 | 42.55 | (i) | — | 48.46 | (5.36 | ) | — | — | (5.36 | ) | 520.18 | 10.15 | 9.44 | 2.47 | 0.95 | (0.33 | ) | 1.19 | 7,119 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (n)(r)(y)(gg) |
986.67 | 1.87 | (511.46 | ) | — | (509.59 | ) | — | — | — | — | 477.08 | (51.65 | ) | (51.57 | ) | 2.71 | 0.95 | (1.50 | ) | 0.26 | 3,920 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort SmallCap600 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
24.53 | (0.21 | ) | 0.90 | — | 0.69 | — | — | — | — | 25.22 | 2.81 | 2.77 | 3.20 | 0.95 | (3.10 | ) | (0.86 | ) | 4,640 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021 (aa)(gg) |
92.30 | (0.49 | ) | (67.28 | ) | — | (67.77 | ) | — | — | — | — | 24.53 | (73.42 | ) | (73.28 | ) | 2.41 | 0.95 | (2.40 | ) | (0.94 | ) | 2,064 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020 (aa)(gg) |
123.90 | (0.13 | ) | (30.72 | ) | — | (30.85 | ) | (0.75 | ) | — | — | (0.75 | ) | 92.30 | (24.97 | ) | (25.26 | ) | 2.65 | 0.95 | (1.82 | ) | (0.11 | ) | 9,499 | — | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 (aa)(gg) |
105.26 | 1.33 | 18.37 | — | 19.70 | (1.06 | ) | — | — | (1.06 | ) | 123.90 | 18.83 | 17.33 | 3.39 | 0.95 | (1.22 | ) | 1.22 | 3,459 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (aa)(gg) |
164.75 | 0.28 | (59.77 | ) | — | (59.49 | ) | — | — | — | — | 105.26 | (36.11 | ) | (35.88 | ) | 3.37 | 0.95 | (2.21 | ) | 0.22 | 2,281 | — |
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 259
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (c) |
RATIOS TO AVERAGE NET ASSETS (f) | SUPPLEMENTAL DATA |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset
value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Transaction fees (b) |
Total
from investment operations |
Net investment income |
Net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of period |
Net asset value (d) |
Market value (e) |
Expenses before expense reductions |
Expenses net of waivers, if any |
Net investment income (loss) before expense reductions |
Net investment income (loss) net of waivers, if any |
Net assets, end of period (000) |
Portfolio turnover rate (c)(g) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort Technology | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022(ii) |
$ | 22.23 | $ | (0.15 | ) | $ | (2.96 | )(i) | $ | — | $ | (3.11 | ) | $ | — | $ | — | $ | — | $ | — | $ | 19.12 | (14.02 | )% | (14.14 | )% | 2.26 | % | 0.95 | % | (2.17 | )% | (0.86 | )% | $ | 7,763 | — | % | ||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(y)(ii) |
59.62 | (0.29 | ) | (37.10 | ) | — | (37.39 | ) | — | — | — | — | 22.23 | (62.71 | ) | (62.60 | ) | 2.18 | 0.95 | (2.17 | ) | (0.94 | ) | 4,866 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(y)(ii) |
170.28 | 0.53 | (109.86 | ) | — | (109.33 | ) | (1.25 | ) | — | (0.08 | )# | (1.33 | ) | 59.62 | (64.62 | ) | (64.72 | ) | 2.40 | 0.95 | (0.95 | ) | 0.50 | 4,856 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019 (r)(y)(ii) |
203.06 | 2.42 | (33.45 | ) | — | (31.03 | ) | (1.75 | ) | — | — | (1.75 | ) | 170.28 | (15.34 | ) | (15.28 | ) | 2.68 | 0.95 | (0.43 | ) | 1.30 | 5,354 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018 (r)(y)(ii) |
352.34 | 0.56 | (149.84 | ) | — | (149.28 | ) | — | — | — | — | 203.06 | (42.37 | ) | (42.74 | ) | 2.87 | 0.95 | (1.71 | ) | 0.21 | 3,212 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
UltraShort Utilities | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2022 |
16.33 | (0.12 | ) | (5.23 | ) | — | (5.35 | ) | — | — | — | — | 10.98 | (32.77 | ) | (32.52 | ) | 4.68 | 0.95 | (4.60 | ) | (0.87 | ) | 2,402 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2021(aa) |
23.04 | (0.18 | ) | (6.53 | ) | — | (6.71 | ) | — | — | — | — | 16.33 | (29.11 | ) | (29.19 | ) | 4.17 | 0.95 | (4.16 | ) | (0.95 | ) | 2,347 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2020(aa) |
37.28 | 0.10 | (14.11 | ) | — | (14.01 | ) | (0.21 | ) | — | (0.02 | )# | (0.23 | ) | 23.04 | (37.75 | ) | (37.77 | ) | 2.66 | 0.95 | (1.39 | ) | 0.33 | 1,872 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2019(aa) |
51.64 | 0.21 | (14.50 | ) | — | (14.29 | ) | (0.07 | ) | — | — | (0.07 | ) | 37.28 | (27.69 | ) | (27.75 | ) | 2.41 | 0.95 | (0.98 | ) | 0.49 | 4,427 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended May 31, 2018(aa) |
51.81 | (0.08 | ) | (0.09 | )(i) | — | (0.17 | ) | — | — | — | — | 51.64 | (0.32 | ) | 0.00 | (j) | 1.78 | 0.95 | (0.98 | ) | (0.15 | ) | 5,487 | — |
260 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Includes transaction fees associated with the issuance and redemption of Creation Units.
(c) Not annualized for periods less than one year.
(d) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder's investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(e) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., NYSE and NASDAQ) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund's closing price on the listing market.
(f) Annualized for periods less than one year.
(g) Portfolio turnover rate is calculated without regard to instruments having a maturity of less than one year from acquisition or derivative instruments (including swap agreements and futures contracts). The portfolio turnover rate can be high and volatile due to the sales and purchases of fund shares during the period. In-Kind transactions are not included in the portfolio turnover calculations.
(h) Per share amount is less than $0.005.
(i) The amount shown for a share outstanding throughout the period is not in accordance with the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund.
(j) Less than 0.005%.
(k) Per share amounts have been restated on a retroactive basis to reflect a 1:4 reverse stock split effective July 17, 2017.
(l) Per share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective July 17, 2017.
(m) Per share amounts have been restated on a retroactive basis to reflect a 1:4 reverse stock split effective May 24, 2018.
(n) Per share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective May 24, 2018.
(o) Per share amounts have been restated on a retroactive basis to reflect a 3:1 stock split effective May 24, 2018.
(p) Per share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective May 24, 2018.
(q) Per share amounts have been restated on a retroactive basis to reflect a 1:4 reverse stock split effective May 24, 2019.
(r) Per share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective May 24, 2019.
(s) Per share amounts have been restated on a retroactive basis to reflect a 1:10 reverse stock split effective April 21, 2020.
(t) Per share amounts have been restated on a retroactive basis to reflect a 1:4 reverse stock split effective April 21, 2020.
(u) Per share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective August 18, 2020.
(v) Per share amounts have been restated on a retroactive basis to reflect a 4:1 stock split effective August 18, 2020.
(w) Per share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective August 18, 2020.
(x) Per share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective August 18, 2020.
(y) Per share amounts have been restated on a retroactive basis to reflect a 1:4 reverse stock split effective August 18, 2020.
(z) Per share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 21, 2021.
(aa) Per share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective January 21, 2021.
(bb) Per share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective January 21, 2021.
(cc) Per share amounts have been restated on a retroactive basis to reflect a 1:4 reverse stock split effective January 21, 2021.
(dd) Per share amounts have been restated on a retroactive basis to reflect a 4:1 stock split effective May 25, 2021.
(ee) Per share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective May 25, 2021.
(ff) Per share amounts have been restated on a retroactive basis to reflect a 5:1 stock split effective May 25, 2021.
(gg) Per share amounts have been restated on a retroactive basis to reflect a 1:4 reverse stock split effective May 25, 2021.
(hh) Per share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective May 25, 2021.
(ii) Per share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective January 13, 2022.
(jj) Per share amounts have been restated on a retroactive basis to reflect a 4:1 stock split effective January 13, 2022.
(kk) Per share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 13, 2022.
(ll) Per share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective January 13, 2022.
(mm) Per share amounts have been restated on a retroactive basis to reflect a 4:1 stock split effective May 27, 2022.
(nn) Per share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective May 27, 2022.
# Amount has been reclassified based on the tax character of the distributions for the tax year ended October 31, 2020.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 261
262 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
1. Organization
ProShares Trust (the "Trust") is registered as an open-end management investment company under the Investment Company Act of 1940 ("1940 Act"). The Trust was formed as a Delaware statutory trust on May 29, 2002, has authorized capital of an unlimited number of shares at no par value and is comprised of 119 operational funds. These accompanying Notes to Financial Statements relate to the portfolios of the Trust included in this report (collectively, the "Funds" and individually, a "Fund"). Each Fund qualifies as an investment company as defined in the Financial Accounting Standards Codification Topic 946 — Financial Services — Investment Companies. Each Fund is a "non-diversified" series of the Trust pursuant to the 1940 Act.
ProShares Short Basic Materials and ProShares Short Oil & Gas were liquidated on May 17, 2022.
2. Significant Accounting Policies
The net asset value per share ("NAV") of each Fund is generally determined as of the close of the regular trading session of the exchange on which it is listed (is typically calculated as of 4:00 p.m. Eastern Time) on each business day.
The following is a summary of significant accounting policies followed by each Fund in preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles ("GAAP"). The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts. The actual results could differ from those estimates.
Investment Valuation
The Funds record their investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The securities in the portfolio of a Fund that are listed or traded on a stock exchange or the NASDAQ Stock Market, except as otherwise noted, are generally valued at the closing price, if available, or the last sale price on the exchange or system where the security is principally traded, generally using information provided by a third party pricing service, or market quotations. These valuations are typically categorized as Level 1 in the fair value hierarchy described below. If there have been no sales for that day on the exchange or system where the security is principally traded, then fair value may be determined with reference to the mean of the latest bid and asked quotes, if applicable, on the exchange or system. If there have been no sales or quotes of the security for that day on the exchange or system, the security will be valued in accordance with procedures approved by the Trust's Board of Trustees (the "Board").
Exchange traded funds are generally valued at the closing price, if available, or at the last sale price as described above, and are typically categorized as Level 1 in the fair value hierarchy.
Securities regularly traded in the over-the-counter ("OTC") markets, including securities listed on an exchange but that are primarily traded OTC, other than those traded on the Nasdaq Stock Market, are valued on the basis of the mean between the bid and asked quotes furnished
by primary market makers for those instruments. U.S. Treasury securities are valued according to prices as furnished by an independent pricing service, generally at the mean of the bid and asked quotes. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Exchange traded equity and bond futures contracts are generally valued at the official futures settlement price. These valuations are typically categorized as Level 1 in the fair value hierarchy. If there was no sale on that day, fair valuation procedures as described below may be applied. Non-exchange traded derivatives (e.g. non-exchange traded swap agreements) are generally valued using independent sources and/or agreement with counterparties or other procedures approved by the Board and are typically categorized as Level 2 in the fair value hierarchy.
When ProShare Advisors LLC (the "Advisor") determines that the price of a security is not readily available or deemed unreliable (e.g., an approved pricing service does not provide a price, a furnished price is in error, certain prices become stale, or an event occurs that materially affects the furnished price), the Advisor may, in good faith, establish a fair value for that security in accordance with procedures established by and under the general supervision and responsibility of the Board. Fair value pricing may require subjective determinations about the value of a security. While the Trust's policy is intended to result in a calculation of a Fund's NAV that fairly reflects security values as of the time of pricing, the Trust cannot ensure that fair values determined by the Advisor or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold and the differences could be material to the financial statements. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy.
The Funds disclose the fair value of their investments in a hierarchy that distinguishes between: (1) market participant assumptions which are developed based on market data obtained from sources independent of the Funds (observable inputs) and (2) the Funds' own assumptions about market participant assumptions which are developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the hierarchy are as follows:
• Level 1 — Quoted prices in active markets for identical assets.
• Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 — Significant unobservable inputs (including assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, short-term debt securities maturing in sixty days or less may be valued at amortized cost. Generally, amortized cost approximates the current fair value of a security, but since the valuation is not obtained from a quoted price in an active market, such securities are typically reflected as Level 2. Fair value measurements may also
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 263
require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.
The following is a summary of the valuations as of May 31, 2022, for each Fund based upon the three levels defined above:
Please refer to the Schedules of Portfolio Investments to view equity and debt securities segregated by industry type.
LEVEL 1 - Quoted Prices | LEVEL 2 - Other Significant Observable Inputs | Total | |||||||||||||||||||||||||||||||||||||
Common
Stocks/ Shares of Beneficial Interest |
Securities Lending Reinvestments |
Futures
Contracts* |
Rights/ Warrants |
U.S.
Treasury Obligations |
Repurchase Agreements |
Swap
Agreements* |
Investment Securities, including Repurchase Agreements |
Other
Financial Instruments, including Futures Contracts, Swap Agreements, and Forward Currency Contracts* |
|||||||||||||||||||||||||||||||
Short 7-10 Year Treasury |
— | — | $ | 11,352 | — | $ | 74,942,747 | $ | 61,355,455 | $ | (464,630 | ) | $ | 136,298,202 | $ | (453,278 | ) | ||||||||||||||||||||||
Short 20+ Year Treasury |
— | — | 136,935 | — | 599,090,626 | 79,737,186 | 954,414 | 678,827,812 | 1,091,349 | ||||||||||||||||||||||||||||||
Short Dow30SM | — | — | 818,524 | — | 199,534,643 | 44,244,479 | 9,977,594 | 243,779,122 | 10,796,118 | ||||||||||||||||||||||||||||||
Short Financials | — | — | — | — | — | 15,866,010 | 289,216 | 15,866,010 | 289,216 | ||||||||||||||||||||||||||||||
Short FTSE China 50 |
— | — | — | — | — | 5,704,241 | (504,961 | ) | 5,704,241 | (504,961 | ) | ||||||||||||||||||||||||||||
Short High Yield | — | — | — | — | 224,909,979 | 71,481,391 | 1,927,477 | 296,391,370 | 1,927,477 | ||||||||||||||||||||||||||||||
Short MidCap400 |
— | — | 4,582 | — | — | 10,726,113 | 538,624 | 10,726,113 | 543,206 | ||||||||||||||||||||||||||||||
Short MSCI EAFE |
— | — | — | — | 34,990,628 | 35,847,364 | (154,943 | ) | 70,837,992 | (154,943 | ) | ||||||||||||||||||||||||||||
Short MSCI Emerging Markets |
— | — | — | — | — | 36,552,480 | 3,164,814 | 36,552,480 | 3,164,814 | ||||||||||||||||||||||||||||||
Short QQQ | — | — | 3,143,700 | — | 883,957,951 | 120,636,549 | 130,190,158 | 1,004,594,500 | 133,333,858 | ||||||||||||||||||||||||||||||
Short Real Estate |
— | — | — | — | — | 14,964,240 | (99,868 | ) | 14,964,240 | (99,868 | ) | ||||||||||||||||||||||||||||
Short Russell2000 |
— | — | 2,224,738 | — | 339,370,274 | 65,006,851 | 45,879,351 | 404,377,125 | 48,104,089 | ||||||||||||||||||||||||||||||
Short S&P500® | — | — | 2,095,719 | — | 2,152,861,080 | 208,763,865 | 101,603,118 | 2,361,624,945 | 103,698,837 | ||||||||||||||||||||||||||||||
Short SmallCap600 |
— | — | — | — | — | 6,309,515 | (44,853 | ) | 6,309,515 | (44,853 | ) | ||||||||||||||||||||||||||||
Ultra 7-10 Year Treasury |
— | — | (877 | ) | — | — | 17,384,871 | (3,260,294 | ) | 17,384,871 | (3,261,171 | ) | |||||||||||||||||||||||||||
Ultra 20+ Year Treasury |
— | — | (3,004 | ) | — | — | 35,088,590 | (373,104 | ) | 35,088,590 | (376,108 | ) | |||||||||||||||||||||||||||
Ultra Basic Materials |
$ | 47,814,765 | $ | 221,659 | — | — | — | 8,434,210 | (793,337 | ) | 56,470,634 | (793,337 | ) | ||||||||||||||||||||||||||
Ultra Consumer Goods |
7,095,084 | 48,530 | — | — | — | 2,127,367 | (1,417,084 | ) | 9,270,981 | (1,417,084 | ) | ||||||||||||||||||||||||||||
Ultra Consumer Services |
12,402,074 | 26,435 | — | — | — | 3,904,044 | (7,394,757 | ) | 16,332,553 | (7,394,757 | ) | ||||||||||||||||||||||||||||
Ultra Dow30SM | 336,506,815 | — | (18,976 | ) | — | — | 89,649,849 | (41,920,304 | ) | 426,156,664 | (41,939,280 | ) | |||||||||||||||||||||||||||
Ultra Financials | 509,077,166 | 687,211 | — | — | — | 13,710,246 | 146,142,591 | 523,474,623 | 146,142,591 | ||||||||||||||||||||||||||||||
Ultra FTSE China 50 |
— | — | — | — | — | 4,077,094 | (12,060,166 | ) | 4,077,094 | (12,060,166 | ) | ||||||||||||||||||||||||||||
Ultra FTSE Europe |
— | — | — | — | — | 2,695,790 | (1,091,360 | ) | 2,695,790 | (1,091,360 | ) | ||||||||||||||||||||||||||||
Ultra Health Care |
106,313,340 | 51,462 | — | — | — | 21,512,698 | (11,204,084 | ) | 127,877,500 | (11,204,084 | ) | ||||||||||||||||||||||||||||
Ultra High Yield | — | — | — | — | — | 4,957,679 | (2,571,284 | ) | 4,957,679 | (2,571,284 | ) |
264 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
LEVEL 1 - Quoted Prices | LEVEL 2 - Other Significant Observable Inputs | Total | |||||||||||||||||||||||||||||||||||||
Common
Stocks/ Shares of Beneficial Interest |
Securities Lending Reinvestments |
Futures
Contracts* |
Rights/ Warrants |
U.S.
Treasury Obligations |
Repurchase Agreements |
Swap
Agreements* |
Investment Securities, including Repurchase Agreements |
Other
Financial Instruments, including Futures Contracts, Swap Agreements, and Forward Currency Contracts* |
|||||||||||||||||||||||||||||||
Ultra Industrials | $ | 15,490,488 | $ | 20,871 | — | — | — | $ | 3,162,129 | $ | (4,966,409 | ) | $ | 18,673,488 | $ | (4,966,409 | ) | ||||||||||||||||||||||
Ultra MidCap400 | 112,316,474 | 246,710 | $ | 111,178 | — | — | 37,348,285 | (26,402,875 | ) | 149,911,469 | (26,291,697 | ) | |||||||||||||||||||||||||||
Ultra MSCI Brazil Capped |
— | — | — | — | — | 5,752,142 | (2,273,213 | ) | 5,752,142 | (2,273,213 | ) | ||||||||||||||||||||||||||||
Ultra MSCI EAFE | — | — | — | — | — | 5,476,481 | (3,028,732 | ) | 5,476,481 | (3,028,732 | ) | ||||||||||||||||||||||||||||
Ultra MSCI Emerging Markets |
— | — | — | — | — | 17,573,951 | (19,799,735 | ) | 17,573,951 | (19,799,735 | ) | ||||||||||||||||||||||||||||
Ultra MSCI Japan |
2,851,199 | — | — | — | — | 1,081,705 | (2,275,777 | ) | 3,932,904 | (2,275,777 | ) | ||||||||||||||||||||||||||||
Ultra Nasdaq Biotechnology |
80,638,998 | 2,366,248 | — | $ | 11,641 | — | 8,683,464 | (52,388,108 | ) | 91,700,351 | (52,388,108 | ) | |||||||||||||||||||||||||||
Ultra Nasdaq Cloud Computing |
1,577,019 | — | — | — | — | 312,760 | (1,210,948 | ) | 1,889,779 | (1,210,948 | ) | ||||||||||||||||||||||||||||
Ultra Nasdaq Cybersecurity |
210,848 | — | — | — | — | 752,261 | (1,487,155 | ) | 963,109 | (1,487,155 | ) | ||||||||||||||||||||||||||||
Ultra Oil & Gas | 104,531,465 | 242,444 | — | — | — | 694,298 | 98,237,569 | 105,468,207 | 98,237,569 | ||||||||||||||||||||||||||||||
Ultra QQQ | 3,142,111,659 | 13,789,342 | (9,618,580 | ) | — | $ | 894,309,241 | 224,175,700 | (891,152,417 | ) | 4,274,385,942 | (900,770,997 | ) | ||||||||||||||||||||||||||
Ultra Real Estate | 92,680,073 | 98,319 | — | — | — | 15,273,632 | (13,422,796 | ) | 108,052,024 | (13,422,796 | ) | ||||||||||||||||||||||||||||
Ultra Russell2000 | 129,193,235 | 3,360,840 | 415,747 | 4,066 | — | 66,531,831 | (64,522,027 | ) | 199,089,972 | (64,106,280 | ) | ||||||||||||||||||||||||||||
Ultra S&P500® | 3,110,015,513 | 1,589,475 | 8,680,002 | — | 594,076,289 | 219,203,627 | (509,699,401 | ) | 3,924,884,904 | (501,019,399 | ) | ||||||||||||||||||||||||||||
Ultra Semiconduc- tors |
164,526,677 | 227,427 | — | — | — | 73,963,623 | (50,937,047 | ) | 238,717,727 | (50,937,047 | ) | ||||||||||||||||||||||||||||
Ultra SmallCap600 |
29,774,034 | 226,827 | — | — | — | 6,447,256 | (4,528,332 | ) | 36,448,117 | (4,528,332 | ) | ||||||||||||||||||||||||||||
Ultra Technology | 478,961,088 | 569,684 | — | — | — | 167,884,223 | (224,645,928 | ) | 647,414,995 | (224,645,928 | ) | ||||||||||||||||||||||||||||
Ultra Telecommuni- cations |
1,704,884 | 53,017 | — | — | — | 357,543 | (361,122 | ) | 2,115,444 | (361,122 | ) | ||||||||||||||||||||||||||||
Ultra Utilities | 18,128,301 | — | — | — | — | 3,924,461 | 1,571,165 | 22,052,762 | 1,571,165 | ||||||||||||||||||||||||||||||
UltraPro Dow30SM |
571,431,304 | — | 1,457,212 | — | — | 150,844,557 | (42,045,466 | ) | 722,275,861 | (40,588,254 | ) | ||||||||||||||||||||||||||||
UltraPro MidCap400 |
25,234,912 | 9,835 | 18,946 | — | — | 11,048,363 | (14,087,373 | ) | 36,293,110 | (14,068,427 | ) | ||||||||||||||||||||||||||||
UltraPro QQQ | 11,112,096,239 | 43,716,530 | 16,912,746 | — | 4,726,736,090 | 1,925,468,443 | (6,189,845,954 | ) | 17,808,017,302 | (6,172,933,208 | ) | ||||||||||||||||||||||||||||
UltraPro Russell2000 |
213,057,889 | 4,869,345 | 808,915 | 4,806 | — | 50,204,239 | (151,407,546 | ) | 268,136,279 | (150,598,631 | ) | ||||||||||||||||||||||||||||
UltraPro S&P500® |
2,121,864,165 | 278,159 | 75,471 | — | 734,410,336 | 80,239,486 | (769,234,569 | ) | 2,936,792,146 | (769,159,098 | ) | ||||||||||||||||||||||||||||
UltraPro Short 20+ Year Treasury |
— | — | 152,150 | — | 244,539,637 | 123,998,104 | 5,575,109 | 368,537,741 | 5,727,259 | ||||||||||||||||||||||||||||||
UltraPro Short Dow30SM |
— | — | 161,966 | — | 230,515,470 | 68,056,851 | 38,752,478 | 298,572,321 | 38,914,444 | ||||||||||||||||||||||||||||||
UltraPro Short MidCap400 |
— | — | 16,026 | — | — | 4,589,378 | 517,890 | 4,589,378 | 533,916 | ||||||||||||||||||||||||||||||
UltraPro Short QQQ |
— | — | 1,706,580 | — | 2,236,805,649 | 203,539,959 | (38,071,163 | ) | 2,440,345,608 | (36,364,583 | ) | ||||||||||||||||||||||||||||
UltraPro Short Russell2000 |
— | — | 453,293 | — | 85,686,546 | 45,730,619 | (6,159,632 | ) | 131,417,165 | (5,706,339 | ) |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 265
LEVEL 1 - Quoted Prices | LEVEL 2 - Other Significant Observable Inputs | Total | |||||||||||||||||||||||||||||||||||||
Common
Stocks/ Shares of Beneficial Interest |
Securities Lending Reinvestments |
Futures
Contracts* |
Rights/ Warrants |
U.S.
Treasury Obligations |
Repurchase Agreements |
Swap
Agreements* |
Investment Securities, including Repurchase Agreements |
Other
Financial Instruments, including Futures Contracts, Swap Agreements, and Forward Currency Contracts* |
|||||||||||||||||||||||||||||||
UltraPro Short S&P500® |
— | — | $ | 394,324 | — | $ | 479,246,464 | $ | 82,174,813 | $ | 91,906,098 | $ | 561,421,277 | $ | 92,300,422 | ||||||||||||||||||||||||
UltraShort 7-10 Year Treasury |
— | — | 12,225 | — | 49,760,277 | 78,266,369 | (2,779,027 | ) | 128,026,646 | (2,766,802 | ) | ||||||||||||||||||||||||||||
UltraShort 20+ Year Treasury |
— | — | 243,440 | — | 1,243,374,577 | 111,695,574 | 34,353,173 | 1,355,070,151 | 34,596,613 | ||||||||||||||||||||||||||||||
UltraShort Basic Materials |
— | — | — | — | — | 2,251,937 | (625,828 | ) | 2,251,937 | (625,828 | ) | ||||||||||||||||||||||||||||
UltraShort Consumer Goods |
— | — | — | — | — | 2,007,935 | 44,550 | 2,007,935 | 44,550 | ||||||||||||||||||||||||||||||
UltraShort Consumer Services |
— | — | — | — | — | 2,073,388 | 1,028,385 | 2,073,388 | 1,028,385 | ||||||||||||||||||||||||||||||
UltraShort Dow30SM |
— | — | 358,149 | — | 49,943,105 | 36,120,384 | 1,213,303 | 86,063,489 | 1,571,452 | ||||||||||||||||||||||||||||||
UltraShort Financials |
— | — | — | — | — | 10,914,793 | (329,862 | ) | 10,914,793 | (329,862 | ) | ||||||||||||||||||||||||||||
UltraShort FTSE China 50 |
— | — | — | — | — | 19,218,541 | (7,304,111 | ) | 19,218,541 | (7,304,111 | ) | ||||||||||||||||||||||||||||
UltraShort FTSE Europe |
— | — | — | — | — | 39,136,139 | (1,792,395 | ) | 39,136,139 | (1,792,395 | ) | ||||||||||||||||||||||||||||
UltraShort Health Care |
— | — | — | — | — | 2,904,771 | (326,185 | ) | 2,904,771 | (326,185 | ) | ||||||||||||||||||||||||||||
UltraShort Industrials |
— | — | — | — | — | 2,010,597 | 494,761 | 2,010,597 | 494,761 | ||||||||||||||||||||||||||||||
UltraShort MidCap400 |
— | — | 14,228 | — | — | 2,308,157 | (452,177 | ) | 2,308,157 | (437,949 | ) | ||||||||||||||||||||||||||||
UltraShort MSCI Brazil Capped |
— | — | — | — | — | 10,280,163 | (7,837,556 | ) | 10,280,163 | (7,837,556 | ) | ||||||||||||||||||||||||||||
UltraShort MSCI EAFE |
— | — | — | — | — | 1,418,701 | (8,648 | ) | 1,418,701 | (8,648 | ) | ||||||||||||||||||||||||||||
UltraShort MSCI Emerging Markets |
— | — | — | — | — | 8,738,608 | (654,455 | ) | 8,738,608 | (654,455 | ) | ||||||||||||||||||||||||||||
UltraShort MSCI Japan |
— | — | — | — | — | 4,929,962 | (15,761 | ) | 4,929,962 | (15,761 | ) | ||||||||||||||||||||||||||||
UltraShort Nasdaq Biotechnology |
— | — | — | — | — | 3,628,839 | 3,196,139 | 3,628,839 | 3,196,139 | ||||||||||||||||||||||||||||||
UltraShort Oil & Gas |
— | — | — | — | — | 26,446,572 | (21,415,236 | ) | 26,446,572 | (21,415,236 | ) | ||||||||||||||||||||||||||||
UltraShort QQQ | — | — | 1,392,210 | — | 219,699,197 | 71,178,161 | 49,549,009 | 290,877,358 | 50,941,219 | ||||||||||||||||||||||||||||||
UltraShort Real Estate |
— | — | — | — | — | 21,057,903 | 3,149,092 | 21,057,903 | 3,149,092 | ||||||||||||||||||||||||||||||
UltraShort Russell2000 |
— | — | (40,295 | ) | — | 34,991,662 | 60,585,395 | (149,959 | ) | 95,577,057 | (190,254 | ) | |||||||||||||||||||||||||||
UltraShort S&P500® |
— | — | 451,409 | — | 522,077,108 | 82,376,178 | 87,697,655 | 604,453,286 | 88,149,064 | ||||||||||||||||||||||||||||||
UltraShort Semiconduc- tors |
— | — | — | — | — | 6,253,154 | (907,917 | ) | 6,253,154 | (907,917 | ) |
266 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
LEVEL 1 - Quoted Prices | LEVEL 2 - Other Significant Observable Inputs | Total | |||||||||||||||||||||||||||||||||||||
Common
Stocks/ Shares of Beneficial Interest |
Securities Lending Reinvestments |
Futures
Contracts* |
Rights/ Warrants |
U.S.
Treasury Obligations |
Repurchase Agreements |
Swap
Agreements* |
Investment Securities, including Repurchase Agreements |
Other
Financial Instruments, including Futures Contracts, Swap Agreements, and Forward Currency Contracts* |
|||||||||||||||||||||||||||||||
UltraShort SmallCap600 |
— | — | — | — | — | $ | 3,783,823 | $ | (446,065 | ) | $ | 3,783,823 | $ | (446,065 | ) | ||||||||||||||||||||||||
UltraShort Technology |
— | — | — | — | — | 5,112,978 | 2,484,312 | 5,112,978 | 2,484,312 | ||||||||||||||||||||||||||||||
UltraShort Utilities |
— | — | — | — | — | 2,281,332 | (368,029 | ) | 2,281,332 | (368,029 | ) |
* These investments are recorded in the financial statements at the unrealized gain or loss on the investment.
Foreign Currency Translation
Each Fund's accounting records are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies and commitments under forward foreign currency exchange contracts are translated into U.S. dollars as of the close of London world markets. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Repurchase Agreements
Each of the Funds may enter into repurchase agreements. Repurchase agreements are primarily used by the Funds as short-term investments for cash positions. Under a repurchase agreement, a Fund purchases one or more debt securities and simultaneously agrees to sell those securities back to the seller at a mutually agreed-upon future price and date, normally one day or a few days later. The resale price is greater than the purchase price, reflecting an agreed-upon market interest rate during the purchaser's holding period. While the maturities of the underlying securities in repurchase transactions may be more than one year, the term of each repurchase agreement will always be less than one year. The Funds follow certain procedures designed to minimize the risks inherent in such agreements. These procedures include affecting repurchase transactions generally with major global financial institutions whose creditworthiness is monitored by the Advisor. In addition, the value of the collateral underlying the repurchase agreement is required to be at least equal to the repurchase price, including any accrued interest income earned on the repurchase agreement. The Funds may invest in repurchase agreements through joint account arrangements; in such cases, each Fund holds a pro rata share of the collateral and interest income based upon the dollar amount of the repurchase agreements entered into by each Fund. The collateral underlying the repurchase agreement is held by the Fund's custodian. A repurchase agreement is subject to the risk that the counterparty to the repurchase agreement that sells the securities may default on its obligation to repurchase them. In this circumstance, a Fund may lose money because it may not be able to sell the securities at the agreed upon time and price, the securities may lose value before they can be sold, the selling institution may declare bankruptcy or the Fund may have difficulty exercising rights to the collateral. During periods of high demand for repurchase agreements, the Funds may be unable to invest available cash in these instruments to the extent desired by the Advisor.
On May 31, 2022, the Funds had interest in joint repurchase agreements with the following counterparties, for the time periods and rates indicated. Amounts shown in the table below represent Principal Amount, Cost and Value for each respective repurchase agreement.
Fund Name | Bank of
America Securities, Inc., 0.77%, dated 05/31/2022 due 06/01/2022 (a) |
Barclays Capital, Inc., 0.50%, dated 05/31/2022 due 06/01/2022 (b) |
Barclays Capital, Inc., 0.55%, dated 05/31/2022 due 06/01/2022 (c) |
Barclays
Capital, Inc., 0.65%, dated 05/31/2022 due 06/01/2022 (d) |
Barclays Capital, Inc., 0.76%, dated 05/31/2022 due 06/01/2022 (e) |
BNP
Paribas Securities Corp., 0.59%, dated 05/31/2022 due 06/01/2022 (f) |
BNP
Paribas Securities Corp., 0.77%, dated 05/31/2022 due 06/01/2022 (g) |
ING
Financial Markets LLC, 0.77%, dated 05/31/2022 due 06/01/2022 (h) |
Total | ||||||||||||||||||||||||||||||
Short 7-10 Year Treasury | $ | 4,036,864 | $ | 749,703 | $ | 3,460,169 | $ | 5,766,949 | $ | 6,915,458 | $ | 5,766,949 | $ | 29,411,439 | $ | 5,247,924 | $ | 61,355,455 | |||||||||||||||||||||
Short 20+ Year Treasury | 5,246,285 | 974,310 | 4,496,815 | 7,494,692 | 8,987,290 | 7,494,692 | 38,222,932 | 6,820,170 | 79,737,186 | ||||||||||||||||||||||||||||||
Short Dow30SM | 2,911,052 | 540,624 | 2,495,188 | 4,158,646 | 4,986,857 | 4,158,646 | 21,209,098 | 3,784,368 | 44,244,479 | ||||||||||||||||||||||||||||||
Short Financials | 1,043,900 | 193,867 | 894,771 | 1,491,285 | 1,788,280 | 1,491,285 | 7,605,553 | 1,357,069 | 15,866,010 | ||||||||||||||||||||||||||||||
Short FTSE China 50 | 375,309 | 69,700 | 321,693 | 536,156 | 642,932 | 536,156 | 2,734,393 | 487,902 | 5,704,241 | ||||||||||||||||||||||||||||||
Short High Yield | 4,703,097 | 873,432 | 4,031,226 | 6,718,710 | 8,056,768 | 6,718,710 | 34,265,422 | 6,114,026 | 71,481,391 | ||||||||||||||||||||||||||||||
Short MidCap400 | 705,721 | 131,063 | 604,904 | 1,008,173 | 1,208,956 | 1,008,173 | 5,141,685 | 917,438 | 10,726,113 | ||||||||||||||||||||||||||||||
Short MSCI EAFE | 2,358,567 | 438,020 | 2,021,629 | 3,369,381 | 4,040,406 | 3,369,381 | 17,183,844 | 3,066,136 | 35,847,364 |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 267
Fund Name | Bank of
America Securities, Inc., 0.77%, dated 05/31/2022 due 06/01/2022 (a) |
Barclays Capital, Inc., 0.50%, dated 05/31/2022 due 06/01/2022 (b) |
Barclays Capital, Inc., 0.55%, dated 05/31/2022 due 06/01/2022 (c) |
Barclays
Capital, Inc., 0.65%, dated 05/31/2022 due 06/01/2022 (d) |
Barclays Capital, Inc., 0.76%, dated 05/31/2022 due 06/01/2022 (e) |
BNP
Paribas Securities Corp., 0.59%, dated 05/31/2022 due 06/01/2022 (f) |
BNP
Paribas Securities Corp., 0.77%, dated 05/31/2022 due 06/01/2022 (g) |
ING
Financial Markets LLC, 0.77%, dated 05/31/2022 due 06/01/2022 (h) |
Total | ||||||||||||||||||||||||||||||
Short MSCI Emerging Markets | $ | 2,404,960 | $ | 446,635 | $ | 2,061,393 | $ | 3,435,657 | $ | 4,119,881 | $ | 3,435,657 | $ | 17,521,849 | $ | 3,126,448 | $ | 36,552,480 | |||||||||||||||||||||
Short QQQ | 7,937,246 | 1,474,060 | 6,803,354 | 11,338,923 | 13,597,115 | 11,338,923 | 57,828,508 | 10,318,420 | 120,636,549 | ||||||||||||||||||||||||||||||
Short Real Estate | 984,568 | 182,848 | 843,915 | 1,406,525 | 1,686,641 | 1,406,525 | 7,173,280 | 1,279,938 | 14,964,240 | ||||||||||||||||||||||||||||||
Short Russell2000 | 4,277,107 | 794,320 | 3,666,091 | 6,110,152 | 7,327,013 | 6,110,152 | 31,161,777 | 5,560,239 | 65,006,851 | ||||||||||||||||||||||||||||||
Short S&P500® | 13,735,557 | 2,550,889 | 11,773,335 | 19,622,224 | 23,530,068 | 19,622,224 | 100,073,344 | 17,856,224 | 208,763,865 | ||||||||||||||||||||||||||||||
Short SmallCap600 | 415,133 | 77,096 | 355,828 | 593,047 | 711,155 | 593,047 | 3,024,537 | 539,672 | 6,309,515 | ||||||||||||||||||||||||||||||
Ultra 7-10 Year Treasury | 1,143,833 | 212,426 | 980,428 | 1,634,046 | 1,959,474 | 1,634,046 | 8,333,636 | 1,486,982 | 17,384,871 | ||||||||||||||||||||||||||||||
Ultra 20+ Year Treasury | 2,308,643 | 428,748 | 1,978,837 | 3,298,062 | 3,954,884 | 3,298,062 | 16,820,117 | 3,001,237 | 35,088,590 | ||||||||||||||||||||||||||||||
Ultra Basic Materials | 554,926 | 103,058 | 475,651 | 792,752 | 950,631 | 792,752 | 4,043,035 | 721,405 | 8,434,210 | ||||||||||||||||||||||||||||||
Ultra Consumer Goods | 139,969 | 25,994 | 119,974 | 199,956 | 239,779 | 199,956 | 1,019,779 | 181,960 | 2,127,367 | ||||||||||||||||||||||||||||||
Ultra Consumer Services | 256,865 | 47,704 | 220,170 | 366,951 | 440,030 | 366,951 | 1,871,448 | 333,925 | 3,904,044 | ||||||||||||||||||||||||||||||
Ultra Dow30SM | 5,898,485 | 1,095,433 | 5,055,845 | 8,426,408 | 10,104,560 | 8,426,408 | 42,974,679 | 7,668,031 | 89,649,849 | ||||||||||||||||||||||||||||||
Ultra Financials | 902,062 | 167,526 | 773,196 | 1,288,659 | 1,545,301 | 1,288,659 | 6,572,163 | 1,172,680 | 13,710,246 | ||||||||||||||||||||||||||||||
Ultra FTSE China 50 | 268,251 | 49,818 | 229,929 | 383,216 | 459,535 | 383,216 | 1,954,402 | 348,727 | 4,077,094 | ||||||||||||||||||||||||||||||
Ultra FTSE Europe | 177,369 | 32,940 | 152,030 | 253,384 | 303,846 | 253,384 | 1,292,258 | 230,579 | 2,695,790 | ||||||||||||||||||||||||||||||
Ultra Health Care | 1,415,422 | 262,864 | 1,213,218 | 2,022,031 | 2,424,726 | 2,022,031 | 10,312,358 | 1,840,048 | 21,512,698 | ||||||||||||||||||||||||||||||
Ultra High Yield | 326,189 | 60,578 | 279,591 | 465,984 | 558,787 | 465,984 | 2,376,521 | 424,045 | 4,957,679 | ||||||||||||||||||||||||||||||
Ultra Industrials | 208,051 | 38,638 | 178,330 | 297,216 | 356,408 | 297,216 | 1,515,803 | 270,467 | 3,162,129 | ||||||||||||||||||||||||||||||
Ultra MidCap400 | 2,457,319 | 456,359 | 2,106,274 | 3,510,456 | 4,209,579 | 3,510,456 | 17,903,327 | 3,194,515 | 37,348,285 | ||||||||||||||||||||||||||||||
Ultra MSCI Brazil Capped | 378,460 | 70,286 | 324,395 | 540,658 | 648,332 | 540,658 | 2,757,355 | 491,998 | 5,752,142 | ||||||||||||||||||||||||||||||
Ultra MSCI EAFE | 360,323 | 66,917 | 308,849 | 514,748 | 617,262 | 514,748 | 2,625,214 | 468,420 | 5,476,481 | ||||||||||||||||||||||||||||||
Ultra MSCI Emerging Markets | 1,156,274 | 214,736 | 991,091 | 1,651,818 | 1,980,785 | 1,651,818 | 8,424,274 | 1,503,155 | 17,573,951 | ||||||||||||||||||||||||||||||
Ultra MSCI Japan | 71,170 | 13,217 | 61,003 | 101,672 | 121,921 | 101,672 | 518,528 | 92,522 | 1,081,705 | ||||||||||||||||||||||||||||||
Ultra Nasdaq Biotechnology | 571,326 | 106,103 | 489,708 | 816,180 | 978,725 | 816,180 | 4,162,518 | 742,724 | 8,683,464 | ||||||||||||||||||||||||||||||
Ultra Nasdaq Cloud Computing | 20,578 | 3,822 | 17,638 | 29,397 | 35,252 | 29,397 | 149,925 | 26,751 | 312,760 | ||||||||||||||||||||||||||||||
Ultra Nasdaq Cybersecurity | 49,495 | 9,192 | 42,424 | 70,707 | 84,789 | 70,707 | 360,604 | 64,343 | 752,261 | ||||||||||||||||||||||||||||||
Ultra Oil & Gas | 45,681 | 8,484 | 39,155 | 65,259 | 78,255 | 65,259 | 332,819 | 59,386 | 694,298 | ||||||||||||||||||||||||||||||
Ultra QQQ | 14,749,574 | 2,739,207 | 12,642,492 | 21,070,820 | 25,267,157 | 21,070,820 | 107,461,184 | 19,174,446 | 224,175,700 | ||||||||||||||||||||||||||||||
Ultra Real Estate | 1,004,924 | 186,629 | 861,364 | 1,435,606 | 1,721,511 | 1,435,606 | 7,321,590 | 1,306,402 | 15,273,632 | ||||||||||||||||||||||||||||||
Ultra Russell2000 | 4,377,442 | 812,954 | 3,752,093 | 6,253,489 | 7,498,896 | 6,253,489 | 31,892,793 | 5,690,675 | 66,531,831 | ||||||||||||||||||||||||||||||
Ultra S&P500® | 14,422,438 | 2,678,453 | 12,362,090 | 20,603,483 | 24,706,747 | 20,603,483 | 105,077,763 | 18,749,170 | 219,203,627 | ||||||||||||||||||||||||||||||
Ultra Semiconductors | 4,866,415 | 903,763 | 4,171,213 | 6,952,021 | 8,336,543 | 6,952,021 | 35,455,308 | 6,326,339 | 73,963,623 | ||||||||||||||||||||||||||||||
Ultra SmallCap600 | 424,195 | 78,779 | 363,596 | 605,993 | 726,679 | 605,993 | 3,090,567 | 551,454 | 6,447,256 | ||||||||||||||||||||||||||||||
Ultra Technology | 11,045,893 | 2,051,380 | 9,467,908 | 15,779,847 | 18,922,465 | 15,779,847 | 80,477,222 | 14,359,661 | 167,884,223 | ||||||||||||||||||||||||||||||
Ultra Telecommunications | 23,524 | 4,369 | 20,164 | 33,606 | 40,300 | 33,606 | 171,392 | 30,582 | 357,543 | ||||||||||||||||||||||||||||||
Ultra Utilities | 258,209 | 47,953 | 221,322 | 368,870 | 442,332 | 368,870 | 1,881,234 | 335,671 | 3,924,461 | ||||||||||||||||||||||||||||||
UltraPro Dow30SM | 9,924,773 | 1,843,172 | 8,506,949 | 14,178,248 | 17,001,900 | 14,178,248 | 72,309,062 | 12,902,205 | 150,844,557 | ||||||||||||||||||||||||||||||
UltraPro MidCap400 | 726,924 | 135,000 | 623,078 | 1,038,463 | 1,245,275 | 1,038,463 | 5,296,159 | 945,001 | 11,048,363 | ||||||||||||||||||||||||||||||
UltraPro QQQ | 126,685,630 | 23,527,331 | 108,587,683 | 180,979,471 | 217,022,237 | 180,979,471 | 922,995,302 | 164,691,318 | 1,925,468,443 | ||||||||||||||||||||||||||||||
UltraPro Russell2000 | 3,303,173 | 613,446 | 2,831,291 | 4,718,819 | 5,658,590 | 4,718,819 | 24,065,976 | 4,294,125 | 50,204,239 | ||||||||||||||||||||||||||||||
UltraPro S&P500® | 5,279,333 | 980,448 | 4,525,142 | 7,541,905 | 9,043,905 | 7,541,905 | 38,463,715 | 6,863,133 | 80,239,486 | ||||||||||||||||||||||||||||||
UltraPro Short 20+ Year Treasury | 8,158,419 | 1,515,135 | 6,992,930 | 11,654,884 | 13,976,000 | 11,654,884 | 59,439,908 | 10,605,944 | 123,998,104 | ||||||||||||||||||||||||||||||
UltraPro Short Dow30SM | 4,477,780 | 831,588 | 3,838,098 | 6,396,829 | 7,670,783 | 6,396,829 | 32,623,829 | 5,821,115 | 68,056,851 | ||||||||||||||||||||||||||||||
UltraPro Short MidCap400 | 301,957 | 56,078 | 258,820 | 431,367 | 517,275 | 431,367 | 2,199,970 | 392,544 | 4,589,378 | ||||||||||||||||||||||||||||||
UltraPro Short QQQ | 13,391,852 | 2,487,058 | 11,478,730 | 19,131,217 | 22,941,273 | 19,131,217 | 97,569,205 | 17,409,407 | 203,539,959 | ||||||||||||||||||||||||||||||
UltraPro Short Russell2000 | 3,008,833 | 558,783 | 2,578,999 | 4,298,332 | 5,154,362 | 4,298,332 | 21,921,495 | 3,911,483 | 45,730,619 | ||||||||||||||||||||||||||||||
UltraPro Short S&P500® | 5,406,668 | 1,004,095 | 4,634,286 | 7,723,811 | 9,262,038 | 7,723,811 | 39,391,436 | 7,028,668 | 82,174,813 | ||||||||||||||||||||||||||||||
UltraShort 7-10 Year Treasury | 5,149,513 | 956,338 | 4,413,868 | 7,356,447 | 8,821,511 | 7,356,447 | 37,517,878 | 6,694,367 | 78,266,369 | ||||||||||||||||||||||||||||||
UltraShort 20+ Year Treasury | 7,348,977 | 1,364,810 | 6,299,124 | 10,498,539 | 12,589,364 | 10,498,539 | 53,542,550 | 9,553,671 | 111,695,574 |
268 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Fund Name | Bank of
America Securities, Inc., 0.77%, dated 05/31/2022 due 06/01/2022 (a) |
Barclays Capital, Inc., 0.50%, dated 05/31/2022 due 06/01/2022 (b) |
Barclays Capital, Inc., 0.55%, dated 05/31/2022 due 06/01/2022 (c) |
Barclays
Capital, Inc., 0.65%, dated 05/31/2022 due 06/01/2022 (d) |
Barclays Capital, Inc., 0.76%, dated 05/31/2022 due 06/01/2022 (e) |
BNP
Paribas Securities Corp., 0.59%, dated 05/31/2022 due 06/01/2022 (f) |
BNP
Paribas Securities Corp., 0.77%, dated 05/31/2022 due 06/01/2022 (g) |
ING
Financial Markets LLC, 0.77%, dated 05/31/2022 due 06/01/2022 (h) |
Total | ||||||||||||||||||||||||||||||
UltraShort Basic Materials | $ | 148,166 | $ | 27,516 | $ | 126,999 | $ | 211,665 | $ | 253,819 | $ | 211,665 | $ | 1,079,491 | $ | 192,616 | $ | 2,251,937 | |||||||||||||||||||||
UltraShort Consumer Goods | 132,111 | 24,535 | 113,238 | 188,731 | 226,317 | 188,731 | 962,527 | 171,745 | 2,007,935 | ||||||||||||||||||||||||||||||
UltraShort Consumer Services | 136,418 | 25,335 | 116,930 | 194,883 | 233,694 | 194,883 | 993,901 | 177,344 | 2,073,388 | ||||||||||||||||||||||||||||||
UltraShort Dow30SM | 2,376,530 | 441,356 | 2,037,026 | 3,395,043 | 4,071,179 | 3,395,043 | 17,314,718 | 3,089,489 | 36,120,384 | ||||||||||||||||||||||||||||||
UltraShort Financials | 718,136 | 133,368 | 615,545 | 1,025,908 | 1,230,221 | 1,025,908 | 5,232,131 | 933,576 | 10,914,793 | ||||||||||||||||||||||||||||||
UltraShort FTSE China 50 | 1,264,478 | 234,832 | 1,083,838 | 1,806,398 | 2,166,149 | 1,806,398 | 9,212,627 | 1,643,821 | 19,218,541 | ||||||||||||||||||||||||||||||
UltraShort FTSE Europe | 2,574,951 | 478,205 | 2,207,101 | 3,678,501 | 4,411,088 | 3,678,501 | 18,760,356 | 3,347,436 | 39,136,139 | ||||||||||||||||||||||||||||||
UltraShort Health Care | 191,119 | 35,493 | 163,816 | 273,027 | 327,400 | 273,027 | 1,392,435 | 248,454 | 2,904,771 | ||||||||||||||||||||||||||||||
UltraShort Industrials | 132,287 | 24,568 | 113,389 | 188,981 | 226,617 | 188,981 | 963,802 | 171,972 | 2,010,597 | ||||||||||||||||||||||||||||||
UltraShort MidCap400 | 151,864 | 28,203 | 130,170 | 216,949 | 260,156 | 216,949 | 1,106,442 | 197,424 | 2,308,157 | ||||||||||||||||||||||||||||||
UltraShort MSCI Brazil Capped | 676,380 | 125,613 | 579,755 | 966,258 | 1,158,692 | 966,258 | 4,927,913 | 879,294 | 10,280,163 | ||||||||||||||||||||||||||||||
UltraShort MSCI EAFE | 93,343 | 17,335 | 80,008 | 133,347 | 159,904 | 133,347 | 680,071 | 121,346 | 1,418,701 | ||||||||||||||||||||||||||||||
UltraShort MSCI Emerging Markets | 574,955 | 106,777 | 492,818 | 821,363 | 984,940 | 821,363 | 4,188,952 | 747,440 | 8,738,608 | ||||||||||||||||||||||||||||||
UltraShort MSCI Japan | 324,365 | 60,239 | 278,028 | 463,379 | 555,663 | 463,379 | 2,363,234 | 421,675 | 4,929,962 | ||||||||||||||||||||||||||||||
UltraShort Nasdaq Biotechnology | 238,759 | 44,341 | 204,651 | 341,083 | 409,011 | 341,083 | 1,739,525 | 310,386 | 3,628,839 | ||||||||||||||||||||||||||||||
UltraShort Oil & Gas | 1,740,044 | 323,151 | 1,491,467 | 2,485,778 | 2,980,830 | 2,485,778 | 12,677,467 | 2,262,057 | 26,446,572 | ||||||||||||||||||||||||||||||
UltraShort QQQ | 4,683,146 | 869,727 | 4,014,125 | 6,690,209 | 8,022,590 | 6,690,209 | 34,120,065 | 6,088,090 | 71,178,161 | ||||||||||||||||||||||||||||||
UltraShort Real Estate | 1,385,498 | 257,307 | 1,187,570 | 1,979,284 | 2,373,465 | 1,979,284 | 10,094,347 | 1,801,148 | 21,057,903 | ||||||||||||||||||||||||||||||
UltraShort Russell2000 | 3,986,198 | 740,294 | 3,416,741 | 5,694,569 | 6,828,665 | 5,694,569 | 29,042,301 | 5,182,058 | 60,585,395 | ||||||||||||||||||||||||||||||
UltraShort S&P500® | 5,419,916 | 1,006,556 | 4,645,643 | 7,742,738 | 9,284,734 | 7,742,738 | 39,487,962 | 7,045,891 | 82,376,178 | ||||||||||||||||||||||||||||||
UltraShort Semiconductors | 411,424 | 76,407 | 352,650 | 587,749 | 704,802 | 587,749 | 2,997,521 | 534,852 | 6,253,154 | ||||||||||||||||||||||||||||||
UltraShort SmallCap600 | 248,956 | 46,235 | 213,390 | 355,651 | 426,480 | 355,651 | 1,813,818 | 323,642 | 3,783,823 | ||||||||||||||||||||||||||||||
UltraShort Technology | 336,407 | 62,476 | 288,349 | 480,581 | 576,290 | 480,581 | 2,450,965 | 437,329 | 5,112,978 | ||||||||||||||||||||||||||||||
UltraShort Utilities | 150,100 | 27,876 | 128,657 | 214,428 | 257,132 | 214,428 | 1,093,582 | 195,129 | 2,281,332 | ||||||||||||||||||||||||||||||
$ | 342,278,054 | $ | 63,565,924 | $ | 293,381,191 | $ | 488,968,650 | $ | 586,348,662 | $ | 488,968,650 | $ | 2,493,740,115 | $ | 444,961,469 | $ | 5,202,212,715 |
Each Repurchase Agreement was fully collateralized by U.S. government and/or agency securities at May 31, 2022 as follows:
(a) U.S. Treasury Bonds, 0%, due 11/15/2022 to 5/15/2052, which had an aggregate value at the Trust level of $357,000,024.
(b) U.S. Treasury Bonds, 2.75% to 4.5%, due 8/15/2039 to 11/15/2047, which had an aggregate value at the Trust level of $66,300,000.
(c) U.S. Treasury Bonds, 1.38% to 3%, due 2/15/2047 to 8/15/2050; U.S. Treasury Notes, 0.63% to 1.25%, due 8/31/2024 to 5/15/2030, which had an aggregate value at the Trust level of $306,000,010.
(d) U.S. Treasury Notes, 0.25% to 0.38%, due 1/15/2025 to 7/15/2025, which had an aggregate value at the Trust level of $510,000,118.
(e) U.S. Treasury Notes, 0.13% to 2.38%, due 7/15/2022 to 10/31/2027, which had an aggregate value at the Trust level of $611,568,562.
(f) U.S. Treasury Bonds, 0% to 1.88%, due 2/15/2027 to 11/15/2051; U.S. Treasury Notes, 0.38% to 2.75%, due 11/15/2024 to 1/15/2029, which had an aggregate value at the Trust level of $510,000,000.
(g) U.S. Treasury Bills, 0%, due 11/25/2022; U.S. Treasury Bonds, 0% to 5%, due 2/15/2027 to 11/15/2051; U.S. Treasury Notes, 0.38% to 2.75%, due 7/15/2023 to 5/31/2029, which had an aggregate value at the Trust level of $2,601,000,015.
(h) Federal Farm Credit Bank, 1.12%, due 11/16/2022; Federal Home Loan Bank, 0.5% to 1.2%, due 5/20/2024 to 6/13/2025; Federal Home Loan Mortgage Corp., 0%, due 9/15/2029 to 3/15/2031; Federal National Mortgage Association, 0% to 6.63%, due 9/6/2024 to 11/15/2030; U.S. Treasury Bills, 0%, due 11/3/2022 to 5/18/2023; U.S. Treasury Bonds, 0.63% to 5.5%, due 8/15/2028 to 8/15/2046; U.S. Treasury Notes, 0.13% to 2.88%, due 11/15/2022 to 1/15/2032, which had an aggregate value at the Trust level of $464,103,342.
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 269
Equity Securities
Certain Funds may invest in or seek leveraged, inverse, or inverse leveraged exposure to equity securities, including shares of foreign or U.S. common stock, Real Estate Investment Trusts, Depositary Receipts, and shares of other Investment Companies, including other exchange traded funds ("ETFs").
Real Estate Investment Trusts ("REITs")
REITs report information on the source of their distributions annually. A portion of distributions received from REITs during the period is estimated to be dividend income, realized gain or return of capital. These estimates are adjusted when the actual source of distributions is disclosed by the REITs.
Debt Instruments
Certain Funds may invest in or seek leveraged, inverse, or inverse leveraged exposure to debt instruments, including U.S. government securities. Additionally, certain Funds may invest in or seek leveraged or inverse exposure to (lower rated) debt instruments (also known as "junk bonds"), that are rated below "investment grade" by Moody's, Standard and Poor's and/or Fitch, Inc.
Securities Lending
Each Fund may lend securities to brokers, dealers and financial organizations in exchange for collateral in the amount of at least 102% of the value of U.S. dollar-denominated securities loaned or at least 105% of the value of non-U.S. dollar-denominated securities loaned, marked to market daily. Each security loaned will be secured continuously by collateral in the form of cash, Money Market Instruments or U.S. Government securities. When a Fund lends its securities, it continues to receive payments equal to the dividends and interest paid on the securities loaned and simultaneously may earn interest on the reinvestment of the cash collateral. Any cash collateral received by the Fund in connection with these loans may be reinvested in a variety of short-term investments. Any securities collateral received by the Fund in connection with these loans may not be sold or pledged by the Fund and, accordingly, are not reflected in the Fund's assets and liabilities. The Funds may incur fees and expenses in connection with the reinvestment of cash collateral. For security loans collateralized by cash, borrowers may be entitled to receive a fee based on the amount of collateral. The Funds are typically compensated by the difference between the amount earned on the reinvestment of cash collateral and any fees paid to the borrower. Although voting and other rights attendant to securities loaned pass to the borrower, such loans may be recalled so that the securities may be voted on by the Fund if a material event affecting the Fund's investment in the securities on loan is to occur. Security loans are subject to termination by the Fund or the borrower at any time. Not all Funds may participate in securities lending at any given time. No securities loan shall be made on behalf of a Fund if, as a result, the aggregate value of all securities loaned by the particular Fund exceeds one-third of the value of such Fund's total assets (including the value of the collateral received).
Securities lending involves exposure to certain risks, including "gap" risk (i.e., the risk of a mismatch between the return on cash collateral
reinvestments and any fees a Fund has agreed to pay a borrower), operational risk (i.e., the risk of losses resulting from problems in the settlement and the accounting process), legal, counterparty and credit risk. If a securities lending counterparty were to default, a Fund would be subject to the risk of a possible delay in receiving collateral or in recovering the loaned securities, or to a possible loss of rights in the collateral. In the event a borrower does not return a Fund's securities as agreed, the Fund may experience losses if the proceeds received from liquidating the collateral do not at least equal the value of the loaned security at the time the collateral is liquidated, plus the transaction costs incurred in purchasing replacement securities. This event could trigger adverse tax consequences for a Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market. A Fund could lose money if its short-term reinvestment of the collateral declines in value over the period of the loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day.
Accounting for Derivatives Instruments
In seeking to achieve the investment objectives of Funds, the Advisor uses a passive or mathematical approach to investing. Using this approach, the Advisor determines the type, quantity and mix of investment positions, including derivative positions, that a Fund should hold to approximate, on a daily basis, the corresponding performance, inverse, multiple, or inverse multiple of the performance of its index or benchmark, as appropriate, based upon each Fund's investment objective.
In connection with its management of certain series of the Trust included in this report (ProShares Ultra Basic Materials, ProShares Ultra Consumer Good, ProShares Ultra Consumer Services, ProShares Ultra Financials, ProShares Ultra Health Care, ProShares Ultra Industrials, ProShares Ultra Nasdaq Biotechnology, ProShares Ultra Nasdaq Cloud Computing, ProShares Ultra Nasdaq Cybersecurity, ProShares Ultra Oil and Gas, ProShares Ultra Real Estate, ProShares Ultra Technology, ProShares Ultra Telecommunications, ProShares Ultra Utilities, ProShares UltraPro Dow30SM, ProShares UltraPro MidCap400, ProShares UltraPro QQQ, ProShares UltraPro Russell2000, ProShares UltraPro S&P500®, ProShares UltraPro Short Dow 30SM, ProShares UltraPro Short MidCap400, ProShares UltraPro Short QQQ, ProShares UltraPro Short Russell2000, ProShares UltraPro Short S&P500®, ProShares UltraShort Basic Materials, ProShares UltraShort Consumer Goods, ProShares UltraShort Consumer Services, ProShares UltraShort Dow30SM, ProShares UltraShort Financials, ProShares UltraShort Health Care, ProShares UltraShort Industrials, ProShares UltraShort MidCap400, ProShares UltraShort Nasdaq Biotechnology, ProShares UltraShort Oil & Gas, ProShares UltraShort QQQ, ProShares UltraShort Real Estate, ProShares UltraShort S&P500®, ProShares UltraShort SmallCap600, ProShares UltraShort Technology and ProShares UltraShort Utilities (the "Commodity Pools")), the Advisor has registered as a commodity pool operator (a "CPO") and the Commodity Pools are commodity pools under the Commodity Exchange
270 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Act (the "CEA"). Accordingly, the Advisor is subject to registration and regulation as a CPO under the CEA, and must comply with various regulatory requirements under the CEA and the rules and regulations of the Commodity Futures Trading Commission ("CFTC") and the National Futures Association ("NFA"), including investor protection requirements, antifraud provisions, disclosure requirements and reporting and record keeping requirements. The Advisor is also subject to periodic inspections and audits by the CFTC and NFA. Compliance with these regulatory requirements could adversely affect the Commodity Pools' total return. In this regard, any further amendment to the CEA or its related regulations that subject the Advisor or the Commodity Pools to additional regulation may have adverse impacts on the Commodity Pools' operations and expenses.
All open derivative positions at period end are reflected on each respective Fund's Schedule of Portfolio Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objective during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivative contracts in order to achieve the appropriate exposure to meet its investment objective, with the exception of the Funds listed below, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.
Average quarterly exposure to derivatives (notional amounts in comparison to net assets) |
|||||||
Ultra 7-10 Year Treasury | 157 | % | |||||
Ultra 20+ Year Treasury | 178 | % | |||||
Ultra Industrials | 119 | % | |||||
Ultra MSCI Japan | 180 | % | |||||
Ultra Nasdaq Cloud Computing | 135 | % | |||||
Ultra Oil & Gas | 126 | % | |||||
Ultra Real Estate | 120 | % | |||||
Ultra Semiconductors | 122 | % | |||||
Ultra SmallCap600 | 125 | % | |||||
UltraPro MidCap400 | 227 | % |
For financial reporting purposes, the Trust can offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements in the Statement of Assets and Liabilities. Funds holding non-exchange traded swap agreements present the gross amounts of these assets and liabilities on their Schedule of Portfolio Investments. Information concerning the value of and amounts due under Repurchase Agreement transactions may be found on each Fund's Schedule of Portfolio Investments. Information concerning the counterparties to each Repurchase Agreement and levels of collateralization may be found above, under the caption "Repurchase Agreements."
Following is a description of the Funds' use of derivative instruments, the types of derivatives utilized by the Funds during the reporting period, as well as the primary underlying risk exposures related to each instrument type.
Futures Contracts
Each Fund may purchase or sell futures contracts and options thereon as a substitute for a comparable market position in the underlying securities or to satisfy regulatory requirements. A physical-settlement futures contract generally obligates the seller to deliver (and the purchaser to take delivery of) the specified asset on the expiration date of the contract. A cash-settled futures contract obligates the seller to deliver (and the purchaser to accept) an amount of cash equal to a specific dollar amount (the contract multiplier) multiplied by the difference between the final settlement price of a specific futures contract and the price at which the agreement is made. No physical delivery of the underlying asset is made.
The Funds generally engage in closing or offsetting transactions before final settlement of a futures contract, wherein a second identical futures contract is sold to offset a long position (or bought to offset a short position). In such cases, the obligation is to deliver (or take delivery of) cash equal to a specific dollar amount (the contract multiplier) multiplied by the difference between the price of the offsetting transaction and the price at which the original contract was entered into. If the original position entered into is a long position (futures contract purchased) there will be a gain (loss) if the offsetting sell transaction is carried out at a higher (lower) price, inclusive of commissions. If the original position entered into is a short position (futures contract sold) there will be a gain (loss) if the offsetting buy transaction is carried out at a lower (higher) price, inclusive of commissions.
Whether a Fund realizes a gain or loss from futures activities depends generally upon movements in the underlying security or index. The extent of the Fund's loss from an unhedged short position in futures contracts or from writing options on futures contracts is potentially unlimited. Each Fund will engage in transactions in futures contracts and related options that are traded on a U.S. exchange or board of trade or that have been approved for sale in the U.S. by the CFTC.
Upon entering into a futures contract, each Fund will be required to deposit with the broker an amount of cash or cash equivalents in the range of approximately 5% to 10% of the contract amount for equity, index futures and in the range of approximately 1% to 3% of the contract amount for bond futures (these amounts are subject to change by the exchange on which the contract is traded). This amount, known as "initial margin," is in the nature of a performance bond or good faith deposit on the contract and is returned to the Fund upon termination of the futures contract, assuming all contractual obligations have been satisfied. Subsequent payments, known as "variation margin," to and from the broker will be made as the price of the security or index underlying the futures contract fluctuates, making the long and short positions in the futures contract more or less valuable, a process known as "marking-to-market." At any time prior to expiration of a futures contract, a Fund may elect to close its position by taking an opposite position, which will operate to terminate the Fund's existing position in the contract.
The primary risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures and the market value of the underlying assets, and the possibility of an illiquid market for a futures contract. Although each Fund intends to
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 271
sell futures contracts only if there is an active market for such contracts, no assurance can be given that a liquid market will exist for any particular contract at any particular time. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit, or trading may be suspended for specified periods during the day. Futures contract prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk that the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market. In addition, although the counterparty to a futures contract is often a clearing organization, backed by a group of financial institutions, there may be instances in which the counterparty could fail to perform its obligations, causing significant losses to a Fund.
Forward Currency Contracts
Each Fund may invest in forward currency contracts for investment or risk management purposes. A forward currency contract is an obligation to buy or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are entered into on the interbank market conducted directly between currency traders (usually large commercial banks) and their customers.
At or before the maturity of a forward currency contract, a Fund may either sell a portfolio security and make delivery of the currency, or retain the security and terminate its contractual obligation to deliver the currency by buying an "offsetting" contract obligating it to buy, on the same maturity date, the same amount of the currency. If the Fund engages in an offsetting transaction, it may later enter into a new forward currency contract to sell the currency.
If a Fund engages in offsetting transactions, the Fund will incur a gain or loss, to the extent that there has been movement in forward currency contract prices. If forward prices go down during the period between the date a Fund enters into a forward currency contract for the sale of a currency and the date it enters into an offsetting contract for the purchase of the currency, the Fund will realize a gain to the extent that the price of the currency it has agreed to sell exceeds the price of the currency it has agreed to buy. If forward prices go up, the Fund will suffer a loss to the extent the price of the currency it has agreed to buy exceeds the price of the currency it has agreed to sell.
Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency.
Swap Agreements
Each Fund may enter into swap agreements to gain exposure to an underlying asset without actually purchasing such asset (or shorting such asset), or to hedge a position, including in circumstances in which direct investment is restricted for legal reasons or is otherwise impracticable. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard "swap" transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on a particular pre-determined investment or instrument. The gross return to be exchanged or "swapped" between the parties is calculated with respect to a "notional amount," e.g., the return on or change in value of a particular dollar amount invested in a "basket" of securities or an ETF representing a particular index or group of securities.
Most swap agreements entered into by a Fund calculate and settle the obligations of the parties to the agreement on a "net basis" with a single payment. Consequently, a Fund's current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of the positions held by each party to the agreement (the "net amount").
When investing in swap agreements, the Funds may hold or gain exposure to only a representative sample of the securities in an index, or to a component of the index.
On a typical long swap, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap agreement would have increased in value had it been invested in the particular underlying assets (e.g., an ETF, or securities comprising an index), plus any dividends or interest that would have been received on those assets. The Fund will agree to pay to the counterparty a floating rate of interest on the notional amount of the swap agreement plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such assets plus, in certain circumstances, commissions or trading spreads on the notional amount. Therefore, the return to the Fund on a long swap should be the gain or loss on the notional amount plus dividends or interest on the assets less the interest paid by the Fund on the notional amount. As a trading technique, the Advisor may substitute physical securities with a swap agreement having investment characteristics substantially similar to the underlying securities.
Some Funds may also enter into swap agreements that provide the opposite return of their index or a security. These swaps are similar to the long swaps disclosed above except that the counterparty pays interest to each Fund on the notional amount outstanding and that dividends or interest on the underlying instruments reduce the value of the swap. In addition, in certain instances, each Fund will agree to pay to the counterparty commissions or trading spreads on the notional amount. These amounts are netted with any unrealized gain or loss to determine the value of the swap.
272 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
A Fund's current obligations under most swap agreements (total return swaps, equity/index swaps, interest rate swaps) will be accrued daily (offset against any amounts owed to the Fund) and any accrued but unpaid net amounts owed to a swap counterparty will be covered by segregating or earmarking cash and/or securities determined to be liquid, but typically no payments will be made until the settlement date.
A Fund will not enter into uncleared swap agreements (i.e., not cleared by a central counterparty) unless the Advisor believes that the counterparty to the transaction is creditworthy. The counterparty to an uncleared swap agreement will typically be a major global financial institution. A Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. If such a default occurs, a Fund will have contractual remedies pursuant to the swap agreements, but such remedies may be subject to bankruptcy and insolvency laws that could affect the Fund's rights as a creditor.
In the normal course of business, a Fund enters into International Swaps and Derivatives Association ("ISDA") agreements with certain counterparties for derivative transactions. These agreements contain, among other conditions, events of default and termination events, and various covenants and representations. Certain of the Fund's ISDA agreements contain provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund's NAV over specific periods of time, which may or may not be exclusive of redemptions. If the Fund were to trigger such provisions and have open derivative positions at that time, counterparties to the ISDA agreements could elect to terminate such ISDA agreements and request immediate payment in an amount equal to the net liability positions, if any, under the relevant ISDA agreement. Pursuant to the terms of its ISDA agreements, the Fund will have already collateralized its liability under such agreements, in some cases only in excess of certain threshold amounts. The Funds seek to mitigate risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds, although the Funds may not always be successful. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to risks, including possible delays in recovering amounts as a result of bankruptcy proceedings.
The use of swaps is a highly specialized activity which involves investment techniques and risks in addition to, and in some cases different from, those associated with ordinary portfolio securities transactions. The primary risks associated with the use of swap agreements are mispricing or improper valuation, imperfect correlation between movements in the notional amount and the price of the underlying investments, and the inability of counterparties or clearing organizations to perform. A Fund may use a combination of swaps on an underlying index and swaps on an ETF that is designed to track the performance of that index, or it may solely use swaps on an ETF to achieve its desired investment exposure. The performance of an ETF may not track the performance of its underlying index due to embedded costs and other factors. Thus, to the extent a Fund invests in swaps that use an ETF as the reference asset, that Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its index as it would if the Fund used only swaps on the underlying index. The Advisor, under supervision from the Board, is responsible for determining and monitoring the liquidity of the Funds' transactions in swap agreements.
All of the outstanding swap agreements held by the Funds on May 31, 2022 contractually terminate within 23 months but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to receive or pay the "unrealized appreciation or depreciation" amount existing at the date of termination.
The Financial Accounting Standards Board, pursuant to Accounting Standards Codification 815-10 ("ASC 815-10"), requires companies (including the Trust) to disclose information intended to enable financial statement users to understand how derivative instruments affect the Statements of Assets and Liabilities as well as the effect of derivative instruments on the Statements of Operations during the reporting period, in the context of each entity's risk exposure. ASC 815-10 provides examples of risk exposure, including interest rate, foreign exchange, equity and credit.
As the Funds' investment objective is to approximate, on a daily basis, the corresponding performance, inverse, multiple, or inverse multiple of the performance of its index, the derivatives utilized are aligned to the same primary risk. The primary risk exposure for those Funds benchmarked to an equity index is equity risk, for Funds benchmarked to a fixed-income index the primary risk is interest rate risk.
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 273
The following tables indicate the location of derivative-related items on the Statements of Assets and Liabilities as well as the effect of derivative instruments on the Statements of Operations during the reporting period.
Fair Value of Derivative Instruments as of May 31, 2022
Asset Derivatives | Liabilities Derivatives | ||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments under ASC 815 |
Statements of Assets and Liabilities Location |
Fund | Unrealized Appreciation* |
Statements of Assets and Liabilities Location |
Fund | Unrealized Depreciation* |
|||||||||||||||||||||
Equity and Bond index futures contracts/ Non-exchange traded swap agreements |
Net assets consist of: Net unrealized appreciation (depreciation) on: futures contracts*; Assets: Unrealized appreciation on non-exchange traded swap agreements |
Net assets consist of: Net unrealized appreciation (depreciation) on: futures contracts*; Liabilities: Unrealized depreciation on non-exchange traded swap agreements |
|||||||||||||||||||||||||
Short 7-10 Year Treasury | $ | 2,651,665 | Short 7-10 Year Treasury | $ | 3,104,943 | ||||||||||||||||||||||
Short 20+ Year Treasury | 8,462,131 | Short 20+ Year Treasury | 7,370,782 | ||||||||||||||||||||||||
Short Dow30SM | 10,908,993 | Short Dow30SM | 112,875 | ||||||||||||||||||||||||
Short Financials | 661,249 | Short Financials | 372,033 | ||||||||||||||||||||||||
Short FTSE China 50 | 243,135 | Short FTSE China 50 | 748,096 | ||||||||||||||||||||||||
Short High Yield | 2,516,197 | Short High Yield | 588,720 | ||||||||||||||||||||||||
Short MidCap400 | 756,159 | Short MidCap400 | 212,953 | ||||||||||||||||||||||||
Short MSCI EAFE | 1,225,695 | Short MSCI EAFE | 1,380,638 | ||||||||||||||||||||||||
Short MSCI Emerging Markets |
3,921,247 | Short MSCI Emerging Markets |
756,433 | ||||||||||||||||||||||||
Short QQQ | 134,573,076 | Short QQQ | 1,239,218 | ||||||||||||||||||||||||
Short Real Estate | 326,028 | Short Real Estate | 425,896 | ||||||||||||||||||||||||
Short Russell2000 | 48,950,569 | Short Russell2000 | 846,480 | ||||||||||||||||||||||||
Short S&P500® | 108,731,056 | Short S&P500® | 5,032,219 | ||||||||||||||||||||||||
Short SmallCap600 | 287,375 | Short SmallCap600 | 332,228 | ||||||||||||||||||||||||
Ultra 7-10 Year Treasury | — | Ultra 7-10 Year Treasury | 3,261,171 | ||||||||||||||||||||||||
Ultra 20+ Year Treasury | — | Ultra 20+ Year Treasury | 376,108 | ||||||||||||||||||||||||
Ultra Basic Materials | 697,152 | Ultra Basic Materials | 1,490,489 | ||||||||||||||||||||||||
Ultra Consumer Goods | 736,392 | Ultra Consumer Goods | 2,153,476 | ||||||||||||||||||||||||
Ultra Consumer Services | — | Ultra Consumer Services | 7,394,757 | ||||||||||||||||||||||||
Ultra Dow30SM | 4,217 | Ultra Dow30SM | 41,943,497 | ||||||||||||||||||||||||
Ultra Financials | 146,142,591 | Ultra Financials | — | ||||||||||||||||||||||||
Ultra FTSE China 50 | — | Ultra FTSE China 50 | 12,060,166 | ||||||||||||||||||||||||
Ultra FTSE Europe | 56,204 | Ultra FTSE Europe | 1,147,564 | ||||||||||||||||||||||||
Ultra Health Care | 48,645 | Ultra Health Care | 11,252,729 | ||||||||||||||||||||||||
Ultra High Yield | — | Ultra High Yield | 2,571,284 | ||||||||||||||||||||||||
Ultra Industrials | — | Ultra Industrials | 4,966,409 | ||||||||||||||||||||||||
Ultra MidCap400 | 111,178 | Ultra MidCap400 | 26,402,875 | ||||||||||||||||||||||||
Ultra MSCI Brazil Capped | 19,592 | Ultra MSCI Brazil Capped | 2,292,805 | ||||||||||||||||||||||||
Ultra MSCI EAFE | — | Ultra MSCI EAFE | 3,028,732 | ||||||||||||||||||||||||
Ultra MSCI Emerging Markets |
— | Ultra MSCI Emerging Markets |
19,799,735 | ||||||||||||||||||||||||
Ultra MSCI Japan | — | Ultra MSCI Japan | 2,275,777 | ||||||||||||||||||||||||
Ultra Nasdaq Biotechnology | — | Ultra Nasdaq Biotechnology | 52,388,108 | ||||||||||||||||||||||||
Ultra Nasdaq Cloud Computing |
— | Ultra Nasdaq Cloud Computing |
1,210,948 | ||||||||||||||||||||||||
Ultra Nasdaq Cybersecurity | — | Ultra Nasdaq Cybersecurity | 1,487,155 |
274 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Asset Derivatives | Liabilities Derivatives | ||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments under ASC 815 |
Statements of Assets and Liabilities Location |
Fund | Unrealized Appreciation* |
Statements of Assets and Liabilities Location |
Fund | Unrealized Depreciation* |
|||||||||||||||||||||
Equity and Bond index futures contracts/ Non-exchange traded swap agreements |
Net assets consist of: Net unrealized appreciation (depreciation) on: futures contracts*; Assets: Unrealized appreciation on non-exchange traded swap agreements |
Net assets consist of: Net unrealized appreciation (depreciation) on: futures contracts*; Liabilities: Unrealized depreciation on non-exchange traded swap agreements |
|||||||||||||||||||||||||
Ultra Oil & Gas | $ | 98,237,569 | Ultra Oil & Gas | — | |||||||||||||||||||||||
Ultra QQQ | 88,656,556 | Ultra QQQ | $ | 989,427,553 | |||||||||||||||||||||||
Ultra Real Estate | 38,372 | Ultra Real Estate | 13,461,168 | ||||||||||||||||||||||||
Ultra Russell2000 | 444,111 | Ultra Russell2000 | 64,550,391 | ||||||||||||||||||||||||
Ultra S&P500® | 20,449,846 | Ultra S&P500® | 521,469,245 | ||||||||||||||||||||||||
Ultra Semiconductors | 19,263,270 | Ultra Semiconductors | 70,200,317 | ||||||||||||||||||||||||
Ultra SmallCap600 | — | Ultra SmallCap600 | 4,528,332 | ||||||||||||||||||||||||
Ultra Technology | 6,066,882 | Ultra Technology | 230,712,810 | ||||||||||||||||||||||||
Ultra Telecommunications | 592 | Ultra Telecommunications | 361,714 | ||||||||||||||||||||||||
Ultra Utilities | 1,571,165 | Ultra Utilities | — | ||||||||||||||||||||||||
UltraPro Dow30SM | 54,292,673 | UltraPro Dow30SM | 94,880,927 | ||||||||||||||||||||||||
UltraPro MidCap400 | 18,946 | UltraPro MidCap400 | 14,087,373 | ||||||||||||||||||||||||
UltraPro QQQ | 159,742,955 | UltraPro QQQ | 6,332,676,163 | ||||||||||||||||||||||||
UltraPro Russell2000 | 5,067,891 | UltraPro Russell2000 | 155,666,522 | ||||||||||||||||||||||||
UltraPro S&P500® | 16,137,665 | UltraPro S&P500® | 785,296,763 | ||||||||||||||||||||||||
UltraPro Short 20+ Year Treasury |
13,615,330 | UltraPro Short 20+ Year Treasury |
7,888,071 | ||||||||||||||||||||||||
UltraPro Short Dow30SM | 46,460,034 | UltraPro Short Dow30SM | 7,545,590 | ||||||||||||||||||||||||
UltraPro Short MidCap400 | 940,417 | UltraPro Short MidCap400 | 406,501 | ||||||||||||||||||||||||
UltraPro Short QQQ | 214,493,039 | UltraPro Short QQQ | 250,857,622 | ||||||||||||||||||||||||
UltraPro Short Russell2000 | 9,171,169 | UltraPro Short Russell2000 | 14,877,508 | ||||||||||||||||||||||||
UltraPro Short S&P500® | 144,139,502 | UltraPro Short S&P500® | 51,839,080 | ||||||||||||||||||||||||
UltraShort 7-10 Year Treasury | 12,225 | UltraShort 7-10 Year Treasury | 2,779,027 | ||||||||||||||||||||||||
UltraShort 20+ Year Treasury | 45,985,347 | UltraShort 20+ Year Treasury | 11,388,734 | ||||||||||||||||||||||||
UltraShort Basic Materials | — | UltraShort Basic Materials | 625,828 | ||||||||||||||||||||||||
UltraShort Consumer Goods | 84,142 | UltraShort Consumer Goods | 39,592 | ||||||||||||||||||||||||
UltraShort Consumer Services |
1,039,622 | UltraShort Consumer Services |
11,237 | ||||||||||||||||||||||||
UltraShort Dow30SM | 9,854,757 | UltraShort Dow30SM | 8,283,305 | ||||||||||||||||||||||||
UltraShort Financials | 1,379,102 | UltraShort Financials | 1,708,964 | ||||||||||||||||||||||||
UltraShort FTSE China 50 | 535,169 | UltraShort FTSE China 50 | 7,839,280 | ||||||||||||||||||||||||
UltraShort FTSE Europe | 1,553,737 | UltraShort FTSE Europe | 3,346,132 | ||||||||||||||||||||||||
UltraShort Health Care | 2,012 | UltraShort Health Care | 328,197 | ||||||||||||||||||||||||
UltraShort Industrials | 494,761 | UltraShort Industrials | — | ||||||||||||||||||||||||
UltraShort MidCap400 | 242,253 | UltraShort MidCap400 | 680,202 | ||||||||||||||||||||||||
UltraShort MSCI Brazil Capped |
54,816 | UltraShort MSCI Brazil Capped |
7,892,372 | ||||||||||||||||||||||||
UltraShort MSCI EAFE | 101,182 | UltraShort MSCI EAFE | 109,830 |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 275
Asset Derivatives | Liabilities Derivatives | ||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments under ASC 815 |
Statements of Assets and Liabilities Location |
Fund | Unrealized Appreciation* |
Statements of Assets and Liabilities Location |
Fund | Unrealized Depreciation* |
|||||||||||||||||||||
Equity and Bond index futures contracts/ Non-exchange traded swap agreements |
Net assets consist of: Net unrealized appreciation (depreciation) on: futures contracts*; Assets: Unrealized appreciation on non-exchange traded swap agreements |
Net assets consist of: Net unrealized appreciation (depreciation) on: futures contracts*; Liabilities: Unrealized depreciation on non-exchange traded swap agreements |
|||||||||||||||||||||||||
UltraShort MSCI Emerging Markets |
$ | 877,283 | UltraShort MSCI Emerging Markets |
$ | 1,531,738 | ||||||||||||||||||||||
UltraShort MSCI Japan | 319,564 | UltraShort MSCI Japan | 335,325 | ||||||||||||||||||||||||
UltraShort Nasdaq Biotechnology |
3,591,186 | UltraShort Nasdaq Biotechnology |
395,047 | ||||||||||||||||||||||||
UltraShort Oil & Gas | — | UltraShort Oil & Gas | 21,415,236 | ||||||||||||||||||||||||
UltraShort QQQ | 70,838,066 | UltraShort QQQ | 19,896,847 | ||||||||||||||||||||||||
UltraShort Real Estate | 3,585,116 | UltraShort Real Estate | 436,024 | ||||||||||||||||||||||||
UltraShort Russell2000 | 13,780,504 | UltraShort Russell2000 | 13,970,758 | ||||||||||||||||||||||||
UltraShort S&P500® | 92,432,128 | UltraShort S&P500® | 4,283,064 | ||||||||||||||||||||||||
UltraShort Semiconductors | 304,193 | UltraShort Semiconductors | 1,212,110 | ||||||||||||||||||||||||
UltraShort SmallCap600 | — | UltraShort SmallCap600 | 446,065 | ||||||||||||||||||||||||
UltraShort Technology | 2,553,294 | UltraShort Technology | 68,982 | ||||||||||||||||||||||||
UltraShort Utilities | — | UltraShort Utilities | 368,029 |
* Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. For these securities, only the variation margin is reported within the asset and liability sections of the Statements of Assets and Liabilities.
The Effect of Derivative Instruments on the Statements of Operations for the Year Ended May 31, 2022
Derivatives not accounted for as hedging instruments under ASC 815 |
Location of Gain or (Loss) on Derivatives on the Statements of Operations |
Fund | Realized Gain or (Loss) on Derivatives |
Change in Unrealized Appreciation or (Depreciation) on Derivatives |
|||||||||||||||
Equity and Bond index futures contracts/ Non-exchange traded swap agreements |
Net realized gain (loss) on Expiration or closing of: futures contracts and non-exchange traded swap agreements; Change in net unrealized appreciation (depreciation) on: Futures contracts and Non-exchange traded swap agreements |
||||||||||||||||||
Short 7-10 Year Treasury | $ | 13,030,974 | $ | 370,737 | |||||||||||||||
Short 20+ Year Treasury | 91,830,113 | 10,086,436 | |||||||||||||||||
Short Dow30SM | (55,104,778 | ) | 52,436,389 | ||||||||||||||||
Short Financials | (4,231,118 | ) | 4,256,674 | ||||||||||||||||
Short FTSE China 50 | 999,309 | 420,688 | |||||||||||||||||
Short High Yield | 2,776,015 | (2,561,667 | ) | ||||||||||||||||
Short MidCap400 | (4,274,367 | ) | 4,367,197 | ||||||||||||||||
Short MSCI EAFE | (2,815,363 | ) | 1,993,635 |
276 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Derivatives not accounted for as hedging instruments under ASC 815 |
Location
of Gain or (Loss) on Derivatives on the Statements of Operations |
Fund | Realized
Gain or (Loss) on Derivatives |
Change
in Unrealized Appreciation or (Depreciation) on Derivatives |
|||||||||||||||
Equity and Bond index futures contracts/ Non-exchange traded swap agreements |
Net realized gain (loss) on Expiration or closing of: futures contracts and non-exchange traded swap agreements; Change in net unrealized appreciation (depreciation) on: Futures contracts and Non-exchange traded swap agreements |
||||||||||||||||||
Short MSCI Emerging Markets | $ | (646,020 | ) | $ | 4,739,509 | ||||||||||||||
Short QQQ | (121,805,475 | ) | 179,491,870 | ||||||||||||||||
Short Real Estate | (2,547,182 | ) | 2,081,298 | ||||||||||||||||
Short Russell2000 | (43,449,558 | ) | 76,547,138 | ||||||||||||||||
Short S&P500® | (410,124,568 | ) | 374,034,049 | ||||||||||||||||
Short SmallCap600 | (773,134 | ) | 1,086,075 | ||||||||||||||||
Ultra 7-10 Year Treasury | 442,387 | (3,420,463 | ) | ||||||||||||||||
Ultra 20+ Year Treasury | (17,816,691 | ) | (1,008,269 | ) | |||||||||||||||
Ultra Basic Materials | 12,690,990 | (14,960,918 | ) | ||||||||||||||||
Ultra Consumer Goods | 4,568,993 | (4,568,520 | ) | ||||||||||||||||
Ultra Consumer Services | 6,254,246 | (12,224,031 | ) | ||||||||||||||||
Ultra Dow30SM | 100,030,621 | (124,801,769 | ) | ||||||||||||||||
Ultra Financials | (3,123,317 | ) | (44,613,124 | ) | |||||||||||||||
Ultra FTSE China 50 | 248,528 | (14,756,734 | ) | ||||||||||||||||
Ultra FTSE Europe | 1,391,855 | (2,301,983 | ) | ||||||||||||||||
Ultra Health Care | 30,590,422 | (25,990,965 | ) | ||||||||||||||||
Ultra High Yield | 2,079,332 | (3,822,149 | ) | ||||||||||||||||
Ultra Industrials | 5,508,220 | (9,555,735 | ) | ||||||||||||||||
Ultra MidCap400 | 38,204,312 | (54,956,860 | ) | ||||||||||||||||
Ultra MSCI Brazil Capped | 3,040,927 | (3,732,576 | ) | ||||||||||||||||
Ultra MSCI EAFE | 3,370,033 | (6,735,618 | ) | ||||||||||||||||
Ultra MSCI Emerging Markets | 2,159,833 | (29,812,128 | ) | ||||||||||||||||
Ultra MSCI Japan | 2,031,191 | (4,668,907 | ) | ||||||||||||||||
Ultra Nasdaq Biotechnology | 20,792,442 | (64,142,754 | ) | ||||||||||||||||
Ultra Nasdaq Cloud Computing | 202,173 | (1,292,665 | ) | ||||||||||||||||
Ultra Nasdaq Cybersecurity | 428,661 | (1,326,757 | ) | ||||||||||||||||
Ultra Oil & Gas | 68,038,458 | 55,975,445 | |||||||||||||||||
Ultra QQQ | 907,260,026 | (1,382,684,425 | ) | ||||||||||||||||
Ultra Real Estate | 29,228,239 | (28,919,955 | ) | ||||||||||||||||
Ultra Russell2000 | 104,685,051 | (168,101,801 | ) | ||||||||||||||||
Ultra S&P500® | 1,041,676,226 | (1,116,929,979 | ) | ||||||||||||||||
Ultra Semiconductors | 67,763,747 | (85,650,513 | ) | ||||||||||||||||
Ultra SmallCap600 | 10,452,186 | (15,849,578 | ) | ||||||||||||||||
Ultra Technology | 383,620,147 | (400,933,833 | ) | ||||||||||||||||
Ultra Telecommunications | 194,294 | (445,510 | ) | ||||||||||||||||
Ultra Utilities | 370,756 | 2,074,589 | |||||||||||||||||
UltraPro Dow30SM | 214,226,893 | (258,111,202 | ) | ||||||||||||||||
UltraPro MidCap400 | 29,053,729 | (39,020,842 | ) | ||||||||||||||||
UltraPro QQQ | 4,807,548,216 | (9,257,750,990 | ) | ||||||||||||||||
UltraPro Russell2000 | 163,816,639 | (326,150,761 | ) | ||||||||||||||||
UltraPro S&P500® | 1,219,336,664 | (1,458,757,606 | ) |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 277
Derivatives not accounted for as hedging instruments under ASC 815 |
Location
of Gain or (Loss) on Derivatives on the Statements of Operations |
Fund | Realized
Gain or (Loss) on Derivatives |
Change
in Unrealized Appreciation or (Depreciation) on Derivatives |
|||||||||||||||
Equity and Bond index futures contracts/ Non-exchange traded swap agreements |
Net realized gain (loss) on Expiration or closing of: futures contracts and non-exchange traded swap agreements; Change in net unrealized appreciation (depreciation) on: Futures contracts and Non-exchange traded swap agreements |
||||||||||||||||||
UltraPro Short 20+ Year Treasury | $ | 121,179,056 | $ | 10,806,786 | |||||||||||||||
UltraPro Short Dow30SM | (264,247,741 | ) | 254,374,161 | ||||||||||||||||
UltraPro Short MidCap400 | (5,454,238 | ) | 4,905,549 | ||||||||||||||||
UltraPro Short QQQ | 12,394,381 | 360,724,419 | |||||||||||||||||
UltraPro Short Russell2000 | 842,216 | 54,817,251 | |||||||||||||||||
UltraPro Short S&P500® | (385,682,116 | ) | 329,581,829 | ||||||||||||||||
UltraShort 7-10 Year Treasury | 24,163,076 | (2,130,617 | ) | ||||||||||||||||
UltraShort 20+ Year Treasury | 243,644,141 | 82,516,993 | |||||||||||||||||
UltraShort Basic Materials | (1,081,800 | ) | 356,984 | ||||||||||||||||
UltraShort Consumer Goods | (376,719 | ) | 260,346 | ||||||||||||||||
UltraShort Consumer Services | (193,157 | ) | 1,179,180 | ||||||||||||||||
UltraShort Dow30SM | (34,554,049 | ) | 32,228,636 | ||||||||||||||||
UltraShort Financials | (9,429,599 | ) | 8,658,777 | ||||||||||||||||
UltraShort FTSE China 50 | 2,758,393 | 2,887,793 | |||||||||||||||||
UltraShort FTSE Europe | (3,555,074 | ) | 2,085,442 | ||||||||||||||||
UltraShort Health Care | (623,077 | ) | 21,513 | ||||||||||||||||
UltraShort Industrials | (417,299 | ) | 859,127 | ||||||||||||||||
UltraShort MidCap400 | (914,575 | ) | 392,592 | ||||||||||||||||
UltraShort MSCI Brazil Capped | (6,012,333 | ) | 3,142,811 | ||||||||||||||||
UltraShort MSCI EAFE | (389,345 | ) | 603,554 | ||||||||||||||||
UltraShort MSCI Emerging Markets | 2,187,973 | (313,630 | ) | ||||||||||||||||
UltraShort MSCI Japan | (1,017,006 | ) | 1,734,955 | ||||||||||||||||
UltraShort Nasdaq Biotechnology | (7,146,131 | ) | 9,072,853 | ||||||||||||||||
UltraShort Oil & Gas | (10,727,538 | ) | (12,993,449 | ) | |||||||||||||||
UltraShort QQQ | (40,450,422 | ) | 94,384,752 | ||||||||||||||||
UltraShort Real Estate | (20,225,210 | ) | 20,370,032 | ||||||||||||||||
UltraShort Russell2000 | (11,276,620 | ) | 29,670,407 | ||||||||||||||||
UltraShort S&P500® | (329,201,442 | ) | 303,969,611 | ||||||||||||||||
UltraShort Semiconductors | (1,900,931 | ) | 546,756 | ||||||||||||||||
UltraShort SmallCap600 | (379,342 | ) | 607,339 | ||||||||||||||||
UltraShort Technology | (4,058,509 | ) | 4,848,322 | ||||||||||||||||
UltraShort Utilities | (1,490,625 | ) | 882,779 |
Taxes and Distributions
Each of the Funds intends to qualify or continue to qualify as a regulated investment company and distribute substantially all of its net investment income and capital gains to shareholders. Accordingly, no provision for Federal income taxes is required in the financial statements.
As of May 31, 2022, management of the Funds has reviewed all open tax years and major jurisdictions (the last four tax year ends including the interim tax periods since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.
278 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Distributions to shareholders from net investment income and net capital gain, if any, are declared and paid at least annually. The amount of distributions from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales, 1256 mark-to-market, partnerships, passive foreign investment companies mark-to-market, constructive sales adjustments and qualified late-year loss deferrals) do not require a reclassification. The Funds may utilize equalization accounting for tax purposes and designate earnings and profits, including net realized gains distributed to shareholders on redemption of shares, as a part of the dividends paid deduction for income tax purposes. While subject to management's discretion, any available tax equalization is typically applied first to short term capital gains, next to long term capital gains and then to ordinary income. To the extent distributions exceed net investment income and net realized capital gains for tax purposes, they are reported as a tax return of capital.
The Funds' tax year end is October 31st and the tax character of current year distributions and current components of accumulated earnings (deficit) will be determined at the end of the current tax year.
The tax character of distributions paid for the most recent tax years ended October 31, 2021 and October 31, 2020, were as follows:
Year Ended October 31, 2021 | Year Ended October 31, 2020 | ||||||||||||||||||||||||||||||||||
Fund | Distributions paid from ordinary income |
Distributions paid from net long-term capital gains |
Tax return of capital |
Total Distributions |
Distributions paid from ordinary income |
Distributions paid from net long-term capital gains |
Tax return of capital |
Total Distributions |
|||||||||||||||||||||||||||
Short 7-10 Year Treasury |
— | — | — | — | $ | 54,086 | — | $ | 22,311 | $ | 76,397 | ||||||||||||||||||||||||
Short 20+ Year Treasury |
— | — | — | — | 879,111 | — | 388,121 | 1,267,232 | |||||||||||||||||||||||||||
Short Dow30SM | — | — | — | — | 692,560 | — | 299,826 | 992,386 | |||||||||||||||||||||||||||
Short Financials | — | — | — | — | 44,754 | — | 17,082 | 61,836 | |||||||||||||||||||||||||||
Short FTSE China 50 | — | — | — | — | 9,487 | — | 4,194 | 13,681 | |||||||||||||||||||||||||||
Short High Yield | — | — | — | — | 302,084 | — | 107,021 | 409,105 | |||||||||||||||||||||||||||
Short MidCap400 | — | — | — | — | 23,730 | — | 8,940 | 32,670 | |||||||||||||||||||||||||||
Short MSCI EAFE | — | — | — | — | 79,942 | — | 17,510 | 97,452 | |||||||||||||||||||||||||||
Short MSCI Emerging Markets |
— | — | — | — | 158,786 | — | 69,744 | 228,530 | |||||||||||||||||||||||||||
Short QQQ | — | — | — | — | 1,731,258 | — | 896,864 | 2,628,122 | |||||||||||||||||||||||||||
Short Real Estate | — | — | — | — | 14,657 | — | 6,297 | 20,954 | |||||||||||||||||||||||||||
Short Russell2000 | — | — | — | — | 878,934 | — | 335,476 | 1,214,410 | |||||||||||||||||||||||||||
Short S&P500® | — | — | — | — | 6,384,895 | — | 2,968,113 | 9,353,008 | |||||||||||||||||||||||||||
Short SmallCap600 | — | — | — | — | 6,248 | — | 1,608 | 7,856 | |||||||||||||||||||||||||||
Ultra 7-10 Year Treasury |
$ | 76,339 | — | — | $ | 76,339 | 276,412 | — | — | 276,412 | |||||||||||||||||||||||||
Ultra 20+ Year Treasury |
— | — | — | — | 254,346 | — | — | 254,346 | |||||||||||||||||||||||||||
Ultra Basic Materials | 356,640 | — | — | 356,640 | 324,363 | — | — | 324,363 | |||||||||||||||||||||||||||
Ultra Consumer Goods |
34,045 | — | — | 34,045 | 60,331 | — | — | 60,331 | |||||||||||||||||||||||||||
Ultra Consumer Services |
— | — | — | — | 25,345 | — | — | 25,345 | |||||||||||||||||||||||||||
Ultra Dow30SM | 539,482 | — | — | 539,482 | 2,020,171 | — | — | 2,020,171 | |||||||||||||||||||||||||||
Ultra Financials | 2,220,362 | — | — | 2,220,362 | 5,671,937 | — | — | 5,671,937 | |||||||||||||||||||||||||||
Ultra FTSE China 50 | — | — | — | — | 70,696 | — | — | 70,696 | |||||||||||||||||||||||||||
Ultra FTSE Europe | — | — | — | — | 6,679 | — | — | 6,679 | |||||||||||||||||||||||||||
Ultra Health Care | 163,582 | — | — | 163,582 | 264,768 | — | — | 264,768 | |||||||||||||||||||||||||||
Ultra High Yield | 303,414 | — | — | 303,414 | 141,213 | — | — | 141,213 | |||||||||||||||||||||||||||
Ultra Industrials | 17,531 | — | — | 17,531 | 91,881 | — | — | 91,881 | |||||||||||||||||||||||||||
Ultra MidCap400 | 301,030 | — | — | 301,030 | 601,053 | — | — | 601,053 | |||||||||||||||||||||||||||
Ultra MSCI Brazil Capped |
— | — | — | — | 2,936 | — | — | 2,936 |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 279
Year Ended October 31, 2021 | Year Ended October 31, 2020 | ||||||||||||||||||||||||||||||||||
Fund | Distributions paid from ordinary income |
Distributions paid from net long-term capital gains |
Tax return of capital |
Total Distributions |
Distributions paid from ordinary income |
Distributions paid from net long-term capital gains |
Tax return of capital |
Total Distributions |
|||||||||||||||||||||||||||
Ultra MSCI EAFE | — | — | — | — | $ | 1,483 | — | — | $ | 1,483 | |||||||||||||||||||||||||
Ultra MSCI Emerging Markets |
— | — | — | — | 104,695 | — | — | 104,695 | |||||||||||||||||||||||||||
Ultra Oil & Gas | $ | 4,379,052 | — | — | $ | 4,379,052 | 3,012,678 | — | — | 3,012,678 | |||||||||||||||||||||||||
Ultra QQQ | — | — | — | — | 1,126,908 | — | — | 1,126,908 | |||||||||||||||||||||||||||
Ultra Real Estate | 713,114 | — | — | 713,114 | 1,133,608 | — | — | 1,133,608 | |||||||||||||||||||||||||||
Ultra Russell2000 | 46,322 | — | — | 46,322 | 545,106 | — | — | 545,106 | |||||||||||||||||||||||||||
Ultra S&P500® | 8,141,946 | — | — | 8,141,946 | 8,847,651 | — | — | 8,847,651 | |||||||||||||||||||||||||||
Ultra Semiconductors | 42,050 | — | — | 42,050 | 371,052 | — | — | 371,052 | |||||||||||||||||||||||||||
Ultra SmallCap600 | 7,958 | — | — | 7,958 | 40,638 | — | — | 40,638 | |||||||||||||||||||||||||||
Ultra Technology | — | — | — | — | 642,135 | — | — | 642,135 | |||||||||||||||||||||||||||
Ultra Telecommunications |
27,025 | — | — | 27,025 | 19,409 | — | — | 19,409 | |||||||||||||||||||||||||||
Ultra Utilities | 241,675 | — | — | 241,675 | 275,313 | — | — | 275,313 | |||||||||||||||||||||||||||
UltraPro Dow30SM | 2,353,835 | — | — | 2,353,835 | 1,951,971 | — | — | 1,951,971 | |||||||||||||||||||||||||||
UltraPro MidCap400 | 9,726 | — | — | 9,726 | 49,563 | — | — | 49,563 | |||||||||||||||||||||||||||
UltraPro QQQ | 15,367 | — | — | 15,367 | 1,544,886 | — | — | 1,544,886 | |||||||||||||||||||||||||||
UltraPro Russell2000 | 11,923 | — | — | 11,923 | 153,599 | — | — | 153,599 | |||||||||||||||||||||||||||
UltraPro S&P500® | 1,265,472 | — | — | 1,265,472 | 4,356,878 | — | — | 4,356,878 | |||||||||||||||||||||||||||
UltraPro Short 20+ Year Treasury |
— | — | — | — | 158,351 | — | $ | 51,453 | 209,804 | ||||||||||||||||||||||||||
UltraPro Short Dow30SM |
— | — | — | — | 938,825 | — | 425,931 | 1,364,756 | |||||||||||||||||||||||||||
UltraPro Short MidCap400 |
— | — | — | — | 5,194 | — | 1,633 | 6,827 | |||||||||||||||||||||||||||
UltraPro Short QQQ | — | — | — | — | 5,126,703 | — | 2,946,926 | 8,073,629 | |||||||||||||||||||||||||||
UltraPro Short Russell2000 |
— | — | — | — | 260,849 | — | 83,391 | 344,240 | |||||||||||||||||||||||||||
UltraPro Short S&P500® |
— | — | — | — | 2,403,669 | — | 1,267,615 | 3,671,284 | |||||||||||||||||||||||||||
UltraShort 7-10 Year Treasury |
— | — | — | — | 197,830 | — | 34,057 | 231,887 | |||||||||||||||||||||||||||
UltraShort 20+ Year Treasury |
— | — | — | — | 3,480,826 | — | 1,226,432 | 4,707,258 | |||||||||||||||||||||||||||
UltraShort Basic Materials |
— | — | — | — | 4,529 | — | — | 4,529 | |||||||||||||||||||||||||||
UltraShort Consumer Goods |
— | — | — | — | 4,583 | — | 1,337 | 5,920 | |||||||||||||||||||||||||||
UltraShort Consumer Services |
— | — | — | — | 2,741 | — | 542 | 3,283 | |||||||||||||||||||||||||||
UltraShort Dow30SM | — | — | — | — | 558,781 | — | 236,306 | 795,087 | |||||||||||||||||||||||||||
UltraShort Financials | — | — | — | — | 79,465 | — | 13,854 | 93,319 | |||||||||||||||||||||||||||
UltraShort FTSE China 50 |
— | — | — | — | 65,860 | — | 16,419 | 82,279 | |||||||||||||||||||||||||||
UltraShort FTSE Europe |
— | — | — | — | 26,995 | — | 9,432 | 36,427 | |||||||||||||||||||||||||||
UltraShort Health Care |
— | — | — | — | 5,765 | — | 2,217 | 7,982 | |||||||||||||||||||||||||||
UltraShort Industrials | — | — | — | — | 3,504 | — | — | 3,504 | |||||||||||||||||||||||||||
UltraShort MidCap400 |
— | — | — | — | 6,545 | — | 2,882 | 9,427 |
280 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Year Ended October 31, 2021 | Year Ended October 31, 2020 | ||||||||||||||||||||||||||||||||||
Fund | Distributions paid from ordinary income |
Distributions paid from net long-term capital gains |
Tax return of capital |
Total Distributions |
Distributions paid from ordinary income |
Distributions paid from net long-term capital gains |
Tax return of capital |
Total Distributions |
|||||||||||||||||||||||||||
UltraShort MSCI Brazil Capped |
— | — | — | — | $ | 113,488 | — | $ | 10,347 | $ | 123,835 | ||||||||||||||||||||||||
UltraShort MSCI EAFE |
— | — | — | — | 2,111 | — | 689 | 2,800 | |||||||||||||||||||||||||||
UltraShort MSCI Emerging Markets |
— | — | — | — | 33,851 | — | 11,162 | 45,013 | |||||||||||||||||||||||||||
UltraShort MSCI Japan |
— | — | — | — | 2,160 | — | — | 2,160 | |||||||||||||||||||||||||||
UltraShort Nasdaq Biotechnology |
— | — | — | — | 66,167 | — | 29,312 | 95,479 | |||||||||||||||||||||||||||
UltraShort Oil & Gas | — | — | — | — | 20,933 | — | 5,805 | 26,738 | |||||||||||||||||||||||||||
UltraShort QQQ | — | — | — | — | 1,270,736 | — | 640,719 | 1,911,455 | |||||||||||||||||||||||||||
UltraShort Real Estate |
— | — | — | — | 62,894 | — | 22,372 | 85,266 | |||||||||||||||||||||||||||
UltraShort Russell2000 |
— | — | — | — | 233,372 | — | 99,748 | 333,120 | |||||||||||||||||||||||||||
UltraShort S&P500® | — | — | — | — | 3,761,361 | — | 2,070,245 | 5,831,606 | |||||||||||||||||||||||||||
UltraShort Semiconductors |
— | — | — | — | 17,435 | — | 4,589 | 22,024 | |||||||||||||||||||||||||||
UltraShort SmallCap600 |
— | — | — | — | 3,167 | — | — | 3,167 | |||||||||||||||||||||||||||
UltraShort Technology |
— | — | — | — | 9,324 | — | 4,809 | 14,133 | |||||||||||||||||||||||||||
UltraShort Utilities | — | — | — | — | 3,607 | — | 2,040 | 5,647 |
At October 31, 2021 (the Funds' most recent tax year end), the components of accumulated earnings (deficit) on a tax basis were as follows:
Fund | Undistributed Ordinary Income |
Undistributed Long-Term Capital Gain |
Accumulated Capital and Other Losses |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
Short 7-10 Year Treasury | — | — | $ | (15,538,627 | ) | $ | 1,657,141 | ||||||||||||
Short 20+ Year Treasury | — | — | (659,477,920 | ) | (38,065,899 | ) | |||||||||||||
Short Dow30SM | — | — | (486,663,972 | ) | (53,013,882 | ) | |||||||||||||
Short Financials | — | — | (91,611,463 | ) | (4,548,018 | ) | |||||||||||||
Short FTSE China 50 | — | — | (11,641,752 | ) | (1,309,341 | ) | |||||||||||||
Short High Yield | — | — | (55,653,365 | ) | (18,917,002 | ) | |||||||||||||
Short MidCap400 | — | — | (51,141,092 | ) | (4,147,240 | ) | |||||||||||||
Short MSCI EAFE | — | — | (129,467,848 | ) | (2,598,613 | ) | |||||||||||||
Short MSCI Emerging Markets | — | — | (195,802,521 | ) | (1,372,980 | ) | |||||||||||||
Short QQQ | — | — | (868,934,375 | ) | (130,116,547 | ) | |||||||||||||
Short Real Estate | — | — | (34,368,118 | ) | (3,045,025 | ) | |||||||||||||
Short Russell2000 | — | — | (752,714,307 | ) | (37,124,022 | ) | |||||||||||||
Short S&P500® | — | — | (3,836,035,723 | ) | (384,978,106 | ) | |||||||||||||
Short SmallCap600 | — | — | (39,808,003 | ) | (1,237,647 | ) | |||||||||||||
Ultra 7-10 Year Treasury | $ | 5,741 | — | (127,541,318 | ) | (207,722 | ) | ||||||||||||
Ultra 20+ Year Treasury | — | — | (420,732 | ) | 255,659 | ||||||||||||||
Ultra Basic Materials | 14,450 | — | (4,025,251 | ) | 7,578,641 | ||||||||||||||
Ultra Consumer Goods | — | — | — | 5,121,439 | |||||||||||||||
Ultra Consumer Services | — | — | (117,414 | ) | 5,435,434 | ||||||||||||||
Ultra Dow30SM | — | — | — | 107,871,733 | |||||||||||||||
Ultra Financials | 40,279,077 | — | — | 275,093,790 |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 281
Fund | Undistributed Ordinary Income |
Undistributed Long-Term Capital Gain |
Accumulated Capital and Other Losses |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
Ultra FTSE China 50 | — | — | $ | (526,981 | ) | $ | (8,252,691 | ) | |||||||||||
Ultra FTSE Europe | — | — | (139,776 | ) | 1,198,621 | ||||||||||||||
Ultra Health Care | — | — | — | 4,842,040 | |||||||||||||||
Ultra High Yield | $ | 135,724 | — | — | 1,159,443 | ||||||||||||||
Ultra Industrials | — | — | — | 5,050,389 | |||||||||||||||
Ultra MidCap400 | — | — | (138,437,962 | ) | 54,985,621 | ||||||||||||||
Ultra MSCI Brazil Capped | — | — | (11,997,614 | ) | (3,383,210 | ) | |||||||||||||
Ultra MSCI EAFE | — | — | (6,009,594 | ) | 3,003,619 | ||||||||||||||
Ultra MSCI Emerging Markets | — | — | (1,645,424 | ) | (3,685,793 | ) | |||||||||||||
Ultra MSCI Japan | — | — | — | 748,508 | |||||||||||||||
Ultra Nasdaq Biotechnology | — | — | (64,068,176 | ) | (14,307,770 | ) | |||||||||||||
Ultra Nasdaq Cloud Computing | — | — | (12,524 | ) | 692,500 | ||||||||||||||
Ultra Nasdaq Cybersecurity | 29,506 | — | — | 974,608 | |||||||||||||||
Ultra Oil & Gas | — | — | (110,574,349 | ) | 79,372,770 | ||||||||||||||
Ultra QQQ | — | — | (15,623,825 | ) | 1,488,986,820 | ||||||||||||||
Ultra Real Estate | — | — | (4,783,489 | ) | 28,959,620 | ||||||||||||||
Ultra Russell2000 | — | — | (132,688,079 | ) | 76,010,453 | ||||||||||||||
Ultra S&P500® | — | — | — | 1,100,215,969 | |||||||||||||||
Ultra Semiconductors | — | — | (238,434 | ) | 87,035,501 | ||||||||||||||
Ultra SmallCap600 | — | — | (5,833,697 | ) | 12,522,231 | ||||||||||||||
Ultra Technology | — | — | (3,567,227 | ) | 456,885,903 | ||||||||||||||
Ultra Telecommunications | 9,258 | — | (708,142 | ) | 213,563 | ||||||||||||||
Ultra Utilities | — | — | (1,190,569 | ) | (1,360,075 | ) | |||||||||||||
UltraPro Dow30SM | — | — | — | 269,563,285 | |||||||||||||||
UltraPro MidCap400 | — | — | — | 25,619,741 | |||||||||||||||
UltraPro QQQ | — | — | (46,154,294 | ) | 7,064,553,590 | ||||||||||||||
UltraPro Russell2000 | — | — | — | 116,718,537 | |||||||||||||||
UltraPro S&P500® | — | — | — | 1,059,877,334 | |||||||||||||||
UltraPro Short 20+ Year Treasury | — | — | (147,535,449 | ) | (13,274,898 | ) | |||||||||||||
UltraPro Short Dow30SM | — | — | (1,316,389,169 | ) | (274,410,779 | ) | |||||||||||||
UltraPro Short MidCap400 | — | — | (50,948,360 | ) | (5,267,807 | ) | |||||||||||||
UltraPro Short QQQ | — | — | (4,644,369,497 | ) | (1,074,458,169 | ) | |||||||||||||
UltraPro Short Russell2000 | — | — | (545,887,628 | ) | (73,572,672 | ) | |||||||||||||
UltraPro Short S&P500® | — | — | (3,721,859,224 | ) | (373,533,668 | ) | |||||||||||||
UltraShort 7-10 Year Treasury | — | — | (152,398,785 | ) | 1,251,867 | ||||||||||||||
UltraShort 20+ Year Treasury | — | — | (5,427,344,256 | ) | (124,219,365 | ) | |||||||||||||
UltraShort Basic Materials | — | — | (83,585,300 | ) | (1,035,769 | ) | |||||||||||||
UltraShort Consumer Goods | — | — | (8,912,890 | ) | (427,388 | ) | |||||||||||||
UltraShort Consumer Services | — | — | (20,164,285 | ) | (249,279 | ) | |||||||||||||
UltraShort Dow30SM | — | — | (694,994,076 | ) | (40,144,849 | ) | |||||||||||||
UltraShort Financials | — | — | (493,849,490 | ) | (11,042,846 | ) | |||||||||||||
UltraShort FTSE China 50 | — | — | (242,000,789 | ) | (13,850,185 | ) | |||||||||||||
UltraShort FTSE Europe | — | — | (214,302,742 | ) | (5,227,847 | ) | |||||||||||||
UltraShort Health Care | — | — | (10,681,088 | ) | (629,534 | ) | |||||||||||||
UltraShort Industrials | — | — | (20,753,011 | ) | (501,620 | ) | |||||||||||||
UltraShort MidCap400 | — | — | (53,319,435 | ) | (976,953 | ) | |||||||||||||
UltraShort MSCI Brazil Capped | — | — | (74,842,621 | ) | (9,552,510 | ) | |||||||||||||
UltraShort MSCI EAFE | — | — | (19,968,501 | ) | (975,766 | ) | |||||||||||||
UltraShort MSCI Emerging Markets | — | — | (167,595,819 | ) | (226,521 | ) |
282 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Fund | Undistributed Ordinary Income |
Undistributed Long-Term Capital Gain |
Accumulated Capital and Other Losses |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
UltraShort MSCI Japan | — | — | $ | (25,467,170 | ) | $ | (2,666,633 | ) | |||||||||||
UltraShort Nasdaq Biotechnology | — | — | (73,309,426 | ) | (1,283,986 | ) | |||||||||||||
UltraShort Oil & Gas | — | — | (93,743,115 | ) | (13,236,083 | ) | |||||||||||||
UltraShort QQQ | — | — | (1,565,997,752 | ) | (106,726,761 | ) | |||||||||||||
UltraShort Real Estate | — | — | (239,538,722 | ) | (7,816,244 | ) | |||||||||||||
UltraShort Russell2000 | — | — | (739,873,532 | ) | (35,612,908 | ) | |||||||||||||
UltraShort S&P500® | — | — | (4,976,242,361 | ) | (311,147,999 | ) | |||||||||||||
UltraShort Semiconductors | — | — | (42,789,883 | ) | (2,349,081 | ) | |||||||||||||
UltraShort SmallCap600 | — | — | (30,626,003 | ) | (1,272,905 | ) | |||||||||||||
UltraShort Technology | — | — | (29,097,064 | ) | (3,959,740 | ) | |||||||||||||
UltraShort Utilities | — | — | (10,941,598 | ) | (1,483,895 | ) |
Temporary differences are generally due to differing book and tax treatments for the timing of the recognition of gains and losses on certain investment transactions and the timing and the deductibility of certain expenses. Permanent differences, primarily due to gain (loss) on in-kind redemptions, reclassification on sale of derivatives, designation of taxable distributions in excess, utilization of earnings and profits distributed to the shareholders on redemption of shares and nondeductible expenses, resulted in reclassifications as of October 31, 2021 (the Funds' most recent tax year end), among the Funds' components of net assets.
As of October 31, 2021 (the Funds' most recent tax year end), the Funds had capital loss carry forwards ("CLCFs") available to offset future realized gains, if any, to the extent provided for by regulations and to thereby reduce the amount of future taxable capital gain distributions. Under current tax law, CLCFs retain their character as either short-term or long-term capital losses, and are not subject to expiration.
At October 31, 2021 (the Funds' most recent tax year end), the following Funds had available CLCFs:
No Expiration Date | |||||||
Short 7-10 Year Treasury | $ | 14,949,159 | |||||
Short 20+ Year Treasury | 655,428,513 | ||||||
Short Dow30SM | 484,641,501 | ||||||
Short Financials | 91,519,944 | ||||||
Short FTSE China 50 | 11,598,717 | ||||||
Short High Yield | 55,191,798 | ||||||
Short MidCap400 | 51,032,054 | ||||||
Short MSCI EAFE | 129,377,432 | ||||||
Short MSCI Emerging Markets | 195,588,133 | ||||||
Short QQQ | 864,551,562 | ||||||
Short Real Estate | 34,300,325 | ||||||
Short Russell2000 | 750,605,516 | ||||||
Short S&P500® | 3,825,535,994 | ||||||
Short SmallCap600 | 39,767,261 | ||||||
Ultra 7-10 Year Treasury | 127,541,318 | ||||||
Ultra 20+ Year Treasury | 318,208 | ||||||
Ultra Basic Materials | 4,025,251 | ||||||
Ultra FTSE China 50 | 383,233 | ||||||
Ultra FTSE Europe | 100,752 | ||||||
Ultra MidCap400 | 138,437,962 | ||||||
Ultra MSCI Brazil Capped | 11,942,570 | ||||||
Ultra MSCI EAFE | 5,899,371 | ||||||
Ultra MSCI Emerging Markets | 1,040,331 | ||||||
Ultra Nasdaq Biotechnology | 63,153,141 | ||||||
Ultra Oil & Gas | 110,574,349 | ||||||
Ultra Real Estate | 4,783,489 | ||||||
Ultra Russell2000 | 131,173,925 |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 283
No Expiration Date | |||||||
Ultra SmallCap600 | $ | 5,774,256 | |||||
Ultra Telecommunications | 708,142 | ||||||
Ultra Utilities | 1,190,569 | ||||||
UltraPro Short 20+ Year Treasury | 146,818,742 | ||||||
UltraPro Short Dow30SM | 1,313,236,058 | ||||||
UltraPro Short MidCap400 | 50,908,536 | ||||||
UltraPro Short QQQ | 4,632,109,934 | ||||||
UltraPro Short Russell2000 | 545,015,542 | ||||||
UltraPro Short S&P500® | 3,717,966,668 | ||||||
UltraShort 7-10 Year Treasury | 152,043,643 | ||||||
UltraShort 20+ Year Treasury | 5,418,290,993 | ||||||
UltraShort Basic Materials | 83,567,720 | ||||||
UltraShort Consumer Goods | 8,905,621 | ||||||
UltraShort Consumer Services | 20,156,940 | ||||||
UltraShort Dow30SM | 694,154,987 | ||||||
UltraShort Financials | 493,732,351 | ||||||
UltraShort FTSE China 50 | 241,847,385 | ||||||
UltraShort FTSE Europe | 214,239,033 | ||||||
UltraShort Health Care | 10,669,813 | ||||||
UltraShort Industrials | 20,742,767 | ||||||
UltraShort MidCap400 | 53,302,353 | ||||||
UltraShort MSCI Brazil Capped | 74,725,997 | ||||||
UltraShort MSCI EAFE | 19,956,953 | ||||||
UltraShort MSCI Emerging Markets | 167,549,012 | ||||||
UltraShort MSCI Japan | 25,430,051 | ||||||
UltraShort Nasdaq Biotechnology | 73,237,852 | ||||||
UltraShort Oil & Gas | 93,605,511 | ||||||
UltraShort QQQ | 1,564,304,736 | ||||||
UltraShort Real Estate | 239,394,947 | ||||||
UltraShort Russell2000 | 739,255,646 | ||||||
UltraShort S&P500® | 4,971,788,244 | ||||||
UltraShort Semiconductors | 42,766,272 | ||||||
UltraShort SmallCap600 | 30,605,605 | ||||||
UltraShort Technology | 29,057,293 | ||||||
UltraShort Utilities | 10,924,492 |
At October 31, 2021 (the Funds' most recent tax year end), the following Funds utilized CLCFs and/or elected to defer late-year ordinary losses to November 1, 2021:
Fund | CLCFs Utilized | Ordinary Late Year Loss Deferrals |
|||||||||
Short 7-10 Year Treasury | $ | 7,915 | $ | 589,468 | |||||||
Short 20+ Year Treasury | 43,392,202 | 4,049,407 | |||||||||
Short Dow30SM | — | 2,022,471 | |||||||||
Short Financials | — | 91,519 | |||||||||
Short FTSE China 50 | — | 43,035 | |||||||||
Short High Yield | — | 461,567 | |||||||||
Short MidCap400 | — | 109,038 | |||||||||
Short MSCI EAFE | — | 90,416 | |||||||||
Short MSCI Emerging Markets | — | 214,388 | |||||||||
Short QQQ | — | 4,382,813 | |||||||||
Short Real Estate | — | 67,793 |
284 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Fund | CLCFs Utilized | Ordinary
Late Year Loss Deferrals |
|||||||||
Short Russell2000 | — | $ | 2,108,791 | ||||||||
Short S&P500® | — | 10,499,729 | |||||||||
Short SmallCap600 | — | 40,742 | |||||||||
Ultra 7-10 Year Treasury | $ | 1,255,177 | — | ||||||||
Ultra 20+ Year Treasury | — | 102,524 | |||||||||
Ultra Basic Materials | 6,824,555 | — | |||||||||
Ultra Consumer Goods | 110,266 | — | |||||||||
Ultra Consumer Services | — | 117,414 | |||||||||
Ultra Financials | 195,889,303 | — | |||||||||
Ultra FTSE China 50 | 2,661,945 | 143,748 | |||||||||
Ultra FTSE Europe | 1,521,104 | 39,024 | |||||||||
Ultra Health Care | 3,927,208 | — | |||||||||
Ultra High Yield | 339,304 | — | |||||||||
Ultra Industrials | 665,904 | — | |||||||||
Ultra MidCap400 | 21,649,313 | — | |||||||||
Ultra MSCI Brazil Capped | 1,316,430 | 55,044 | |||||||||
Ultra MSCI EAFE | 2,299,439 | 110,223 | |||||||||
Ultra MSCI Emerging Markets | 12,022,280 | 605,093 | |||||||||
Ultra MSCI Japan | 504,548 | — | |||||||||
Ultra Nasdaq Biotechnology | 47,716,526 | 915,035 | |||||||||
Ultra Nasdaq Cloud Computing | — | 12,524 | |||||||||
Ultra Oil & Gas | 20,327,090 | — | |||||||||
Ultra QQQ | — | 15,623,825 | |||||||||
Ultra Russell2000 | 90,931,814 | 1,514,154 | |||||||||
Ultra Semiconductors | — | 238,434 | |||||||||
Ultra SmallCap600 | 351,368 | 59,441 | |||||||||
Ultra Technology | — | 3,567,227 | |||||||||
Ultra Telecommunications | 26,960 | — | |||||||||
UltraPro MidCap400 | 3,619,159 | — | |||||||||
UltraPro QQQ | — | 46,154,294 | |||||||||
UltraPro Russell2000 | 8,487,658 | — | |||||||||
UltraPro Short 20+ Year Treasury | — | 716,707 | |||||||||
UltraPro Short Dow30SM | — | 3,153,111 | |||||||||
UltraPro Short MidCap400 | — | 39,824 | |||||||||
UltraPro Short QQQ | — | 12,259,563 | |||||||||
UltraPro Short Russell2000 | — | 872,086 | |||||||||
UltraPro Short S&P500® | — | 3,892,556 | |||||||||
UltraShort 7-10 Year Treasury | 12,125 | 355,142 | |||||||||
UltraShort 20+ Year Treasury | 186,606 | 9,053,263 | |||||||||
UltraShort Basic Materials | — | 17,580 | |||||||||
UltraShort Consumer Goods | — | 7,269 | |||||||||
UltraShort Consumer Services | — | 7,345 | |||||||||
UltraShort Dow30SM | — | 839,089 | |||||||||
UltraShort Financials | — | 117,139 | |||||||||
UltraShort FTSE China 50 | — | 153,404 | |||||||||
UltraShort FTSE Europe | — | 63,709 | |||||||||
UltraShort Health Care | — | 11,275 | |||||||||
UltraShort Industrials | — | 10,244 | |||||||||
UltraShort MidCap400 | — | 17,082 | |||||||||
UltraShort MSCI Brazil Capped | 153,132 | 116,624 |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 285
Fund | CLCFs Utilized | Ordinary
Late Year Loss Deferrals |
|||||||||
UltraShort MSCI EAFE | — | $ | 11,548 | ||||||||
UltraShort MSCI Emerging Markets | — | 46,807 | |||||||||
UltraShort MSCI Japan | — | 37,119 | |||||||||
UltraShort Nasdaq Biotechnology | — | 71,574 | |||||||||
UltraShort Oil & Gas | $ | 3,182 | 137,604 | ||||||||
UltraShort QQQ | — | 1,693,016 | |||||||||
UltraShort Real Estate | — | 143,775 | |||||||||
UltraShort Russell2000 | — | 617,886 | |||||||||
UltraShort S&P500® | — | 4,454,117 | |||||||||
UltraShort Semiconductors | — | 23,611 | |||||||||
UltraShort SmallCap600 | — | 20,398 | |||||||||
UltraShort Technology | — | 39,771 | |||||||||
UltraShort Utilities | — | 17,106 |
3. Investment Transactions, Income and Expense Allocations
Throughout the reporting period, investment transactions are generally accounted for no later than one business day following the trade date. For financial reporting purposes, investment transactions on the last business day of the reporting period are accounted for on the trade date.
Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount. Dividend income is recorded on the ex-dividend date except for certain foreign dividends that may be recorded as soon as such information becomes available. Non-cash dividend income received in the form of securities in-lieu of cash are recorded at the fair value of the securities received. Gains or losses realized on sales of securities are determined using the specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds.
Expenses directly attributable to a Fund are charged to that Fund, while expenses which are attributable to more than one Fund or jointly with an affiliate, are allocated among the respective Funds and/or affiliates based upon relative net assets or another reasonable basis.
4. Advisory and Management Service Fees and Transactions with Affiliates
The Advisor serves as the investment adviser to each Fund pursuant to an Investment Advisory Agreement. For its investment advisory services, each Fund pays the Advisor a monthly fee, accrued daily at an annualized rate based on its average daily net assets. Pursuant to a separate Management Services Agreement, the Advisor performs certain administrative services on behalf of the Funds, such as negotiating, coordinating and implementing the Trust's contractual obligations with the Funds' service providers; monitoring, overseeing and reviewing the performance of such service providers to ensure adherence to applicable contractual obligations; and preparing or coordinating reports and presentations to the Board of Trustees with respect to such service providers. For these and other services, each Fund pays the Advisor monthly management services fees, accrued daily at an annualized rate based on its average daily net assets.
The Advisor has contractually agreed to waive advisory and management services fees, and if necessary, reimburse certain other expenses, in order to limit the annual operating expenses of each Fund. These expense limitations remain in effect until the dates specified in the table below, after which they may be terminated or revised.
For the year ended May 31, 2022, advisory and management services fees, waivers, reimbursements, and expense limitations were as follows:
Fund | Investment Advisory Fee Rate* |
Management Services Fee Rate |
Advisory Fees Waived |
Management Services Fees Waived |
Expense Reimbursements |
Expense Limitation |
Expense Limitation Effective Through |
||||||||||||||||||||||||
Short 7-10 Year Treasury | 0.75 | % | 0.10 | % | $ | 17,016 | — | — | 0.95 | % | September 30, 2022 | ||||||||||||||||||||
Short 20+ Year Treasury | 0.75 | 0.10 | — | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Short Dow30SM | 0.75 | 0.10 | 2,500 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Short Financials | 0.75 | 0.10 | 66,421 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Short FTSE China 50 | 0.75 | 0.10 | 58,676 | $ | 7,824 | $ | 20,246 | 0.95 | September 30, 2022 | ||||||||||||||||||||||
Short High Yield | 0.75 | 0.10 | 80,160 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Short MidCap400 | 0.75 | 0.10 | 63,467 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Short MSCI EAFE | 0.75 | 0.10 | 78,006 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Short MSCI Emerging Markets | 0.75 | 0.10 | 81,822 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Short QQQ | 0.75 | 0.10 | 340,304 | — | — | 0.95 | September 30, 2022 |
286 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Fund | Investment Advisory Fee Rate* |
Management Services Fee Rate |
Advisory Fees Waived |
Management Services Fees Waived |
Expense Reimbursements |
Expense Limitation |
Expense
Limitation Effective Through |
||||||||||||||||||||||||
Short Real Estate | 0.75 | % | 0.10 | % | $ | 64,582 | $ | 3,212 | — | 0.95 | % | September 30, 2022 | |||||||||||||||||||
Short Russell2000 | 0.75 | 0.10 | 166,456 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Short S&P500® | 0.75 | 0.10 | — | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Short SmallCap600 | 0.75 | 0.10 | 37,360 | 4,981 | $ | 25,972 | 0.95 | September 30, 2022 | |||||||||||||||||||||||
Ultra 7-10 Year Treasury | 0.75 | 0.10 | 89,715 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra 20+ Year Treasury | 0.75 | 0.10 | 78,328 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Basic Materials | 0.75 | 0.10 | 109,585 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Consumer Goods | 0.75 | 0.10 | 105,153 | 13,988 | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Consumer Services | 0.75 | 0.10 | 104,632 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Dow30SM | 0.75 | 0.10 | 2,666 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Financials | 0.75 | 0.10 | — | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra FTSE China 50 | 0.75 | 0.10 | 95,906 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra FTSE Europe | 0.75 | 0.10 | 37,207 | 4,961 | 40,023 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Health Care | 0.75 | 0.10 | 107,193 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra High Yield | 0.75 | 0.10 | 47,055 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Industrials | 0.75 | 0.10 | 106,704 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra MidCap400 | 0.75 | 0.10 | 72,278 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra MSCI Brazil Capped | 0.75 | 0.10 | 53,915 | 7,189 | 30,093 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra MSCI EAFE | 0.75 | 0.10 | 91,543 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra MSCI Emerging Markets | 0.75 | 0.10 | 76,441 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra MSCI Japan | 0.75 | 0.10 | 59,793 | 7,972 | 34,939 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Nasdaq Biotechnology | 0.75 | 0.10 | 267,592 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Nasdaq Cloud Computing | 0.75 | 0.10 | 19,096 | 2,546 | 42,792 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Nasdaq Cybersecurity | 0.75 | 0.10 | 29,616 | 3,949 | 10,437 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Oil & Gas | 0.75 | 0.10 | 82,533 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra QQQ | 0.75 | 0.10 | 1,282,847 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Real Estate | 0.75 | 0.10 | 109,263 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Russell2000 | 0.75 | 0.10 | 1,232,491 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra S&P500® | 0.75 | 0.10 | 206,222 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Semiconductors | 0.75 | 0.10 | 63,159 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra SmallCap600 | 0.75 | 0.10 | 137,910 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Technology | 0.75 | 0.10 | — | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Telecommunications | 0.75 | 0.10 | 18,012 | 2,402 | 89,984 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
Ultra Utilities | 0.75 | 0.10 | 90,615 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraPro Dow30SM | 0.75 | 0.10 | — | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraPro MidCap400 | 0.75 | 0.10 | 179,962 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraPro QQQ | 0.75 | 0.10 | 19,125,963 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraPro Russell2000 | 0.75 | 0.10 | 1,230,426 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraPro S&P500® | 0.75 | 0.10 | — | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraPro Short 20+ Year Treasury | 0.75 | 0.10 | — | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraPro Short Dow30SM | 0.75 | 0.10 | — | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraPro Short MidCap400 | 0.75 | 0.10 | 47,561 | 6,341 | 19,674 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraPro Short QQQ | 0.75 | 0.10 | 666,032 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraPro Short Russell2000 | 0.75 | 0.10 | 129,738 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraPro Short S&P500® | 0.75 | 0.10 | — | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort 7-10 Year Treasury | 0.75 | 0.10 | 32,718 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort 20+ Year Treasury | 0.75 | 0.10 | — | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort Basic Materials | 0.75 | 0.10 | 17,148 | 2,286 | 51,068 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort Consumer Goods | 0.75 | 0.10 | 7,153 | 954 | 69,146 | 0.95 | September 30, 2022 |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 287
Fund | Investment Advisory Fee Rate* |
Management Services Fee Rate |
Advisory Fees Waived |
Management Services Fees Waived |
Expense Reimbursements |
Expense Limitation |
Expense
Limitation Effective Through |
||||||||||||||||||||||||
UltraShort Consumer Services | 0.75 | % | 0.10 | % | $ | 11,269 | $ | 1,503 | $ | 60,723 | 0.95 | % | September 30, 2022 | ||||||||||||||||||
UltraShort Dow30SM | 0.75 | 0.10 | 55,917 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort Financials | 0.75 | 0.10 | 70,655 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort FTSE China 50 | 0.75 | 0.10 | 93,416 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort FTSE Europe | 0.75 | 0.10 | 87,390 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort Health Care | 0.75 | 0.10 | 13,933 | 1,858 | 61,377 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort Industrials | 0.75 | 0.10 | 17,140 | 2,285 | 59,191 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort MidCap400 | 0.75 | 0.10 | 15,639 | 2,085 | 56,807 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort MSCI Brazil Capped | 0.75 | 0.10 | 93,871 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort MSCI EAFE | 0.75 | 0.10 | 10,092 | 1,346 | 75,345 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort MSCI Emerging Markets | 0.75 | 0.10 | 55,299 | 7,373 | 24,205 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort MSCI Japan | 0.75 | 0.10 | 32,843 | 4,379 | 49,552 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort Nasdaq Biotechnology | 0.75 | 0.10 | 62,224 | 8,296 | 2,686 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort Oil & Gas | 0.75 | 0.10 | 73,259 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort QQQ | 0.75 | 0.10 | 193,776 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort Real Estate | 0.75 | 0.10 | 75,437 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort Russell2000 | 0.75 | 0.10 | 109,034 | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort S&P500® | 0.75 | 0.10 | — | — | — | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort Semiconductors | 0.75 | 0.10 | 26,194 | 3,492 | 40,259 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort SmallCap600 | 0.75 | 0.10 | 24,014 | 3,202 | 44,716 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort Technology | 0.75 | 0.10 | 42,371 | 5,649 | 26,108 | 0.95 | September 30, 2022 | ||||||||||||||||||||||||
UltraShort Utilities | 0.75 | 0.10 | 14,109 | 1,881 | 54,113 | 0.95 | September 30, 2022 |
* In addition to the expense limitations disclosed above, the Advisor has entered into an Advisory Fee Waiver Agreement for each Fund that reduces the annualized advisory fee rate subject to the following breakpoints: 0.75% of the first $4.0 billion of average daily net assets of the Fund, 0.70% of the next $1.5 billion, 0.65% of the next $1.5 billion, 0.60% of the next $1.5 billion and 0.55% of average daily net assets of the Fund over $8.5 billion. To the extent that a Fund achieves an asset breakpoint, the Advisor will waive fees in order to match the corresponding reduction in the tiered advisory fee limit. Any such waivers are reflected as a component of "Expenses waived and/or reimbursed by Advisor" on the Statements of Operations, and are not subject to subsequent recoupment by the Advisor. During the year ended May 31, 2022, advisory fees of $663,915 were waived for Ultra QQQ pursuant to this agreement, resulting in a net advisory fee of 0.74%. During the year ended May 31, 2022, advisory fees of $206,222 were waived for Ultra S&P500 pursuant to this agreement, resulting in a net advisory fee of 0.75%.During the year ended May 31, 2022, advisory fees of $19,125,963 were waived for UltraPro QQQ pursuant to this agreement, resulting in a net advisory fee of 0.63%.
For each Fund, amounts waived or reimbursed by the Advisor may be recouped by the Advisor within five years of the end of the applicable contractual period to the extent that such recoupments would not cause a Fund's annualized operating expenses to exceed the lesser of (1) the expense limitation in effect at the time of waiver, and (2) the expense limitation in effect at the time of recoupment. Any amounts recouped by the Advisor during the period are reflected in the Statements of Operations as "Recoupment of prior expenses waived and/or reimbursed by Advisor". As of May 31, 2022, the amounts eligible for recoupment and the date of expiration are as follows:
Expires September 30, | Total Amount Eligible for |
||||||||||||||||||||||||||||||
Fund | 2022 | 2023 | 2024 | 2025 | 2026 | 2027 | Recoupment | ||||||||||||||||||||||||
Short 7-10 Year Treasury | $ | 37,209 | $ | 30,777 | $ | 68,440 | $ | 58,236 | $ | 39,494 | $ | 7,364 | $ | 241,520 | |||||||||||||||||
Short Dow30SM | 63,829 | 56,819 | 58,252 | 81,443 | 71,179 | 658 | 332,180 | ||||||||||||||||||||||||
Short Financials | 60,938 | 56,880 | 67,106 | 66,465 | 67,738 | 43,542 | 362,669 | ||||||||||||||||||||||||
Short FTSE China 50 | 63,961 | 64,014 | 72,169 | 73,907 | 69,478 | 63,182 | 406,711 | ||||||||||||||||||||||||
Short High Yield | 74,384 | 47,725 | 67,482 | 89,319 | 73,328 | 53,049 | 405,287 | ||||||||||||||||||||||||
Short MidCap400 | 54,461 | 59,003 | 64,470 | 62,288 | 64,925 | 41,203 | 346,350 | ||||||||||||||||||||||||
Short MSCI EAFE | 75,099 | 50,861 | 65,324 | 67,005 | 77,986 | 54,484 | 390,759 | ||||||||||||||||||||||||
Short MSCI Emerging Markets | 53,542 | 33,973 | 67,720 | 74,764 | 73,663 | 58,956 | 362,618 | ||||||||||||||||||||||||
Short QQQ | 239,709 | 217,677 | 289,992 | 356,298 | 296,075 | 246,967 | 1,646,718 | ||||||||||||||||||||||||
Short Real Estate | 59,167 | 60,323 | 68,486 | 68,631 | 72,237 | 44,295 | 373,139 | ||||||||||||||||||||||||
Short Russell2000 | 249,456 | 199,443 | 188,717 | 278,667 | 231,769 | 101,015 | 1,249,067 |
288 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Expires September 30, | Total Amount Eligible for |
||||||||||||||||||||||||||||||
Fund | 2022 | 2023 | 2024 | 2025 | 2026 | 2027 | Recoupment | ||||||||||||||||||||||||
Short SmallCap600 | $ | 53,416 | $ | 60,957 | $ | 69,876 | $ | 67,242 | $ | 69,001 | $ | 45,132 | $ | 365,624 | |||||||||||||||||
Ultra 7-10 Year Treasury | 62,536 | 71,959 | 89,428 | 90,240 | 91,778 | 57,998 | 463,939 | ||||||||||||||||||||||||
Ultra 20+ Year Treasury | 76,690 | 73,005 | 92,526 | 88,560 | 86,760 | 51,584 | 469,125 | ||||||||||||||||||||||||
Ultra Basic Materials | 88,772 | 101,200 | 101,333 | 104,481 | 92,884 | 76,147 | 564,817 | ||||||||||||||||||||||||
Ultra Consumer Goods | 97,284 | 106,550 | 105,592 | 122,429 | 108,679 | 84,473 | 625,007 | ||||||||||||||||||||||||
Ultra Consumer Services | 96,358 | 110,784 | 103,519 | 125,868 | 117,859 | 67,635 | 622,023 | ||||||||||||||||||||||||
Ultra Dow30SM | 52,465 | 42,175 | 83,496 | 88,574 | 44,099 | 4,815 | 315,624 | ||||||||||||||||||||||||
Ultra Financials | — | — | 37,956 | 123,292 | — | 5,052 | 166,300 | ||||||||||||||||||||||||
Ultra FTSE China 50 | 68,253 | 87,846 | 77,866 | 88,086 | 79,216 | 69,888 | 471,155 | ||||||||||||||||||||||||
Ultra FTSE Europe | 53,612 | 57,464 | 67,523 | 68,397 | 91,549 | 56,147 | 394,692 | ||||||||||||||||||||||||
Ultra Health Care | 93,516 | 119,750 | 135,285 | 131,973 | 94,412 | 80,081 | 655,017 | ||||||||||||||||||||||||
Ultra High Yield | 144,442 | 143,367 | 157,016 | 76,009 | 127,422 | 10,609 | 658,865 | ||||||||||||||||||||||||
Ultra Industrials | 99,560 | 117,943 | 101,797 | 124,278 | 143,038 | 64,529 | 651,145 | ||||||||||||||||||||||||
Ultra MidCap400 | 86,553 | 98,454 | 149,145 | 129,159 | 153,030 | 36,219 | 652,560 | ||||||||||||||||||||||||
Ultra MSCI Brazil Capped | 57,727 | 57,780 | 68,922 | 68,903 | 73,357 | 67,424 | 394,113 | ||||||||||||||||||||||||
Ultra MSCI EAFE | 58,174 | 58,330 | 68,038 | 67,971 | 61,981 | 70,437 | 384,931 | ||||||||||||||||||||||||
Ultra MSCI Emerging Markets | 53,106 | 55,431 | 64,469 | 67,179 | 74,970 | 53,529 | 368,684 | ||||||||||||||||||||||||
Ultra MSCI Japan | 54,716 | 58,663 | 78,351 | 68,707 | 76,205 | 78,703 | 415,345 | ||||||||||||||||||||||||
Ultra Nasdaq Biotechnology | 352,874 | 357,572 | 348,301 | 239,152 | 310,901 | 161,614 | 1,770,414 | ||||||||||||||||||||||||
Ultra Nasdaq Cloud Computing | — | — | — | — | 40,946 | 51,322 | 92,268 | ||||||||||||||||||||||||
Ultra Nasdaq Cybersecurity | — | — | — | — | 39,101 | 31,371 | 70,472 | ||||||||||||||||||||||||
Ultra Oil & Gas | 121,239 | 107,939 | 128,797 | 139,377 | 103,663 | 51,164 | 652,179 | ||||||||||||||||||||||||
Ultra QQQ | 464,316 | 627,801 | 734,603 | 856,753 | 721,976 | 485,529 | 3,890,978 | ||||||||||||||||||||||||
Ultra Real Estate | 100,745 | 122,540 | 116,571 | 141,016 | 99,269 | 75,782 | 655,923 | ||||||||||||||||||||||||
Ultra Russell2000 | 678,331 | 826,508 | 598,481 | 325,953 | 1,190,983 | 807,628 | 4,427,884 | ||||||||||||||||||||||||
Ultra Semiconductors | 75,266 | 96,820 | 104,479 | 116,117 | 78,674 | 48,059 | 519,415 | ||||||||||||||||||||||||
Ultra SmallCap600 | 115,280 | 150,594 | 112,888 | 144,160 | 105,717 | 101,613 | 730,252 | ||||||||||||||||||||||||
Ultra Technology | 9,801 | 134,585 | 135,521 | 100,677 | — | 57,269 | 437,853 | ||||||||||||||||||||||||
Ultra Telecommunications | 93,855 | 91,919 | 108,608 | 107,921 | 108,243 | 74,598 | 585,144 | ||||||||||||||||||||||||
Ultra Utilities | 94,203 | 92,407 | 102,810 | 121,341 | 137,989 | 51,865 | 600,615 | ||||||||||||||||||||||||
UltraPro Dow30SM | 11,376 | 19,082 | 91,917 | 78,445 | — | 7,784 | 208,604 | ||||||||||||||||||||||||
UltraPro MidCap400 | 79,187 | 135,605 | 112,697 | 132,762 | 108,219 | 144,001 | 712,471 | ||||||||||||||||||||||||
UltraPro Russell2000 | 812,931 | 764,947 | 827,229 | 823,180 | 1,251,635 | 774,126 | 5,254,048 | ||||||||||||||||||||||||
UltraPro Short 20+ Year Treasury | — | 5,102 | 46,924 | 61,705 | 33,554 | — | 147,285 | ||||||||||||||||||||||||
UltraPro Short Dow30SM | — | 91,521 | 68,233 | 105,555 | 100,679 | 2,395 | 368,383 | ||||||||||||||||||||||||
UltraPro Short MidCap400 | 62,493 | 65,192 | 72,678 | 70,658 | 73,860 | 49,444 | 394,325 | ||||||||||||||||||||||||
UltraPro Short QQQ | 359,287 | 290,662 | 465,760 | 788,628 | 705,136 | 467,991 | 3,077,464 | ||||||||||||||||||||||||
UltraPro Short Russell2000 | 103,833 | 112,751 | 98,638 | 150,084 | 160,458 | 86,674 | 712,438 | ||||||||||||||||||||||||
UltraShort 7-10 Year Treasury | 3,327 | — | 38,596 | 53,252 | 46,329 | 18,303 | 159,807 | ||||||||||||||||||||||||
UltraShort Basic Materials | 64,799 | 63,073 | 70,451 | 71,277 | 68,121 | 47,327 | 385,048 | ||||||||||||||||||||||||
UltraShort Consumer Goods | 64,050 | 61,744 | 69,385 | 69,579 | 68,984 | 54,164 | 387,906 | ||||||||||||||||||||||||
UltraShort Consumer Services | 64,734 | 62,218 | 70,715 | 70,585 | 69,905 | 50,206 | 388,363 | ||||||||||||||||||||||||
UltraShort Dow30SM | 77,135 | 82,051 | 73,406 | 98,336 | 79,732 | 30,829 | 441,489 | ||||||||||||||||||||||||
UltraShort Financials | 67,185 | 61,995 | 69,598 | 74,558 | 71,867 | 45,795 | 390,998 | ||||||||||||||||||||||||
UltraShort FTSE China 50 | 90,082 | 76,673 | 84,460 | 90,775 | 74,667 | 67,958 | 484,615 | ||||||||||||||||||||||||
UltraShort FTSE Europe | 62,101 | 55,794 | 66,712 | 68,772 | 66,885 | 64,443 | 384,707 | ||||||||||||||||||||||||
UltraShort Health Care | 62,982 | 61,997 | 68,921 | 69,051 | 68,004 | 54,126 | 385,081 | ||||||||||||||||||||||||
UltraShort Industrials | 61,627 | 61,531 | 69,530 | 70,135 | 68,882 | 55,364 | 387,069 | ||||||||||||||||||||||||
UltraShort MidCap400 | 61,997 | 64,164 | 72,713 | 72,300 | 72,191 | 49,953 | 393,318 |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 289
Expires September 30, | Total Amount Eligible for |
||||||||||||||||||||||||||||||
Fund | 2022 | 2023 | 2024 | 2025 | 2026 | 2027 | Recoupment | ||||||||||||||||||||||||
UltraShort MSCI Brazil Capped | $ | 63,937 | $ | 54,325 | $ | 62,331 | $ | 63,948 | $ | 70,621 | $ | 70,793 | $ | 385,955 | |||||||||||||||||
UltraShort MSCI EAFE | 59,845 | 61,180 | 69,545 | 70,471 | 68,132 | 63,600 | 392,773 | ||||||||||||||||||||||||
UltraShort MSCI Emerging Markets | 62,095 | 59,291 | 67,151 | 69,292 | 69,189 | 63,470 | 390,488 | ||||||||||||||||||||||||
UltraShort MSCI Japan | 57,556 | 60,345 | 68,641 | 68,361 | 68,340 | 63,859 | 387,102 | ||||||||||||||||||||||||
UltraShort Nasdaq Biotechnology | 85,111 | 67,576 | 73,296 | 73,070 | 67,920 | 50,441 | 417,414 | ||||||||||||||||||||||||
UltraShort Oil & Gas | 62,586 | 57,364 | 67,749 | 67,234 | 64,443 | 51,817 | 371,193 | ||||||||||||||||||||||||
UltraShort QQQ | 246,278 | 213,623 | 230,252 | 263,220 | 185,861 | 134,044 | 1,273,278 | ||||||||||||||||||||||||
UltraShort Real Estate | 76,125 | 68,322 | 81,940 | 87,665 | 74,474 | 49,845 | 438,371 | ||||||||||||||||||||||||
UltraShort Russell2000 | 152,686 | 127,910 | 115,973 | 148,967 | 123,449 | 71,194 | 740,179 | ||||||||||||||||||||||||
UltraShort Semiconductors | 61,295 | 62,679 | 70,672 | 72,127 | 69,723 | 46,623 | 383,119 | ||||||||||||||||||||||||
UltraShort SmallCap600 | 60,768 | 62,947 | 70,540 | 69,711 | 71,020 | 48,167 | 383,153 | ||||||||||||||||||||||||
UltraShort Technology | 63,735 | 62,504 | 71,059 | 72,086 | 68,752 | 50,955 | 389,091 | ||||||||||||||||||||||||
UltraShort Utilities | 60,181 | 60,800 | 68,277 | 69,238 | 67,517 | 47,052 | 373,065 |
Employees of the Advisor serve in the roles of Interested Trustee, President, Chief Legal Officer and Secretary of the Trust. These individuals receive no compensation directly from the Trust. Another employee of the Advisor serves as Chief Compliance Officer and Anti-Money Laundering Officer. This individual's related compensation, along with the compensation of staff who administer the Funds' compliance program, and certain other expenses are reimbursed to the Advisor by the Funds and are reflected on the Statements of Operations as "Compliance services fees".
5. Administration Fees
JPMorgan Chase Bank, N.A. acts as the Trust's administrator (the "Administrator"). The Administrator provides certain administrative services to the Funds, including fund accounting, fund administration and certain compliance services, pursuant to a Fund Services Agreement. For these services, each Fund shall pay the Administrator monthly, a fee accrued daily and based on average net assets. Each Fund may also reimburse the Administrator for such out-of-pocket expenses as incurred by the Administrator in the performance of its duties. Such fees are reflected on the Statements of Operations as "Administration Fees". Certain employees of the Administrator are also officers of the Trust.
6. Custodian Fees
JPMorgan Chase Bank, N.A. acts as custodian for the Funds in accordance with a Custody Agreement. The custodian holds cash, securities and other assets of the Funds as required by the 1940 Act. Custodian fees are payable monthly based on assets held in custody, investment purchases and sales activity and account maintenance fees, plus reimbursement for certain out-of-pocket expenses. Such fees are reflected on the Statements of Operations as "Custodian Fees".
7. Listing, Data and Related Fees
The Funds may incur costs relating to their initial and ongoing listing on an exchange and for the calculation and dissemination of Indicative Optimized Portfolio Values (IOPVs). Additionally, a Fund may enter into a license agreement for the right to use an Index and the related Trade Mark(s) and to receive data related to the index from the index provider. The portion of such costs attributed to each Fund is reflected on the Statements of Operations as "Listing, Data and related fees".
8. Trustees Fees
The Trust, together with other affiliated trusts, pay each Independent Trustee an aggregate fee consisting of a $325,000 annual retainer (paid in quarterly increments) for services provided as a Board member. Prior to July 1, 2021, each Independent trustee was paid a $185,000 annual retainer for services provided as a Board member, plus a quarterly in-person meeting fee of $10,000, an in-person special meeting fee of $3,000 and a telephonic meeting fee of $3,000. Such fees are allocated between the Funds and other affiliated funds. Each Fund's share of these fees, together with reimbursable expenses of the Trustees, is reflected on the Statements of Operations as "Trustees Fees".
9. Distribution and Service Plan
SEI Investments Distribution Co. serves as the Funds' distributor. The Trust has adopted a Distribution and Service (12b-1) Plan pursuant to which each Fund may bear a 12b-1 fee not to exceed 0.25% per annum of the Fund's average daily net assets. No 12b-1 fees are currently paid by the Funds, and there are currently no plans to impose these fees.
290 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
10. Issuance and Redemption of Fund Shares
Each Fund issues and redeems its shares only to Authorized Participants (typically broker-dealers) in exchange for the deposit or delivery of a basket of assets (securities and/or cash), in large blocks known as Creation Units, each of which is comprised of a specified number of shares.
To the extent the Funds permit the contribution of securities in exchange for the purchase of shares (contribution in-kind), shares may be issued in advance of receipt by the Fund of all or a portion of the applicable Deposit Securities. In these circumstances, the Fund may require the Authorized Participant to maintain with the Trust an amount up to 115% and/or 125% of the daily mark-to-market value of the missing Deposit Securities.
Retail investors may only purchase and sell Fund shares on a national securities exchange through a broker-dealer and such transactions may be subject to customary commission rates imposed by the broker-dealer.
Authorized Participants may pay transaction fees to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. Transaction fees related to unsettled Creation Unit transactions are included in the receivable for capital shares issued on the Statements of Assets and Liabilities. None of the Funds had any transaction fees for the year ended May 31, 2022 or the year ended May 31, 2021.
11. Investment Transactions
For the year ended May 31, 2022, the cost of securities purchased and proceeds from sales of securities (U.S. government securities for ProShares Ultra 7-10 Year Treasury and ProShares Ultra 20+ Year Treasury), excluding short-term securities, derivatives and in-kind transactions, were:
Fund | Purchases | Sales | |||||||||
Ultra 7-10 Year Treasury | $ | 5,657,954 | $ | 20,802,361 | |||||||
Ultra 20+ Year Treasury | 21,879,605 | 7,138,246 | |||||||||
Ultra Basic Materials | 11,185,341 | 2,874,592 | |||||||||
Ultra Consumer Goods | 30,670,482 | 1,014,623 | |||||||||
Ultra Consumer Services | 22,727,094 | 4,091,967 | |||||||||
Ultra Dow30SM | 256,492,739 | 15,651,692 | |||||||||
Ultra Financials | 1,290,328,722 | 51,603,827 | |||||||||
Ultra Health Care | 273,582,693 | 15,897,597 | |||||||||
Ultra Industrials | 40,449,691 | 2,046,956 | |||||||||
Ultra MidCap400 | 80,909,103 | 74,420,150 | |||||||||
Ultra MSCI Japan | 25,469,028 | 15,674,619 | |||||||||
Ultra Nasdaq Biotechnology | 47,794,498 | 114,059,286 | |||||||||
Ultra Nasdaq Cloud Computing | 1,206,723 | 1,625,155 | |||||||||
Ultra Nasdaq Cybersecurity | 100,074 | — | |||||||||
Ultra Oil & Gas | 112,971,194 | 46,005,646 | |||||||||
Ultra QQQ | 4,881,233,050 | 2,377,497,010 | |||||||||
Ultra Real Estate | 47,358,323 | 9,796,445 | |||||||||
Ultra Russell2000 | 550,800,007 | 123,767,278 | |||||||||
Ultra S&P500® | 3,478,154,965 | 703,306,097 | |||||||||
Ultra Semiconductors | 373,127,046 | 218,396,519 | |||||||||
Ultra SmallCap600 | 17,420,173 | 8,005,951 | |||||||||
Ultra Technology | 796,408,009 | 282,237,178 | |||||||||
Ultra Telecommunications | 695,444 | 605,773 | |||||||||
Ultra Utilities | 8,235,492 | 3,640,526 | |||||||||
UltraPro Dow30SM | 1,217,911,057 | 252,388,169 | |||||||||
UltraPro MidCap400 | 69,886,538 | 32,016,029 | |||||||||
UltraPro QQQ | 23,303,283,069 | 15,937,978,332 | |||||||||
UltraPro Russell2000 | 924,683,496 | 153,868,814 | |||||||||
UltraPro S&P500® | 4,213,746,582 | 1,463,472,762 |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 291
12. In-Kind Transactions
During the period presented in this report, certain Funds delivered portfolio securities in exchange for the redemption of shares (redemption-in-kind). Cash and securities were transferred for redemptions at fair value. For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each transaction.
For the year ended May 31, 2022, the fair value of the securities transferred for redemptions, and the net realized gains (losses) recorded in connection with the transactions were as follows:
Fund | Fair Value | Net Realized Gains (Losses) |
|||||||||
Ultra 20+ Year Treasury | $ | 24,464,046 | $ | (742,803 | ) | ||||||
Ultra Basic Materials | 50,405,334 | 10,108,504 | |||||||||
Ultra Consumer Goods | 32,406,999 | 1,773,129 | |||||||||
Ultra Consumer Services | 24,874,756 | 1,817,884 | |||||||||
Ultra Dow30SM | 254,218,226 | 33,207,902 | |||||||||
Ultra Financials | 1,275,192,371 | 178,062,449 | |||||||||
Ultra Health Care | 301,378,693 | 27,397,070 | |||||||||
Ultra Industrials | 50,916,228 | 5,920,779 | |||||||||
Ultra MidCap400 | 50,965,023 | 13,421,526 | |||||||||
Ultra MSCI Japan | 5,955,059 | 12,469 | |||||||||
Ultra Nasdaq Biotechnology | 165,095,120 | 16,320,565 | |||||||||
Ultra Nasdaq Cybersecurity | 105,831 | 14,939 | |||||||||
Ultra Oil & Gas | 220,975,976 | 71,112,874 | |||||||||
Ultra QQQ | 4,061,750,970 | 832,746,488 | |||||||||
Ultra Real Estate | 36,288,402 | 6,816,533 | |||||||||
Ultra Russell2000 | 824,759,884 | 29,735,418 | |||||||||
Ultra S&P500® | 5,273,809,214 | 623,194,381 | |||||||||
Ultra Semiconductors | 322,149,785 | 52,205,092 | |||||||||
Ultra SmallCap600 | 8,036,217 | 2,283,773 | |||||||||
Ultra Technology | 612,392,182 | 150,392,191 | |||||||||
Ultra Utilities | 9,328,079 | 594,325 | |||||||||
UltraPro Dow30SM | 3,152,907,560 | 114,080,071 | |||||||||
UltraPro MidCap400 | 40,856,924 | 3,353,681 | |||||||||
UltraPro QQQ | 16,906,163,425 | 2,172,349,139 | |||||||||
UltraPro Russell2000 | 700,314,554 | 4,839,711 | |||||||||
UltraPro S&P500® | 5,159,142,910 | 331,502,190 |
In addition, during the period, certain Funds received securities in exchange for subscriptions of shares (subscriptions-in-kind). For the year ended May 31, 2022, the fair value of the securities received for subscriptions were as follows:
Fund | Fair Value | ||||||
Ultra Basic Materials | $ | 5,333,602 | |||||
Ultra Consumer Goods | 1,243,677 | ||||||
Ultra Health Care | 51,373,562 | ||||||
Ultra Industrials | 1,690,987 | ||||||
Ultra MidCap400 | 13,602,165 | ||||||
Ultra Nasdaq Biotechnology | 90,236,319 | ||||||
Ultra Nasdaq Cloud Computing | 1,923,968 | ||||||
Ultra Nasdaq Cybersecurity | 53,898 | ||||||
Ultra Oil & Gas | 24,919,973 | ||||||
Ultra QQQ | 1,531,746,155 | ||||||
Ultra Real Estate | 13,386,364 | ||||||
Ultra Russell2000 | 5,156,000 | ||||||
Ultra S&P500® | 2,643,259,790 | ||||||
Ultra Semiconductors | 166,552,236 |
292 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Fund | Fair Value | ||||||
Ultra SmallCap600 | $ | 3,699,458 | |||||
Ultra Technology | 109,454,186 | ||||||
Ultra Utilities | 11,244,809 | ||||||
UltraPro Dow30SM | 2,094,087,262 | ||||||
UltraPro MidCap400 | 5,749,060 | ||||||
UltraPro QQQ | 14,699,400,830 | ||||||
UltraPro S&P500® | 3,349,109,647 |
13. Share Splits and Reverse Share Splits
Effective January 13, 2022, each of ProShares Ultra Consumer Services, ProShares Ultra S&P500®, ProShares Ultra Technology, ProShares UltraPro QQQ and ProShares UltraPro S&P500®, underwent a 2-for-1 share split; ProShares Ultra Consumer Goods underwent a 4-for-1 share split; ProShares Short Real Estate, ProShares UltraShort Financials and ProShares UltraShort Technology underwent a 1-for-2 reverse share split and cusip change and ProShares UltraPro Short QQQ, ProShares UltraPro Short Russell2000, ProShares UltraShort Dow30SM, ProShares UltraShort Oil & Gas and UltraShort S&P500® underwent a 1-for-5 reverse share split and cusip change.
Effective May 27, 2022, each of ProShares Ultra Basic Materials and ProShares Ultra Oil & Gas underwent a 4-for-1 share split; ProShares UltraShort Consumer Services and ProShares UltraShort MSCI Brazil Capped underwent a 1-for-2 reverse share split and cusip change.
The effect of the share split transactions was to multiply the number of outstanding shares of the Funds by the split factor, with a corresponding decrease in the net asset value per share; and the effect of the reverse share split transactions was to divide the number of outstanding shares of the Funds by the reverse split factor, with a corresponding increase in the net asset value per share. These transactions did not change the net assets of the Funds or the value of a shareholder's investment. The historical share transactions presented in the Statements of Changes in Net Assets and per share data presented in the Financial Highlights have been adjusted retroactively to give effect to the share splits and reverse share splits. Additionally, when the application of reverse share splits resulted in fractional shares for beneficial shareholders, a portion of the cost of shares redeemed, as presented in the Statements of Changes in Net Assets, reflects payment of fractional share balances on beneficial shareholder accounts.
14. Risk
Some risks apply to all Funds, while others are specific to the investment strategy of certain Funds. Each Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Funds.
• Risks Associated with the Use of Derivatives
Certain Funds obtain investment exposure through derivatives (including investing in futures contracts, options on futures contracts, securities and indexes, forward contracts, swap agreements and similar instruments). Investing in derivatives may be considered aggressive and may expose a Fund to risks different from, or possibly greater than, the risks associated with investing directly in securities underlying the derivative, including: 1) the risk that there may be imperfect correlation between the price of financial instruments and movements in the prices of the underlying reference asset(s); 2) the risk that an instrument is mispriced; 3) credit or counterparty risk on the amount each Fund expects to receive from a counterparty; 4) the risk that securities prices, interest rates and currency markets will move adversely and a Fund will incur significant losses; 5) the risk that the cost of holding a financial instrument might exceed its total return; and 6) the possible absence of a liquid secondary market for a particular instrument and possible exchange-imposed price fluctuation limits, either of which may make it difficult or impossible to adjust a Fund's position in a particular instrument when desired. The occurrence of any of these factors may prevent the Fund from achieving its investment objective. Because derivatives often require limited initial investment, the use of derivatives also may expose the Fund to losses in excess of those amounts initially invested.
Certain Funds may use a combination of swaps on an underlying index or swaps on an ETF that is designed to track the performance of that index. The performance of an ETF may not track the performance of its underlying index due to embedded costs and other factors. Thus, to the extent a Fund invests in swaps that use an ETF as the reference asset, that Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its index as it would if the Fund used only swaps on the underlying index.
Moreover, with respect to the use of swap agreements, if an index has a dramatic intraday move that causes a material decline in a Fund's net assets, the terms of a swap agreement between the Fund and its counterparty may permit the counterparty to immediately close out the transaction with the Fund. In that event, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Fund's investment objective. This, in turn, may prevent the Fund from achieving its investment objective, even if the Index reverses all or a portion of its intraday move by the end of the day. Any costs associated with using derivatives will also have the effect of lowering the Fund's return.
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 293
• Leverage Risk
Certain Funds utilize leverage (i.e., obtain investment exposure in excess of their assets) in seeking to achieve their investment objective and will lose more money in market environments adverse to their daily objective than similar funds that do not employ leverage.
Because the Funds that utilize leverage include either a -3x or 3x multiplier or a -2x or 2x multiplier, a single day adverse price movement approaching 33% or 50%, respectively, in a relevant benchmark, could result in the total loss of an investor's investment.
• Concentration Risk
Certain Funds may typically concentrate their investments in issuers of one or more particular industries to the same extent that their underlying indexes are so concentrated and to the extent permitted by applicable regulatory guidance. There is a risk that those issuers (or industry sectors) will perform poorly and negatively impact a Fund. Concentration risk results from maintaining exposure (long or short) to issuers conducting business in a specific industry. The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.
• Correlation Risk
There is no guarantee that a Fund will achieve a high degree of correlation with its index or a multiple or inverse thereof. Failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. The percentage change of the Fund's NAV each day may differ, perhaps significantly in amount, and possibly even direction, from the percentage change of the Fund's index on such day. A number of other factors may adversely affect a Fund's correlation with its index, including material over- or under-exposure, fees, expenses, transaction costs, financing costs associated with the use of derivatives, income items, valuation methodology, infrequent trading in the securities underlying its index, accounting standards and disruptions or illiquidity in the markets for the securities or financial instruments in which a Fund invests. While each Fund generally attempts to track the performance of the Index by investing all, or substantially all, of its assets in the securities that make up the Index in approximately the same proportion as their weighting in the Index, at times a Fund may not have investment exposure to all securities in its index, or, with respect to equity funds, its weighting of investment exposure to such securities, financial investments or industries may be different from that of the index. In addition, a Fund may invest in securities or financial investments not included in the index or in financial instruments. Each Fund may take or refrain from taking positions in order to improve tax efficiency or comply with regulatory restrictions, or for other reasons, each of which may negatively affect the Fund's correlation with its index. A Fund may also be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or underexposed to its index and may be impacted by index reconstitutions and index rebalancing events. Additionally, a Fund's underlying investments may trade on markets that may or may not be open on the same day as the Fund. Furthermore, a Fund's currency holdings may be valued at a different time than the level of its index. In addition, the Funds with a foreign currency hedging strategy may also be unable to perfectly match the Index and will introduce additional costs, both sources of additional correlation risk. Any of these factors could decrease correlation between the performance of a Fund and the index and may hinder a Fund's ability to meet its investment objective.
• Counterparty Risk
A Fund will be subject to credit risk (i.e., the risk that a counterparty is unwilling or unable to make timely payments or otherwise meet its contractual obligations) with respect to the amount the Fund expects to receive from counterparties to financial instruments (including derivatives and repurchase agreements) entered into by the Fund. A Fund generally structures the agreements such that either party can terminate the contract without penalty prior to the termination date. If a counterparty terminates a contract, a Fund may not be able to invest in other derivatives to achieve the desired exposure, or achieving such exposure may be more expensive. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations under such an agreement.
At May 31, 2022, the ProShares Ultra Consumer Goods, ProShares Ultra Financials, ProShares Ultra Oil & Gas, ProShares Ultra Semiconductors, ProShares UltraPro Dow30SM, ProShares UltraPro Short Dow30SM, ProShares UltraPro Short MidCap400, ProShares UltraPro Short Russell2000, ProShares UltraShort Consumer Services, ProShares UltraShort Industrials, ProShares UltraShort MSCI EAFE, ProShares UltraShort MSCI Emerging Markets, ProShares UltraShort Nasdaq Biotechnology, ProShares UltraShort QQQ, ProShares UltraShort Russell2000 and ProShares UltraShort Technology had net unrealized appreciation on swaps with a single counterparty which exceeded 5% of each Fund's net assets.
• Geographic Concentration Risk
Certain Funds that focus their investments in companies economically tied to particular foreign countries or geographic regions may be particularly susceptible to political, social, economic or regulatory events affecting those countries or regions. The performance of such Funds may be more volatile than a more geographically diversified fund.
• Foreign Currency Risk
Certain Funds may seek leveraged, inverse, or inverse leveraged exposure to investments denominated in foreign currencies. Investments denominated in foreign currencies are exposed to more risk than those investments denominated in U.S. dollars. The value of an investment
294 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
denominated in a foreign currency could change significantly as foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign currency losses could offset or exceed any potential gains, or add to losses, in the related investments. Regulatory fees or higher custody fees maybe imposed on foreign currency holdings.
• Liquidity Risk
In certain circumstances, such as the disruption of the orderly markets for the securities and/or financial instruments in which a Fund invests, the Fund might not be able to acquire or dispose of certain holdings quickly or at prices that represent true market value in the judgment of the Advisor. Markets for the securities and/or financial instruments in which a Fund invests may be disrupted by a number of events, including but not limited to economic crises, natural disasters, new legislation, or regulatory changes inside or outside of the U.S. For example, regulation limiting the ability of certain financial institutions to invest in certain securities would likely reduce the liquidity of those securities. These situations may prevent a Fund from limiting losses, realizing gains or achieving a high correlation with its index.
• Debt Instrument Risk
Certain Funds invest in, or seek leveraged, inverse, or inverse leveraged exposure to, debt instruments. Debt instruments may have varying levels of sensitivity to changes in interest rates and other factors. In addition, changes in the credit quality of the issuer of a debt instrument (including a default) can also affect the price of a debt instrument, as can an issuer's default on its payment obligations. These factors may cause the value of an investment in a Fund to change.
• Natural Disaster/Epidemic Risk
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Fund may have difficulty achieving its investment objectives which may adversely impact Fund performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Fund's investment advisor, third party service providers and counterparties), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds' investments. These factors can cause substantial market volatility, exchange trading suspensions and closures, changes in the availability of and the margin requirements for certain instruments, and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis would also affect the global economy in ways that cannot necessarily be foreseen. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these could have a significant impact on a Fund's performance, resulting in losses to your investment.
• Risk that Current Assumptions and Expectations Could Become Outdated as a Result of Global Economic Shock
The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain the spread of COVID-19 (including any variants). These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Fund to quickly become outdated or inaccurate, resulting in significant losses. Additionally, other public health issues, war, military conflicts, sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies. Russia's recent military incursions in Ukraine have led to, and may lead to additional sanctions being levied by the United States, European Union and other countries against Russia. Russia's military incursion and the resulting sanctions could adversely affect global energy and financial markets and thus could affect the value of the Fund's investments, even beyond any direct exposure the Fund may have to the region or to adjoining geographic regions. The extent and duration of the military action, sanctions and resulting market disruptions are impossible to predict, but could have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas. How long such tensions and related events will last cannot be predicted. These tensions and any related events could have significant impact on the Fund performance and the value of an investment in the Fund.
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 295
15. Indemnifications
Under the Trust's organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business the Trust enters into contracts that contain a variety of general indemnifications. The Trust's maximum exposure under these arrangements cannot be known; however, the Trust expects risk of significant loss to be remote.
16. Transactions with Lehman Brothers Holdings, Inc.
On September 15, 2008, Lehman Brothers Holdings, Inc. filed a petition for Chapter 11 bankruptcy. Prior thereto, the Funds transacted business with subsidiaries of Lehman (together with Lehman Brothers Holdings, Inc., "Lehman") whereby Lehman acted as a counterparty to certain derivative transactions and as a broker-dealer for certain investment transactions. All derivative and brokerage transactions with Lehman were terminated and executed, respectively, prior to September 15, 2008, but certain settlement payments related to such transactions were not due to be made until on or after September 15. Settlement of these transactions has been delayed due to Lehman's bankruptcy proceedings.
To the extent that Lehman, the Securities Investor Protection Corporation ("SIPC") and/or any clearing agency (the "Potential Paying Parties") fail to pay the Funds in connection with the settlement of such transactions, the Advisor has agreed to reimburse the Funds for any such losses. Specifically, the Receivables Agreement among the Advisor, ProFund Advisors LLC (an investment adviser affiliated with the Advisor), ProFunds Trust, and the Trust (collectively, the "PF Trusts") (each affiliated and under common controls with the other PF Trusts) provides that the investment adviser to specified funds of the PF Trusts will contribute cash to any such fund, equal to the amounts owed to the fund from Lehman for brokerage transactions and/or written over-the-counter derivatives agreements as of September 15, 2008 (the "Lehman Obligations"). The Receivable Agreement will not terminate until all Lehman Obligations are paid. Payments under the Receivable Agreement are triggered if any specified fund of a PF Trust does not recover the full amounts owed to it by Lehman following conclusion of all bankruptcy, liquidation and SIPC proceedings relating to Lehman. Management has determined that the Advisor has a sufficient financial ability to cover any shortfall in payments from the Potential Paying Parties, including the full amount of such outstanding balances if necessary. Accordingly, no loss is expected to be realized by the Funds. The outstanding swap agreement and brokerage transaction balances due from Lehman are included in "Due from (to) counterparty" and "Receivable for investments sold", respectively, on the Statements of Assets and Liabilities.
17. Subsequent Events
Subsequent events occurring after the date of this report have been evaluated for potential impact, for purposes of recognition or disclosure in the financial statements, through the date the report was issued.
296 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of ProShares Trust and Shareholders of each of the eighty-one funds listed below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments (or summary schedules of portfolio investments for the Funds indicated with an asterisk below), of each of the funds listed below (eighty-one of the funds constituting ProShares Trust, hereafter collectively referred to as the "Funds") as of May 31, 2022, the related statements of operations and of changes in net assets for each of the periods listed below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of May 31, 2022, the results of each of their operations, the changes in each of their net assets for each of the periods listed below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
Short 7-10 Year Treasury (a)
Short 20+
Year Treasury (a)
Short Dow30SM (a)
Short Financials
(a)
Short FTSE China 50 (a)
Short High Yield (a)
Short MidCap400
(a)
Short MSCI EAFE (a)
Short MSCI Emerging Markets (a)
Short QQQ
(a)
Short Real Estate (a)
Short Russell2000 (a)
Short
S&P500® (a)
Short SmallCap600 (a)
Ultra 7-10 Year Treasury
(a)
Ultra 20+ Year Treasury (a)
Ultra Basic Materials (a)
Ultra
Consumer Goods (a)
Ultra Consumer Services (a)
Ultra Dow30SM
(a)
Ultra Financials * (a)
Ultra FTSE China 50 (a)
Ultra FTSE Europe
(a)
Ultra Health Care (a)
Ultra High Yield (a)
Ultra Industrials *
(a)
Ultra MidCap400 * (a)
Ultra MSCI Brazil Capped (a)
Ultra MSCI EAFE
(a)
Ultra MSCI Emerging Markets (a)
Ultra MSCI Japan (a)
Ultra Nasdaq
Biotechnology * (a)
Ultra Nasdaq Cloud Computing (b)
Ultra Nasdaq
Cybersecurity (b)
Ultra Oil & Gas (a)
Ultra QQQ (a)
Ultra Real
Estate (a)
Ultra Russell2000 * (a)
Ultra S&P500® *
(a)
Ultra Semiconductors (a)
Ultra SmallCap600 * (a)
Ultra Technology
(a)
Ultra Telecommunications (a)
Ultra Utilities (a)
UltraPro
Dow30SM (a)
UltraPro MidCap400 * (a)
UltraPro QQQ
(a)
UltraPro Russell2000 * (a)
UltraPro S&P500® *
(a)
UltraPro Short 20+ Year Treasury (a)
UltraPro Short Dow30SM
(a)
UltraPro Short MidCap400 (a)
UltraPro Short QQQ (a)
UltraPro Short
Russell2000 (a)
UltraPro Short S&P500® (a)
UltraShort 7-10
Year Treasury (a)
UltraShort 20+ Year Treasury (a)
UltraShort Basic
Materials (a)
UltraShort Consumer Goods (a)
UltraShort Consumer Services
(a)
UltraShort Dow30SM (a)
UltraShort Financials
(a)
UltraShort FTSE China 50 (a)
UltraShort FTSE Europe (a)
UltraShort
Health Care (a)
UltraShort Industrials (a)
UltraShort MidCap400
(a)
UltraShort MSCI Brazil Capped (a)
UltraShort MSCI EAFE
(a)
UltraShort MSCI Emerging Markets (a)
UltraShort MSCI Japan
(a)
UltraShort Nasdaq Biotechnology (a)
UltraShort Oil & Gas
(a)
UltraShort QQQ (a)
UltraShort Real Estate (a)
UltraShort
Russell2000 (a)
UltraShort S&P500® (a)
UltraShort
Semiconductors (a)
UltraShort SmallCap600 (a)
UltraShort Technology
(a)
UltraShort Utilities (a)
(a) Statement of operations for the year ended May 31, 2022, and statement of changes in net assets for each of the two years in the period ended May 31, 2022.
(b) Statement of operations for the year ended May 31, 2022 and statement of changes in net assets for the year ended May 31, 2022 and for the period January 19, 2021 (commencement of investment operations) through May 31, 2021.
Basis for Opinions
These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation
PROSHARES TRUST REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM :: 297
of securities owned as of May 31, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Baltimore, Maryland
July 27,
2022
We have served as the auditor of one or more investment companies in ProFunds and ProShares Trust group since 1997.
298 :: REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PROSHARES TRUST
Federal Tax Information
Under the Jobs and Growth Tax Relief Reconciliation Act of 2003 (the "Act"), the percentages of ordinary dividends paid during the tax year ended October 31, 2021 are designated as "qualified dividend income" (QDI), as defined in the Act, subject to reduced tax rates in 2021. The Funds also qualify for the dividends received deduction (DRD) for corporate shareholders. The Funds designated up to the maximum amount of qualified interest income (QII) from ordinary distributions paid during the tax year ended October 31, 2021.
Funds with Short-Term Capital Gain Designation
For the tax year ended October 31, 2021, the Trust does not have any ordinary distributions paid during the Trust's tax year that are from qualified short-term capital gain. The funds designate up to the maximum amount of Qualified Short Term Gains.
Funds with Equalization
For the tax year ended October 31, 2021, the following Funds utilized equalization to offset long-term capital gains with the amounts stated below:
Fund | Long-Term | ||||||
Ultra Consumer Services | $ | 6,993 | |||||
Ultra Dow30SM | 4,540,122 | ||||||
Ultra MSCI Japan | 1,047,452 | ||||||
Ultra QQQ | 44,589,425 | ||||||
Ultra S&P500® | 39,510,314 | ||||||
Ultra Semiconductors | 1 | ||||||
Ultra Technology | 67,222 | ||||||
UltraPro Dow30SM | 7,968,810 | ||||||
UltraPro QQQ | 129,111,385 | ||||||
UltraPro S&P500® | 23,837,200 |
Proxy Voting Information
A description of the Trust's (1) proxy voting policies, (2) proxy voting procedures and (3) information regarding how the Trust voted any proxies related to portfolio securities for the prior twelve-month period ended June 30, is available by August 31 of each year, without charge, upon request by contacting the Fund directly at 1-866-PRO-5125 or on the Securities and Exchange Commission ("SEC") Website (http://www.sec.gov).
Quarterly Portfolio Holdings Information
The Funds will file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT (Form N-Q for filings prior to March 1, 2019). The Funds' Form N-PORT will be available on the SEC's Website at http://www.sec.gov. The Funds' Form N-PORT may also be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Premium/Discount Information
Information about the differences between the daily market price on the secondary markets for shares of a Fund and the Fund's net asset value may be found on the website at www.ProShares.com
PROSHARES TRUST MISC. INFORMATION (UNAUDITED) :: 299
Name,
Address and Birth Date |
Position(s) Held with the Trust |
Term
of Office and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number
of Portfolios* in Fund Complex Overseen by Trustee |
Other Directorships Held by Trustee |
||||||||||||||||||
Independent Trustees | |||||||||||||||||||||||
William D. Fertig c/o ProFunds 7272 Wisconsin Avenue, 21st Floor Bethesda, MD 20814 Birth Date: 9/56 |
Trustee | Indefinite; June 2011 to present | Context Capital Management (Alternative Asset Management): Chief Investment Officer (September 2002 to present) | ProShares (119) ProFunds (116) | Context Capital | ||||||||||||||||||
Russell S. Reynolds, III c/o ProFunds 7272 Wisconsin Avenue, 21st Floor Bethesda, MD 20814 Birth Date: 7/57 |
Trustee | Indefinite; November 2005 to present | RSR Partners and predecessor company (Retained Executive Recruitment and Corporate Governance Consulting): Managing Director (February 1993 to present) | ProShares (119) ProFunds (116) | RSR Partners, Inc. | ||||||||||||||||||
Michael C. Wachs c/o ProFunds 7272 Wisconsin Avenue, 21st Floor Bethesda, MD 20814 Birth Date: 10/61 |
Trustee | Indefinite; November 2005 to present | Linden Lane Capital Partners LLC (Real Estate Investment and Development): Managing Principal (2010 to present) | ProShares (119) ProFunds (116) | NAIOP (the Commercial Real Estate Development Association) | ||||||||||||||||||
Interested Trustee and Chairman of the Board | |||||||||||||||||||||||
Michael L. Sapir** 7272 Wisconsin Avenue, 21st Floor Bethesda, MD 20814 Birth Date: 5/58 |
Trustee and Chairman | Indefinite; 2002 to present | Chairman and Chief Executive Officer of the ProShare Advisors (November 2005 to present); ProFund Advisors LLC (April 1997 to present); and ProShare Capital Management LLC (August 2008 to present) | ProShares (119) ProFunds (116) |
* Represents number of operational portfolios in Fund complex overseen by Trustee.
** Mr. Sapir is an "interested person," as defined by the 1940 Act, because of his ownership interest in ProShare Advisors.
The Statement of Additional Information ("SAI") includes additional information about the Trust's Trustees and is available, without charge, upon request by contacting the Fund directly at 1-866-PRO-5125.
300 :: TRUSTEES AND EXECUTIVE OFFICERS OF PROSHARES TRUST (UNAUDITED) PROSHARES TRUST
Name,
Address and Birth Date |
Position(s) Held with the Trust |
Term
of Office and Length of Time Served |
Principal Occupation(s) During Past 5 Years | ||||||||||||
Officers | |||||||||||||||
Todd B. Johnson 7272 Wisconsin Avenue, 21st Floor Bethesda, MD 20814 Birth Date: 1/64 |
President | Indefinite; January 2014 to present | Chief Investment Officer of the Proshare Advisors (December 2008 to present); ProFund Advisors LLC (December 2008 to present); and ProShare Capital Management LLC (February 2009 to present) | ||||||||||||
Maria PC Sell 3 Canal Plaza, Suite 100 Portland, ME 04101 Birth Date: 2/78 |
Treasurer | Indefinite; June 2022 to present | Director, Fund Officer Services, Foreside Financial Group, LLC (June 2021 to present); Assistant Treasurer, ProShares Trust (September 2021 to June 2022); Franklin Templeton: Director, Fund Administration and Reporting (April 2014 to April 2021) | ||||||||||||
Victor M. Frye, Esq. 7272 Wisconsin Avenue, 21st Floor Bethesda, MD 20814 Birth Date: 10/58 |
Chief Compliance Officer and AML Officer | Indefinite; November 2005 to present | Counsel and Chief Compliance Officer of the ProShare Advisors (December 2004 to present) and ProFund Advisors LLC (October 2002 to present); Secretary of ProFunds Distributors, Inc. (April 2008 to present) | ||||||||||||
Richard F. Morris 7272 Wisconsin Avenue, 21st Floor Bethesda, MD 20814 Birth Date: 8/67 |
Chief Legal Officer and Secretary | Indefinite; December 2015 to present | General Counsel of ProShareAdvisors; ProFund Advisors LLC; and ProShare Capital Management LLC (December 2015 to present); Chief Legal Officer of ProFunds Distributors, Inc. (December 2015 to present) |
PROSHARES TRUST TRUSTEES AND EXECUTIVE OFFICERS OF PROSHARES TRUST (UNAUDITED) :: 301
ProShares Trust
7272 Wisconsin Avenue, 21st Floor, Bethesda, MD 20814
866.PRO.5125 866.776.5125
ProShares.com
Geared ETFs seek returns that are either 3x, 2x, -1x, -2x or -3x the return of an index or other benchmark (target) for a single day, as measured from one NAV calculation to the next. Due to the compounding of daily returns, ProShares' returns over periods other than one day will likely differ in amount and possibly direction from the target return for the same period. These effects may be more pronounced in funds with larger or inverse multiples and in funds with volatile benchmarks. Investors should monitor their holdings consistent with their strategies, as frequently as daily. For more on correlation, leverage and other risks, please read the prospectus.
This report is submitted for the general information of the shareholders of ProShares. It is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus. To obtain the most recent month end performance information for each ETF, visit ProShares.com.
"QQQ", "NASDAQ-100®" and "NASDAQ Biotechnology Index®" are trademarks of The NASDAQ OMX Group, Inc. "Standard & Poor's®", "S&P®", "S&P 500®", "S&P MidCap 400®", "S&P SmallCap 600®", "Standard & Poor's 500®", certain "S&P Select Industry Indices", "Dow Jones Index", "DJ", "Dow Jones Industrial AverageSM", "The Dow 30SM", "Dow Jones U.S. Sector Indexes", "Dow Jones Select Sector Indexes" are products of S&P Dow Jones Indices LLC and its affiliates. The "Russell 2000® Index" and "Russell®" are trademarks of Russell Investment Group. "MSCI", "MSCI Inc.", "MSCI Index" and "EAFE" are service marks of MSCI. "ICE U.S. 7-10 Year Bond IndexTM" and "ICE U.S. 20+ Year Bond IndexTM" are trademarks of Intercontinental Exchange, Inc. "iBoxx®" is a registered trademark of Markit Indices Limited. All have been licensed for use by ProShares. "S&P®" is a registered trademark of Standard & Poor's Financial Services LLC ("S&P") and "Dow Jones®" is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones") and have been licensed for use by S&P Dow Jones Indices LLC and its affiliates. "FTSE®" is a trademark of the London Stock Exchange plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under license. ProShares have not been passed on by these entities or their subsidiaries or affiliates as to their legality or suitability. ProShares are not sponsored, endorsed, sold or promoted by these entities or their subsidiaries or affiliates, and they make no representation regarding the advisability of investing in ProShares. THESE ENTITIES AND THEIR SUBSIDIARIES AND AFFILIATES MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO PROSHARES.