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Item 1. |
Business.
|
Index |
Bloomberg Ticker Symbol |
|||
S&P
500 VIX Short-Term Futures Index |
SPVXSP | |||
S&P
500 VIX
Mid-Term Futures
Index |
SPVXMPID |
Underlying
Benchmark |
Create/Redeem Cutoff* |
NAV Calculation Time |
||||||
Silver |
1:00 p.m. (Eastern Time | ) | 1:25 p.m. (Eastern Time | ) | ||||
Gold |
1:00 p.m. (Eastern Time | ) | 1:30 p.m. (Eastern Time | ) | ||||
S&P
500 VIX Short-Term Futures Index** |
2:00 p.m. (Eastern Time | ) | 4:00 p.m. (Eastern Time | ) | ||||
S&P
500 VIX
Mid-Term Futures
Index** |
2:00 p.m. (Eastern Time | ) | 4:00 p.m. (Eastern Time | ) | ||||
Bloomberg
Commodity Balanced WTI Crude Oil Index
SM |
2:00 p.m. (Eastern Time | ) | 2:30 p.m. (Eastern Time | ) | ||||
Bloomberg
Natural Gas Subindex
SM |
2:00 p.m. (Eastern Time | ) | 2:30 p.m. (Eastern Time | ) | ||||
Australian
dollar |
3:00 p.m. (Eastern Time | ) | 4:00 p.m. (Eastern Time | ) | ||||
Euro |
3:00 p.m. (Eastern Time | ) | 4:00 p.m. (Eastern Time | ) | ||||
Yen |
3:00 p.m. (Eastern Time | ) | 4:00 p.m. (Eastern Time | ) |
* |
Although
the Funds’ shares may continue to trade on secondary markets subsequent to
the calculation of the final NAV, these times represent the final
opportunity to transact in creation or redemption units for the year ended
December 31, 2020. |
** |
Effective
Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary
of the Chicago Board Options Exchange) changed the settlement time for the
VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern
Time) to 4:00 p.m. (Eastern Time). Please see Note 8 of the Notes to
Financial Statements of this Form
10-K for
more information. |
• |
it
determines that the purchase order is not in proper form;
|
• |
the
Sponsor believes that the purchase order would have adverse tax
consequences to a Fund or its shareholders;
|
• |
the
order would be illegal; or |
• |
circumstances
outside the control of the Sponsor make it, for all practical purposes,
not feasible to process creations of Creation Units.
|
Fund |
NAV Calculation Time | |
ProShares
UltraShort Silver* and ProShares Ultra Silver |
1:25 p.m. (Eastern Time) | |
ProShares
UltraShort Gold* and ProShares Ultra Gold |
1:30 p.m. (Eastern Time) | |
ProShares
UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude
Oil |
2:30 p.m. (Eastern Time) | |
ProShares
UltraShort Bloomberg Natural Gas and ProShares Ultra Bloomberg Natural
Gas |
2:30 p.m. (Eastern Time) | |
ProShares
Short Euro, ProShares UltraShort Euro and ProShares Ultra
Euro |
4:00 p.m. (Eastern Time) | |
ProShares
UltraShort Australian Dollar |
4:00 p.m. (Eastern Time) | |
ProShares
UltraShort Yen and ProShares Ultra Yen |
4:00 p.m. (Eastern Time) | |
ProShares
VIX Short-Term Futures ETF*, ProShares Ultra VIX Short-Term Futures ETF*
and |
||
ProShares
Short VIX Short-Term Futures ETF* |
4:00 p.m. (Eastern Time) | |
ProShares
VIX
Mid-Term Futures
ETF* |
4:00 p.m. (Eastern Time) |
* |
Effective
Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary
of the Chicago Board Options Exchange) changed the settlement time for the
VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern
Time) to 4:00 p.m. (Eastern Time). Please see Note 8 of the Notes to the
Financial Statements of this Form
10-K for
more information. |
• |
initial
SEC registration fees and SEC and FINRA filing fees;
|
• |
costs
of preparing, printing (including typesetting), amending, supplementing,
mailing and distributing the Trust’s Registration Statements, the exhibits
thereto and the related prospectuses; |
• |
the
costs of qualifying, printing (including typesetting), amending,
supplementing and mailing sales materials used in connection with the
offering and issuance of the Shares; and |
• |
accounting,
auditing and legal fees (including disbursements related thereto) incurred
in connection therewith. |
Item 1A. |
Risk
Factors. |
• |
Due
to the compounding of daily returns, the Geared Funds’ returns over
periods longer than a single day will likely differ in amount and possibly
even direction from the Geared Fund multiple times the benchmark return
for the period. |
• |
Correlation
risks specific to the Geared Funds may arise because the Geared Funds seek
to rebalance their portfolios daily to keep daily exposure consistent with
their investment objectives to achieve a high degree of daily correlation
with their applicable underlying benchmarks.
|
• |
The
use of leveraged, inverse and/or inverse leveraged positions could result
in the total loss of an investor’s investment within a single day.
|
• |
A
number of factors may have a negative impact on the price of commodities,
such as oil, gold, silver and gas, and the price of Financial Instruments
based on such commodities. |
• |
Intraday
price/performance of Geared Funds will likely differ from the Fund’s
stated daily multiple times the performance of its Benchmark for such day.
|
• |
The
Currency Funds are subject to a number of risks impacting the value of
non-U.S. currencies
and the value of Financial Instruments based on such currencies. For
example, European financial markets and the value of the euro have
experienced significant volatility, in part related to unemployment,
budget deficits and economic downturns. In addition, the euro could be
abandoned in the future by countries that have already adopted its use.
|
• |
The
Precious Metals Funds do not hold gold or silver bullion. Rather, the
Precious Metals Funds use Financial Instruments to gain exposure to gold
and silver bullion. Using Financial Instruments to obtain exposure to gold
or silver bullion may cause tracking error and subject the Precious Metals
Funds to the effects of contango and backwardation.
|
• |
The
Natural Gas Funds are linked to an index comprised of natural gas futures
contracts, and are not directly linked to the “spot” price of natural gas.
Natural Gas futures contracts may perform very differently from the spot
price of natural gas. |
• |
The
Oil Funds are linked to an index comprised of crude oil futures contracts,
and are not directly linked to the “spot” price of crude oil. Oil futures
contracts may perform very differently from the spot price of crude oil.
|
• |
In
April 2020, the market for crude oil futures contracts experienced a
period of “extraordinary contango” (the spot price for a commodity is
significantly lower than the price of the futures contract in that
commodity) that resulted in a negative price in the May 2020 WTI crude oil
futures contract. If all or a significant portion of the futures contracts
held by the Oil Funds at a future date were to reach a negative price,
investors in any such Fund could lose their entire investment.
|
• |
The
VIX Funds are benchmarked to a VIX Futures Index. They are not benchmarked
to the VIX or actual realized volatility of the S&P 500.
|
• |
VIX
futures contracts can be highly volatile and the Funds may experience
sudden and large losses when buying, selling or holding such instruments.
|
• |
The
level of the VIX has historically reverted to a long-term mean level and
is subject to sudden and unexpected reversions to its mean. Accordingly,
investors should not expect the VIX Funds to retain any appreciation in
value over extended periods of time. |
• |
There
is no guarantee that a Fund will achieve its investment objective or that
the returns of a Fund will correlate to the returns of its index times its
stated multiple. There may be circumstances that could prevent a Fund from
being operated in a manner consistent with its investment objective and
principal investment strategies. |
• |
The
assets that the Funds invest in can be highly volatile and the Funds may
experience large losses when buying, selling or holding such instruments;
you can lose of your investment within a single day.
|
• |
Each
Fund seeks to achieve its investment objective even during periods when
the performance of the Fund’s benchmark is flat of when the benchmark is
moving in a manner that may cause the value of the Fund to decline.
|
• |
The
value of the Shares of the Funds relates directly to the value of, and
realized profit or loss from, the Financial Instruments and other assets
held by that Fund. Fluctuations in the price of these Financial
Instruments or assets could materially adversely affect an investment in
such Fund’s Shares. |
• |
Margin
requirements and position limits applicable to futures contracts and swaps
may limit a Fund’s ability to achieve sufficient exposure and prevent a
Fund from achieving its investment objective.
|
• |
Possible
illiquid markets may cause or exacerbate losses; the large size of the
positions the Funds may acquire increases these risks.
|
• |
The
Funds may be subject to significant and sustained losses from rolling
futures positions. |
• |
It
may not be possible to gain exposure to the benchmarks using
exchange-traded Financial Instruments in the future.
|
• |
Fees
are charged regardless of a Fund’s returns and may result in depletion of
assets. |
• |
For
the Funds linked to a benchmark, changes implemented by the benchmark
provider that affect the composition and valuation of the benchmark could
adversely affect the value of Fund Shares and an investment in a Fund
Shares. |
• |
The
particular benchmark used by a Fund may underperform other asset classes
and may underperform other indices or benchmarks based upon the same
underlying Reference Asset. |
• |
The
Funds may be subject to counterparty risks.
|
• |
Historical
correlation trends between Fund benchmarks and other asset classes may not
continue or may reverse, limiting or eliminating any potential
diversification or other benefit from owning a Fund.
|
• |
The
lack of active trading markets for any of the Shares of the Funds may
result in losses on investors’ investments at the time of disposition of
such Shares. |
• |
A
Fund may change its investment objective, benchmark or strategies and may
liquidate at a time that is disadvantageous to shareholders.
|
• |
Investors
may be adversely affected by redemption or creation orders that are
subject to postponement, suspension or rejection under certain
circumstances. |
• |
The
NAV per Share may not correspond to the market price per Share.
|
• |
Investors
may be adversely affected by an overstatement or understatement of a
Fund’s NAV due to the valuation method employed or errors in the NAV
calculation. |
• |
Purchases
of a Fund’s creation units may be suspended if the Fund issues all of its
currently remaining registered shares – this may have a negative impact on
the trading price and liquidity of Fund shares
|
• |
Regulatory
and exchange position limits or accountability levels may restrict the
creation of Creation Units and have a negative impact on operation of the
Trust. |
• |
The
number of underlying components included in a Fund’s benchmark may impact
volatility, which could adversely affect an investment in the Shares.
|
• |
The
liquidity of the Shares may also be affected by the withdrawal from
participation of Authorized Participants, which could adversely affect the
market price of the Shares. |
• |
Shareholders
that are not Authorized Participants may only purchase or sell their
Shares in secondary trading markets, and the conditions associated with
trading in secondary markets may adversely affect investors’ investment in
the Shares. |
• |
The
applicable Exchange may halt trading in the Shares of a Fund which would
adversely impact investors’ ability to sell Shares.
|
• |
Shareholders
do not have the protections associated with ownership of shares in an
investment company registered under the 1940 Act.
|
• |
Shareholders
do not have the rights enjoyed by investors in certain other vehicles and
may be adversely affected by a lack of statutory rights and by limited
voting and distribution rights. |
• |
The
value of the Shares will be adversely affected if the Funds are required
to indemnify Wilmington Trust Company (the “Trustee”) and/or the Sponsor.
|
• |
Although
the Shares of the Funds are limited liability investments, certain
circumstances such as bankruptcy of a Fund will increase a shareholder’s
liability. |
• |
Failure
of the FCMs to segregate assets may increase losses in the Funds.
|
• |
A
court could potentially conclude that the assets and liabilities of one
Fund are not segregated from those of another Fund and may thereby
potentially expose assets in a Fund to the liabilities of another Fund.
|
• |
The
discontinuance of LIBOR could cause or contribute to market volatility and
could affect the market value and/or liquidity of the Funds’ investments.
|
• |
Due
to the increased use of technologies, intentional and unintentional
cyber-attacks pose operational and information security risks.
|
• |
Trading
on exchanges outside the United States is generally not subject to U.S.
regulation and may result in different or diminished investor protections.
|
• |
Competing
claims of intellectual property rights may affect the Funds and an
investment in the Shares. |
• |
Shareholders’
tax liability may exceed cash distributions on the Shares.
|
• |
The
U.S. Internal Revenue Service (“IRS”) could adjust or reallocate items of
income, gain, deduction, loss and credit with respect to the Shares if the
IRS does not accept the assumptions or conventions utilized by the Fund.
|
• |
Shareholders
will receive partner information tax returns on Schedule
K-1, which
could increase the complexity of tax returns. |
• |
Shareholders
of each Fund may recognize significant amounts of ordinary income and
short-term capital gain. |
• |
A
Fund could be treated as a corporation for federal income tax purposes,
which may substantially reduce the value of Shares.
|
• |
Changes
in U.S. federal income tax law could affect an investment in the Shares.
|
• |
The
Funds and the Sponsor are subject to extensive legal and regulatory
requirements. Regulatory changes or actions, including the implementation
of new legislation, may alter the operations and profitability of the
Funds. |
• |
Investors
cannot be assured of the Sponsor’s continued services, the discontinuance
of which may be detrimental to the Funds. |
• |
The term “Matching VIX
Fund” refers to ProShares VIX Short-Term Futures ETF and ProShares VIX
Mid-Term Futures
ETF; |
• |
The term “Geared VIX
Fund” refers to ProShares Ultra VIX Short-Term Futures ETF and ProShares
Short VIX Short-Term Futures ETF; |
• |
The term “VIX Fund”
refers to each Geared VIX Fund and each Matching VIX
Fund; |
• |
The term “Geared Fund”
refers to ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort
Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort
Silver, ProShares Short Euro, ProShares UltraShort Australian Dollar,
ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra
Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares
Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares
Ultra Yen, and each Geared VIX Fund; |
• |
The term “Natural Gas
Fund” refers to ProShares UltraShort Bloomberg Natural Gas and ProShares
Ultra Bloomberg Natural Gas ; |
• |
The term “Oil Fund”
refers to ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra
Bloomberg Crude Oil; |
• |
The term “Precious Metal
Fund” refers to ProShares UltraShort Gold, ProShares UltraShort Silver,
ProShares Ultra Gold and ProShares Ultra Silver;
and |
• |
The term “Currency Fund”
refers to ProShares Short Euro, ProShares UltraShort Australian Dollar,
ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Euro
and ProShares Ultra Yen. |
Benchmark XYZ |
Fund XYZ |
|||||||||||||||
Level |
Daily Performance |
Daily Performance |
Net Asset Value |
|||||||||||||
Start |
100.00 | $ | 100.00 | |||||||||||||
Day
1 |
97.00 | -3.00 | % | -6.00 | % | 94.00 | ||||||||||
Day
2 |
99.91 | 3.00 | % | 6.00 | % | 99.64 | ||||||||||
Day
3 |
96.91 | -3.00 | % | -6.00 | % | 93.66 | ||||||||||
Day
4 |
99.82 | 3.00 | % | 6.00 | % | 99.28 | ||||||||||
Day
5 |
96.83 | -3.00 | % | -6.00 | % | 93.32 | ||||||||||
Day
6 |
99.73 | 3.00 | % | 6.00 | % | 98.92 | ||||||||||
Day
7 |
96.74 | -3.00 | % | -6.00 | % | 92.99 | ||||||||||
|
|
|
|
|||||||||||||
Total
Return |
|
-3.26 |
% |
|
-7.01 |
% |
||||||||||
|
|
|
|
Benchmark XYZ |
Fund XYZ |
|||||||||||||||
Level |
Daily Performance |
Daily Performance |
Net Asset Value |
|||||||||||||
Start |
100.00 | $ | 100.00 | |||||||||||||
Day
1 |
103.00 | 3.00 | % | 6.00 | % | 106.00 | ||||||||||
Day
2 |
99.91 | -3.00 | % | -6.00 | % | 99.64 | ||||||||||
Day
3 |
102.91 | 3.00 | % | 6.00 | % | 105.62 | ||||||||||
Day
4 |
99.82 | -3.00 | % | -6.00 | % | 99.28 | ||||||||||
Day
5 |
102.81 | 3.00 | % | 6.00 | % | 105.24 | ||||||||||
Day
6 |
99.73 | -3.00 | % | -6.00 | % | 98.92 | ||||||||||
Day
7 |
102.72 | 3.00 | % | 6.00 | % | 104.86 | ||||||||||
|
|
|
|
|||||||||||||
Total
Return |
|
2.72 |
% |
|
4.86 |
% |
||||||||||
|
|
|
|
Index |
Identifier |
Historical Five-Year Average Volatility Rate As of December 31, 2020 |
||||||
S&P
500 VIX Short-Term Futures Index |
SPVXSP | 77.10 | % | |||||
S&P
500 VIX
Mid-Term Futures
Index |
SPVXMPID | 36.41 | % | |||||
Bloomberg
Commodity Balanced WTI Crude Oil Index
SM |
BCBCLI | 36.42 | % | |||||
Bloomberg
Natural Gas Subindex
SM |
BCOMNG | 42.53 | % | |||||
Bloomberg
Gold Subindex
SM |
BCOMGC | 14.64 | % | |||||
Bloomberg
Silver Subindex
SM |
BCOMSI | 27.79 | % | |||||
The
US dollar price of the euro |
USDEUR | 7.05 | % | |||||
The
US dollar price of the Japanese yen |
USDJPY | 8.65 | % | |||||
The
US dollar price of the Australian dollar |
USDAUD | 9.52 | % |
Index Volatility |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One
Year Index Performance |
One-Half the Invers (-0.5x) One Year Index Performance |
0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | 75% | |||||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
30.0 | % | 58.1 | % | 58.0 | % | 57.5 | % | 56.8 | % | 55.8 | % | 54.5 | % | 52.9 | % | 51.0 | % | 48.9 | % | 46.6 | % | 44.0 | % | 41.2 | % | 38.1 | % | 34.9 | % | 31.6 | % | 28.0 | % | ||||||||||||||||||||||||||||||||||
-55% |
27.5 | % | 49.1 | % | 48.9 | % | 48.5 | % | 47.8 | % | 46.9 | % | 45.6 | % | 44.1 | % | 42.4 | % | 40.4 | % | 38.2 | % | 35.7 | % | 33.1 | % | 30.2 | % | 27.2 | % | 24.0 | % | 20.7 | % | ||||||||||||||||||||||||||||||||||
-50% |
25.0 | % | 41.4 | % | 41.3 | % | 40.9 | % | 40.2 | % | 39.3 | % | 38.1 | % | 36.7 | % | 35.1 | % | 33.2 | % | 31.1 | % | 28.8 | % | 26.3 | % | 23.6 | % | 20.7 | % | 17.7 | % | 14.5 | % | ||||||||||||||||||||||||||||||||||
-45% |
22.5 | % | 34.8 | % | 34.7 | % | 34.3 | % | 33.7 | % | 32.8 | % | 31.7 | % | 30.4 | % | 28.8 | % | 27.0 | % | 25.0 | % | 22.8 | % | 20.4 | % | 17.8 | % | 15.1 | % | 12.2 | % | 9.2 | % | ||||||||||||||||||||||||||||||||||
-40% |
20.0 | % | 29.1 | % | 29.0 | % | 28.6 | % | 28.0 | % | 27.2 | % | 26.1 | % | 24.8 | % | 23.3 | % | 21.6 | % | 19.7 | % | 17.5 | % | 15.3 | % | 12.8 | % | 10.2 | % | 7.4 | % | 4.5 | % | ||||||||||||||||||||||||||||||||||
-35% |
17.5 | % | 24.0 | % | 23.9 | % | 23.6 | % | 23.0 | % | 22.2 | % | 21.2 | % | 19.9 | % | 18.5 | % | 16.8 | % | 15.0 | % | 12.9 | % | 10.7 | % | 8.4 | % | 5.9 | % | 3.2 | % | 0.4 | % | ||||||||||||||||||||||||||||||||||
-30% |
15.0 | % | 19.5 | % | 19.4 | % | 19.1 | % | 18.5 | % | 17.7 | % | 16.8 | % | 15.6 | % | 14.2 | % | 12.6 | % | 10.8 | % | 8.8 | % | 6.7 | % | 4.4 | % | 2.0 | % | -0.5 | % | -3.2 | % | ||||||||||||||||||||||||||||||||||
-25% |
12.5 | % | 15.5 | % | 15.4 | % | 15.0 | % | 14.5 | % | 13.8 | % | 12.8 | % | 11.6 | % | 10.3 | % | 8.7 | % | 7.0 | % | 5.1 | % | 3.1 | % | 0.9 | % | -1.4 | % | -3.9 | % | -6.5 | % | ||||||||||||||||||||||||||||||||||
-20% |
10.0 | % | 11.8 | % | 11.7 | % | 11.4 | % | 10.9 | % | 10.1 | % | 9.2 | % | 8.1 | % | 6.8 | % | 5.3 | % | 3.6 | % | 1.8 | % | -0.2 | % | -2.3 | % | -4.6 | % | -7.0 | % | -9.5 | % | ||||||||||||||||||||||||||||||||||
-15% |
7.5 | % | 8.5 | % | 8.4 | % | 8.1 | % | 7.6 | % | 6.9 | % | 6.0 | % | 4.9 | % | 3.6 | % | 2.1 | % | 0.5 | % | -1.2 | % | -3.2 | % | -5.2 | % | -7.4 | % | -9.7 | % | -12.2 | % | ||||||||||||||||||||||||||||||||||
-10% |
5.0 | % | 5.4 | % | 5.3 | % | 5.0 | % | 4.5 | % | 3.8 | % | 3.0 | % | 1.9 | % | 0.7 | % | -0.7 | % | -2.3 | % | -4.0 | % | -5.9 | % | -7.9 | % | -10.0 | % | -12.3 | % | -14.6 | % | ||||||||||||||||||||||||||||||||||
-5% |
2.5 | % | 2.6 | % | 2.5 | % | 2.2 | % | 1.7 | % | 1.1 | % | 0.2 | % | -0.8 | % | -2.0 | % | -3.4 | % | -4.9 | % | -6.6 | % | -8.4 | % | -10.4 | % | -12.4 | % | -14.6 | % | -16.9 | % | ||||||||||||||||||||||||||||||||||
0% |
0.0 | % | 0.0 | % | -0.1 | % | -0.4 | % | -0.8 | % | -1.5 | % | -2.3 | % | -3.3 | % | -4.5 | % | -5.8 | % | -7.3 | % | -8.9 | % | -10.7 | % | -12.6 | % | -14.7 | % | -16.8 | % | -19.0 | % | ||||||||||||||||||||||||||||||||||
5% |
-2.5 | % | -2.4 | % | -2.5 | % | -2.8 | % | -3.2 | % | -3.9 | % | -4.7 | % | -5.6 | % | -6.8 | % | -8.1 | % | -9.5 | % | -11.1 | % | -12.9 | % | -14.7 | % | -16.7 | % | -18.8 | % | -21.0 | % | ||||||||||||||||||||||||||||||||||
10% |
-5.0 | % | -4.7 | % | -4.7 | % | -5.0 | % | -5.5 | % | -6.1 | % | -6.9 | % | -7.8 | % | -8.9 | % | -10.2 | % | -11.6 | % | -13.2 | % | -14.9 | % | -16.7 | % | -18.6 | % | -20.7 | % | -22.8 | % | ||||||||||||||||||||||||||||||||||
15% |
-7.5 | % | -6.7 | % | -6.8 | % | -7.1 | % | -7.5 | % | -8.1 | % | -8.9 | % | -9.8 | % | -10.9 | % | -12.2 | % | -13.6 | % | -15.1 | % | -16.7 | % | -18.5 | % | -20.4 | % | -22.4 | % | -24.5 | % | ||||||||||||||||||||||||||||||||||
20% |
-10.0 | % | -8.7 | % | -8.8 | % | -9.1 | % | -9.5 | % | -10.1 | % | -10.8 | % | -11.7 | % | -12.8 | % | -14.0 | % | -15.4 | % | -16.9 | % | -18.5 | % | -20.2 | % | -22.1 | % | -24.0 | % | -26.1 | % | ||||||||||||||||||||||||||||||||||
25% |
-12.5 | % | -10.6 | % | -10.6 | % | -10.9 | % | -11.3 | % | -11.9 | % | -12.6 | % | -13.5 | % | -14.6 | % | -15.8 | % | -17.1 | % | -18.6 | % | -20.1 | % | -21.9 | % | -23.7 | % | -25.6 | % | -27.6 | % | ||||||||||||||||||||||||||||||||||
30% |
-15.0 | % | -12.3 | % | -12.4 | % | -12.6 | % | -13.0 | % | -13.6 | % | -14.3 | % | -15.2 | % | -16.2 | % | -17.4 | % | -18.7 | % | -20.1 | % | -21.7 | % | -23.4 | % | -25.1 | % | -27.0 | % | -29.0 | % | ||||||||||||||||||||||||||||||||||
35% |
-17.5 | % | -13.9 | % | -14.0 | % | -14.3 | % | -14.7 | % | -15.2 | % | -15.9 | % | -16.8 | % | -17.8 | % | -18.9 | % | -20.2 | % | -21.6 | % | -23.2 | % | -24.8 | % | -26.5 | % | -28.4 | % | -30.3 | % | ||||||||||||||||||||||||||||||||||
40% |
-20.0 | % | -15.5 | % | -15.6 | % | -15.8 | % | -16.2 | % | -16.7 | % | -17.4 | % | -18.3 | % | -19.3 | % | -20.4 | % | -21.7 | % | -23.0 | % | -24.5 | % | -26.2 | % | -27.9 | % | -29.7 | % | -31.6 | % | ||||||||||||||||||||||||||||||||||
45% |
-22.5 | % | -17.0 | % | -17.0 | % | -17.3 | % | -17.7 | % | -18.2 | % | -18.9 | % | -19.7 | % | -20.7 | % | -21.8 | % | -23.0 | % | -24.4 | % | -25.9 | % | -27.4 | % | -29.1 | % | -30.9 | % | -32.7 | % | ||||||||||||||||||||||||||||||||||
50% |
-25.0 | % | -18.4 | % | -18.4 | % | -18.7 | % | -19.0 | % | -19.6 | % | -20.2 | % | -21.1 | % | -22.0 | % | -23.1 | % | -24.3 | % | -25.7 | % | -27.1 | % | -28.7 | % | -30.3 | % | -32.1 | % | -33.9 | % | ||||||||||||||||||||||||||||||||||
55% |
-27.5 | % | -19.7 | % | -19.8 | % | -20.0 | % | -20.4 | % | -20.9 | % | -21.5 | % | -22.3 | % | -23.3 | % | -24.4 | % | -25.6 | % | -26.9 | % | -28.3 | % | -29.8 | % | -31.4 | % | -33.2 | % | -35.0 | % | ||||||||||||||||||||||||||||||||||
60% |
-30.0 | % | -20.9 | % | -21.0 | % | -21.2 | % | -21.6 | % | -22.1 | % | -22.8 | % | -23.6 | % | -24.5 | % | -25.5 | % | -26.7 | % | -28.0 | % | -29.4 | % | -30.9 | % | -32.5 | % | -34.2 | % | -36.0 | % |
Benchmark Volatility |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance |
Inverse(-1x) of One Year Benchmark Performance |
0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
60 | % | 150.0 | % | 149.4 | % | 147.5 | % | 144.4 | % | 140.2 | % | 134.9 | % | 128.5 | % | 121.2 | % | 113.0 | % | 104.2 | % | 94.7 | % | 84.7 | % | 74.4 | % | 63.9 | % | 53.2 | % | ||||||||||||||||||||||||||||||||
-55% |
55 | % | 122.2 | % | 121.7 | % | 120.0 | % | 117.3 | % | 113.5 | % | 108.8 | % | 103.1 | % | 96.6 | % | 89.4 | % | 81.5 | % | 73.1 | % | 64.2 | % | 55.0 | % | 45.6 | % | 36.1 | % | ||||||||||||||||||||||||||||||||
-50% |
50 | % | 100.0 | % | 99.5 | % | 98.0 | % | 95.6 | % | 92.2 | % | 87.9 | % | 82.8 | % | 76.9 | % | 70.4 | % | 63.3 | % | 55.8 | % | 47.8 | % | 39.5 | % | 31.1 | % | 22.5 | % | ||||||||||||||||||||||||||||||||
-45% |
45 | % | 81.8 | % | 81.4 | % | 80.0 | % | 77.8 | % | 74.7 | % | 70.8 | % | 66.2 | % | 60.9 | % | 54.9 | % | 48.5 | % | 41.6 | % | 34.4 | % | 26.9 | % | 19.2 | % | 11.4 | % | ||||||||||||||||||||||||||||||||
-40% |
40 | % | 66.7 | % | 66.3 | % | 65.0 | % | 63.0 | % | 60.1 | % | 56.6 | % | 52.3 | % | 47.5 | % | 42.0 | % | 36.1 | % | 29.8 | % | 23.2 | % | 16.3 | % | 9.2 | % | 2.1 | % | ||||||||||||||||||||||||||||||||
-35% |
35 | % | 53.8 | % | 53.5 | % | 52.3 | % | 50.4 | % | 47.8 | % | 44.5 | % | 40.6 | % | 36.1 | % | 31.1 | % | 25.6 | % | 19.8 | % | 13.7 | % | 7.3 | % | 0.8 | % | -5.7 | % | ||||||||||||||||||||||||||||||||
-30% |
30 | % | 42.9 | % | 42.5 | % | 41.4 | % | 39.7 | % | 37.3 | % | 34.2 | % | 30.6 | % | 26.4 | % | 21.7 | % | 16.7 | % | 11.3 | % | 5.6 | % | -0.3 | % | -6.4 | % | -12.5 | % | ||||||||||||||||||||||||||||||||
-25% |
25 | % | 33.3 | % | 33.0 | % | 32.0 | % | 30.4 | % | 28.1 | % | 25.3 | % | 21.9 | % | 18.0 | % | 13.6 | % | 8.9 | % | 3.8 | % | -1.5 | % | -7.0 | % | -12.6 | % | -18.3 | % | ||||||||||||||||||||||||||||||||
-20% |
20 | % | 25.0 | % | 24.7 | % | 23.8 | % | 22.2 | % | 20.1 | % | 17.4 | % | 14.2 | % | 10.6 | % | 6.5 | % | 2.1 | % | -2.6 | % | -7.6 | % | -12.8 | % | -18.1 | % | -23.4 | % | ||||||||||||||||||||||||||||||||
-15% |
15 | % | 17.6 | % | 17.4 | % | 16.5 | % | 15.0 | % | 13.0 | % | 10.5 | % | 7.5 | % | 4.1 | % | 0.3 | % | -3.9 | % | -8.4 | % | -13.1 | % | -17.9 | % | -22.9 | % | -27.9 | % | ||||||||||||||||||||||||||||||||
-10% |
10 | % | 11.1 | % | 10.8 | % | 10.0 | % | 8.6 | % | 6.8 | % | 4.4 | % | 1.5 | % | -1.7 | % | -5.3 | % | -9.3 | % | -13.5 | % | -17.9 | % | -22.5 | % | -27.2 | % | -31.9 | % | ||||||||||||||||||||||||||||||||
-5% |
5 | % | 5.3 | % | 5.0 | % | 4.2 | % | 2.9 | % | 1.1 | % | -1.1 | % | -3.8 | % | -6.9 | % | -10.3 | % | -14.0 | % | -18.0 | % | -22.2 | % | -26.6 | % | -31.0 | % | -35.5 | % | ||||||||||||||||||||||||||||||||
0% |
0 | % | 0.0 | % | -0.2 | % | -1.0 | % | -2.2 | % | -3.9 | % | -6.1 | % | -8.6 | % | -11.5 | % | -14.8 | % | -18.3 | % | -22.1 | % | -26.1 | % | -30.2 | % | -34.5 | % | -38.7 | % | ||||||||||||||||||||||||||||||||
5% |
-5 | % | -4.8 | % | -5.0 | % | -5.7 | % | -6.9 | % | -8.5 | % | -10.5 | % | -13.0 | % | -15.7 | % | -18.8 | % | -22.2 | % | -25.8 | % | -29.6 | % | -33.6 | % | -37.6 | % | -41.7 | % | ||||||||||||||||||||||||||||||||
10% |
-10 | % | -9.1 | % | -9.3 | % | -10.0 | % | -11.1 | % | -12.7 | % | -14.6 | % | -16.9 | % | -19.6 | % | -22.5 | % | -25.8 | % | -29.2 | % | -32.8 | % | -36.6 | % | -40.4 | % | -44.3 | % | ||||||||||||||||||||||||||||||||
15% |
-15 | % | -13.0 | % | -13.3 | % | -13.9 | % | -15.0 | % | -16.5 | % | -18.3 | % | -20.5 | % | -23.1 | % | -25.9 | % | -29.0 | % | -32.3 | % | -35.7 | % | -39.3 | % | -43.0 | % | -46.7 | % | ||||||||||||||||||||||||||||||||
20% |
-20 | % | -16.7 | % | -16.9 | % | -17.5 | % | -18.5 | % | -19.9 | % | -21.7 | % | -23.8 | % | -26.3 | % | -29.0 | % | -31.9 | % | -35.1 | % | -38.4 | % | -41.9 | % | -45.4 | % | -48.9 | % | ||||||||||||||||||||||||||||||||
25% |
-25 | % | -20.0 | % | -20.2 | % | -20.8 | % | -21.8 | % | -23.1 | % | -24.8 | % | -26.9 | % | -29.2 | % | -31.8 | % | -34.7 | % | -37.7 | % | -40.9 | % | -44.2 | % | -47.6 | % | -51.0 | % | ||||||||||||||||||||||||||||||||
30% |
-30 | % | -23.1 | % | -23.3 | % | -23.8 | % | -24.8 | % | -26.1 | % | -27.7 | % | -29.7 | % | -31.9 | % | -34.5 | % | -37.2 | % | -40.1 | % | -43.2 | % | -46.3 | % | -49.6 | % | -52.9 | % | ||||||||||||||||||||||||||||||||
35% |
-35 | % | -25.9 | % | -26.1 | % | -26.7 | % | -27.6 | % | -28.8 | % | -30.4 | % | -32.3 | % | -34.5 | % | -36.9 | % | -39.5 | % | -42.3 | % | -45.3 | % | -48.3 | % | -51.5 | % | -54.6 | % | ||||||||||||||||||||||||||||||||
40% |
-40 | % | -28.6 | % | -28.7 | % | -29.3 | % | -30.2 | % | -31.4 | % | -32.9 | % | -34.7 | % | -36.8 | % | -39.1 | % | -41.7 | % | -44.4 | % | -47.2 | % | -50.2 | % | -53.2 | % | -56.2 | % | ||||||||||||||||||||||||||||||||
45% |
-45 | % | -31.0 | % | -31.2 | % | -31.7 | % | -32.6 | % | -33.7 | % | -35.2 | % | -37.0 | % | -39.0 | % | -41.2 | % | -43.7 | % | -46.3 | % | -49.0 | % | -51.9 | % | -54.8 | % | -57.7 | % | ||||||||||||||||||||||||||||||||
50% |
-50 | % | -33.3 | % | -33.5 | % | -34.0 | % | -34.8 | % | -35.9 | % | -37.4 | % | -39.1 | % | -41.0 | % | -43.2 | % | -45.6 | % | -48.1 | % | -50.7 | % | -53.5 | % | -56.3 | % | -59.2 | % | ||||||||||||||||||||||||||||||||
55% |
-55 | % | -35.5 | % | -35.6 | % | -36.1 | % | -36.9 | % | -38.0 | % | -39.4 | % | -41.0 | % | -42.9 | % | -45.0 | % | -47.3 | % | -49.8 | % | -52.3 | % | -55.0 | % | -57.7 | % | -60.5 | % | ||||||||||||||||||||||||||||||||
60% |
-60 | % | -37.5 | % | -37.7 | % | -38.1 | % | -38.9 | % | -40.0 | % | -41.3 | % | -42.9 | % | -44.7 | % | -46.7 | % | -49.0 | % | -51.3 | % | -53.8 | % | -56.4 | % | -59.0 | % | -61.7 | % |
Benchmark Volatility |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance |
Two Times Inverse(-2x) of One Year Benchmark Performance |
0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
120 | % | 525.0 | % | 520.3 | % | 506.5 | % | 484.2 | % | 454.3 | % | 418.1 | % | 377.1 | % | 332.8 | % | 286.7 | % | 240.4 | % | 195.2 | % | 152.2 | % | 112.2 | % | 76.0 | % | 43.7 | % | ||||||||||||||||||||||||||||||||
-55% |
110 | % | 393.8 | % | 390.1 | % | 379.2 | % | 361.6 | % | 338.0 | % | 309.4 | % | 277.0 | % | 242.0 | % | 205.6 | % | 169.0 | % | 133.3 | % | 99.3 | % | 67.7 | % | 39.0 | % | 13.5 | % | ||||||||||||||||||||||||||||||||
-50% |
100 | % | 300.0 | % | 297.0 | % | 288.2 | % | 273.9 | % | 254.8 | % | 231.6 | % | 205.4 | % | 177.0 | % | 147.5 | % | 117.9 | % | 88.9 | % | 61.4 | % | 35.8 | % | 12.6 | % | -8.0 | % | ||||||||||||||||||||||||||||||||
-45% |
90 | % | 230.6 | % | 228.1 | % | 220.8 | % | 209.0 | % | 193.2 | % | 174.1 | % | 152.4 | % | 128.9 | % | 104.6 | % | 80.1 | % | 56.2 | % | 33.4 | % | 12.3 | % | -6.9 | % | -24.0 | % | ||||||||||||||||||||||||||||||||
-40% |
80 | % | 177.8 | % | 175.7 | % | 169.6 | % | 159.6 | % | 146.4 | % | 130.3 | % | 112.0 | % | 92.4 | % | 71.9 | % | 51.3 | % | 31.2 | % | 12.1 | % | -5.7 | % | -21.8 | % | -36.1 | % | ||||||||||||||||||||||||||||||||
-35% |
70 | % | 136.7 | % | 134.9 | % | 129.7 | % | 121.2 | % | 109.9 | % | 96.2 | % | 80.7 | % | 63.9 | % | 46.5 | % | 28.9 | % | 11.8 | % | -4.5 | % | -19.6 | % | -33.4 | % | -45.6 | % | ||||||||||||||||||||||||||||||||
-30% |
60 | % | 104.1 | % | 102.6 | % | 98.1 | % | 90.8 | % | 81.0 | % | 69.2 | % | 55.8 | % | 41.3 | % | 26.3 | % | 11.2 | % | -3.6 | % | -17.6 | % | -30.7 | % | -42.5 | % | -53.1 | % | ||||||||||||||||||||||||||||||||
-25% |
50 | % | 77.8 | % | 76.4 | % | 72.5 | % | 66.2 | % | 57.7 | % | 47.4 | % | 35.7 | % | 23.1 | % | 10.0 | % | -3.2 | % | -16.0 | % | -28.3 | % | -39.6 | % | -49.9 | % | -59.1 | % | ||||||||||||||||||||||||||||||||
-20% |
40 | % | 56.3 | % | 55.1 | % | 51.6 | % | 46.1 | % | 38.6 | % | 29.5 | % | 19.3 | % | 8.2 | % | -3.3 | % | -14.9 | % | -26.2 | % | -36.9 | % | -46.9 | % | -56.0 | % | -64.1 | % | ||||||||||||||||||||||||||||||||
-15% |
30 | % | 38.4 | % | 37.4 | % | 34.3 | % | 29.4 | % | 22.8 | % | 14.7 | % | 5.7 | % | -4.2 | % | -14.4 | % | -24.6 | % | -34.6 | % | -44.1 | % | -53.0 | % | -61.0 | % | -68.2 | % | ||||||||||||||||||||||||||||||||
-10% |
20 | % | 23.5 | % | 22.5 | % | 19.8 | % | 15.4 | % | 9.5 | % | 2.3 | % | -5.8 | % | -14.5 | % | -23.6 | % | -32.8 | % | -41.7 | % | -50.2 | % | -58.1 | % | -65.2 | % | -71.6 | % | ||||||||||||||||||||||||||||||||
-5% |
10 | % | 10.8 | % | 10.0 | % | 7.5 | % | 3.6 | % | -1.7 | % | -8.1 | % | -15.4 | % | -23.3 | % | -31.4 | % | -39.6 | % | -47.7 | % | -55.3 | % | -62.4 | % | -68.8 | % | -74.5 | % | ||||||||||||||||||||||||||||||||
0% |
0 | % | 0.0 | % | -0.7 | % | -3.0 | % | -6.5 | % | -11.3 | % | -17.1 | % | -23.7 | % | -30.8 | % | -38.1 | % | -45.5 | % | -52.8 | % | -59.6 | % | -66.0 | % | -71.8 | % | -77.0 | % | ||||||||||||||||||||||||||||||||
5% |
-10 | % | -9.3 | % | -10.0 | % | -12.0 | % | -15.2 | % | -19.6 | % | -24.8 | % | -30.8 | % | -37.2 | % | -43.9 | % | -50.6 | % | -57.2 | % | -63.4 | % | -69.2 | % | -74.5 | % | -79.1 | % | ||||||||||||||||||||||||||||||||
10% |
-20 | % | -17.4 | % | -18.0 | % | -19.8 | % | -22.7 | % | -26.7 | % | -31.5 | % | -36.9 | % | -42.8 | % | -48.9 | % | -55.0 | % | -61.0 | % | -66.7 | % | -71.9 | % | -76.7 | % | -81.0 | % | ||||||||||||||||||||||||||||||||
15% |
-30 | % | -24.4 | % | -25.0 | % | -26.6 | % | -29.3 | % | -32.9 | % | -37.3 | % | -42.3 | % | -47.6 | % | -53.2 | % | -58.8 | % | -64.3 | % | -69.5 | % | -74.3 | % | -78.7 | % | -82.6 | % | ||||||||||||||||||||||||||||||||
20% |
-40 | % | -30.6 | % | -31.1 | % | -32.6 | % | -35.1 | % | -38.4 | % | -42.4 | % | -47.0 | % | -51.9 | % | -57.0 | % | -62.2 | % | -67.2 | % | -72.0 | % | -76.4 | % | -80.4 | % | -84.0 | % | ||||||||||||||||||||||||||||||||
25% |
-50 | % | -36.0 | % | -36.5 | % | -37.9 | % | -40.2 | % | -43.2 | % | -46.9 | % | -51.1 | % | -55.7 | % | -60.4 | % | -65.1 | % | -69.8 | % | -74.2 | % | -78.3 | % | -82.0 | % | -85.3 | % | ||||||||||||||||||||||||||||||||
30% |
-60 | % | -40.8 | % | -41.3 | % | -42.6 | % | -44.7 | % | -47.5 | % | -50.9 | % | -54.8 | % | -59.0 | % | -63.4 | % | -67.8 | % | -72.0 | % | -76.1 | % | -79.9 | % | -83.3 | % | -86.4 | % | ||||||||||||||||||||||||||||||||
35% |
-70 | % | -45.1 | % | -45.5 | % | -46.8 | % | -48.7 | % | -51.3 | % | -54.5 | % | -58.1 | % | -62.0 | % | -66.0 | % | -70.1 | % | -74.1 | % | -77.9 | % | -81.4 | % | -84.6 | % | -87.4 | % | ||||||||||||||||||||||||||||||||
40% |
-80 | % | -49.0 | % | -49.4 | % | -50.5 | % | -52.3 | % | -54.7 | % | -57.7 | % | -61.1 | % | -64.7 | % | -68.4 | % | -72.2 | % | -75.9 | % | -79.4 | % | -82.7 | % | -85.6 | % | -88.3 | % | ||||||||||||||||||||||||||||||||
45% |
-90 | % | -52.4 | % | -52.8 | % | -53.8 | % | -55.5 | % | -57.8 | % | -60.6 | % | -63.7 | % | -67.1 | % | -70.6 | % | -74.1 | % | -77.5 | % | -80.8 | % | -83.8 | % | -86.6 | % | -89.1 | % | ||||||||||||||||||||||||||||||||
50% |
-100 | % | -55.6 | % | -55.9 | % | -56.9 | % | -58.5 | % | -60.6 | % | -63.2 | % | -66.1 | % | -69.2 | % | -72.5 | % | -75.8 | % | -79.0 | % | -82.1 | % | -84.9 | % | -87.5 | % | -89.8 | % | ||||||||||||||||||||||||||||||||
55% |
-110 | % | -58.4 | % | -58.7 | % | -59.6 | % | -61.1 | % | -63.1 | % | -65.5 | % | -68.2 | % | -71.2 | % | -74.2 | % | -77.3 | % | -80.3 | % | -83.2 | % | -85.9 | % | -88.3 | % | -90.4 | % | ||||||||||||||||||||||||||||||||
60% |
-120 | % | -60.9 | % | -61.2 | % | -62.1 | % | -63.5 | % | -65.4 | % | -67.6 | % | -70.2 | % | -73.0 | % | -75.8 | % | -78.7 | % | -81.5 | % | -84.2 | % | -86.7 | % | -89.0 | % | -91.0 | % |
Index Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One
Year Index Performance |
One
and One-Half Times (1.5x) One Year Index Performance |
0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | 75% | |||||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
-90.0 | % | -74.7 | % | -74.7 | % | -74.8 | % | -74.9 | % | -75.1 | % | -75.3 | % | -75.5 | % | -75.8 | % | -76.2 | % | -76.6 | % | -77.0 | % | -77.4 | % | -77.9 | % | -78.4 | % | -78.9 | % | -79.5 | % | ||||||||||||||||||||||||||||||||||
-55% |
-82.5 | % | -69.8 | % | -69.8 | % | -69.9 | % | -70.1 | % | -70.3 | % | -70.5 | % | -70.8 | % | -71.2 | % | -71.6 | % | -72.0 | % | -72.5 | % | -73.1 | % | -73.6 | % | -74.2 | % | -74.9 | % | -75.6 | % | ||||||||||||||||||||||||||||||||||
-50% |
-75.0 | % | -64.6 | % | -64.7 | % | -64.8 | % | -64.9 | % | -65.2 | % | -65.5 | % | -65.8 | % | -66.2 | % | -66.7 | % | -67.2 | % | -67.8 | % | -68.4 | % | -69.1 | % | -69.8 | % | -70.6 | % | -71.4 | % | ||||||||||||||||||||||||||||||||||
-45% |
-67.5 | % | -59.2 | % | -59.2 | % | -59.4 | % | -59.6 | % | -59.8 | % | -60.2 | % | -60.6 | % | -61.0 | % | -61.6 | % | -62.2 | % | -62.9 | % | -63.6 | % | -64.4 | % | -65.2 | % | -66.1 | % | -67.0 | % | ||||||||||||||||||||||||||||||||||
-40% |
-60.0 | % | -53.5 | % | -53.6 | % | -53.7 | % | -53.9 | % | -54.2 | % | -54.6 | % | -55.1 | % | -55.6 | % | -56.2 | % | -56.9 | % | -57.7 | % | -58.5 | % | -59.4 | % | -60.3 | % | -61.3 | % | -62.4 | % | ||||||||||||||||||||||||||||||||||
-35% |
-52.5 | % | -47.6 | % | -47.6 | % | -47.8 | % | -48.0 | % | -48.4 | % | -48.8 | % | -49.3 | % | -49.9 | % | -50.6 | % | -51.4 | % | -52.3 | % | -53.2 | % | -54.2 | % | -55.3 | % | -56.4 | % | -57.6 | % | ||||||||||||||||||||||||||||||||||
-30% |
-45.0 | % | -41.4 | % | -41.5 | % | -41.7 | % | -41.9 | % | -42.3 | % | -42.8 | % | -43.4 | % | -44.1 | % | -44.8 | % | -45.7 | % | -46.7 | % | -47.7 | % | -48.8 | % | -50.0 | % | -51.3 | % | -52.6 | % | ||||||||||||||||||||||||||||||||||
-25% |
-37.5 | % | -35.0 | % | -35.1 | % | -35.3 | % | -35.6 | % | -36.0 | % | -36.6 | % | -37.2 | % | -38.0 | % | -38.8 | % | -39.8 | % | -40.9 | % | -42.0 | % | -43.3 | % | -44.6 | % | -46.0 | % | -47.4 | % | ||||||||||||||||||||||||||||||||||
-20% |
-30.0 | % | -28.4 | % | -28.5 | % | -28.7 | % | -29.0 | % | -29.5 | % | -30.1 | % | -30.8 | % | -31.7 | % | -32.6 | % | -33.7 | % | -34.8 | % | -36.1 | % | -37.5 | % | -38.9 | % | -40.5 | % | -42.1 | % | ||||||||||||||||||||||||||||||||||
-15% |
-22.5 | % | -21.6 | % | -21.7 | % | -21.9 | % | -22.3 | % | -22.8 | % | -23.4 | % | -24.2 | % | -25.2 | % | -26.2 | % | -27.4 | % | -28.6 | % | -30.0 | % | -31.5 | % | -33.1 | % | -34.8 | % | -36.5 | % | ||||||||||||||||||||||||||||||||||
-10% |
-15.0 | % | -14.6 | % | -14.7 | % | -14.9 | % | -15.3 | % | -15.9 | % | -16.6 | % | -17.5 | % | -18.5 | % | -19.6 | % | -20.9 | % | -22.3 | % | -23.8 | % | -25.4 | % | -27.1 | % | -29.0 | % | -30.9 | % | ||||||||||||||||||||||||||||||||||
-5% |
-7.5 | % | -7.4 | % | -7.5 | % | -7.8 | % | -8.2 | % | -8.8 | % | -9.6 | % | -10.5 | % | -11.6 | % | -12.8 | % | -14.2 | % | -15.7 | % | -17.3 | % | -19.1 | % | -21.0 | % | -22.9 | % | -25.0 | % | ||||||||||||||||||||||||||||||||||
0% |
0.0 | % | 0.0 | % | -0.1 | % | -0.4 | % | -0.8 | % | -1.5 | % | -2.3 | % | -3.3 | % | -4.5 | % | -5.8 | % | -7.3 | % | -8.9 | % | -10.7 | % | -12.6 | % | -14.7 | % | -16.8 | % | -19.0 | % | ||||||||||||||||||||||||||||||||||
5% |
7.5 | % | 7.6 | % | 7.5 | % | 7.2 | % | 6.7 | % | 6.0 | % | 5.1 | % | 4.0 | % | 2.8 | % | 1.3 | % | -0.3 | % | -2.0 | % | -3.9 | % | -6.0 | % | -8.2 | % | -10.5 | % | -12.9 | % | ||||||||||||||||||||||||||||||||||
10% |
15.0 | % | 15.4 | % | 15.3 | % | 14.9 | % | 14.4 | % | 13.7 | % | 12.7 | % | 11.5 | % | 10.2 | % | 8.7 | % | 6.9 | % | 5.0 | % | 3.0 | % | 0.8 | % | -1.5 | % | -4.0 | % | -6.6 | % | ||||||||||||||||||||||||||||||||||
15% |
22.5 | % | 23.3 | % | 23.2 | % | 22.9 | % | 22.3 | % | 21.5 | % | 20.5 | % | 19.2 | % | 17.8 | % | 16.1 | % | 14.3 | % | 12.3 | % | 10.1 | % | 7.7 | % | 5.3 | % | 2.6 | % | -0.1 | % | ||||||||||||||||||||||||||||||||||
20% |
30.0 | % | 31.5 | % | 31.3 | % | 31.0 | % | 30.3 | % | 29.5 | % | 28.4 | % | 27.1 | % | 25.6 | % | 23.8 | % | 21.8 | % | 19.7 | % | 17.4 | % | 14.9 | % | 12.2 | % | 9.4 | % | 6.5 | % | ||||||||||||||||||||||||||||||||||
25% |
37.5 | % | 39.8 | % | 39.6 | % | 39.2 | % | 38.6 | % | 37.7 | % | 36.5 | % | 35.1 | % | 33.5 | % | 31.6 | % | 29.5 | % | 27.2 | % | 24.8 | % | 22.1 | % | 19.3 | % | 16.3 | % | 13.2 | % | ||||||||||||||||||||||||||||||||||
30% |
45.0 | % | 48.2 | % | 48.1 | % | 47.7 | % | 47.0 | % | 46.0 | % | 44.8 | % | 43.3 | % | 41.6 | % | 39.6 | % | 37.4 | % | 35.0 | % | 32.3 | % | 29.5 | % | 26.5 | % | 23.3 | % | 20.0 | % | ||||||||||||||||||||||||||||||||||
35% |
52.5 | % | 56.9 | % | 56.7 | % | 56.3 | % | 55.5 | % | 54.5 | % | 53.2 | % | 51.7 | % | 49.8 | % | 47.7 | % | 45.4 | % | 42.8 | % | 40.0 | % | 37.0 | % | 33.9 | % | 30.5 | % | 27.0 | % | ||||||||||||||||||||||||||||||||||
40% |
60.0 | % | 65.7 | % | 65.5 | % | 65.0 | % | 64.3 | % | 63.2 | % | 61.8 | % | 60.2 | % | 58.2 | % | 56.0 | % | 53.5 | % | 50.8 | % | 47.9 | % | 44.7 | % | 41.4 | % | 37.8 | % | 34.1 | % | ||||||||||||||||||||||||||||||||||
45% |
67.5 | % | 74.6 | % | 74.4 | % | 73.9 | % | 73.1 | % | 72.0 | % | 70.6 | % | 68.8 | % | 66.8 | % | 64.4 | % | 61.8 | % | 59.0 | % | 55.9 | % | 52.6 | % | 49.0 | % | 45.3 | % | 41.4 | % | ||||||||||||||||||||||||||||||||||
50% |
75.0 | % | 83.7 | % | 83.5 | % | 83.0 | % | 82.2 | % | 81.0 | % | 79.5 | % | 77.6 | % | 75.5 | % | 73.0 | % | 70.3 | % | 67.3 | % | 64.0 | % | 60.5 | % | 56.8 | % | 52.9 | % | 48.8 | % | ||||||||||||||||||||||||||||||||||
55% |
82.5 | % | 93.0 | % | 92.8 | % | 92.3 | % | 91.4 | % | 90.1 | % | 88.5 | % | 86.6 | % | 84.3 | % | 81.7 | % | 78.9 | % | 75.7 | % | 72.3 | % | 68.6 | % | 64.7 | % | 60.6 | % | 56.3 | % | ||||||||||||||||||||||||||||||||||
60% |
90.0 | % | 102.4 | % | 102.2 | % | 101.6 | % | 100.7 | % | 99.4 | % | 97.7 | % | 95.7 | % | 93.3 | % | 90.6 | % | 87.6 | % | 84.3 | % | 80.7 | % | 76.8 | % | 72.7 | % | 68.4 | % | 63.9 | % |
Benchmark Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance |
Two Times (2x) One Year Benchmark Performance |
0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
-120 | % | -84.0 | % | -84.0 | % | -84.2 | % | -84.4 | % | -84.6 | % | -85.0 | % | -85.4 | % | -85.8 | % | -86.4 | % | -86.9 | % | -87.5 | % | -88.2 | % | -88.8 | % | -89.5 | % | -90.2 | % | ||||||||||||||||||||||||||||||||
-55% |
-110 | % | -79.8 | % | -79.8 | % | -80.0 | % | -80.2 | % | -80.5 | % | -81.0 | % | -81.5 | % | -82.1 | % | -82.7 | % | -83.5 | % | -84.2 | % | -85.0 | % | -85.9 | % | -86.7 | % | -87.6 | % | ||||||||||||||||||||||||||||||||
-50% |
-100 | % | -75.0 | % | -75.1 | % | -75.2 | % | -75.6 | % | -76.0 | % | -76.5 | % | -77.2 | % | -77.9 | % | -78.7 | % | -79.6 | % | -80.5 | % | -81.5 | % | -82.6 | % | -83.6 | % | -84.7 | % | ||||||||||||||||||||||||||||||||
-45% |
-90 | % | -69.8 | % | -69.8 | % | -70.1 | % | -70.4 | % | -70.9 | % | -71.6 | % | -72.4 | % | -73.2 | % | -74.2 | % | -75.3 | % | -76.4 | % | -77.6 | % | -78.9 | % | -80.2 | % | -81.5 | % | ||||||||||||||||||||||||||||||||
-40% |
-80 | % | -64.0 | % | -64.1 | % | -64.4 | % | -64.8 | % | -65.4 | % | -66.2 | % | -67.1 | % | -68.2 | % | -69.3 | % | -70.6 | % | -72.0 | % | -73.4 | % | -74.9 | % | -76.4 | % | -77.9 | % | ||||||||||||||||||||||||||||||||
-35% |
-70 | % | -57.8 | % | -57.9 | % | -58.2 | % | -58.7 | % | -59.4 | % | -60.3 | % | -61.4 | % | -62.6 | % | -64.0 | % | -65.5 | % | -67.1 | % | -68.8 | % | -70.5 | % | -72.3 | % | -74.1 | % | ||||||||||||||||||||||||||||||||
-30% |
-60 | % | -51.0 | % | -51.1 | % | -51.5 | % | -52.1 | % | -52.9 | % | -54.0 | % | -55.2 | % | -56.6 | % | -58.2 | % | -60.0 | % | -61.8 | % | -63.8 | % | -65.8 | % | -67.9 | % | -70.0 | % | ||||||||||||||||||||||||||||||||
-25% |
-50 | % | -43.8 | % | -43.9 | % | -44.3 | % | -45.0 | % | -46.0 | % | -47.2 | % | -48.6 | % | -50.2 | % | -52.1 | % | -54.1 | % | -56.2 | % | -58.4 | % | -60.8 | % | -63.1 | % | -65.5 | % | ||||||||||||||||||||||||||||||||
-20% |
-40 | % | -36.0 | % | -36.2 | % | -36.6 | % | -37.4 | % | -38.5 | % | -39.9 | % | -41.5 | % | -43.4 | % | -45.5 | % | -47.7 | % | -50.2 | % | -52.7 | % | -55.3 | % | -58.1 | % | -60.8 | % | ||||||||||||||||||||||||||||||||
-15% |
-30 | % | -27.8 | % | -27.9 | % | -28.5 | % | -29.4 | % | -30.6 | % | -32.1 | % | -34.0 | % | -36.1 | % | -38.4 | % | -41.0 | % | -43.7 | % | -46.6 | % | -49.6 | % | -52.6 | % | -55.7 | % | ||||||||||||||||||||||||||||||||
-10% |
-20 | % | -19.0 | % | -19.2 | % | -19.8 | % | -20.8 | % | -22.2 | % | -23.9 | % | -26.0 | % | -28.3 | % | -31.0 | % | -33.8 | % | -36.9 | % | -40.1 | % | -43.5 | % | -46.9 | % | -50.4 | % | ||||||||||||||||||||||||||||||||
-5% |
-10 | % | -9.8 | % | -10.0 | % | -10.6 | % | -11.8 | % | -13.3 | % | -15.2 | % | -17.5 | % | -20.2 | % | -23.1 | % | -26.3 | % | -29.7 | % | -33.3 | % | -37.0 | % | -40.8 | % | -44.7 | % | ||||||||||||||||||||||||||||||||
0% |
0 | % | 0.0 | % | -0.2 | % | -1.0 | % | -2.2 | % | -3.9 | % | -6.1 | % | -8.6 | % | -11.5 | % | -14.8 | % | -18.3 | % | -22.1 | % | -26.1 | % | -30.2 | % | -34.5 | % | -38.7 | % | ||||||||||||||||||||||||||||||||
5% |
10 | % | 10.3 | % | 10.0 | % | 9.2 | % | 7.8 | % | 5.9 | % | 3.6 | % | 0.8 | % | -2.5 | % | -6.1 | % | -10.0 | % | -14.1 | % | -18.5 | % | -23.1 | % | -27.7 | % | -32.5 | % | ||||||||||||||||||||||||||||||||
10% |
20 | % | 21.0 | % | 20.7 | % | 19.8 | % | 18.3 | % | 16.3 | % | 13.7 | % | 10.6 | % | 7.0 | % | 3.1 | % | -1.2 | % | -5.8 | % | -10.6 | % | -15.6 | % | -20.7 | % | -25.9 | % | ||||||||||||||||||||||||||||||||
15% |
30 | % | 32.3 | % | 31.9 | % | 30.9 | % | 29.3 | % | 27.1 | % | 24.2 | % | 20.9 | % | 17.0 | % | 12.7 | % | 8.0 | % | 3.0 | % | -2.3 | % | -7.7 | % | -13.3 | % | -19.0 | % | ||||||||||||||||||||||||||||||||
20% |
40 | % | 44.0 | % | 43.6 | % | 42.6 | % | 40.8 | % | 38.4 | % | 35.3 | % | 31.6 | % | 27.4 | % | 22.7 | % | 17.6 | % | 12.1 | % | 6.4 | % | 0.5 | % | -5.6 | % | -11.8 | % | ||||||||||||||||||||||||||||||||
25% |
50 | % | 56.3 | % | 55.9 | % | 54.7 | % | 52.8 | % | 50.1 | % | 46.8 | % | 42.8 | % | 38.2 | % | 33.1 | % | 27.6 | % | 21.7 | % | 15.5 | % | 9.0 | % | 2.4 | % | -4.3 | % | ||||||||||||||||||||||||||||||||
30% |
60 | % | 69.0 | % | 68.6 | % | 67.3 | % | 65.2 | % | 62.4 | % | 58.8 | % | 54.5 | % | 49.5 | % | 44.0 | % | 38.0 | % | 31.6 | % | 24.9 | % | 17.9 | % | 10.8 | % | 3.5 | % | ||||||||||||||||||||||||||||||||
35% |
70 | % | 82.3 | % | 81.8 | % | 80.4 | % | 78.2 | % | 75.1 | % | 71.2 | % | 66.6 | % | 61.2 | % | 55.3 | % | 48.8 | % | 41.9 | % | 34.7 | % | 27.2 | % | 19.4 | % | 11.7 | % | ||||||||||||||||||||||||||||||||
40% |
80 | % | 96.0 | % | 95.5 | % | 94.0 | % | 91.6 | % | 88.3 | % | 84.1 | % | 79.1 | % | 73.4 | % | 67.0 | % | 60.1 | % | 52.6 | % | 44.8 | % | 36.7 | % | 28.5 | % | 20.1 | % | ||||||||||||||||||||||||||||||||
45% |
90 | % | 110.3 | % | 109.7 | % | 108.2 | % | 105.6 | % | 102.0 | % | 97.5 | % | 92.2 | % | 86.0 | % | 79.2 | % | 71.7 | % | 63.7 | % | 55.4 | % | 46.7 | % | 37.8 | % | 28.8 | % | ||||||||||||||||||||||||||||||||
50% |
100 | % | 125.0 | % | 124.4 | % | 122.8 | % | 120.0 | % | 116.2 | % | 111.4 | % | 105.6 | % | 99.1 | % | 91.7 | % | 83.8 | % | 75.2 | % | 66.3 | % | 57.0 | % | 47.5 | % | 37.8 | % | ||||||||||||||||||||||||||||||||
55% |
110 | % | 140.3 | % | 139.7 | % | 137.9 | % | 134.9 | % | 130.8 | % | 125.7 | % | 119.6 | % | 112.6 | % | 104.7 | % | 96.2 | % | 87.1 | % | 77.5 | % | 67.6 | % | 57.5 | % | 47.2 | % | ||||||||||||||||||||||||||||||||
60% |
120 | % | 156.0 | % | 155.4 | % | 153.5 | % | 150.3 | % | 146.0 | % | 140.5 | % | 134.0 | % | 126.5 | % | 118.1 | % | 109.1 | % | 99.4 | % | 89.2 | % | 78.6 | % | 67.8 | % | 56.8 | % |
• |
Significant
increases or decreases in the available supply of a physical commodity due
to natural or technological factors. Natural factors would include
depletion of known cost-effective sources for natural gas, silver, gold or
oil or the impact of severe weather or other natural events on the ability
to produce or distribute the commodity. Technological factors, such as
increases in availability created by new or improved extraction, refining
and processing equipment and methods or decreases caused by failure or
unavailability of major refining and processing equipment (for example,
shutting down or constructing natural gas processing plants), also
materially influence the supply of the commodity. General economic
conditions in the world or in a major region, such as population growth
rates, periods of civil unrest, government austerity programs, or currency
exchange rate fluctuations may affect prices of underlying commodities.
|
• |
In
regard to the Oil Funds, the exploration and production of crude oil are
uncertain processes with many risks. The cost of drilling, completing and
operating wells for crude oil is often uncertain, and a number of factors
can delay or prevent operations or production of crude oil, including
(1) unexpected drilling conditions, (2) pressure or
irregularities in formations, (3) equipment failures or repairs,
(4) fires or other accidents, (5) adverse weather conditions,
(6) pipeline ruptures, spills or other supply disruptions, and
(7) shortages or delays in the availability of extraction or delivery
equipment. |
• |
Significant
increases or decreases in the demand for natural gas, silver, gold or oil
due to natural or technological factors. Natural factors would include
such events as unusual climatological conditions impacting the demand for
natural gas, silver, gold or oil. Technological factors may include such
developments as substitutes or new uses for particular commodities.
|
• |
A
significant change in the attitude of speculators and investors towards
natural gas, silver, gold or oil or in the hedging activities of commodity
producers. Should the speculative community take a negative or positive
view towards natural gas, silver, gold or oil, or if there is an increase
or decrease in the level of hedge activity of commodity producing
companies, countries and/or organizations, such action could cause a
change in world prices of any given commodity.
|
• |
Large
purchases or sales of physical commodities by the official
sector. Governments and large institutions have large commodities
holdings or may establish major commodities positions. For example, a
significant portion of the aggregate world precious metals holdings is
owned by governments, central banks and related
institutions. Similarly, nations with centralized or nationalized
energy production organizations may control large physical quantities of
certain commodities. The purchase or sale by one of these institutions in
large amounts could potentially cause a change in prices for that
commodity. |
• |
With
regard to the Oil Funds, nations with centralized or nationalized oil
production and organizations such as the Organization of Petroleum
Exporting Countries (OPEC) control large physical qualities of crude oil.
The purchase or sale by one of these institutions in large amounts could
potentially cause a change in prices for that commodity. Tension between
the governments of the United States and oil exporting nations, civil
unrest and sabotage, the ability of members of OPEC to agree upon and
maintain oil prices and production levels, and fluctuations in the reserve
capacity of crude oil could impact future oil prices.
|
• |
Political
activity such as imposition of regulations or entry into trade treaties,
as well as political disruptions caused by societal breakdown,
insurrection, terrorism, sabotage and/or war may greatly influence prices
of particular commodities. |
• |
With
regard to the Natural Gas Funds, the demand for natural gas correlates
closely with general economic growth rates. The occurrence of recessions
or other periods of low or negative economic growth will typically have a
direct adverse impact on natural gas demand and natural gas prices. The
supply and demand for natural gas may also be impacted by changes in
interest rates, inflation, and other local or regional market conditions,
as well as by the development of alternative energy sources.
|
• |
The
recent proliferation of commodity-linked products and their unknown effect
on the commodity markets. |
• |
With
regard to the Oil and Natural Gas Funds, competition from clean power
companies, fluctuations in the supply and demand of alternative energy
fuels, energy conservation, changes in consumer preferences regarding the
use of renewable energy sources to replace fossil fuels, and tax and other
government regulations can significantly affect the prices of oil and
natural gas. |
• |
Debt
level and trade deficit of the relevant foreign countries;
|
• |
Inflation
rates of the United States and the relevant foreign countries and
investors’ expectations concerning inflation rates;
|
• |
Interest
rates of the United States and the relevant foreign countries and
investors’ expectations concerning interest rates;
|
• |
Investment
and trading activities of mutual funds, hedge funds and other market
participants; |
• |
Global
or regional political, economic or financial events and situations;
|
• |
Sovereign
action to set or restrict currency conversion;
|
• |
Monetary
policies and other related activities of central banks within the U.S. and
other relevant
non-U.S. markets;
|
• |
Overall
growth and performance of the economies of the relevant countries; and
|
• |
Non-U.S. financial
markets may be closed on a day when U.S. domestic markets are open for
trading. As a result, liquidity and/or pricing may be affected by the
absence of trading in a specific currency. |
• |
Prevailing
market prices and forward volatility levels of the U.S. stock markets, the
S&P 500, the equity securities included in the S&P 500 and
prevailing market prices of options on the S&P 500, the VIX, options
on the VIX, the relevant VIX futures contracts, or any other financial
instruments related to the S&P 500 and the VIX or VIX futures
contracts; |
• |
Interest
rates, and investors’ expectations concerning interest rates; Inflation
rates and investors’ expectations concerning inflation rates;
|
• |
Economic,
financial, political, regulatory, geographical, judicial and other events
that affect the level of the
Mid-Term VIX
Futures Index or the market price or forward volatility of the U.S. stock
markets, the equity securities included in the S&P 500, the S&P
500, the VIX or the relevant futures or option contracts on the VIX;
|
• |
Supply
and demand as well as hedging activities in the listed and OTC equity
derivatives markets; |
• |
The
level of margin requirements; |
• |
The
position limits imposed by futures exchanges and any position or risk
limits imposed by FCMs and swap counterparties;
|
• |
Disruptions
in trading of the S&P 500, futures contracts on the S&P 500 or
options on the S&P 500; and |
• |
The
level of contango or backwardation in the VIX futures contract market.
|
• |
Prevailing
market prices and forward volatility levels of the U.S. stock markets, the
S&P 500, the equity securities included in the S&P 500 and
prevailing market prices of options on the S&P 500, the VIX, options
on the VIX, the relevant VIX futures contracts, or any other financial
instruments related to the S&P 500 and the VIX or VIX futures
contracts; |
• |
Interest
rates, and investors’ expectations concerning interest rates;
|
• |
Inflation
rates and investors’ expectations concerning inflation rates;
|
• |
Economic,
financial, political, regulatory, geographical, biological or judicial
events that affect the level of the
Mid-Term VIX
Index or the market price or forward volatility of the U.S. stock markets,
the equity securities included in the S&P 500, the S&P 500, the
VIX or the relevant futures or option contracts on the VIX;
|
• |
Supply
and demand as well as hedging activities in the listed and OTC equity
derivatives markets; |
• |
Disruptions
in trading of the S&P 500, futures contracts on the S&P 500 or
options on the S&P 500; |
• |
The
level of contango or backwardation in the VIX futures contract market;
|
• |
The
position limits imposed by FCMs; and |
• |
The
level of margin requirements. |
Item 1B. |
Unresolved
Staff Comments. |
Item 2. |
Properties.
|
Item 3. |
Legal
Proceedings. |
Item 4. |
Mine
Safety Disclosures. |
Item 5. |
Market
for Registrant’s Common Equity, Related Stockholder Matters and Issuer
Purchases of Equity Securities. |
a) |
The
Shares of each Fund that has commenced investment operations are listed in
the accompanying table. The dates the Shares of each Fund began trading,
their symbols and their primary listing exchange are indicated below:
|
Fund |
Commencement
of Operations |
Ticker Symbol |
Name
of each exchange
on which registered | |||
ProShares
Short Euro |
June 26, 2012 | EUFX | NYSE Arca | |||
ProShares
Short VIX Short-Term Futures ETF |
October 3, 2011 | SVXY | Cboe BZX Exchange | |||
ProShares
Ultra Bloomberg Crude Oil |
November 25, 2008 | UCO | NYSE Arca | |||
ProShares
Ultra Bloomberg Natural Gas |
October 4, 2011 | BOIL | NYSE Arca | |||
ProShares
Ultra Euro |
November 25, 2008 | ULE | NYSE Arca | |||
ProShares
Ultra Gold |
December 3, 2008 | UGL | NYSE Arca | |||
ProShares
Ultra Silver |
December 3, 2008 | AGQ | NYSE Arca | |||
ProShares
Ultra VIX Short-Term Futures ETF |
October 3, 2011 | UVXY | Cboe BZX Exchange | |||
ProShares
Ultra Yen |
November 25, 2008 | YCL | NYSE Arca | |||
ProShares
UltraShort Australian Dollar |
July 17, 2012 | CROC | NYSE Arca | |||
ProShares
UltraShort Bloomberg Crude Oil |
November 25, 2008 | SCO | NYSE Arca | |||
ProShares
UltraShort Bloomberg Natural Gas |
October 4, 2011 | KOLD | NYSE Arca | |||
ProShares
UltraShort Euro |
November 25, 2008 | EUO | NYSE Arca | |||
ProShares
UltraShort Gold |
December 3, 2008 | GLL | NYSE Arca | |||
ProShares
UltraShort Silver |
December 3, 2008 | ZSL | NYSE Arca | |||
ProShares
UltraShort Yen |
November 25, 2008 | YCS | NYSE Arca | |||
ProShares
VIX
Mid-Term Futures
ETF |
January 3, 2011 | VIXM | Cboe BZX Exchange | |||
ProShares
VIX Short-Term Futures ETF |
January 3, 2011 | VIXY | Cboe BZX Exchange |
Fund |
Number of Holders |
|||
ProShares
Short Euro |
284 | |||
ProShares
Short VIX Short-Term Futures ETF |
18,230 | |||
ProShares
Ultra Bloomberg Crude Oil |
190,267 | |||
ProShares
Ultra Bloomberg Natural Gas |
8,893 | |||
ProShares
Ultra Euro |
876 | |||
ProShares
Ultra Gold |
13,996 | |||
ProShares
Ultra Silver |
35,938 | |||
ProShares
Ultra VIX Short-Term Futures ETF |
89,226 | |||
ProShares
Ultra Yen |
256 | |||
ProShares
UltraShort Australian Dollar |
352 | |||
ProShares
UltraShort Bloomberg Crude Oil |
13,261 | |||
ProShares
UltraShort Bloomberg Natural Gas |
2,227 | |||
ProShares
UltraShort Euro |
6,020 | |||
ProShares
UltraShort Gold |
2,212 | |||
ProShares
UltraShort Silver |
3,079 | |||
ProShares
UltraShort Yen |
1,363 | |||
ProShares
VIX
Mid-Term Futures
ETF |
5,390 | |||
ProShares
VIX Short-Term Futures ETF |
32,550 | |||
Total
Trust: |
|
424,420 |
|
b) |
Not
applicable. |
Title
of Securities Registered |
Amount Registered as of December 31,
2020 |
Shares Sold For the Three Months Ended December 31,
2020 |
Sale Price of Shares Sold For the
Three Months
Ended December 31,
2020 |
Shares Sold For the Year Ended December 31, 2020
* |
Sale Price of Shares Sold For the Year
Ended December 31, 2020
* |
|||||||||||||||
ProShares
Short Euro |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 205,213,786 | 50,000 | $ | 2,158,158 | 50,000 | $ | 2,158,158 | ||||||||||||
ProShares
Short VIX Short-Term Futures ETF |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 3,978,471,529 | 1,200,000 | $ | 47,006,284 | 27,050,000 | $ | 961,417,953 | ||||||||||||
ProShares
Ultra Bloomberg Crude Oil |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 3,510,785,278 | 11,150,000 | $ | 298,167,194 | 120,812,000 | $ | 3,910,951,510 | ||||||||||||
ProShares
Ultra Bloomberg Natural Gas |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 805,639,097 | 10,850,000 | $ | 263,854,683 | 16,685,000 | $ | 457,281,516 | ||||||||||||
ProShares
Ultra Euro |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 188,930,413 | 50,000 | $ | 777,870 | 250,000 | $ | 3,616,577 | ||||||||||||
ProShares
Ultra Gold |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 669,108,699 | 350,000 | $ | 23,524,105 | 3,500,000 | $ | 227,961,338 | ||||||||||||
ProShares
Ultra Silver |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 1,173,264,974 | 3,200,000 | $ | 142,877,572 | 13,500,000 | $ | 582,867,657 | ||||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 5,388,427,775 | 76,500,000 | $ | 1,083,367,660 | 154,050,000 | $ | 3,359,993,617 | ||||||||||||
ProShares
Ultra Yen |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 201,792,144 | — | $ | — | — | $ | — | ||||||||||||
ProShares
UltraPro 3x Crude Oil ETF |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | — | ** | — | $ | — | 184,600,000 | $ | 414,019,676 | |||||||||||
ProShares
UltraPro 3x Short Crude Oil ETF |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | — | ** | — | $ | — | 2,850,000 | $ | 59,484,110 | |||||||||||
ProShares
UltraShort Australian Dollar |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 159,935,804 | — | $ | — | — | $ | — | ||||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 1,365,702,348 | 10,850,000 | $ | 156,181,703 | 37,500,000 | $ | 893,616,857 |
Title
of Securities Registered |
Amount Registered as of December 31,
2020 |
Shares Sold For the Three Months Ended December 31,
2020 |
Sale Price of Shares Sold For the
Three Months
Ended December 31,
2020 |
Shares Sold For the Year Ended December 31, 2020
* |
Sale Price of Shares Sold For the Year
Ended December 31, 2020
* |
|||||||||||||||
ProShares
UltraShort Bloomberg Natural Gas |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 577,760,462 | 1,850,000 | $ | 71,740,159 | 6,250,000 | $ | 270,470,683 | ||||||||||||
ProShares
UltraShort Euro |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 517,682,464 | 150,000 | $ | 3,508,807 | 1,500,000 | $ | 37,753,355 | ||||||||||||
ProShares
UltraShort Gold |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 246,880,625 | 550,000 | $ | 17,947,820 | 1,650,000 | $ | 56,542,664 | ||||||||||||
ProShares
UltraShort Silver |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 821,006,255 | 1,600,000 | $ | 12,954,212 | 13,700,000 | $ | 135,806,096 | ||||||||||||
ProShares
UltraShort Yen |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 494,648,731 | 50,000 | $ | 3,431,362 | 150,000 | $ | 11,238,107 | ||||||||||||
ProShares
VIX
Mid-Term Futures
ETF |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 388,788,698 | 125,000 | $ | 4,788,456 | 2,375,000 | $ | 90,654,600 | ||||||||||||
ProShares
VIX Short-Term Futures ETF |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ | 1,124,376,303 | 9,000,000 | $ | 141,815,008 | 26,325,000 | $ | 484,607,638 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total
Trust: |
|
127,525,000 |
|
$ |
2,274,101,053 |
|
|
612,797,000 |
|
$ |
11,960,442,112 |
|
* |
The
operations include the activity of ProShares UltraPro 3x Crude Oil ETF
through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF
through April 13, 2020, the date of liquidation, respectively.
|
** |
The
liquidated funds’ shares were
de-registered prior
to March 31, 2020. |
c) |
From
October 1, 2020 through December 31, 2020, the number of Shares
redeemed and average price per Share for each Fund were as follows:
|
Fund |
Total Number of Shares Redeemed |
Average Price Per Share |
||||||
ProShares
Short Euro |
||||||||
10/01/20
to 10/31/20 |
— | $ | — | |||||
11/01/20
to 11/30/20 |
— | $ | — | |||||
12/01/20
to 12/31/20 |
— | $ | — | |||||
ProShares
Short VIX Short-Term Futures ETF |
||||||||
10/01/20
to 10/31/20 |
800,000 | $ | 36.25 | |||||
11/01/20
to 11/30/20 |
— | $ | — | |||||
12/01/20
to 12/31/20 |
— | $ | — | |||||
ProShares
Ultra Bloomberg Crude Oil |
||||||||
10/01/20
to 10/31/20 |
6,250,000 | $ | 28.66 | |||||
11/01/20
to 11/30/20 |
16,750,000 | $ | 28.74 | |||||
12/01/20
to 12/31/20 |
4,950,000 | $ | 34,82 | |||||
ProShares
Ultra Bloomberg Natural Gas |
||||||||
10/01/20
to 10/31/20 |
1,150,000 | $ | 39.17 | |||||
11/01/20
to 11/30/20 |
1,300,000 | $ | 29.39 | |||||
12/01/20
to 12/31/20 |
3,200,000 | $ | 21.65 | |||||
ProShares
Ultra Euro |
||||||||
10/01/20
to 10/31/20 |
— | $ | — | |||||
11/01/20
to 11/30/20 |
50,000 | $ | 14.99 | |||||
12/01/20
to 12/31/20 |
— | $ | — | |||||
ProShares
Ultra Gold |
||||||||
10/01/20
to 10/31/20 |
— | $ | — | |||||
11/01/20
to 11/30/20 |
350,000 | $ | 65.09 | |||||
12/01/20
to 12/31/20 |
100,000 | $ | 66.39 | |||||
ProShares
Ultra Silver |
||||||||
10/01/20
to 10/31/20 |
1,100,000 | $ | 45,59 | |||||
11/01/20
to 11/30/20 |
1,400,000 | $ | 43,49 | |||||
12/01/20
to 12/31/20 |
700,000 | $ | 46,83 | |||||
ProShares
Ultra VIX Short-Term Futures ETF |
||||||||
10/01/20
to 10/31/20 |
10,200,000 | $ | 21.41 | |||||
11/01/20
to 11/30/20 |
200,000 | $ | 12.32 | |||||
12/01/20
to 12/31/20 |
3,850,000 | $ | 11.92 | |||||
ProShares
Ultra Yen |
||||||||
10/01/20
to 10/31/20 |
— | $ | — | |||||
11/01/20
to 11/30/20 |
— | $ | — | |||||
12/01/20
to 12/31/20 |
— | $ | — | |||||
ProShares
UltraShort Australian Dollar |
||||||||
10/01/20
to 10/31/20 |
— | $ | — | |||||
11/01/20
to 11/30/20 |
— | $ | — | |||||
12/01/20
to 12/31/20 |
50,000 | $ | 48.04 | |||||
ProShares
UltraShort Bloomberg Crude Oil |
||||||||
10/01/20
to 10/31/20 |
2,350,000 | $ | 17.54 | |||||
11/01/20
to 11/30/20 |
2,150,000 | $ | 15.17 | |||||
12/01/20
to 12/31/20 |
2,850,000 | $ | 12.61 | |||||
ProShares
UltraShort Bloomberg Natural Gas |
||||||||
10/01/20
to 10/31/20 |
600,000 | $ | 32.47 | |||||
11/01/20
to 11/30/20 |
1,100,000 | $ | 38.10 | |||||
12/01/20
to 12/31/20 |
850,000 | $ | 50.86 |
Fund |
Total Number of Shares Redeemed |
Average Price Per Share |
||||||
ProShares
UltraShort Euro |
||||||||
10/01/20
to 10/31/20 |
150,000 | $ | 24,80 | |||||
11/01/20
to 11/30/20 |
350,000 | $ | 24,10 | |||||
12/01/20
to 12/31/20 |
100,000 | $ | 22,54 | |||||
ProShares
UltraShort Gold |
||||||||
10/01/20
to 10/31/20 |
350,000 | $ | 31.65 | |||||
11/01/20
to 11/30/20 |
200,000 | $ | 31.34 | |||||
12/01/20
to 12/31/20 |
200,000 | $ | 33.46 | |||||
ProShares
UltraShort Silver |
||||||||
10/01/20
to 10/31/20 |
800,000 | $ | 8.93 | |||||
11/01/20
to 11/30/20 |
1,600,000 | $ | 8.54 | |||||
12/01/20
to 12/31/20 |
300,000 | $ | 8.50 | |||||
ProShares
UltraShort Yen |
||||||||
10/01/20
to 10/31/20 |
— | $ | — | |||||
11/01/20
to 11/30/20 |
— | $ | — | |||||
12/01/20
to 12/31/20 |
50,000 | $ | 69,20 | |||||
ProShares
VIX
Mid-Term Futures
ETF |
||||||||
10/01/20
to 10/31/20 |
— | $ | — | |||||
11/01/20
to 11/30/20 |
450,000 | $ | 37.12 | |||||
12/01/20
to 12/31/20 |
200,000 | $ | 36.44 | |||||
ProShares
VIX Short-Term Futures ETF |
||||||||
10/01/20
to 10/31/20 |
925,000 | $ | 22.13 | |||||
11/01/20
to 11/30/20 |
— | $ | — | |||||
12/01/20
to 12/31/20 |
350,000 | $ | 14.26 |
Item 6. |
Selected
Financial Data. |
PROSHARES SHORT
EURO |
||||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 4,195,360 | $ | 2,289,155 | $ | 8,631,926 | $ | 8,041,728 | $ | 15,859,440 | ||||||||||
Total
shareholders’ equity at end of period |
4,191,955 | 2,282,195 | 8,619,686 | 7,991,880 | 15,770,088 | |||||||||||||||
Net
investment income (loss) |
(16,777 | ) | 176,251 | 44,457 | (37,627 | ) | (122,728 | ) | ||||||||||||
Net
realized and unrealized gain (loss) |
(231,621 | ) | 1,002,978 | 583,349 | (1,461,940 | ) | 553,281 | |||||||||||||
Net
income (loss) |
(248,398 | ) | 1,179,229 | 627,806 | (1,499,567 | ) | 430,553 | |||||||||||||
Net
increase (decrease) in net asset value per share |
(3.72 | ) | 2.54 | 3.14 | (5.10 | ) | 1.28 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31,
2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 410,810,068 | $ | 284,649,062 | $ | 360,341,566 | $ | 816,337,770 | $ | 228,630,598 | ||||||||||
Total
shareholders’ equity at end of period |
409,371,468 | 284,437,179 | 344,596,263 | 770,163,871 | 228,075,387 | |||||||||||||||
Net
investment income (loss) |
(5,269,562 | ) | 1,162,163 | (2,209,355 | ) | (5,373,544 | ) | (5,396,850 | ) | |||||||||||
Net
realized and unrealized gain (loss) |
(74,517,945 | ) | 150,375,598 | (1,917,289,617 | ) | 924,694,573 | 419,316,869 | |||||||||||||
Net
income (loss) |
(79,787,507 | ) | 151,537,761 | (1,919,498,972 | ) | 919,321,029 | 413,920,019 | |||||||||||||
Net
increase (decrease) in net asset value per share |
(24.20 | ) | 23.26 | (466.84 | ) | 326.74 | 80.83 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 907,133,181 | $ | 310,368,837 | $ | 441,765,830 | $ | 534,325,767 | $ | 962,419,733 | ||||||||||
Total
shareholders’ equity at end of period |
902,739,250 | 309,844,582 | 368,399,654 | 524,445,526 | 933,731,860 | |||||||||||||||
Net
investment income (loss) |
(11,023,311 | ) | 3,864,584 | 3,022,808 | (1,379,461 | ) | (6,631,380 | ) | ||||||||||||
Net
realized and unrealized gain (loss) |
(548,084,672 | ) | 253,585,147 | (139,204,737 | ) | 35,389,465 | 225,050,768 | |||||||||||||
Net
income (loss) |
(559,107,983 | ) | 257,449,731 | (136,181,929 | ) | 34,010,004 | 218,419,388 | |||||||||||||
Net
increase (decrease) in net asset value per share |
(472.85 | ) | 182.77 | (265.16 | ) | 8.24 | (45.49 | ) |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 181,072,788 | $ | 45,196,991 | $ | 17,951,294 | $ | 67,524,849 | $ | 44,767,860 | ||||||||||
Total
shareholders’ equity at end of period |
169,800,371 | 45,160,205 | 14,617,440 | 63,268,950 | 43,203,386 | |||||||||||||||
Net
investment income (loss) |
(939,900 | ) | 162,388 | 96,319 | (233,762 | ) | (384,486 | ) | ||||||||||||
Net
realized and unrealized gain (loss) |
(44,174,934 | ) | (24,707,604 | ) | 3,545,801 | (36,107,690 | ) | 13,794,133 | ||||||||||||
Net
income (loss) |
(45,114,834 | ) | (24,545,216 | ) | 3,642,120 | (36,341,452 | ) | 13,409,647 | ||||||||||||
Net
increase (decrease) in net asset value per share |
(62.97 | ) | (168.86 | ) | (73.56 | ) | (616.03 | ) | 13.93 |
PROSHARES ULTRA
EURO |
| |||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 4,741,357 | $ | 6,209,342 | $ | 7,554,617 | $ | 9,656,271 | $ | 12,500,772 | ||||||||||
Total
shareholders’ equity at end of period |
4,737,350 | 6,204,424 | 7,544,569 | 9,591,516 | 11,914,585 | |||||||||||||||
Net
investment income (loss) |
(27,606 | ) | 58,528 | 30,823 | (29,782 | ) | (74,522 | ) | ||||||||||||
Net
realized and unrealized gain (loss) |
482,566 | (670,417 | ) | (1,269,677 | ) | 3,049,926 | (1,039,312 | ) | ||||||||||||
Net
income (loss) |
454,960 | (611,889 | ) | (1,238,854 | ) | 3,020,144 | (1,113,834 | ) | ||||||||||||
Net
increase (decrease) in net asset value per share |
2.00 | (1.30 | ) | (2.35 | ) | 3.42 | (1.49 | ) | ||||||||||||
PROSHARES ULTRA
GOLD |
| |||||||||||||||||||
Year Ended December 31,
2020 |
Year Ended December 31,
2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 263,747,871 | $ | 110,810,975 | $ | 87,308,381 | $ | 93,779,522 | $ | 96,632,172 | ||||||||||
Total
shareholders’ equity at end of period |
263,540,473 | 110,726,032 | 83,523,294 | 93,708,748 | 92,127,200 | |||||||||||||||
Net
investment income (loss) |
(1,424,530 | ) | 902,937 | 625,631 | (136,329 | ) | (650,951 | ) | ||||||||||||
Net
realized and unrealized gain (loss) |
35,098,896 | 23,404,029 | (6,664,992 | ) | 19,581,562 | 3,617,098 | ||||||||||||||
Net
income (loss) |
33,674,366 | 24,306,966 | (6,039,361 | ) | 19,445,233 | 2,966,147 | ||||||||||||||
Net
increase (decrease) in net asset value per share |
18.36 | 12.09 | (2.76 | ) | 6.98 | 3.17 | ||||||||||||||
PROSHARES ULTRA
SILVER |
| |||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 748,159,313 | $ | 239,830,381 | $ | 202,021,571 | $ | 261,786,204 | $ | 296,979,700 | ||||||||||
Total
shareholders’ equity at end of period |
745,304,028 | 239,254,842 | 201,824,376 | 258,244,696 | 275,779,940 | |||||||||||||||
Net
investment income (loss) |
(3,174,045 | ) | 1,856,270 | 1,469,179 | (409,752 | ) | (2,179,392 | ) | ||||||||||||
Net
realized and unrealized gain (loss) |
210,297,620 | 38,597,244 | (52,558,544 | ) | 10,949,744 | 63,914,077 | ||||||||||||||
Net
income (loss) |
207,123,575 | 40,453,514 | (51,089,365 | ) | 10,539,992 | 61,734,685 | ||||||||||||||
Net
increase (decrease) in net asset value per share |
19.01 | 5.31 | (7.16 | ) | 0.11 | 6.38 | ||||||||||||||
PROSHARES ULTRA VIX
SHORT-TERM FUTURES ETF |
| |||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 1,380,183,919 | $ | 562,277,336 | $ | 222,583,868 | $ | 394,379,433 | $ | 552,972,566 | ||||||||||
Total
shareholders’ equity at end of period |
1,356,204,199 | 527,636,003 | 214,304,871 | 394,035,141 | 515,758,754 | |||||||||||||||
Net
investment income (loss) |
(13,623,881 | ) | 95,052 | (3,145,671 | ) | (4,896,061 | ) | (8,936,777 | ) | |||||||||||
Net
realized and unrealized gain (loss) |
(634,192,498 | ) | (690,606,892 | ) | 455,645,412 | (1,047,275,669 | ) | (1,587,220,286 | ) | |||||||||||
Net
income (loss) |
(647,816,379 | ) | (690,511,840 | ) | 452,499,741 | (1,052,171,730 | ) | (1,596,157,063 | ) | |||||||||||
Net
increase (decrease) in net asset value per share |
(2.00 | ) | (68.79 | ) | 29.79 | (817.96 | ) | (13,172.38 | ) |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 2,992,042 | $ | 5,595,968 | $ | 5,756,235 | $ | 2,901,405 | $ | 5,887,949 | ||||||||||
Total
shareholders’ equity at end of period |
2,989,499 | 5,580,964 | 5,751,716 | 2,864,269 | 5,540,957 | |||||||||||||||
Net
investment income (loss) |
(18,317 | ) | 38,514 | (983 | ) | (21,882 | ) | (45,847 | ) | |||||||||||
Net
realized and unrealized gain (loss) |
172,866 | (129,576 | ) | 41,854 | 260,916 | 113,155 | ||||||||||||||
Net
income (loss) |
154,549 | (91,062 | ) | 40,871 | 239,034 | 67,308 | ||||||||||||||
Net
increase (decrease) in net asset value per share |
4.00 | (1.70 | ) | 0.21 | 1.89 | 0.68 | ||||||||||||||
PROSHARES ULTRASHORT
AUSTRALIAN DOLLAR |
||||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 2,234,146 | $ | 5,651,054 | $ | 11,068,693 | $ | 13,766,301 | $ | 16,658,768 | ||||||||||
Total
shareholders’ equity at end of period |
2,222,639 | 5,608,612 | 11,060,333 | 13,702,102 | 16,613,473 | |||||||||||||||
Net
investment income (loss) |
(36,668 | ) | 80,325 | 36,746 | (46,774 | ) | (145,652 | ) | ||||||||||||
Net
realized and unrealized gain (loss) |
(947,340 | ) | 97,591 | 1,534,232 | (2,943,227 | ) | (1,183,820 | ) | ||||||||||||
Net
income (loss) |
(984,008 | ) | 177,916 | 1,570,978 | (2,990,001 | ) | (1,329,472 | ) | ||||||||||||
Net
increase (decrease) in net asset value per share |
(11.64 | ) | 0.79 | 9.63 | (9.71 | ) | (3.08 | ) | ||||||||||||
PROSHARES ULTRASHORT
BLOOMBERG CRUDE OIL |
||||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 97,177,574 | $ | 129,574,044 | $ | 114,514,333 | $ | 257,334,914 | $ | 213,341,677 | ||||||||||
Total
shareholders’ equity at end of period |
96,839,233 | 125,451,681 | 114,377,311 | 225,843,284 | 200,958,303 | |||||||||||||||
Net
investment income (loss) |
(1,468,178 | ) | 709,799 | 1,038,630 | (355,651 | ) | (1,408,964 | ) | ||||||||||||
Net
realized and unrealized gain (loss) |
5,461,742 | (45,316,202 | ) | 16,471,427 | (27,449,491 | ) | (90,265,381 | ) | ||||||||||||
Net
income (loss) |
3,993,564 | (44,606,403 | ) | 17,510,057 | (27,805,142 | ) | (91,674,345 | ) | ||||||||||||
Net
increase (decrease) in net asset value per share |
(0.58 | ) | (17.60 | ) | 5.48 | (7.39 | ) | (34.90 | ) | |||||||||||
PROSHARES ULTRASHORT
BLOOMBERG NATURAL GAS |
||||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 29,147,791 | $ | 12,532,289 | $ | 22,163,554 | $ | 7,009,957 | $ | 4,042,309 | ||||||||||
Total
shareholders’ equity at end of period |
24,977,745 | 12,515,603 | 17,825,441 | 6,902,743 | 4,038,794 | |||||||||||||||
Net
investment income (loss) |
(549,591 | ) | 29,417 | (4,454 | ) | (54,451 | ) | (122,172 | ) | |||||||||||
Net
realized and unrealized gain (loss) |
(272,189 | ) | 9,121,181 | (2,213,011 | ) | 4,146,852 | 2,578,744 | |||||||||||||
Net
income (loss) |
(821,780 | ) | 9,150,598 | (2,217,465 | ) | 4,092,401 | 2,456,572 | |||||||||||||
Net
increase (decrease) in net asset value per share |
9.06 | 16.92 | (17.87 | ) | 16.38 | (23.43 | ) |
PROSHARES ULTRASHORT
EURO |
| |||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 54,139,942 | $ | 123,046,852 | $ | 158,275,753 | $ | 209,513,363 | $ | 356,811,359 | ||||||||||
Total
shareholders’ equity at end of period |
52,953,339 | 120,581,173 | 154,120,159 | 202,548,197 | 349,392,650 | |||||||||||||||
Net
investment income (loss) |
(287,014 | ) | 1,528,830 | 1,324,494 | (396,715 | ) | (2,764,657 | ) | ||||||||||||
Net
realized and unrealized gain (loss) |
(9,869,401 | ) | 12,993,771 | 23,822,591 | (62,222,928 | ) | 19,174,666 | |||||||||||||
Net
income (loss) |
(10,156,415 | ) | 14,522,601 | 25,147,085 | (62,619,643 | ) | 16,410,009 | |||||||||||||
Net
increase (decrease) in net asset value per share |
(4.27 | ) | 2.53 | 3.06 | (5.87 | ) | 1.54 |
PROSHARES ULTRASHORT
GOLD |
||||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 20,635,430 | $ | 22,262,798 | $ | 19,105,095 | $ | 33,013,345 | $ | 63,709,441 | ||||||||||
Total
shareholders’ equity at end of period |
20,337,376 | 21,047,560 | 18,098,997 | 31,497,410 | 63,653,647 | |||||||||||||||
Net
investment income (loss) |
(123,632 | ) | 186,714 | 171,341 | (60,865 | ) | (461,423 | ) | ||||||||||||
Net
realized and unrealized gain (loss) |
(10,021,367 | ) | (5,733,559 | ) | 1,796,398 | (11,543,036 | ) | (11,000,717 | ) | |||||||||||
Net
income (loss) |
(10,144,999 | ) | (5,546,845 | ) | 1,967,739 | (11,603,901 | ) | (11,462,140 | ) | |||||||||||
Net
increase (decrease) in net asset value per share |
(21.59 | ) | (20.26 | ) | 2.81 | (20.86 | ) | (24.55 | ) | |||||||||||
PROSHARES ULTRASHORT
SILVER |
| |||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 32,195,308 | $ | 15,813,405 | $ | 13,578,709 | $ | 19,713,505 | $ | 23,037,206 | ||||||||||
Total
shareholders’ equity at end of period |
28,885,775 | 13,834,163 | 11,768,863 | 14,806,259 | 23,017,656 | |||||||||||||||
Net
investment income (loss) |
(221,656 | ) | 131,913 | 112,472 | (36,600 | ) | (255,853 | ) | ||||||||||||
Net
realized and unrealized gain (loss) |
(18,232,071 | ) | (4,741,974 | ) | 4,905,754 | (1,980,408 | ) | (20,928,956 | ) | |||||||||||
Net
income (loss) |
(18,453,727 | ) | (4,610,061 | ) | 5,018,226 | (2,017,008 | ) | (21,184,809 | ) | |||||||||||
Net
increase (decrease) in net asset value per share |
(19.83 | ) | (10.37 | ) | 5.42 | (5.60 | ) | (27.27 | ) | |||||||||||
PROSHARES ULTRASHORT
YEN |
| |||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 24,282,486 | $ | 38,165,164 | $ | 59,214,608 | $ | 134,986,033 | $ | 277,139,658 | ||||||||||
Total
shareholders’ equity at end of period |
23,691,070 | 38,132,320 | 55,363,675 | 131,077,453 | 276,781,747 | |||||||||||||||
Net
investment income (loss) |
(129,202 | ) | 555,474 | 607,874 | (355,974 | ) | (1,609,562 | ) | ||||||||||||
Net
realized and unrealized gain (loss) |
(3,281,606 | ) | 1,240,842 | (2,528,655 | ) | (23,960,625 | ) | 8,431,035 | ||||||||||||
Net
income (loss) |
(3,410,808 | ) | 1,796,316 | (1,920,781 | ) | (24,316,599 | ) | 6,821,473 | ||||||||||||
Net
increase (decrease) in net asset value per share |
(8.54 | ) | 2.48 | (1.04 | ) | (5.31 | ) | (7.70 | ) |
PROSHARES VIX
MID-TERM FUTURES
ETF |
| |||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 73,050,286 | $ | 47,145,739 | $ | 57,571,528 | $ | 27,429,888 | $ | 47,936,506 | ||||||||||
Total
shareholders’ equity at end of period |
72,075,095 | 45,986,584 | 56,299,121 | 26,347,948 | 45,818,914 | |||||||||||||||
Net
investment income (loss) |
(506,172 | ) | 493,213 | 116,328 | (81,807 | ) | (294,491 | ) | ||||||||||||
Net
realized and unrealized gain (loss) |
16,601,434 | (12,266,525 | ) | 10,305,853 | (26,246,741 | ) | (12,029,971 | ) | ||||||||||||
Net
income (loss) |
16,095,262 | (11,773,312 | ) | 10,422,181 | (26,328,548 | ) | (12,324,462 | ) | ||||||||||||
Net
increase (decrease) in net asset value per share |
15.46 | (5.38 | ) | 5.36 | (20.85 | ) | (11.82 | ) |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total
assets |
$ | 293,860,130 | $ | 292,836,738 | $ | 155,107,403 | $ | 141,228,210 | $ | 174,247,783 | ||||||||||
Total
shareholders’ equity at end of period |
293,390,549 | 279,792,503 | 149,547,115 | 137,741,560 | 174,160,146 | |||||||||||||||
Net
investment income (loss) |
(1,892,962 | ) | 2,153,399 | 366,665 | (293,186 | ) | (1,436,647 | ) | ||||||||||||
Net
realized and unrealized gain (loss) |
165,111,666 | (227,121,451 | ) | 112,056,276 | (198,310,919 | ) | (194,856,158 | ) | ||||||||||||
Net
income (loss) |
163,218,704 | (224,968,052 | ) | 112,422,941 | (198,604,105 | ) | (196,292,805 | ) | ||||||||||||
Net
increase (decrease) in net asset value per share |
1.46 | (26.28 | ) | 15.24 | (61.52 | ) | (179.98 | ) |
* |
See
Note 1 of the Notes to Financial Statements in Item 15 of Part IV in this
Annual Report on Form
10-K. |
Item 7. |
Management’s
Discussion and Analysis of Financial Condition and Results of Operations.
|
Fund |
Interest Income Year Ended December 31, 2020 |
Interest Income Year Ended December 31, 2019 |
||||||
ProShares
Short Euro |
$ | 8,193 | $ | 314,021 | ||||
ProShares
Short VIX Short-Term Futures ETF |
941,584 | 5,618,666 | ||||||
ProShares
Ultra Bloomberg Crude Oil |
1,930,769 | 7,627,706 | ||||||
ProShares
Ultra Bloomberg Natural Gas |
206,527 | 589,183 | ||||||
ProShares
Ultra Euro |
16,819 | 121,071 | ||||||
ProShares
Ultra Gold |
594,847 | 1,798,692 | ||||||
ProShares
Ultra Silver |
1,134,396 | 3,823,565 | ||||||
ProShares
Ultra VIX Short-Term Futures ETF |
1,707,491 | 7,903,309 | ||||||
ProShares
Ultra Yen |
9,427 | 78,463 | ||||||
ProShares
UltraPro 3x Crude Oil ETF
* |
346,326 | 2,114,130 | ||||||
ProShares
UltraPro 3x Short Crude Oil ETF
* |
166,789 | 562,435 | ||||||
ProShares
UltraShort Australian Dollar |
20,907 | 159,039 | ||||||
ProShares
UltraShort Bloomberg Crude Oil |
268,844 | 1,570,676 | ||||||
ProShares
UltraShort Bloomberg Natural Gas |
59,046 | 167,939 | ||||||
ProShares
UltraShort Euro |
499,520 | 2,822,207 | ||||||
ProShares
UltraShort Gold |
67,722 | 380,158 | ||||||
ProShares
UltraShort Silver |
52,402 | 279,294 | ||||||
ProShares
UltraShort Yen |
139,822 | 1,007,112 | ||||||
ProShares
VIX
Mid-Term Futures
ETF |
214,449 | 903,643 | ||||||
ProShares
VIX Short-Term Futures ETF |
1,152,242 | 4,458,270 |
* |
The
operations include the activity of ProShares UltraPro 3x Crude Oil ETF
through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF
through April 13, 2020, the date of liquidation, respectively.
|
• |
executing
and clearing trades with creditworthy counterparties, as determined by the
Sponsor; |
• |
limiting
the outstanding amounts due from counterparties to the Funds;
|
• |
not
posting margin directly with a counterparty;
|
• |
requiring
that the counterparty posts collateral in amounts approximately equal to
that owed to the Funds, as marked to market daily, subject to certain
minimum thresholds; |
• |
limiting
the amount of margin or premium posted at a FCM; and
|
• |
ensuring
that deliverable contracts are not held to such a date when delivery of
the underlying asset could be called for. |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 2,282,195 | $ | 8,619,686 | ||||
NAV
end of period |
$ | 4,191,955 | $ | 2,282,195 | ||||
Percentage
change in NAV |
83.7 | % | (73.5 | )% | ||||
Shares
outstanding beginning of period |
50,000 | 200,000 | ||||||
Shares
outstanding end of period |
100,000 | 50,000 | ||||||
Percentage
change in shares outstanding |
100.0 | % | (75.0 | )% | ||||
Shares
created |
50,000 | 300,000 | ||||||
Shares
redeemed |
— | 450,000 | ||||||
Per
share NAV beginning of period |
$ | 45.64 | $ | 43.10 | ||||
Per
share NAV end of period |
$ | 41.92 | $ | 45.64 | ||||
Percentage
change in per share NAV |
(8.2 | )% | 5.9 | % | ||||
Percentage
change in benchmark |
8.9 | % | (2.1 | )% | ||||
Benchmark
annualized volatility |
7.5 | % | 5.1 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (16,777 | ) | $ | 176,251 | |||
Management
fee |
24,443 | 135,292 | ||||||
Brokerage
commissions |
448 | 2,478 | ||||||
Non-recurring fees
and expenses |
79 | — | ||||||
Net
realized gain (loss) |
(200,965 | ) | 973,665 | |||||
Change
in net unrealized appreciation (depreciation) |
(30,656 | ) | 29,313 | |||||
Net
income (loss) |
$ | (248,398 | ) | $ | 1,179,229 |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 284,437,179 | $ | 344,596,263 | ||||
NAV
end of period |
$ | 409,371,468 | $ | 284,437,179 | ||||
Percentage
change in NAV |
43.9 | % | (17.5 | )% | ||||
Shares
outstanding beginning of period |
4,334,307 | 8,134,307 | ||||||
Shares
outstanding end of period |
9,884,307 | 4,334,307 | ||||||
Percentage
change in shares outstanding |
128.0 | % | (46.7 | )% | ||||
Shares
created |
27,050,000 | 1,500,000 | ||||||
Shares
redeemed |
21,500,000 | 5,300,000 | ||||||
Per
share NAV beginning of period |
$ | 65.62 | $ | 42.36 | ||||
Per
share NAV end of period |
$ | 41.42 | $ | 65.62 | ||||
Percentage
change in per share NAV |
(36.9 | )% | 54.9 | % | ||||
Percentage
change in benchmark |
13.2 | % | (67.8 | )% | ||||
Benchmark
annualized volatility |
102.6 | % | 60.4 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (5,269,562 | ) | $ | 1,162,163 | |||
Management
fee |
4,469,701 | 3,333,950 | ||||||
Brokerage
commissions |
712,651 | 723,282 | ||||||
Non-recurring fees
and expenses |
23,391 | 398,550 | ||||||
Net
realized gain (loss) |
(72,610,082 | ) | 125,641,839 | |||||
Change
in net unrealized appreciation (depreciation) |
(1,907,863 | ) | 24,733,759 | |||||
Net
income (loss) |
$ | (79,787,507 | ) | $ | 151,537,761 |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 309,844,582 | $ | 368,399,654 | ||||
NAV
end of period |
$ | 902,739,250 | $ | 309,844,582 | ||||
Percentage
change in NAV |
191.4 | % | (15.9 | )% | ||||
Shares
outstanding beginning of period |
608,453 | 1,128,453 | ||||||
Shares
outstanding end of period |
24,810,774 | 608,453 | ||||||
Percentage
change in shares outstanding |
3,977.7 | % | (46.1 | )% | ||||
Shares
created |
120,812,000 | 1,362,000 | ||||||
Shares
redeemed |
96,609,679 | 1,882,000 | ||||||
Per
share NAV beginning of period |
$ | 509.23 | $ | 326.46 | ||||
Per
share NAV end of period |
$ | 36.38 | $ | 509.23 | ||||
Percentage
change in per share NAV |
(92.9 | )% | 56.0 | % | ||||
Percentage
change in benchmark |
(24.1 | )% | 34.4 | % | ||||
Benchmark
annualized volatility |
80.1 | % | 33.7 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (11,023,311 | ) | $ | 3,864,584 | |||
Management
fee |
9,256,478 | 3,612,580 | ||||||
Brokerage
commissions |
2,144,028 | 150,542 | ||||||
Non-recurring fees
and expenses |
61,679 | — | ||||||
Net
realized gain (loss) |
(688,299,044 | ) | 144,188,809 | |||||
Change
in net unrealized appreciation (depreciation) |
140,214,372 | 109,396,338 | ||||||
Net
income (loss) |
$ | (559,107,983 | ) | $ | 257,449,731 |
* |
See
Note 1 of the Notes to Financial Statements in Item 15 of part IV in this
Annual Report on Form
10-K regarding
the reverse Share split for the ProShares Ultra Bloomberg Crude Oil.
|
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 45,160,205 | $ | 14,617,440 | ||||
NAV
end of period |
$ | 169,800,371 | $ | 45,160,205 | ||||
Percentage
change in NAV |
276.0 | % | 208.9 | % | ||||
Shares
outstanding beginning of period |
537,815 | 57,815 | ||||||
Shares
outstanding end of period |
8,087,527 | 537,815 | ||||||
Percentage
change in shares outstanding |
1,403.8 | % | 830.2 | % | ||||
Shares
created |
16,685,000 | 825,000 | ||||||
Shares
redeemed |
9,135,288 | 345,000 | ||||||
Per
share NAV beginning of period |
$ | 83.97 | $ | 252.83 | ||||
Per
share NAV end of period |
$ | 21.00 | $ | 83.97 | ||||
Percentage
change in per share NAV |
(75.0 | )% | (66.8 | )% | ||||
Percentage
change in benchmark |
(42.0 | )% | (37.2 | )% | ||||
Benchmark
annualized volatility |
52.7 | % | 36.1 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (939,900 | ) | $ | 162,388 | |||
Management
fee |
674,810 | 297,043 | ||||||
Brokerage
commissions |
377,630 | 129,752 | ||||||
Non-recurring fees
and expenses |
1,545 | — | ||||||
Net
realized gain (loss) |
(53,326,797 | ) | (32,380,218 | ) | ||||
Change
in net unrealized appreciation (depreciation) |
9,151,863 | 7,672,614 | ||||||
Net
income (loss) |
$ | (45,114,834 | ) | $ | (24,545,216 | ) |
* |
See
Note 1 of the Notes to Financial Statements in Item 15 of part IV in this
Annual Report on Form
10-K regarding
the reverse Share split for the ProShares Ultra Bloomberg Natural Gas.
|
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 6,204,424 | $ | 7,544,569 | ||||
NAV
end of period |
$ | 4,737,350 | $ | 6,204,424 | ||||
Percentage
change in NAV |
(23.6 | )% | (17.8 | )% | ||||
Shares
outstanding beginning of period |
450,000 | 500,000 | ||||||
Shares
outstanding end of period |
300,000 | 450,000 | ||||||
Percentage
change in shares outstanding |
(33.3 | )% | (10.0 | )% | ||||
Shares
created |
250,000 | 100,000 | ||||||
Shares
redeemed |
400,000 | 150,000 | ||||||
Per
share NAV beginning of period |
$ | 13.79 | $ | 15.09 | ||||
Per
share NAV end of period |
$ | 15.79 | $ | 13.79 | ||||
Percentage
change in per share NAV |
14.5 | % | (8.6 | )% | ||||
Percentage
change in benchmark |
8.9 | % | (2.1 | )% | ||||
Benchmark
annualized volatility |
7.5 | % | 5.1 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (27,606 | ) | $ | 58,528 | |||
Management
fee |
44,302 | 62,543 | ||||||
Non-recurring fees
and expenses |
123 | — | ||||||
Net
realized gain (loss) |
504,035 | (722,691 | ) | |||||
Change
in net unrealized appreciation (depreciation) |
(21,469 | ) | 52,274 | |||||
Net
income (loss) |
$ | 454,960 | $ | (611,889 | ) |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 110,726,032 | $ | 83,523,294 | ||||
NAV
end of period |
$ | 263,540,473 | $ | 110,726,032 | ||||
Percentage
change in NAV |
138.0 | % | 32.6 | % | ||||
Shares
outstanding beginning of period |
2,250,000 | 2,250,000 | ||||||
Shares
outstanding end of period |
3,900,000 | 2,250,000 | ||||||
Percentage
change in shares outstanding |
73.3 | % | — | % | ||||
Shares
created |
3,500,000 | 900,000 | ||||||
Shares
redeemed |
1,850,000 | 900,000 | ||||||
Per
share NAV beginning of period |
$ | 49.21 | $ | 37.12 | ||||
Per
share NAV end of period |
$ | 67.57 | $ | 49.21 | ||||
Percentage
change in per share NAV |
37.3 | % | 32.6 | % | ||||
Percentage
change in benchmark |
20.9 | % | 18.0 | % | ||||
Benchmark
annualized volatility |
21.5 | % | 11.5 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (1,424,530 | ) | $ | 902,937 | |||
Management
fee |
1,916,092 | 884,410 | ||||||
Brokerage
commissions |
39,462 | 11,345 | ||||||
Non-recurring fees
and expenses |
4,754 | — | ||||||
Net
realized gain (loss) |
35,452,046 | 19,588,339 | ||||||
Change
in net unrealized appreciation (depreciation) |
(353,150 | ) | 3,815,690 | |||||
Net
income (loss) |
$ | 33,674,366 | $ | 24,306,966 |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 239,254,842 | $ | 201,824,376 | ||||
NAV
end of period |
$ | 745,304,028 | $ | 239,254,842 | ||||
Percentage
change in NAV |
211.5 | % | 18.5 | % | ||||
Shares
outstanding beginning of period |
7,546,526 | 7,646,526 | ||||||
Shares
outstanding end of period |
14,696,526 | 7,546,526 | ||||||
Percentage
change in shares outstanding |
94.7 | % | (1.3 | )% | ||||
Shares
created |
13,500,000 | 2,300,000 | ||||||
Shares
redeemed |
6,350,000 | 2,400,000 | ||||||
Per
share NAV beginning of period |
$ | 31.70 | $ | 26.39 | ||||
Per
share NAV end of period |
$ | 50.71 | $ | 31.70 | ||||
Percentage
change in per share NAV |
60.0 | % | 20.1 | % | ||||
Percentage
change in benchmark |
42.5 | % | 13.9 | % | ||||
Benchmark
annualized volatility |
46.1 | % | 19.6 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (3,174,045 | ) | $ | 1,856,270 | |||
Management
fee |
3,944,697 | 1,928,478 | ||||||
Brokerage
commissions |
141,650 | 38,814 | ||||||
Non-recurring fees
and expenses |
6,303 | — | ||||||
Net
realized gain (loss) |
147,215,471 | 34,374,143 | ||||||
Change
in net unrealized appreciation (depreciation) |
63,082,149 | 4,223,101 | ||||||
Net
income (loss) |
$ | 207,123,575 | $ | 40,453,514 |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 527,636,003 | $ | 214,304,871 | ||||
NAV
end of period |
$ | 1,356,204,199 | $ | 527,636,003 | ||||
Percentage
change in NAV |
157.0 | % | 146.2 | % | ||||
Shares
outstanding beginning of period |
41,630,912 | 2,630,912 | ||||||
Shares
outstanding end of period |
127,130,912 | 41,630,912 | ||||||
Percentage
change in shares outstanding |
205.4 | % | 1,482.4 | % | ||||
Shares
created |
154,050,000 | 83,750,000 | ||||||
Shares
redeemed |
68,550,000 | 44,750,000 | ||||||
Per
share NAV beginning of period |
$ | 12.67 | $ | 81.46 | ||||
Per
share NAV end of period |
$ | 10.67 | $ | 12.67 | ||||
Percentage
change in per share NAV |
(15.8 | )% | (84.4 | )% | ||||
Percentage
change in benchmark |
13.2 | % | (67.8 | )% | ||||
Benchmark
annualized volatility |
102.6 | % | 60.4 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (13,623,881 | ) | $ | 95,052 | |||
Management
fee |
8,835,385 | 4,819,171 | ||||||
Brokerage
commissions |
3,620,606 | 2,936,813 | ||||||
Non-recurring fees
and expenses |
15,297 | 27,508 | ||||||
Net
realized gain (loss) |
(632,242,038 | ) | (612,840,041 | ) | ||||
Change
in net unrealized appreciation (depreciation) |
(1,950,460 | ) | (77,766,851 | ) | ||||
Net
income (loss) |
$ | (647,816,379 | ) | $ | (690,511,840 | ) |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 5,580,964 | $ | 5,751,716 | ||||
NAV
end of period |
$ | 2,989,499 | $ | 5,580,964 | ||||
Percentage
change in NAV |
(46.4 | )% | (3.0 | )% | ||||
Shares
outstanding beginning of period |
99,970 | 99,970 | ||||||
Shares
outstanding end of period |
49,970 | 99,970 | ||||||
Percentage
change in shares outstanding |
(50.0 | )% | — | % | ||||
Shares
created |
— | 200,000 | ||||||
Shares
redeemed |
50,000 | 200,000 | ||||||
Per
share NAV beginning of period |
$ | 55.83 | $ | 57.53 | ||||
Per
share NAV end of period |
$ | 59.83 | $ | 55.83 | ||||
Percentage
change in per share NAV |
7.2 | % | (3.0 | )% | ||||
Percentage
change in benchmark |
5.2 | % | 0.9 | % | ||||
Benchmark
annualized volatility |
9.3 | % | 5.7 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (18,317 | ) | $ | 38,514 | |||
Management
fee |
27,655 | 39,949 | ||||||
Non-recurring fees
and expenses |
89 | — | ||||||
Net
realized gain (loss) |
95,324 | 57,990 | ||||||
Change
in net unrealized appreciation (depreciation) |
77,542 | (187,566 | ) | |||||
Net
income (loss) |
$ | 154,549 | $ | (91,062 | ) |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 5,608,612 | $ | 11,060,333 | ||||
NAV
end of period |
$ | 2,222,639 | $ | 5,608,612 | ||||
Percentage
change in NAV |
(60.4 | )% | (49.3 | )% | ||||
Shares
outstanding beginning of period |
100,000 | 200,000 | ||||||
Shares
outstanding end of period |
50,000 | 100,000 | ||||||
Percentage
change in shares outstanding |
(50.0 | )% | (50.0 | )% | ||||
Shares
created |
— | 50,000 | ||||||
Shares
redeemed |
50,000 | 150,000 | ||||||
Per
share NAV beginning of period |
$ | 56.09 | $ | 55.30 | ||||
Per
share NAV end of period |
$ | 44.45 | $ | 56.09 | ||||
Percentage
change in per share NAV |
(20.8 | )% | 1.4 | % | ||||
Percentage
change in benchmark |
9.9 | % | (0.4 | )% | ||||
Benchmark
annualized volatility |
12.1 | % | 6.9 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (36,668 | ) | $ | 80,325 | |||
Management
fee |
52,950 | 72,858 | ||||||
Brokerage
commissions |
4,429 | 5,856 | ||||||
Non-recurring fees
and expenses |
196 | — | ||||||
Net
realized gain (loss) |
(1,032,184 | ) | 833,199 | |||||
Change
in net unrealized appreciation (depreciation) |
84,844 | (735,608 | ) | |||||
Net
income (loss) |
$ | (984,008 | ) | $ | 177,916 |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 125,451,681 | $ | 114,377,311 | ||||
NAV
end of period |
$ | 96,839,233 | $ | 125,451,681 | ||||
Percentage
change in NAV |
(22.8 | )% | 9.7 | % | ||||
Shares
outstanding beginning of period |
10,289,884 | 3,839,884 | ||||||
Shares
outstanding end of period |
8,339,884 | 10,289,884 | ||||||
Percentage
change in shares outstanding |
(19.0 | )% | 168.0 | % | ||||
Shares
created |
37,500,000 | 25,950,000 | ||||||
Shares
redeemed |
39,450,000 | 19,500,000 | ||||||
Per
share NAV beginning of period |
$ | 12.19 | $ | 29.79 | ||||
Per
share NAV end of period |
$ | 11.61 | $ | 12.19 | ||||
Percentage
change in per share NAV |
(4.8 | )% | (59.1 | )% | ||||
Percentage
change in benchmark |
(24.1 | )% | 34.4 | % | ||||
Benchmark
annualized volatility |
80.1 | % | 33.7 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (1,468,178 | ) | $ | 709,799 | |||
Management
fee |
1,021,787 | 769,401 | ||||||
Brokerage
commissions |
548,380 | 91,476 | ||||||
Non-recurring fees
and expenses |
5,243 | — | ||||||
Net
realized gain (loss) |
12,949,097 | (14,247,456 | ) | |||||
Change
in net unrealized appreciation (depreciation) |
(7,487,355 | ) | (31,068,746 | ) | ||||
Net
income (loss) |
$ | 3,993,564 | $ | (44,606,403 | ) |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 12,515,603 | $ | 17,825,441 | ||||
NAV
end of period |
$ | 24,977,745 | $ | 12,515,603 | ||||
Percentage
change in NAV |
99.6 | % | (29.8 | )% | ||||
Shares
outstanding beginning of period |
324,832 | 824,832 | ||||||
Shares
outstanding end of period |
524,832 | 324,832 | ||||||
Percentage
change in shares outstanding |
61.6 | % | (60.6 | )% | ||||
Shares
created |
6,250,000 | 1,200,000 | ||||||
Shares
redeemed |
6,050,000 | 1,700,000 | ||||||
Per
share NAV beginning of period |
$ | 38.53 | $ | 21.61 | ||||
Per
share NAV end of period |
$ | 47.59 | $ | 38.53 | ||||
Percentage
change in per share NAV |
23.5 | % | 78.3 | % | ||||
Percentage
change in benchmark |
(42.0 | )% | (37.2 | )% | ||||
Benchmark
annualized volatility |
52.7 | % | 36.1 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (549,591 | ) | $ | 29,417 | |||
Management
fee |
308,058 | 83,978 | ||||||
Brokerage
commissions |
250,422 | 54,544 | ||||||
Non-recurring fees
and expenses |
485 | — | ||||||
Net
realized gain (loss) |
20,854 | 19,286,567 | ||||||
Change
in net unrealized appreciation (depreciation) |
(293,043 | ) | (10,165,386 | ) | ||||
Net
income (loss) |
$ | (821,780 | ) | $ | 9,150,598 |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 120,581,173 | $ | 154,120,159 | ||||
NAV
end of period |
$ | 52,953,339 | $ | 120,581,173 | ||||
Percentage
change in NAV |
(56.1 | )% | (21.8 | )% | ||||
Shares
outstanding beginning of period |
4,500,000 | 6,350,000 | ||||||
Shares
outstanding end of period |
2,350,000 | 4,500,000 | ||||||
Percentage
change in shares outstanding |
(47.8 | )% | (29.1 | )% | ||||
Shares
created |
1,500,000 | 1,050,000 | ||||||
Shares
redeemed |
3,650,000 | 2,900,000 | ||||||
Per
share NAV beginning of period |
$ | 26.80 | $ | 24.27 | ||||
Per
share NAV end of period |
$ | 22.53 | $ | 26.80 | ||||
Percentage
change in per share NAV |
(15.9 | )% | 10.4 | % | ||||
Percentage
change in benchmark |
8.9 | % | (2.1 | )% | ||||
Benchmark
annualized volatility |
7.5 | % | 5.1 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (287,014 | ) | $ | 1,528,830 | |||
Management
fee |
783,692 | 1,293,377 | ||||||
Non-recurring fees
and expenses |
2,842 | — | ||||||
Net
realized gain (loss) |
(10,979,339 | ) | 13,747,208 | |||||
Change
in net unrealized appreciation (depreciation) |
1,109,938 | (753,437 | ) | |||||
Net
income (loss) |
$ | (10,156,415 | ) | $ | 14,522,601 |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 21,047,560 | $ | 18,098,997 | ||||
NAV
end of period |
$ | 20,337,376 | $ | 21,047,560 | ||||
Percentage
change in NAV |
(3.4 | )% | 16.3 | % | ||||
Shares
outstanding beginning of period |
396,977 | 246,978 | ||||||
Shares
outstanding end of period |
646,977 | 396,977 | ||||||
Percentage
change in shares outstanding |
63.0 | % | 60.7 | % | ||||
Shares
created |
1,650,000 | 600,000 | ||||||
Shares
redeemed |
1,400,000 | 450,001 | ||||||
Per
share NAV beginning of period |
$ | 53.02 | $ | 73.28 | ||||
Per
share NAV end of period |
$ | 31.43 | $ | 53.02 | ||||
Percentage
change in per share NAV |
(40.7 | )% | (27.6 | )% | ||||
Percentage
change in benchmark |
20.9 | % | 18.0 | % | ||||
Benchmark
annualized volatility |
21.5 | % | 11.5 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (123,632 | ) | $ | 186,714 | |||
Management
fee |
177,762 | 188,089 | ||||||
Brokerage
commissions |
7,882 | 5,355 | ||||||
Non-recurring fees
and expenses |
580 | — | ||||||
Net
realized gain (loss) |
(11,119,478 | ) | (5,192,568 | ) | ||||
Change
in net unrealized appreciation (depreciation) |
1,098,111 | (540,991 | ) | |||||
Net
income (loss) |
$ | (10,144,999 | ) | $ | (5,546,845 | ) |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 13,834,163 | $ | 11,768,863 | ||||
NAV
end of period |
$ | 28,885,775 | $ | 13,834,163 | ||||
Percentage
change in NAV |
108.8 | % | 17.5 | % | ||||
Shares
outstanding beginning of period |
516,976 | 316,976 | ||||||
Shares
outstanding end of period |
4,166,976 | 516,976 | ||||||
Percentage
change in shares outstanding |
706.0 | % | 63.1 | % | ||||
Shares
created |
13,700,000 | 1,000,000 | ||||||
Shares
redeemed |
10,050,000 | 800,000 | ||||||
Per
share NAV beginning of period |
$ | 26.76 | $ | 37.13 | ||||
Per
share NAV end of period |
$ | 6.93 | $ | 26.76 | ||||
Percentage
change in per share NAV |
(74.1 | )% | (27.9 | )% | ||||
Percentage
change in benchmark |
42.5 | % | 13.9 | % | ||||
Benchmark
annualized volatility |
46.1 | % | 19.6 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (221,656 | ) | $ | 131,913 | |||
Management
fee |
237,140 | 139,668 | ||||||
Brokerage
commissions |
22,323 | 7,713 | ||||||
Non-recurring fees
and expenses |
454 | — | ||||||
Net
realized gain (loss) |
(16,849,815 | ) | (4,544,543 | ) | ||||
Change
in net unrealized appreciation (depreciation) |
(1,382,256 | ) | (197,432 | ) | ||||
Net
income (loss) |
$ | (18,453,727 | ) | $ | (4,610,062 | ) |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 38,132,320 | $ | 55,363,675 | ||||
NAV
end of period |
$ | 23,691,070 | $ | 38,132,320 | ||||
Percentage
change in NAV |
(37.9 | )% | (31.1 | )% | ||||
Shares
outstanding beginning of period |
499,290 | 749,290 | ||||||
Shares
outstanding end of period |
349,290 | 499,290 | ||||||
Percentage
change in shares outstanding |
(30.0 | )% | (33.4 | )% | ||||
Shares
created |
150,000 | 450,000 | ||||||
Shares
redeemed |
300,000 | 700,000 | ||||||
Per
share NAV beginning of period |
$ | 76.37 | $ | 73.89 | ||||
Per
share NAV end of period |
$ | 67.83 | $ | 76.37 | ||||
Percentage
change in per share NAV |
(11.2 | )% | 3.4 | % | ||||
Percentage
change in benchmark |
5.2 | % | 0.9 | % | ||||
Benchmark
annualized volatility |
9.3 | % | 5.7 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (129,202 | ) | $ | 555,474 | |||
Management
fee |
268,213 | 451,638 | ||||||
Non-recurring fees
and expenses |
811 | — | ||||||
Net
realized gain (loss) |
(2,619,441 | ) | (1,979,679 | ) | ||||
Change
in net unrealized appreciation (depreciation) |
(662,165 | ) | 3,220,521 | |||||
Net
income (loss) |
$ | (3,410,808 | ) | $ | 1,796,316 |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 45,986,584 | $ | 56,299,121 | ||||
NAV
end of period |
$ | 72,075,095 | $ | 45,986,584 | ||||
Percentage
change in NAV |
56.7 | % | (18.3 | )% | ||||
Shares
outstanding beginning of period |
2,162,403 | 2,112,403 | ||||||
Shares
outstanding end of period |
1,962,403 | 2,162,403 | ||||||
Percentage
change in shares outstanding |
(9.2 | )% | 2.4 | % | ||||
Shares
created |
2,375,000 | 1,400,000 | ||||||
Shares
redeemed |
2,575,000 | 1,350,000 | ||||||
Per
share NAV beginning of period |
$ | 21.27 | $ | 26.65 | ||||
Per
share NAV end of period |
$ | 36.73 | $ | 21.27 | ||||
Percentage
change in per share NAV |
72.7 | % | (20.2 | )% | ||||
Percentage
change in benchmark |
74.7 | % | (19.3 | )% | ||||
Benchmark
annualized volatility |
56.3 | % | 25.3 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (506,172 | ) | $ | 493,213 | |||
Management
fee |
579,606 | 380,474 | ||||||
Brokerage
commissions |
65,093 | 29,956 | ||||||
Net
realized gain (loss) |
15,454,616 | (6,228,644 | ) | |||||
Change
in net unrealized appreciation (depreciation) |
1,146,818 | (6,037,881 | ) | |||||
Net
income (loss) |
$ | 16,095,262 | $ | (11,773,312 | ) |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
NAV
beginning of period |
$ | 279,792,503 | $ | 149,547,115 | ||||
NAV
end of period |
$ | 293,390,549 | $ | 279,792,503 | ||||
Percentage
change in NAV |
4.9 | % | 87.1 | % | ||||
Shares
outstanding beginning of period |
22,751,317 | 3,876,317 | ||||||
Shares
outstanding end of period |
21,326,317 | 22,751,317 | ||||||
Percentage
change in shares outstanding |
(6.3 | )% | 486.9 | % | ||||
Shares
created |
26,325,000 | 30,800,000 | ||||||
Shares
redeemed |
27,750,000 | 11,925,000 | ||||||
Per
share NAV beginning of period |
$ | 12.30 | $ | 38.58 | ||||
Per
share NAV end of period |
$ | 13.76 | $ | 12.30 | ||||
Percentage
change in per share NAV |
11.9 | % | (68.1 | )% | ||||
Percentage
change in benchmark |
13.2 | % | (67.8 | )% | ||||
Benchmark
annualized volatility |
102.6 | % | 60.4 | % |
Year
Ended December 31, 2020 |
Year
Ended December 31, 2019 |
|||||||
Net
investment income (loss) |
$ | (1,892,962 | ) | $ | 2,153,399 | |||
Management
fee |
2,193,275 | 2,038,850 | ||||||
Brokerage
commissions |
376,682 | 253,057 | ||||||
Net
realized gain (loss) |
156,087,060 | (194,350,788 | ) | |||||
Change
in net unrealized appreciation (depreciation) |
9,024,606 | (32,770,663 | ) | |||||
Net
income (loss) |
$ | 163,218,704 | $ | (224,968,052 | ) |
Item 7A. |
Quantitative
and Qualitative Disclosures About Market Risk.
|
Futures Positions as of December 31, 2020 |
||||||||||||||||||||
Long or |
Valuation |
Contract |
Notional Amount |
|||||||||||||||||
Contract |
Short |
Expiration |
Contracts |
Price |
Multiplier |
at Value |
||||||||||||||
Euro
Fx Currency Futures (CME) |
Short | March 2021 | 27 | $ | 1.22 | 125,000 | $ | (4,133,025 | ) |
Futures Positions as of
December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Euro
Fx Currency Futures (CME) |
Short | March 2020 | 16 | $ | 1.13 | 125,000 | $ | (2,256,400 | ) |
Futures Positions as of
December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX
Futures (Cboe) |
Short | January 2021 | 4,169 | $ | 23.68 | 1,000 | $ | (98,701,075 | ) | |||||||||||
VIX
Futures (Cboe) |
Short | February 2021 | 4,161 | 25.58 | 1,000 | (106,417,575 | ) |
Futures Positions as of
December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX
Futures (Cboe) |
Short | January 2020 | 5,442 | $ | 14.63 | 1,000 | $ | (79,589,250 | ) | |||||||||||
VIX
Futures (Cboe) |
Short | February 2020 | 3,764 | 16.63 | 1,000 | (62,576,500 | ) |
Futures Positions as of
December 31, 2020 |
||||||||||||||||||||
Long or |
Valuation |
Contract |
Notional Amount |
|||||||||||||||||
Contract |
Short |
Expiration |
Contracts |
Price |
Multiplier |
at Value |
||||||||||||||
WTI
Crude Oil (NYMEX) |
Long | March 2021 | 10,134 | $ | 48.63 | 1,000 | $ | 492,816,420 | ||||||||||||
WTI
Crude Oil (NYMEX) |
Long | June 2021 | 9,783 | 48.63 | 1,000 | 475,747,290 | ||||||||||||||
WTI
Crude Oil (NYMEX) |
Long | December 2021 | 9,650 | 47.68 | 1,000 | 460,112,000 |
Swap Agreements as of
December 31, 2020 |
||||||||||||
Long or |
Notional Amount |
|||||||||||
Reference
Index |
Counterparty |
Short |
Index Close |
at Value |
||||||||
Bloomberg
Commodity Balanced WTI Crude Oil Index |
Goldman Sachs International | Long | $ | 40.2599 | $ | 28,462,300 | ||||||
Bloomberg
Commodity Balanced WTI Crude Oil Index |
Morgan Stanley & Co. International PLC | Long | 40.2599 | 226,338,741 | ||||||||
Bloomberg
Commodity Balanced WTI Crude Oil Index |
Societe Generale | Long | 40.2599 | 34,593,561 | ||||||||
Bloomberg
Commodity Balanced WTI Crude Oil Index |
UBS AG | Long | 40.2599 | 87,117,995 |
Futures Positions as of
December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
WTI
Crude Oil (NYMEX) |
Long | March 2020 | 554 | $ | 60.77 | 1,000 | $ | 33,666,580 |
Swap Agreements as of
December 31, 2019 |
||||||||||||
Reference
Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg
WTI Crude Oil Subindex |
Citibank, N.A. | Long | $ | 90.3776 | $ | 172,174,920 | ||||||
Bloomberg
WTI Crude Oil Subindex |
Goldman Sachs International | Long | 90.3776 | 120,411,487 | ||||||||
Bloomberg
WTI Crude Oil Subindex |
Royal Bank of Canada | Long | 90.3776 | 115,540,626 | ||||||||
Bloomberg
WTI Crude Oil Subindex |
Societe Generale | Long | 90.3776 | 64,308,537 | ||||||||
Bloomberg
WTI Crude Oil Subindex |
UBS AG | Long | 90.3776 | 113,574,303 |
Futures Positions as of
December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Natural
Gas (NYMEX) |
Long | March 2021 | 13,444 | $ | 2.53 | 10,000 | $ | 339,595,440 |
Futures Positions as of
December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Natural
Gas (NYMEX) |
Long | March 2020 | 4,185 | $ | 2.16 | 10,000 | $ | 90,312,300 |
Foreign Currency Forward
Contracts as of December 31, 2020 |
||||||||||||||||||||
Reference
Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Euro |
Goldman Sachs International | Long | 01/15/21 | 2,210,921 | 1.2116 | $ | 2,678,721 | |||||||||||||
Euro |
UBS AG | Long | 01/15/21 | 5,664,502 | 1.2103 | 6,855,677 | ||||||||||||||
Euro |
UBS AG | Short | 01/15/21 | (122,000 | ) | 1.2190 | (148,713 | ) |
Foreign Currency Forward
Contracts as of December 31, 2019 |
||||||||||||||||||||
Reference
Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Euro |
Goldman Sachs International | Long | 01/10/20 | 5,436,377 | 1.1121 | $ | 6,045,958 | |||||||||||||
Euro |
UBS AG | Long | 01/10/20 | 5,589,416 | 1.1123 | 6,217,058 |
Futures Positions as of
December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Gold
Futures (COMEX) |
Long | February 2021 | 995 | $ | 1,895.10 | 100 | $ | 188,562,450 |
Swap Agreements as of
December 31, 2020 |
||||||||||||
Reference
Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg
Gold Subindex |
Citibank, N.A. | Long | $ | 210.3915 | $ | 116,501,753 | ||||||
Bloomberg
Gold Subindex |
Goldman Sachs International | Long | 210.3915 | 100,676,400 | ||||||||
Bloomberg
Gold Subindex |
UBS AG | Long | 210.3915 | 121,192,569 |
Futures Positions as of
December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Gold
Futures (COMEX) |
Long | February 2020 | 438 | $ | 1,523.10 | 100 | $ | 66,711,780 |
Swap Agreements as of
December 31, 2019 |
||||||||||||
Reference
Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg
Gold Subindex |
Citibank, N.A. | Long | $ | 174.6300 | $ | 60,437,683 | ||||||
Bloomberg
Gold Subindex |
Goldman Sachs International | Long | 174.6300 | 44,172,192 | ||||||||
Bloomberg
Gold Subindex |
UBS AG | Long | 174.6300 | 50,125,199 |
Futures Positions as of
December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Silver
Futures (COMEX) |
Long | March 2021 | 3,971 | $ | 26.41 | 5,000 | $ | 524,410,259 |
Swap Agreements as of
December 31, 2020 |
||||||||||||
Reference
Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg
Silver Subindex |
Citibank, N.A. | Long | $ | 241.4130 | $ | 294,747,134 | ||||||
Bloomberg
Silver Subindex |
Goldman Sachs International | Long | 241.4130 | 211,716,341 | ||||||||
Bloomberg
Silver Subindex |
Morgan Stanley & Co. International PLC | Long | 241.4130 | 239,421,584 | ||||||||
Bloomberg
Silver Subindex |
UBS AG | Long | 241.4130 | 220,234,368 |
Futures Positions as of
December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Silver
Futures (COMEX) |
Long | March 2020 | 1,316 | $ | 17.92 | 5,000 | $ | 117,920,180 |
Swap Agreements as of
December 31, 2019 |
||||||||||||
Reference
Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg
Silver Subindex |
Citibank, N.A. | Long | $ | 170.1072 | $ | 152,640,569 | ||||||
Bloomberg
Silver Subindex |
Goldman Sachs International | Long | 170.1072 | 83,225,484 | ||||||||
Bloomberg
Silver Subindex |
UBS AG | Long | 170.1072 | 124,680,616 |
Futures Positions as of
December 31, 2020 |
||||||||||||||||||||
Long or |
Valuation |
Contract |
Notional Amount |
|||||||||||||||||
Contract |
Short |
Expiration |
Contracts |
Price |
Multiplier |
at Value |
||||||||||||||
VIX
Futures (Cboe) |
Long | January 2021 | 40,738 | $ | 23.68 | 1,000 | $ | 964,472,150 | ||||||||||||
VIX
Futures (Cboe) |
Long | February 2021 | 40,764 | 25.58 | 1,000 | 1,042,539,300 |
Swap Agreements as of
December 31, 2020 |
||||||||||||
Reference
Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
iPath
Series B S&P 500 VIX Short-Term Futures ETN iNAV
Index |
Goldman Sachs & Co. | Long | $ | 16.7951 | $ | 25,901,097 |
Futures Positions as of
December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX
Futures (Cboe) |
Long | January 2020 | 29,402 | $ | 14.63 | 1,000 | $ | 430,004,250 | ||||||||||||
VIX
Futures (Cboe) |
Long | February 2020 | 20,358 | 16.63 | 1,000 | 338,451,750 |
Swap Agreements as of
December 31, 2019 |
||||||||||||||
Reference
Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
iPath
Series B S&P 500 VIX Short-Term Futures ETN iNAV
Index |
Goldman Sachs & Co. | Long | $ | 14.9650 | $ | 23,078,793 |
Foreign Currency Forward
Contracts as of December 31, 2020 |
||||||||||||||||||
Reference
Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||
Yen |
Goldman Sachs International | Long | 01/15/21 | 332,532,517 | 0.009583 | $ | 3,186,670 | |||||||||||
Yen |
UBS AG | Long | 01/15/21 | 287,552,756 | 0.009571 | 2,752,288 | ||||||||||||
Yen |
UBS AG | Short | 01/15/21 | (2,700,000 | ) | 0.009631 | (26,004 | ) |
Foreign Currency Forward
Contracts as of December 31, 2019 |
||||||||||||||||||
Reference
Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||
Yen |
Goldman Sachs International | Long | 01/10/20 | 325,804,302 | 0.009213 | $ | 3,001,477 | |||||||||||
Yen |
UBS AG | Long | 01/10/20 | 888,782,738 | 0.009214 | 8,189,206 | ||||||||||||
Yen |
UBS AG | Short | 01/10/20 | (6,892,531 | ) | 0.009164 | (63,163 | ) |
Futures Positions as of
December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Australian
Dollar Fx Currency Futures (CME) |
Short | March 2021 | 57 | $ | 77.14 | 1,000 | $ | (4,389,000 | ) |
Futures Positions as of
December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Australian
Dollar Fx Currency Futures (CME) |
Short | March 2020 | 160 | $ | 70.31 | 1,000 | $ | (11,260,800 | ) |
Futures Positions as of
December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
WTI
Crude Oil (NYMEX) |
Short | March 2021 | 1,373 | $ | 48.63 | 1,000 | $ | (66,768,990 | ) | |||||||||||
WTI
Crude Oil (NYMEX) |
Short | June 2021 | 1,326 | 48.63 | 1,000 | (64,483,380 | ) | |||||||||||||
WTI
Crude Oil (NYMEX) |
Short | December 2021 | 1,309 | 47.68 | 1,000 | (62,413,120 | ) |
Futures Positions as of
December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
WTI
Crude Oil (NYMEX) |
Short | March 2020 | 1,864 | $ | 60.77 | 1,000 | $ | (113,275,280 | ) |
Swap Agreements as of
December 31, 2019 |
||||||||||||
Reference
Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg
WTI Crude Oil Subindex |
Citibank, N.A. | Short | $ | 90.3776 | $ | (39,727,981 | ) | |||||
Bloomberg
WTI Crude Oil Subindex |
Goldman Sachs International | Short | 90.3776 | (37,407,865 | ) | |||||||
Bloomberg
WTI Crude Oil Subindex |
Royal Bank of Canada | Short | 90.3776 | (31,487,418 | ) | |||||||
Bloomberg
WTI Crude Oil Subindex |
Societe Generale | Short | 90.3776 | (9,213,127 | ) | |||||||
Bloomberg
WTI Crude Oil Subindex |
UBS AG | Short | 90.3776 | (19,757,339 | ) |
Futures Positions as of
December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Natural
Gas (NYMEX) |
Short | March 2021 | 1,978 | $ | 2.53 | 10,000 | $ | (49,964,280 | ) |
Futures Positions as of
December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Natural
Gas (NYMEX) |
Short | March 2020 | 1,160 | $ | 2.16 | 10,000 | $ | (25,032,800 | ) |
Foreign Currency Forward
Contracts as of December 31, 2020 |
||||||||||||||||||||
Reference
Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Euro |
UBS AG | Long | 01/15/21 | 13,080,000 | 1.2215 | $ | 15,977,611 | |||||||||||||
Euro |
Goldman Sachs International | Short | 01/15/21 | (37,401,263 | ) | 1.2116 | (45,314,846 | ) | ||||||||||||
Euro |
UBS AG | Short | 01/15/21 | (62,356,199 | ) | 1.2099 | (75,442,991 | ) |
Foreign Currency Forward
Contracts as of December 31, 2019 |
||||||||||||||||||||
Reference
Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Euro |
UBS AG | Long | 01/10/20 | 19,396,955 | 1.1162 | $ | 21,651,280 | |||||||||||||
Euro |
Goldman Sachs International | Short | 01/10/20 | (112,762,143 | ) | 1.1121 | (125,406,162 | ) | ||||||||||||
Euro |
UBS AG | Short | 01/10/20 | (122,358,446 | ) | 1.1121 | (136,077,171 | ) |
Futures Positions as of
December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Gold
Futures (COMEX) |
Short | February 2021 | 123 | $ | 1,895.10 | 100 | $ | (23,309,730 | ) |
Swap Agreements as of
December 31, 2020 |
||||||||||||
Reference
Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg
Gold Subindex |
Citibank, N.A. | Short | $ | 210.3915 | $ | (5,159,914 | ) | |||||
Bloomberg
Gold Subindex |
Goldman Sachs International | Short | 210.3915 | (5,337,170 | ) | |||||||
Bloomberg
Gold Subindex |
UBS AG | Short | 210.3915 | (6,832,076 | ) |
Futures Positions as of
December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Gold
Futures (COMEX) |
Short | February 2020 | 76 | $ | 1,523.10 | 100 | $ | (11,575,560 | ) |
Swap Agreements as of
December 31, 2019 |
||||||||||||
Reference
Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg
Gold Subindex |
Citibank, N.A. | Short | $ | 174.6300 | $ | (13,940,590 | ) | |||||
Bloomberg
Gold Subindex |
Goldman Sachs International | Short | 174.6300 | (6,884,579 | ) | |||||||
Bloomberg
Gold Subindex |
UBS AG | Short | 174.6300 | (9,756,431 | ) |
Futures Positions as of
December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Silver
Futures (COMEX) |
Short | March 2021 | 89 | $ | 26.41 | 5,000 | $ | (11,753,339 | ) |
Swap Agreements as of
December 31, 2020 |
||||||||||||
Reference
Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg
Silver Subindex |
Citibank, N.A. | Short | $ | 241.4130 | $ | (19,685,715 | ) | |||||
Bloomberg
Silver Subindex |
Goldman Sachs International | Short | 241.4130 | (15,107,629 | ) | |||||||
Bloomberg
Silver Subindex |
Morgan Stanley & Co. International PLC | Short | 241.4130 | (3,402,233 | ) | |||||||
Bloomberg
Silver Subindex |
UBS AG | Short | 241.4130 | (7,837,258 | ) |
Futures Positions as of
December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Silver
Futures (COMEX) |
Short | March 2020 | 27 | $ | 17.92 | 5,000 | $ | (2,419,335 | ) |
Swap Agreements as of
December 31, 2019 |
||||||||||||
Reference
Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg
Silver Subindex |
Citibank, N.A. | Short | $ | 170.1072 | $ | (9,595,700 | ) | |||||
Bloomberg
Silver Subindex |
Goldman Sachs International | Short | 170.1072 | (4,926,137 | ) | |||||||
Bloomberg
Silver Subindex |
UBS AG | Short | 170.1072 | (10,687,683 | ) |
Foreign Currency Forward
Contracts as of December 31, 2020 |
||||||||||||||||||
Reference
Currency |
Counterparty |
Long or Short |
Settlement Date |
Local
Currency |
Forward Rate |
Market
Value USD |
||||||||||||
Yen |
UBS AG | Long | 01/15/21 | 315,800,000 | 0.009664 | $ | 3,051,852 | |||||||||||
Yen |
Goldman Sachs International | Short | 01/15/21 | (2,009,085,165 | ) | 0.009583 | (19,253,129 | ) | ||||||||||
Yen |
UBS AG | Short | 01/15/21 | (3,196,558,875 | ) | 0.009572 | (30,597,154 | ) |
Foreign Currency Forward
Contracts as of December 31, 2019 |
||||||||||||||||||
Reference
Currency |
Counterparty |
Long or Short |
Settlement Date |
Local
Currency |
Forward Rate |
Market
Value USD |
||||||||||||
Yen |
UBS AG | Long | 01/10/20 | 1,025,624,482 | 0.009170 | $ | 9,404,720 | |||||||||||
Yen |
Goldman Sachs International | Short | 01/10/20 | (4,448,656,033 | ) | 0.009213 | (40,983,307 | ) | ||||||||||
Yen |
UBS AG | Short | 01/10/20 | (4,893,578,348 | ) | 0.009211 | (45,072,829 | ) |
Futures Positions as of
December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX
Futures (Cboe) |
Long | April 2021 | 463 | $ | 25.95 | 1,000 | $ | 12,014,850 | ||||||||||||
VIX
Futures (Cboe) |
Long | May 2021 | 926 | 25.93 | 1,000 | 24,006,550 | ||||||||||||||
VIX
Futures (Cboe) |
Long | June 2021 | 926 | 25.93 | 1,000 | 24,006,550 | ||||||||||||||
VIX
Futures (Cboe) |
Long | July 2021 | 463 | 26.00 | 1,000 | 12,038,000 |
Futures Positions as of
December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX
Futures (Cboe) |
Long | April 2020 | 511 | $ | 17.43 | 1,000 | $ | 8,904,175 | ||||||||||||
VIX
Futures (Cboe) |
Long | May 2020 | 865 | 17.58 | 1,000 | 15,202,375 | ||||||||||||||
VIX
Futures (Cboe) |
Long | June 2020 | 865 | 17.88 | 1,000 | 15,461,875 | ||||||||||||||
VIX
Futures (Cboe) |
Long | July 2020 | 354 | 18.13 | 1,000 | 6,416,250 |
Futures Positions as of
December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX
Futures (Cboe) |
Long | January 2021 | 5,948 | $ | 23.68 | 1,000 | $ | 140,818,900 | ||||||||||||
VIX
Futures (Cboe) |
Long | February 2021 | 5,953 | 25.58 | 1,000 | 152,247,975 |
Futures Positions as of
December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX
Futures (Cboe) |
Long | January 2020 | 10,706 | $ | 14.63 | 1,000 | $ | 156,575,250 | ||||||||||||
VIX
Futures (Cboe) |
Long | February 2020 | 7,415 | 16.63 | 1,000 | 123,274,375 |
Item 8. |
Financial
Statements and Supplementary Data. |
Three Months Ended (unaudited) | Year
Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | 1,992 | $ | (5,552 | ) | $ | (5,267 | ) | $ | (7,950 | ) | $ | (16,777 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 48,656 | $ | (40,824 | ) | $ | (92,556 | ) | $ | (146,897 | ) | $ | (231,621 | ) | ||||||
Net
income (loss) |
$ | 50,648 | $ | (46,376 | ) | $ | (97,823 | ) | $ | (154,847 | ) | $ | (248,398 | ) | ||||||
Net
increase (decrease) in net asset value per share |
$ | 1.02 | $ | (0.93 | ) | $ | (1.96 | ) | $ | (1.85 | ) | $ | (3.72 | ) |
Three Months Ended (unaudited) | Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 37,625 | $ | 71,866 | $ | 60,251 | $ | 6,509 | $ | 176,251 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 350,977 | $ | (157,901 | ) | $ | 963,281 | $ | (153,379 | ) | $ | 1,002,978 | ||||||||
Net
income (loss) |
$ | 388,602 | $ | (86,035 | ) | $ | 1,023,532 | $ | (146,870 | ) | $ | 1,179,229 | ||||||||
Net
increase (decrease) in net asset value per share |
$ | 1.33 | $ | (0.18 | ) | $ | 2.38 | $ | (0.99 | ) | $ | 2.54 |
Three Months Ended (unaudited) | Year
Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | (355,596 | ) | $ | (2,142,980 | ) | $ | (1,544,734 | ) | $ | (1,226,252 | ) | $ | (5,269,562 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (223,244,946 | ) | $ | 32,313,676 | $ | 59,129,906 | $ | 57,283,419 | $ | (74,517,945 | ) | ||||||||
Net
income (loss) |
$ | (223,600,542 | ) | $ | 30,170,696 | $ | 57,585,172 | $ | 56,057,167 | $ | (79,787,507 | ) | ||||||||
Net
increase (decrease) in net asset value per share |
$ | (34.60 | ) | $ | 0.38 | $ | 3.97 | $ | 6.05 | $ | (24.20 | ) |
Three Months Ended (unaudited) | Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 45,436 | $ | 725,505 | $ | 366,033 | $ | 25,189 | $ | 1,162,163 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 81,676,814 | $ | 15,996,074 | $ | (4,250,833 | ) | $ | 56,953,543 | $ | 150,375,598 | |||||||||
Net
income (loss) |
$ | 81,722,250 | $ | 16,721,579 | $ | (3,884,800 | ) | $ | 56,978,732 | $ | 151,537,761 | |||||||||
Net
increase (decrease) in net asset value per share |
$ | 9.95 | $ | 2.20 | $ | (0.58 | ) | $ | 11.69 | $ | 23.26 |
Three Months Ended (unaudited) | Year
Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | 404,884 | $ | (3,994,835 | ) | $ | (4,420,342 | ) | $ | (3,013,018 | ) | $ | (11,023,311 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (827,975,458 | ) | $ | (10,241,862 | ) | $ | 53,323,977 | $ | 236,808,671 | $ | (548,084,672 | ) | |||||||
Net
income (loss) |
$ | (827,570,574 | ) | $ | (14,236,697 | ) | $ | 48,903,635 | $ | 233,795,653 | $ | (559,107,983 | ) | |||||||
Net
increase (decrease) in net asset value per share |
$ | (469.08 | ) | $ | (11.56 | ) | $ | 0.15 | $ | 7.64 | $ | (472.85 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 1,095,944 | $ | 1,231,167 | $ | 964,368 | $ | 573,105 | $ | 3,864,584 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 219,922,437 | $ | (11,746,328 | ) | $ | (44,341,886 | ) | $ | 89,750,924 | $ | 253,585,147 | ||||||||
Net
income (loss) |
$ | 221,018,381 | $ | (10,515,161 | ) | $ | (43,377,518 | ) | $ | 90,324,029 | $ | 257,449,731 | ||||||||
Net
increase (decrease) in net asset value per share |
$ | 211.57 | $ | (47.34 | ) | $ | (88.80 | ) | $ | 107.34 | $ | 182.77 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | (2,351 | ) | $ | (121,296 | ) | $ | (323,543 | ) | $ | (492,710 | ) | $ | (939,900 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (27,255,588 | ) | $ | (11,257,966 | ) | $ | 36,401,329 | $ | (42,062,709 | ) | $ | (44,174,934 | ) | ||||||
Net
income (loss) |
$ | (27,257,939 | ) | $ | (11,379,262 | ) | $ | 36,077,786 | $ | (42,555,419 | ) | $ | (45,114,834 | ) | ||||||
Net
increase (decrease) in net asset value per share |
$ | (42.15 | ) | $ | (13.51 | ) | $ | 6.05 | $ | (13.36 | ) | $ | (62.97 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 44,045 | $ | 49,884 | $ | 64,345 | $ | 4,114 | $ | 162,388 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (2,956,899 | ) | $ | (8,646,662 | ) | $ | 1,504,321 | $ | (14,608,364 | ) | $ | (24,707,604 | ) | ||||||
Net
income (loss) |
$ | (2,912,854 | ) | $ | (8,596,778 | ) | $ | 1,568,666 | $ | (14,604,250 | ) | $ | (24,545,216 | ) | ||||||
Net
increase (decrease) in net asset value per share |
$ | (49.55 | ) | $ | (64.75 | ) | $ | (9.80 | ) | $ | (44.76 | ) | $ | (168.86 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | 3,247 | $ | (8,702 | ) | $ | (12,155 | ) | $ | (9,996 | ) | $ | (27,606 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (274,810 | ) | $ | 78,773 | $ | 357,397 | $ | 321,206 | $ | 482,566 | |||||||||
Net
income (loss) |
$ | (271,563 | ) | $ | 70,071 | $ | 345,242 | $ | 311,210 | $ | 454,960 | |||||||||
Net
increase (decrease) in net asset value per share |
$ | (0.63 | ) | $ | 0.40 | $ | 1.10 | $ | 1.13 | $ | 2.00 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 20,829 | $ | 18,923 | $ | 12,333 | $ | 6,443 | $ | 58,528 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (452,758 | ) | $ | 75,978 | $ | (546,620 | ) | $ | 252,983 | $ | (670,417 | ) | |||||||
Net
income (loss) |
$ | (431,929 | ) | $ | 94,901 | $ | (534,287 | ) | $ | 259,426 | $ | (611,889 | ) | |||||||
Net
increase (decrease) in net asset value per share |
$ | (0.80 | ) | $ | 0.21 | $ | (1.33 | ) | $ | 0.62 | $ | (1.30 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | 108,908 | $ | (279,921 | ) | $ | (617,991 | ) | $ | (635,526 | ) | $ | (1,424,530 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 2,400,696 | $ | 30,258,340 | $ | 7,687,705 | $ | (5,247,845 | ) | $ | 35,098,896 | |||||||||
Net
income (loss) |
$ | 2,509,604 | $ | 29,978,419 | $ | 7,069,714 | $ | (5,883,371 | ) | $ | 33,674,366 | |||||||||
Net
increase (decrease) in net asset value per share |
$ | 3.23 | $ | 12.54 | $ | 3.88 | $ | (1.29 | ) | $ | 18.36 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 212,786 | $ | 228,086 | $ | 254,636 | $ | 207,429 | $ | 902,937 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 279,826 | $ | 12,185,406 | $ | 4,937,206 | $ | 6,001,591 | $ | 23,404,029 | ||||||||||
Net
income (loss) |
$ | 492,612 | $ | 12,413,492 | $ | 5,191,842 | $ | 6,209,020 | $ | 24,306,966 | ||||||||||
Net
increase (decrease) in net asset value per share |
$ | 0.20 | $ | 6.46 | $ | 2.75 | $ | 2.68 | $ | 12.09 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | 276,832 | $ | (335,243 | ) | $ | (1,497,215 | ) | $ | (1,618,419 | ) | $ | (3,174,045 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (88,759,485 | ) | $ | 80,688,373 | $ | 90,925,025 | $ | 127,443,707 | $ | 210,297,620 | |||||||||
Net
income (loss) |
$ | (88,482,653 | ) | $ | 80,353,130 | $ | 89,427,810 | $ | 125,825,288 | $ | 207,123,575 | |||||||||
Net
increase (decrease) in net asset value per share |
$ | (13.28 | ) | $ | 11.14 | $ | 12.69 | $ | 8.46 | $ | 19.01 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 445,559 | $ | 512,068 | $ | 489,406 | $ | 409,237 | $ | 1,856,270 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (13,588,404 | ) | $ | 485,637 | $ | 33,071,129 | $ | 18,628,882 | $ | 38,597,244 | |||||||||
Net
income (loss) |
$ | (13,142,845 | ) | $ | 997,705 | $ | 33,560,535 | $ | 19,038,119 | $ | 40,453,514 | |||||||||
Net
increase (decrease) in net asset value per share |
$ | (1.87 | ) | $ | 0.10 | $ | 4.59 | $ | 2.49 | $ | 5.31 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | (729,265 | ) | $ | (2,085,756 | ) | $ | (5,136,994 | ) | $ | (5,671,866 | ) | $ | (13,623,881 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 902,602,146 | $ | (233,381,670 | ) | $ | (544,234,723 | ) | $ | (759,178,251 | ) | $ | (634,192,498 | ) | ||||||
Net
income (loss) |
$ | 901,872,881 | $ | (235,467,426 | ) | $ | (549,371,717 | ) | $ | (764,850,117 | ) | $ | (647,816,379 | ) | ||||||
Net
increase (decrease) in net asset value per share |
$ | 45.85 | $ | (25.59 | ) | $ | (12.78 | ) | $ | (9.48 | ) | $ | (2.00 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | (150,629 | ) | $ | 507,125 | $ | 128,125 | $ | (389,569 | ) | $ | 95,052 | ||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (234,281,324 | ) | $ | (94,539,260 | ) | $ | (10,108,464 | ) | $ | (351,677,844 | ) | $ | (690,606,892 | ) | |||||
Net
income (loss) |
$ | (234,431,953 | ) | $ | (94,032,135 | ) | $ | (9,980,339 | ) | $ | (352,067,413 | ) | $ | (690,511,840 | ) | |||||
Net
increase (decrease) in net asset value per share |
$ | (42.46 | ) | $ | (8.63 | ) | $ | (4.99 | ) | $ | (12.71 | ) | $ | (68.79 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | 1,626 | $ | (6,539 | ) | $ | (6,720 | ) | $ | (6,684 | ) | $ | (18,317 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (27,796 | ) | $ | (37,886 | ) | $ | 125,045 | $ | 113,503 | $ | 172,866 | ||||||||
Net
income (loss) |
$ | (26,170 | ) | $ | (44,425 | ) | $ | 118,325 | $ | 106,819 | $ | 154,549 | ||||||||
Net
increase (decrease) in net asset value per share |
$ | 0.38 | $ | (0.89 | ) | $ | 2.37 | $ | 2.14 | $ | 4.00 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 14,571 | $ | 9,668 | $ | 8,446 | $ | 5,829 | $ | 38,514 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (189,904 | ) | $ | 154,832 | $ | (38,615 | ) | $ | (55,889 | ) | $ | (129,576 | ) | ||||||
Net
income (loss) |
$ | (175,333 | ) | $ | 164,500 | $ | (30,169 | ) | $ | (50,060 | ) | $ | (91,062 | ) | ||||||
Net
increase (decrease) in net asset value per share |
$ | (1.88 | ) | $ | 2.44 | $ | (1.03 | ) | $ | (1.23 | ) | $ | (1.70 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | 3,425 | $ | (16,185 | ) | $ | (13,294 | ) | $ | (10,614 | ) | $ | (36,668 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 1,618,330 | $ | (1,600,140 | ) | $ | (427,080 | ) | $ | (538,450 | ) | $ | (947,340 | ) | ||||||
Net
income (loss) |
$ | 1,621,755 | $ | (1,616,325 | ) | $ | (440,374 | ) | $ | (549,064 | ) | $ | (984,008 | ) | ||||||
Net
increase (decrease) in net asset value per share |
$ | 16.21 | $ | (16.16 | ) | $ | (4.40 | ) | $ | (7.29 | ) | $ | (11.64 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 25,789 | $ | 25,895 | $ | 19,953 | $ | 8,688 | $ | 80,325 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (314,459 | ) | $ | 175,523 | $ | 663,547 | $ | (427,020 | ) | $ | 97,591 | ||||||||
Net
income (loss) |
$ | (288,670 | ) | $ | 201,418 | $ | 683,500 | $ | (418,332 | ) | $ | 177,916 | ||||||||
Net
increase (decrease) in net asset value per share |
$ | (0.88 | ) | $ | 1.34 | $ | 4.75 | $ | (4.42 | ) | $ | 0.79 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | (30,713 | ) | $ | (782,726 | ) | $ | (342,320 | ) | $ | (312,419 | ) | $ | (1,468,178 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 128,255,359 | $ | (82,149,072 | ) | $ | (10,448,715 | ) | $ | (30,195,830 | ) | $ | 5,461,742 | |||||||
Net
income (loss) |
$ | 128,224,646 | $ | (82,931,798 | ) | $ | (10,791,035 | ) | $ | (30,508,249 | ) | $ | 3,993,564 | |||||||
Net
increase (decrease) in net asset value per share |
$ | 36.88 | $ | (30.77 | ) | $ | (1.68 | ) | $ | (5.01 | ) | $ | (0.58 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 185,815 | $ | 215,797 | $ | 200,283 | $ | 107,904 | $ | 709,799 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (42,073,393 | ) | $ | 7,580,828 | $ | 10,965,855 | $ | (21,789,492 | ) | $ | (45,316,202 | ) | |||||||
Net
income (loss) |
$ | (41,887,578 | ) | $ | 7,796,625 | $ | 11,166,138 | $ | (21,681,588 | ) | $ | (44,606,403 | ) | |||||||
Net
increase (decrease) in net asset value per share |
$ | (12.90 | ) | $ | (0.03 | ) | $ | (0.46 | ) | $ | (4.21 | ) | $ | (17.60 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | (22,279 | ) | $ | (87,047 | ) | $ | (249,586 | ) | $ | (190,679 | ) | $ | (549,591 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 8,961,788 | $ | 2,461,452 | $ | (22,480,855 | ) | $ | 10,785,426 | $ | (272,189 | ) | ||||||||
Net
income (loss) |
$ | 8,939,509 | $ | 2,374,405 | $ | (22,730,441 | ) | $ | 10,594,747 | $ | (821,780 | ) | ||||||||
Net
increase (decrease) in net asset value per share |
$ | 24.85 | $ | 3.83 | $ | (28.89 | ) | $ | 9.27 | $ | 9.06 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 19,484 | $ | 11,719 | $ | 4,656 | $ | (6,442 | ) | $ | 29,417 | |||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 1,002,714 | $ | 2,903,656 | $ | 723,285 | $ | 4,491,526 | $ | 9,121,181 | ||||||||||
Net
income (loss) |
$ | 1,022,198 | $ | 2,915,375 | $ | 727,941 | $ | 4,485,084 | $ | 9,150,598 | ||||||||||
Net
increase (decrease) in net asset value per share |
$ | 1.04 | $ | 8.10 | $ | (1.33 | ) | $ | 9.11 | $ | 16.92 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | 136,215 | $ | (145,604 | ) | $ | (144,828 | ) | $ | (132,797 | ) | $ | (287,014 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 4,237,534 | $ | (3,555,551 | ) | $ | (5,985,376 | ) | $ | (4,566,008 | ) | $ | (9,869,401 | ) | ||||||
Net
income (loss) |
$ | 4,373,749 | $ | (3,701,155 | ) | $ | (6,130,204 | ) | $ | (4,698,805 | ) | $ | (10,156,415 | ) | ||||||
Net
increase (decrease) in net asset value per share |
$ | 1.02 | $ | (1.09 | ) | $ | (2.24 | ) | $ | (1.96 | ) | $ | (4.27 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 434,473 | $ | 471,256 | $ | 371,679 | $ | 251,422 | $ | 1,528,830 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 7,754,055 | $ | (1,896,379 | ) | $ | 12,977,337 | $ | (5,841,242 | ) | $ | 12,993,771 | ||||||||
Net
income (loss) |
$ | 8,188,528 | $ | (1,425,123 | ) | $ | 13,349,016 | $ | (5,589,820 | ) | $ | 14,522,601 | ||||||||
Net
increase (decrease) in net asset value per share |
$ | 1.40 | $ | (0.28 | ) | $ | 2.63 | $ | (1.22 | ) | $ | 2.53 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | 15,678 | $ | (41,386 | ) | $ | (47,471 | ) | $ | (50,453 | ) | $ | (123,632 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (3,253,908 | ) | $ | (4,728,202 | ) | $ | (1,332,476 | ) | $ | (706,781 | ) | $ | (10,021,367 | ) | |||||
Net
income (loss) |
$ | (3,238,230 | ) | $ | (4,769,588 | ) | $ | (1,379,947 | ) | $ | (757,234 | ) | $ | (10,144,999 | ) | |||||
Net
increase (decrease) in net asset value per share |
$ | (7.00 | ) | $ | (10.56 | ) | $ | (3.42 | ) | $ | (0.61 | ) | $ | (21.59 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 47,471 | $ | 52,582 | $ | 53,681 | $ | 32,980 | $ | 186,714 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (290,878 | ) | $ | (3,257,747 | ) | $ | (767,290 | ) | $ | (1,417,644 | ) | $ | (5,733,559 | ) | |||||
Net
income (loss) |
$ | (243,407 | ) | $ | (3,205,165 | ) | $ | (713,609 | ) | $ | (1,384,664 | ) | $ | (5,546,845 | ) | |||||
Net
increase (decrease) in net asset value per share |
$ | (0.86 | ) | $ | (11.28 | ) | $ | (4.58 | ) | $ | (3.54 | ) | $ | (20.26 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | 3,419 | $ | (30,713 | ) | $ | (94,990 | ) | $ | (99,372 | ) | $ | (221,656 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 5,032,696 | $ | (6,631,810 | ) | $ | (4,767,086 | ) | $ | (11,865,871 | ) | $ | (18,232,071 | ) | ||||||
Net
income (loss) |
$ | 5,036,115 | $ | (6,662,523 | ) | $ | (4,862,076 | ) | $ | (11,965,243 | ) | $ | (18,453,727 | ) | ||||||
Net
increase (decrease) in net asset value per share |
$ | 9.78 | $ | (16.92 | ) | $ | (9.93 | ) | $ | (2.76 | ) | $ | (19.83 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 31,554 | $ | 42,177 | $ | 40,671 | $ | 17,511 | $ | 131,913 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 745,325 | $ | (596,758 | ) | $ | (2,836,930 | ) | $ | (2,053,612 | ) | $ | (4,741,975 | ) | ||||||
Net
income (loss) |
$ | 776,879 | $ | (554,581 | ) | $ | (2,796,259 | ) | $ | (2,036,100 | ) | $ | (4,610,061 | ) | ||||||
Net
increase (decrease) in net asset value per share |
$ | 2.05 | $ | (0.96 | ) | $ | (8.35 | ) | $ | (3.11 | ) | $ | (10.37 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | 41,746 | $ | (59,287 | ) | $ | (55,870 | ) | $ | (55,791 | ) | $ | (129,202 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (1,203,589 | ) | $ | 177,209 | $ | (1,250,130 | ) | $ | (1,005,096 | ) | $ | (3,281,606 | ) | ||||||
Net
income (loss) |
$ | (1,161,843 | ) | $ | 117,922 | $ | (1,306,000 | ) | $ | (1,060,887 | ) | $ | (3,410,808 | ) | ||||||
Net
increase (decrease) in net asset value per share |
$ | (2.27 | ) | $ | 0.50 | $ | (3.65 | ) | $ | (3.12 | ) | $ | (8.54 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 167,574 | $ | 175,443 | $ | 137,637 | $ | 74,820 | $ | 555,474 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 2,090,200 | $ | (2,316,880 | ) | $ | 605,022 | $ | 862,500 | $ | 1,240,842 | |||||||||
Net
income (loss) |
$ | 2,257,774 | $ | (2,141,437 | ) | $ | 742,659 | $ | 937,320 | $ | 1,796,316 | |||||||||
Net
increase (decrease) in net asset value per share |
$ | 2.58 | $ | (3.01 | ) | $ | 1.27 | $ | 1.64 | $ | 2.48 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | 47,920 | $ | (133,713 | ) | $ | (204,460 | ) | $ | (215,919 | ) | $ | (506,172 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 23,739,395 | $ | 882,882 | $ | 2,507,925 | $ | (10,528,768 | ) | $ | 16,601,434 | |||||||||
Net
income (loss) |
$ | 23,787,315 | $ | 749,169 | $ | 2,303,465 | $ | (10,744,687 | ) | $ | 16,095,262 | |||||||||
Net
increase (decrease) in net asset value per share |
$ | 17.47 | $ | 1.66 | $ | 0.59 | $ | (4.26 | ) | $ | 15.46 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 149,266 | $ | 133,606 | $ | 129,497 | $ | 80,844 | $ | 493,213 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (10,628,469 | ) | $ | (852,138 | ) | $ | 4,127,635 | $ | (4,913,553 | ) | $ | (12,266,525 | ) | ||||||
Net
income (loss) |
$ | (10,479,203 | ) | $ | (718,532 | ) | $ | 4,257,132 | $ | (4,832,709 | ) | $ | (11,773,312 | ) | ||||||
Net
increase (decrease) in net asset value per share |
$ | (5.01 | ) | $ | (0.22 | ) | $ | 2.08 | $ | (2.23 | ) | $ | (5.38 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net
investment income (loss) |
$ | 144,025 | $ | (443,622 | ) | $ | (758,225 | ) | $ | (835,140 | ) | $ | (1,892,962 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | 393,640,032 | $ | (52,714,687 | ) | $ | (74,563,669 | ) | $ | (101,250,010 | ) | $ | 165,111,666 | |||||||
Net
income (loss) |
$ | 393,784,057 | $ | (53,158,309 | ) | $ | (75,321,894 | ) | $ | (102,085,150 | ) | $ | 163,218,704 | |||||||
Net
increase (decrease) in net asset value per share |
$ | 25.66 | $ | (10.03 | ) | $ | (7.40 | ) | $ | (6.77 | ) | $ | 1.46 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net
investment income (loss) |
$ | 476,702 | $ | 724,602 | $ | 615,421 | $ | 336,674 | $ | 2,153,399 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net
realized and unrealized gain (loss) |
$ | (76,190,815 | ) | $ | (23,082,821 | ) | $ | (2,496,651 | ) | $ | (125,351,164 | ) | $ | (227,121,451 | ) | |||||
Net
income (loss) |
$ | (75,714,113 | ) | $ | (22,358,219 | ) | $ | (1,881,230 | ) | $ | (125,014,490 | ) | $ | (224,968,052 | ) | |||||
Net
increase (decrease) in net asset value per share |
$ | (14.50 | ) | $ | (3.22 | ) | $ | (1.67 | ) | $ | (6.89 | ) | $ | (26.28 | ) |
* |
See
Note 1 of the Notes to Financial Statements in Item 15 of Part IV in this
Annual Report on Form
10-K. |
Item 9. |
Changes
in and Disagreements With Accountants on Accounting and Financial
Disclosure. |
Item 9A. |
Controls
and Procedures. |
Item 9B. |
Other
Information. |
Item 10. |
Directors,
Executive Officers and Corporate Governance.
|
• |
selects
the Funds’ service providers; |
• |
negotiates
various agreements and fees; |
• |
performs
such other services as the Sponsor believes that the Trust may require
from time to time; |
• |
selects
the FCM and Financial Instrument counterparties;
|
• |
manages
each Fund’s portfolio of other assets, including cash equivalents; and
|
• |
manages
the Funds with a view toward achieving the Funds’ investment objectives.
|
Name |
Position | |
Michael L. Sapir | Chief Executive Officer and Principal of the Sponsor | |
Louis M. Mayberg | Principal of the Sponsor | |
William E. Seale | Principal of the Sponsor | |
Sapir Family Trust | Principal of the Sponsor | |
Northstar Trust | Principal of the Sponsor | |
Timothy N. Coakley | Chief Financial Officer and Principal of the Sponsor | |
Edward J. Karpowicz | Principal Financial Officer of the Trust and Principal of the Sponsor | |
Todd B. Johnson* | Principal Executive Officer of the Trust and Chief Investment Officer and Principal of the Sponsor | |
Hratch Najarian | Director, Portfolio Management and Principal of the Sponsor | |
Alexander Ilyasov | Senior Portfolio Manager of the Sponsor | |
James
Linneman |
Principal
and Portfolio Manager of the Sponsor | |
Benjamin McAbee | Principal and Portfolio Manager of the Sponsor | |
Victor M. Frye | Principal of the Sponsor |
* |
Denotes
principal of the Sponsor who supervises persons who participate in making
trading decisions for the Funds. |
Item 11. |
Executive
Compensation. |
Fund |
Amount |
|||
ProShares
Short Euro |
$ | 24,443 | ||
ProShares
Short VIX Short-Term Futures ETF |
4,469,701 | |||
ProShares
Ultra Bloomberg Crude Oil |
9,256,478 | |||
ProShares
Ultra Bloomberg Natural Gas |
674,810 | |||
ProShares
Ultra Euro |
44,302 | |||
ProShares
Ultra Gold |
1,916,092 | |||
ProShares
Ultra Silver |
3,944,697 | |||
ProShares
Ultra VIX Short-Term Futures ETF |
8,835,385 | |||
ProShares
Ultra Yen |
27,655 | |||
ProShares
UltraPro 3x Crude Oil ETF* |
283,787 | |||
ProShares
UltraPro 3x Short Crude Oil ETF* |
117,259 | |||
ProShares
UltraShort Australian Dollar |
52,950 | |||
ProShares
UltraShort Bloomberg Crude Oil |
1,021,787 | |||
ProShares
UltraShort Bloomberg Natural Gas |
308,058 | |||
ProShares
UltraShort Euro |
783,692 | |||
ProShares
UltraShort Gold |
177,762 | |||
ProShares
UltraShort Silver |
237,140 | |||
ProShares
UltraShort Yen |
268,213 | |||
ProShares
VIX
Mid-Term Futures
ETF |
579,606 | |||
ProShares
VIX Short-Term Futures ETF |
2,193,275 |
* |
The
operations include the activity of ProShares UltraPro 3x Crude Oil ETF
through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF
through April 13, 2020, the date of liquidation, respectively.
|
Item 12. |
Security
Ownership of Certain Beneficial Owners and Management and Related
Stockholder Matters. |
Item 13. |
Certain
Relationships and Related Transactions, and Director Independence.
|
Item 14. |
Principal
Accounting Fees and Services. |
(1) |
to
(4). Fees for services performed by PricewaterhouseCoopers LLP (“PwC”) for
the years ended December 31, 2020 and 2019 were as follows:
|
Year Ended |
Year Ended |
|||||||
December 31, 2020 |
December 31, 2019 |
|||||||
Audit
Fees |
$ | 711,260 | $ | 730,400 | ||||
Audit-Related
Fees |
57,000 | — | ||||||
Tax
Fees |
3,164,300 | 3,158,000 | ||||||
All
Other Fees |
— | — | ||||||
|
|
|
|
|||||
Total
Trust: |
$ |
3,932,560 |
|
$ |
3,888,400 |
| ||
|
|
|
|
(5) |
The
Sponsor approved all of the services provided by PwC described above. The
Sponsor
pre-approves all
audit and allowed
non-audit services
of the Trust’s independent registered public accounting firm, including
all engagement fees and terms. |
Item 15. |
Exhibits
and Financial Statement Schedules. |
(1) |
Incorporated
by reference to the Trust’s Registration Statement, filed on
October 18, 2007. |
(2) |
Incorporated
by reference to the Trust’s Registration Statement, filed on
August 15, 2008. |
(3) |
Incorporated
by reference to the Trust’s Registration Statement, filed on
September 18, 2008. |
(4) |
Incorporated
by reference to the Trust’s Registration Statement, filed on
November 17, 2008. |
(5) |
Incorporated
by reference to the Trust’s Registration Statement, filed on
October 22, 2008. |
(6) |
Filed
herewith. |
Item 16. |
Form
10-K Summary.
|
Documents |
Page |
|||
121 | ||||
Statements
of Financial Condition, Schedule of Investments, Statements of Operations,
Statements of Changes in Shareholders’ Equity and Statements of Cash
Flows: |
||||
123 | ||||
129 | ||||
135 | ||||
141 | ||||
147 | ||||
153 | ||||
159 | ||||
165 | ||||
171 | ||||
177 | ||||
183 | ||||
189 | ||||
195 | ||||
201 | ||||
207 | ||||
213 | ||||
219 | ||||
225 | ||||
231 | ||||
235 |
ProShares
Short Euro (a) |
ProShares
UltraShort Australian Dollar (a) | |
ProShares
Short VIX Short-Term Futures ETF (a) |
ProShares
UltraShort Bloomberg Crude Oil (a) | |
ProShares
Ultra Bloomberg Crude Oil (a) |
ProShares
UltraShort Bloomberg Natural Gas (a) | |
ProShares
Ultra Bloomberg Natural Gas (a) |
ProShares
UltraShort Euro (a) | |
ProShares
Ultra Euro (a) |
ProShares
UltraShort Gold (a) | |
ProShares
Ultra Gold (a) |
ProShares
UltraShort Silver (a) | |
ProShares
Ultra Silver (a) |
ProShares
UltraShort Yen (a) | |
ProShares
Ultra VIX Short-Term Futures ETF (a) |
ProShares
VIX
Mid-Term Futures
ETF (a) | |
ProShares
Ultra Yen (a) |
ProShares
VIX Short-Term Futures ETF (a) | |
| ||
ProShares
Trust II (“combined”) (b) |
(a) |
Statements
of financial condition, including the schedules of investments, as of
December 31, 2020 and 2019, and the related statements of operations,
of changes in shareholders’ equity and of cash flows for each of the three
years in the period ended December 31, 2020
|
(b) |
Combined
statements of financial condition as of December 31, 2020 and 2019,
and the related combined statements of operations, of changes in
shareholders’ equity and of cash flows for each of the three years in the
period ended December 31, 2020 |
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $
– and
$ |
$ | —
|
$ | |||||
Cash |
||||||||
Segregated
cash balances with brokers for futures contracts |
||||||||
Receivable
on open futures contracts |
— | |||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
on open futures contracts |
—
|
|||||||
Payable
to Sponsor |
||||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Futures
Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Euro
Fx Currency Futures - CME, expires March 2021 |
$ | $ | ( |
) |
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Futures
Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Euro
Fx Currency Futures - CME, expires March 2020 |
$ | $ | ( |
) |
^^ |
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Brokerage
commissions |
||||||||||||
Non-recurring fees
and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Futures
contracts |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | ( |
) | $ | $ | |||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of – shares,
respectively |
— | |||||||||||
Redemption
of
– ,
– shares,
respectively |
—
|
( |
) | — | ||||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of – shares,
respectively |
( |
) | — | |||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
Net
realized gain (loss) |
( |
) | ||||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | ( |
) | $ | $ | |||||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
— | ( |
) | ( |
) | |||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
— | ( |
) | — | ||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) | — | — | ||||||||
Decrease
(Increase) in interest receivable |
( |
) | ||||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase
(Decrease) in payable on futures contracts |
( |
) | ( |
) | ( |
) | ||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
||||||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
— | |||||||||||
Payment
on shares redeemed |
— | ( |
) | — | ||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | — | |||||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
( |
) | ||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated
cash balances with brokers for futures contracts |
||||||||
Receivable
on open futures contracts |
||||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
on open futures contracts |
— | |||||||
Brokerage
commissions and fees payable |
— | |||||||
Payable
to Sponsor |
||||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Futures
Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX
Futures - Cboe, expires January 2021 |
$ | $ | ||||||||||
VIX
Futures - Cboe, expires February 2021 |
||||||||||||
|
|
|||||||||||
$ | ||||||||||||
|
|
^^ |
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Futures
Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX
Futures - Cboe, expires January 2020 |
$ | $ | ||||||||||
VIX
Futures - Cboe, expires February 2020 |
( |
) | ||||||||||
|
|
|||||||||||
$ | ||||||||||||
|
|
^^ |
|
† |
All
or partial amount pledged as collateral for futures contracts.
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Brokerage
commissions |
||||||||||||
Brokerage
fees |
||||||||||||
Non-recurring fees
and expenses |
— | |||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Futures
contracts |
( |
) | ( |
) | ||||||||
Short-term
U.S. government and agency obligations |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) | ( |
) | ||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ( |
) | ||||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
( |
) | ||||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in interest receivable |
( |
) | ||||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in brokerage commissions and fees payable |
— | — | ||||||||||
Increase
(Decrease) in payable on futures contracts |
( |
) | ||||||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
( |
) | ( |
) | ||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated
cash balances with brokers for futures contracts |
||||||||
Unrealized
appreciation on swap agreements |
||||||||
Receivable
on open futures contracts |
— | |||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
for capital shares redeemed |
— | |||||||
Payable
on open futures contracts |
— | |||||||
Payable
to Sponsor |
||||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding (Note 1) |
||||||||
|
|
|
|
|||||
Net
asset value per share (Note 1) |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 1) (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Futures
Contracts Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI
Crude Oil - NYMEX, expires March 2021 |
$ | $ | ||||||||||
WTI
Crude Oil - NYMEX, expires June 2021 |
||||||||||||
WTI
Crude Oil - NYMEX, expires December 2021 |
||||||||||||
|
|
|||||||||||
$ | ||||||||||||
|
|
Total
Return Swap Agreements
^ |
||||||||||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap
agreement with Goldman Sachs International based on Bloomberg Commodity
Balanced WTI Crude Oil Index |
% | $ | $ | |||||||||||||
Swap agreement
with Morgan Stanley & Co. International PLC based on Bloomberg
Commodity Balanced WTI Crude Oil Index |
||||||||||||||||
Swap
agreement with Societe Generale based on Bloomberg Commodity Balanced WTI
Crude Oil Index |
||||||||||||||||
Swap
agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil
Index |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
$ | |||||||||||||||
|
|
† |
All
or partial amount pledged as collateral for swap agreements.
|
^ |
The
positions and counterparties herein are as of December 31, 2020. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
* |
Reflects
the floating financing rate, as of December 31, 2020, on the notional
amount of the swap agreement paid to the counterparty or received from the
counterparty, excluding any commissions. Total Return Swap Agreements
payment is due at termination/maturity. |
** |
For
swap agreements, a positive amount represents “long” exposure to the
benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
|
||||||||
† |
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Futures
Contracts Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI
Crude Oil - NYMEX, expires March 2020 |
$ | $ |
Total
Return Swap Agreements
^ |
||||||||||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap
agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil
Subindex |
% | $ | $ | |||||||||||||
Swap
agreement with Goldman Sachs International based on Bloomberg WTI Crude
Oil Subindex |
||||||||||||||||
Swap
agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil
Subindex |
||||||||||||||||
Swap
agreement with Societe Generale based on Bloomberg WTI Crude Oil
Subindex |
||||||||||||||||
Swap
agreement with UBS AG based on Bloomberg WTI Crude Oil
Subindex |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
$ | |||||||||||||||
|
|
† |
All
or partial amount pledged as collateral for swap agreements.
|
^ |
The
positions and counterparties herein are as of December 31, 2019. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
* |
Reflects
the floating financing rate, as of December 31, 2019, on the notional
amount of the swap agreement paid to the counterparty or received from the
counterparty, excluding any commissions. Total Return Swap Agreements
payment is due at termination/maturity. |
** |
For
swap agreements, a positive amount represents “long” exposure to the
benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Brokerage
commissions |
||||||||||||
Brokerage
fees |
— | — | ||||||||||
Non-recurring fees
and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Futures
contracts |
( |
) | ||||||||||
Swap
agreements |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) | ||||||||||
Swap
agreements |
( |
) | ( |
) | ||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
Net
realized gain (loss) |
( |
) | ||||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
( |
) | ( |
) | ||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ||||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) | ||||||||||
Decrease
(Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in payable on futures contracts |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
( |
) | ||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated
cash balances with brokers for futures contracts |
||||||||
Receivable
on open futures contracts |
||||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
for capital shares redeemed |
— | |||||||
Payable
to Sponsor |
||||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding (Note 1) |
||||||||
|
|
|
|
|||||
Net
asset value per share (Note 1) |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 1) (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural
Gas - NYMEX, expires March 2021 |
$ | $ |
^^ |
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
||||||||
|
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural
Gas - NYMEX, expires March 2020 |
$ | $ | ( |
) |
^^ |
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Brokerage
commissions |
||||||||||||
Brokerage
fees |
— | — | ||||||||||
Non-recurring fees
and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Futures
contracts |
( |
) | ( |
) | ||||||||
Short-term
U.S. government and agency obligations |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
( |
) | ||||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in interest receivable |
( |
) | ||||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase
(Decrease) in payable on futures contracts |
— | ( |
) | |||||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
( |
) | ||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $
– and
$ |
$ | —
|
$ | |||||
Cash |
||||||||
Segregated
cash balances with brokers for foreign currency forward
contracts |
||||||||
Unrealized
appreciation on foreign currency forward contracts |
||||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
to Sponsor |
||||||||
Unrealized
depreciation on foreign currency forward contracts |
— | |||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts
to Purchase |
||||||||||||||||
Euro
with Goldman Sachs International |
$ | $ | ||||||||||||||
Euro
with UBS AG |
||||||||||||||||
|
|
|||||||||||||||
Total
Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
|||||||||||||||
Contracts
to Sell |
||||||||||||||||
Euro
with UBS AG |
( |
) | $ | ( |
) | $ | ( |
) | ||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
^ |
The
positions and counterparties herein are as of December 31, 2020. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
||||||||
|
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts
to Purchase |
||||||||||||||||
Euro
with Goldman Sachs International |
$ | $ | ||||||||||||||
Euro
with UBS AG |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
^ |
The
positions and counterparties herein are as of December 31, 2019. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Non-recurring fees
and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Foreign
currency forward contracts |
( |
) | ( |
) | ||||||||
Short-term
U.S. government and agency obligations |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Foreign
currency forward contracts |
( |
) | ( |
) | ||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | $ | ( |
) | $ | ( |
) | |||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | $ | ( |
) | $ | ( |
) | |||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
— | — | ( |
) | ||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ||||||||||
Decrease
(Increase) in interest receivable |
( |
) | ||||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ( |
) | ( |
) | ||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
( |
) | ||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated
cash balances with brokers for futures contracts |
||||||||
Segregated
cash balances with brokers for swap agreements |
— | |||||||
Unrealized
appreciation on swap agreements |
||||||||
Receivable
on open futures contracts |
||||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
to Sponsor |
||||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold
Futures - COMEX, expires February 2021 |
$ | $ |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap
agreement with Citibank, N.A. based on Bloomberg Gold
Subindex |
% | $ | $ | |||||||||||||
Swap
agreement with Goldman Sachs International based on Bloomberg Gold
Subindex |
||||||||||||||||
Swap
agreement with UBS AG based on Bloomberg Gold Subindex |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
† |
All
or partial amount pledged as collateral for swap agreements.
|
^ |
The
positions and counterparties herein are as of December 31, 2020. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
* |
Reflects
the floating financing rate, as of December 31, 2020, on the notional
amount of the swap agreement paid to the counterparty or received from the
counterparty, excluding any commissions. Total Return Swap Agreements
payment is due at termination/maturity. |
** |
For
swap agreements, a positive amount represents “long” exposure to the
benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
|
||||||||
|
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold
Futures - COMEX, expires February 2020 |
$ | $ |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap
agreement with Citibank, N.A. based on Bloomberg Gold
Subindex |
% | $ | $ | |||||||||||||
Swap
agreement with Goldman Sachs International based on Bloomberg Gold
Subindex |
||||||||||||||||
Swap
agreement with UBS AG based on Bloomberg Gold Subindex |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
† |
All
or partial amount pledged as collateral for swap agreements.
|
^ |
The
positions and counterparties herein are as of December 31, 2019. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
* |
Reflects
the floating financing rate, as of December 31, 2019, on the notional
amount of the swap agreement paid to the counterparty or received from the
counterparty, excluding any commissions. Total Return Swap Agreements
payment is due at termination/maturity. |
** |
For
swap agreements, a positive amount represents “long” exposure to the
benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Brokerage
commissions |
||||||||||||
Brokerage
fees |
— | — | ||||||||||
Non-recurring fees
and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Futures
contracts |
( |
) | ||||||||||
Swap
agreements |
— | |||||||||||
Forward
agreements |
— | ( |
) | |||||||||
Short-term
U.S. government and agency obligations |
— | ( |
) | |||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
||||||||||||
Swap
agreements |
( |
) | — | |||||||||
Forward
agreements |
— | ( |
) | |||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | $ | $ | ( |
) | |||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
Net
realized gain (loss) |
( |
) | ||||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | $ | $ | ( |
) | |||||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
— | ( |
) | |||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) | ||||||||||
Decrease
(Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase
(Decrease) in payable on futures contracts |
— | ( |
) | |||||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
( |
) | ||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated
cash balances with brokers for futures contracts |
||||||||
Segregated
cash balances with brokers for swap agreements |
— | |||||||
Unrealized
appreciation on swap agreements |
||||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
on open futures contracts |
||||||||
Payable
to Sponsor |
||||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
† |
||||||||
† |
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver
Futures - COMEX, expires March 2021 |
$ | $ |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap
agreement with Citibank, N.A. based on Bloomberg Silver
Subindex |
% | $ | $ | |||||||||||||
Swap
agreement with Goldman Sachs International based on Bloomberg Silver
Subindex |
||||||||||||||||
Swap
agreement with Morgan Stanley & Co. International PLC based on
Bloomberg Silver Subindex |
||||||||||||||||
Swap
agreement with UBS AG based on Bloomberg Silver Subindex |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
$ | |||||||||||||||
|
|
† |
All
or partial amount pledged as collateral for swap agreements.
|
^ |
The
positions and counterparties herein are as of December 31, 2020. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
* |
Reflects
the floating financing rate, as of December 31, 2020, on the notional
amount of the swap agreement paid to the counterparty or received from the
counterparty, excluding any commissions. Total Return Swap Agreements
payment is due at termination/maturity. |
** |
For
swap agreements, a positive amount represents “long” exposure to the
benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
|
||||||||
|
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver
Futures - COMEX, expires March 2020 |
$ | $ |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap
agreement with Citibank, N.A. based on Bloomberg Silver
Subindex |
% | $ | $ | |||||||||||||
Swap
agreement with Goldman Sachs International based on Bloomberg Silver
Subindex |
||||||||||||||||
Swap
agreement with UBS AG based on Bloomberg Silver Subindex |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
$ | |||||||||||||||
|
|
† |
All
or partial amount pledged as collateral for swap agreements.
|
^ |
The
positions and counterparties herein are as of December 31, 2019. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
* |
Reflects
the floating financing rate, as of December 31, 2019, on the notional
amount of the swap agreement paid to the counterparty or received from the
counterparty, excluding any commissions. Total Return Swap Agreements
payment is due at termination/maturity. |
** |
For
swap agreements, a positive amount represents “long” exposure to the
benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Brokerage
commissions |
||||||||||||
Brokerage
fees |
— | |||||||||||
Non-recurring fees
and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Futures
contracts |
( |
) | ||||||||||
Swap
agreements |
( |
) | — | |||||||||
Forward
agreements |
— | ( |
) | |||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
||||||||||||
Swap
agreements |
— | |||||||||||
Forward
agreements |
— | ( |
) | |||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
||||||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | $ | $ | ( |
) | |||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
Net
realized gain (loss) |
( |
) | ||||||||||
Change
in net unrealized appreciation (depreciation) |
||||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | $ | $ | ( |
) | |||||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized g
a in
(loss) on investments |
( |
) | ( |
) | ||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in receivable on futures contracts |
— | — | ||||||||||
Decrease
(Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase
(Decrease) in payable on futures contracts |
||||||||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
||||||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
||||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated
cash balances with brokers for futures contracts |
||||||||
Segregated
cash balances with brokers for swap agreements |
||||||||
Receivable
from capital shares sold |
||||||||
Receivable
on open futures contracts |
||||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
on open futures contracts |
||||||||
Brokerage
commissions and fees payable |
— | |||||||
Payable
to Sponsor |
||||||||
Unrealized
depreciation on swap agreements |
||||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
due
|
||||||||
|
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX
Futures - Cboe, expires January 2021 |
$ | $ | ( |
) | ||||||||
VIX
Futures - Cboe, expires February 2021 |
( |
) | ||||||||||
|
|
|||||||||||
$ | ( |
) | ||||||||||
|
|
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap
agreement with Goldman Sachs & Co. based on iPath Series B
S&P 500 VIX Short-Term Futures ETN iNAV Index |
% | $ | $ | ( |
) | |||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
|
|
† |
All
or partial amount pledged as collateral for futures contracts.
|
^ |
The
positions and counterparties herein are as of December 31, 2020. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
* |
Reflects
the floating financing rate, as of December 31, 2020, on the notional
amount of the swap agreement paid to the counterparty or received from the
counterparty, excluding any commissions. Total Return Swap Agreements
payment is due at termination/maturity. |
** |
For
swap agreements, a positive amount represents “long” exposure to the
benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
† |
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX
Futures - Cboe, expires January 2020 |
$ | $ | ( |
) | ||||||||
VIX
Futures - Cboe, expires February 2020 |
( |
) | ||||||||||
|
|
|||||||||||
$ | ( |
) | ||||||||||
|
|
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap
agreement with Goldman Sachs & Co. based on iPath Series B
S&P 500 VIX Short-Term Futures ETN iNAV Index |
% | $ | $ | ( |
) | |||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
|
|
† |
All
or partial amount pledged as collateral for futures contracts.
|
^ |
The
positions and counterparties herein are as of December 31, 2019. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
* |
Reflects
the floating financing rate, as of December 31, 2019, on the notional
amount of the swap agreement paid to the counterparty or received from the
counterparty, excluding any commissions. Total Return Swap Agreements
payment is due at termination/maturity. |
** |
For
swap agreements, a positive amount represents “long” exposure to the
benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Brokerage
commissions |
||||||||||||
Brokerage
fees |
— | |||||||||||
Non-recurring fees
and expenses |
— | |||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Futures
contracts |
( |
) | ( |
) | ||||||||
Swap
agreements |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
—
|
( |
) | |||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) | ( |
) | ||||||||
Swap
agreements |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ( |
) | ||||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
—
|
( |
) | |||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) | ||||||||||
Decrease
(Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase
(Decrease) in brokerage commissions and fees payable |
— | — | ||||||||||
Increase
(Decrease) in payable on futures contracts |
( |
) | ||||||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
||||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $– and
$ |
$ | —
|
$ | |||||
Cash |
||||||||
Segregated
cash balances with brokers for foreign currency forward
contracts |
||||||||
Unrealized
appreciation on foreign currency forward contracts |
— | |||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
to Sponsor |
||||||||
Unrealized
depreciation on foreign currency forward contracts |
||||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts
to Purchase |
||||||||||||||||
Yen
with Goldman Sachs International |
$ | $ | ||||||||||||||
Yen
with UBS AG |
||||||||||||||||
|
|
|||||||||||||||
Total
Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
|||||||||||||||
Contracts
to Sell |
||||||||||||||||
Yen
with UBS AG |
( |
) | $ | ( |
) | $ | ( |
) | ||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
^ |
The
positions and counterparties herein are as of December 31, 2020. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts
to Purchase |
||||||||||||||||
Yen
with Goldman Sachs International |
$ | $ | ( |
) | ||||||||||||
Yen
with UBS AG |
( |
) | ||||||||||||||
|
|
|||||||||||||||
$ | ( |
) | ||||||||||||||
|
|
|||||||||||||||
Contracts
to Sell |
||||||||||||||||
Yen
with UBS AG |
( |
) | $ | ( |
) | $ | ( |
) | ||||||||
|
|
|||||||||||||||
$ | ( |
) | ||||||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
^ |
The
positions and counterparties herein are as of December 31, 2019. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Non-recurring fees
and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Foreign
currency forward contracts |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
— | ( |
) | — | ||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Foreign
currency forward contracts |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | $ | ( |
) | $ | |||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of –, |
— | |||||||||||
Redemption
of |
( |
) | ( |
) | — | |||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of ( |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ( |
) | ||||||||
Net
realized gain (loss) |
( |
) | ||||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | $ | ( |
) | $ | |||||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
— | — | ||||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
— | — | ||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | — | |||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | — | |||||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
( |
) | ||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $– and
$ |
$ | — | $ | |||||
Cash |
||||||||
Segregated
cash balances with brokers for futures contracts |
||||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
on open futures contracts |
||||||||
Payable
to Sponsor |
||||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Australian
Dollar Fx Currency Futures - CME, expires March 2021 |
$ | $ | ( |
) |
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
||||||||
|
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Australian
Dollar Fx Currency Futures - CME, expires March 2020 |
$ | $ | ( |
) |
^^ |
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Brokerage
commissions |
||||||||||||
Non-recurring fees
and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Futures
contracts |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
— | ( |
) | |||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | ( |
) | $ | $ | |||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of –, |
— | |||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
Net
realized gain (loss) |
( |
) | ||||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | ( |
) | $ | $ | |||||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
— | ( |
) | |||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in receivable on futures contracts |
— | ( |
) | |||||||||
Decrease
(Increase) in interest receivable |
( |
) | ||||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ( |
) | ( |
) | ||||||
Increase
(Decrease) in payable on futures contracts |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
— | |||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
( |
) | ||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $– and
$ |
$ | —
|
$ | |||||
Cash |
||||||||
Segregated
cash balances with brokers for futures contracts |
||||||||
Segregated
cash balances with brokers for swap agreements |
||||||||
Receivable
from capital shares sold |
—
|
|||||||
Receivable
on open futures contracts |
||||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
on open futures contracts |
— | |||||||
Payable
to Sponsor |
||||||||
Unrealized
depreciation on swap agreements |
—
|
|||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI
Crude Oil - NYMEX, expires March 2021 |
$ | $ | ( |
) | ||||||||
WTI
Crude Oil - NYMEX, expires June 2021 |
( |
) | ||||||||||
WTI
Crude Oil - NYMEX, expires December 2021 |
( |
) | ||||||||||
|
|
|||||||||||
$ | ( |
) | ||||||||||
|
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
† |
||||||||
|
||||||||
† |
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI
Crude Oil - NYMEX, expires March 2020 |
$ | $ | ( |
) |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap
agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil
Subindex |
% | $ | ( |
) | $ | ( |
) | |||||||||
Swap
agreement with Goldman Sachs International based on Bloomberg WTI Crude
Oil Subindex |
( |
) | ( |
) | ||||||||||||
Swap
agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil
Subindex |
( |
) | ( |
) | ||||||||||||
Swap
agreement with Societe Generale based on Bloomberg WTI Crude Oil
Subindex |
( |
) | ( |
) | ||||||||||||
Swap
agreement with UBS AG based on Bloomberg WTI Crude Oil
Subindex |
( |
) | ( |
) | ||||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
† |
All
or partial amount pledged as collateral for swap agreements.
|
^ |
The
positions and counterparties herein are as of December 31, 2019. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
* |
Reflects
the floating financing rate, as of December 31, 2019, on the notional
amount of the swap agreement paid to the counterparty or received from the
counterparty, excluding any commissions. Total Return Swap Agreements
payment is due at termination/maturity. |
** |
For
swap agreements, a positive amount represents “long” exposure to the
benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Brokerage
commissions |
||||||||||||
Brokerage
fees |
— | — | ||||||||||
Non-recurring fees
and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Futures
contracts |
( |
) | ( |
) | ( |
) | ||||||
Swap
agreements |
( |
) | ( |
) | ||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) | ( |
) | ||||||||
Swap
agreements |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | $ | ( |
) | $ | |||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of ( |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | $ | ( |
) | $ | |||||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
( |
) | ( |
) | ||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in payable on futures contracts |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
||||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated
cash balances with brokers for futures contracts |
||||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
for capital shares redeemed |
— | |||||||
Payable
on open futures contracts |
||||||||
Payable
to Sponsor |
||||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural
Gas - NYMEX, expires March 2021 |
$ | $ |
^^ |
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural
Gas - NYMEX, expires March 2020 |
$ | $ |
^^ |
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Brokerage
commissions |
||||||||||||
Brokerage
fees |
— | — | ||||||||||
Non-recurring fees
and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Futures
contracts |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
( |
) | — | — | ||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) | ( |
) | ||||||||
Short-term
U.S. government and agency obligations |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ( |
) | ||||||||
Net
realized gain (loss) |
( |
) | ||||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
— | — | ||||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ||||||||||
Decrease
(Increase) in receivable on futures contracts |
—
|
( |
) | |||||||||
Decrease
(Increase) in interest receivable |
( |
) | ||||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase
(Decrease) in payable on futures contracts |
( |
) | ||||||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
( |
) | ||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated
cash balances with brokers for foreign currency forward
contracts |
— | |||||||
Unrealized
appreciation on foreign currency forward contracts |
||||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
to Sponsor |
||||||||
Unrealized
depreciation on foreign currency forward contracts |
||||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
† |
$ | $ | ||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts
to Purchase |
||||||||||||||||
Euro
with UBS AG |
$ | $ | ||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
|||||||||||||||
Contracts
to Sell |
||||||||||||||||
Euro
with Goldman Sachs International |
( |
) | $ | ( |
) | $ | ( |
) | ||||||||
Euro
with UBS AG |
( |
) | ( |
) | ( |
) | ||||||||||
|
|
|||||||||||||||
Total
Unrealized Depreciation |
$ | ( |
) | |||||||||||||
|
|
† |
All
or partial amount pledged as collateral for foreign currency forward
contracts. |
^ |
The
positions and counterparties herein are as of December 31, 2020. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
† |
||||||||
|
||||||||
† |
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts
to Purchase |
||||||||||||||||
Euro
with UBS AG |
$ | $ | ||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
|||||||||||||||
Contracts
to Sell |
||||||||||||||||
Euro
with Goldman Sachs International |
( |
) | $ | ( |
) | $ | ( |
) | ||||||||
Euro
with UBS AG |
( |
) | ( |
) | ( |
) | ||||||||||
|
|
|||||||||||||||
Total
Unrealized Depreciation |
$( |
|||||||||||||||
|
|
† |
All
or partial amount pledged as collateral for foreign currency forward
contracts. |
^ |
The
positions and counterparties herein are as of December 31, 2019. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Non-recurring fees
and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Foreign
currency forward contracts |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Foreign
currency forward contracts |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | ( |
) | $ | $ | |||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
Net
realized gain (loss) |
( |
) | ||||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | ( |
) | $ | $ | |||||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
( |
) | ||||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ( |
) | ( |
) | ||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
||||||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
( |
) | ||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $– and
$ |
$ | — | $ | |||||
Cash |
||||||||
Segregated
cash balances with brokers for futures contracts |
||||||||
Segregated
cash balances with brokers for swap agreements |
||||||||
Receivable
on open futures contracts |
— | |||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
on open futures contracts |
||||||||
Payable
to Sponsor |
||||||||
Unrealized
depreciation on swap agreements |
||||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold
Futures - COMEX, expires February 2021 |
$ | $ | ( |
) |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap
agreement with Citibank, N.A. based on Bloomberg Gold
Subindex |
% | $ | ( |
) | $ | ( |
) | |||||||||
Swap
agreement with Goldman Sachs International based on Bloomberg Gold
Subindex |
( |
) | ( |
) | ||||||||||||
Swap
agreement with UBS AG based on Bloomberg Gold Subindex |
( |
) | ( |
) | ||||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
^ |
The
positions and counterparties herein are as of December 31, 2020. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
* |
Reflects
the floating financing rate, as of December 31, 2020, on the notional
amount of the swap agreement paid to the counterparty or received from the
counterparty, excluding any commissions. Total Return Swap Agreements
payment is due at termination/maturity. |
** |
For
swap agreements, a positive amount represents “long” exposure to the
benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
† |
||||||||
|
||||||||
† |
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold
Futures - COMEX, expires February 2020 |
$ | $ | ( |
) |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap
agreement with Citibank, N.A. based on Bloomberg Gold
Subindex |
% | $ | ( |
) | $ | ( |
) | |||||||||
Swap
agreement with Goldman Sachs International based on Bloomberg Gold
Subindex |
( |
) | ( |
) | ||||||||||||
Swap
agreement with UBS AG based on Bloomberg Gold Subindex |
( |
) | ( |
) | ||||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
† |
All
or partial amount pledged as collateral for swap agreements.
|
^ |
The
positions and counterparties herein are as of December 31, 2019. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
* |
Reflects
the floating financing rate, as of December 31, 2019, on the notional
amount of the swap agreement paid to the counterparty or received from the
counterparty, excluding any commissions. Total Return Swap Agreements
payment is due at termination/maturity. |
** |
For
swap agreements, a positive amount represents “long” exposure to the
benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Brokerage
commissions |
||||||||||||
Brokerage
fees |
— | — | ||||||||||
Non-recurring fees
and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Futures
contracts |
( |
) | ( |
) | ||||||||
Swap
agreements |
( |
) | ( |
) | — | |||||||
Forward
agreements |
—
|
( |
) | |||||||||
Short-term
U.S. government and agency obligations |
—
|
|||||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) | ( |
) | ||||||||
Swap
agreements |
( |
) | — | |||||||||
Forward
agreements |
—
|
|||||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
—
|
( |
) | ( |
) | |||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in payable on futures contracts |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
( |
) | ||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $– and
$ |
$ | —
|
$ | |||||
Cash |
||||||||
Segregated
cash balances with brokers for futures contracts |
||||||||
Segregated
cash balances with brokers for swap agreements |
||||||||
Receivable
on open futures contracts |
||||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
on open futures contracts |
||||||||
Payable
to Sponsor |
||||||||
Unrealized
depreciation on swap agreements |
||||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver
Futures - COMEX, expires March 2021 |
$ | $ | ( |
) |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap
agreement with Citibank, N.A. based on Bloomberg Silver
Subindex |
% | $ | ( |
) | $ | ( |
) | |||||||||
Swap
agreement with Goldman Sachs International based on Bloomberg Silver
Subindex |
( |
) | ( |
) | ||||||||||||
Swap
agreement with Morgan Stanley & Co. International PLC based on
Bloomberg Silver Subindex |
( |
) | ( |
) | ||||||||||||
Swap
agreement with UBS AG based on Bloomberg Silver Subindex |
( |
) | ( |
) | ||||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
^ |
The
positions and counterparties herein are as of December 31, 2020. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
* |
Reflects
the floating financing rate, as of December 31, 2020, on the notional
amount of the swap agreement paid to the counterparty or received from the
counterparty, excluding any commissions. Total Return Swap Agreements
payment is due at termination/maturity. |
** |
For
swap agreements, a positive amount represents “long” exposure to the
benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
† |
||||||||
† |
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver
Futures - COMEX, expires March 2020 |
$ | $ | ( |
) |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap
agreement with Citibank, N.A. based on Bloomberg Silver
Subindex |
% | $ | ( |
) | $ | ( |
) | |||||||||
Swap
agreement with Goldman Sachs International based on Bloomberg Silver
Subindex |
( |
) | ( |
) | ||||||||||||
Swap
agreement with UBS AG based on Bloomberg Silver Subindex |
( |
) | ( |
) | ||||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
† |
All
or partial amount pledged as collateral for swap agreements.
|
^ |
The
positions and counterparties herein are as of December 31, 2019. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
* |
Reflects
the floating financing rate, as of December 31, 2019, on the notional
amount of the swap agreement paid to the counterparty or received from the
counterparty, excluding any commissions. Total Return Swap Agreements
payment is due at termination/maturity. |
** |
For
swap agreements, a positive amount represents “long” exposure to the
benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Brokerage
commissions |
||||||||||||
Brokerage
fees |
— | — | ||||||||||
Non-recurring fees
and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Futures
contracts |
( |
) | ( |
) | ||||||||
Swap
agreements |
( |
) | ( |
) | — | |||||||
Forward
agreements |
—
|
( |
) | |||||||||
Short-term
U.S. government and agency obligations |
—
|
( |
) | |||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) | ( |
) | ( |
) | ||||||
Swap
agreements |
( |
) | ( |
) | — | |||||||
Forward
agreements |
—
|
( |
) | |||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
—
|
( |
) | |||||||||
Change
in unrealized appreciation (depreciation) on investments |
||||||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) | ( |
) | — | |||||||
Decrease
(Increase) in interest receivable |
( |
) | ||||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase
(Decrease) in payable on futures contracts |
||||||||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
( |
) | ||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $– and
$ |
$ | —
|
$ | |||||
Cash |
||||||||
Segregated
cash balances with brokers for foreign currency forward
contracts |
— | |||||||
Unrealized
appreciation on foreign currency forward contracts |
||||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
to Sponsor |
||||||||
Unrealized
depreciation on foreign currency forward contracts |
— | |||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Foreign Currency Forward
Contracts
^ |
||||||||||||||||
Settlement Date |
Contract
Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts
to Purchase |
||||||||||||||||
Yen
with UBS AG |
$ | $ | ||||||||||||||
|
|
|||||||||||||||
|
Total Unrealized Appreciation |
|
$ | |||||||||||||
|
|
|||||||||||||||
Contracts
to Sell |
||||||||||||||||
Yen
with Goldman Sachs International |
( |
) | $ | ( |
) | $ | ( |
) | ||||||||
Yen
with UBS AG |
( |
) | ( |
) | ( |
) | ||||||||||
|
|
|||||||||||||||
|
Total Unrealized Depreciation |
|
$ | ( |
) | |||||||||||
|
|
^ |
The
positions and counterparties herein are as of December 31, 2020. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
† |
||||||||
|
||||||||
|
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Foreign Currency Forward
Contracts
^ |
||||||||||||||||
Settlement Date |
Contract
Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts
to Purchase |
||||||||||||||||
Yen
with UBS AG |
$ | $ | ||||||||||||||
|
|
|||||||||||||||
$ | ||||||||||||||||
|
|
|||||||||||||||
Contracts
to Sell |
||||||||||||||||
Yen
with Goldman Sachs International |
( |
) | $ | ( |
) | $ | ||||||||||
Yen
with UBS AG |
( |
) | ( |
) | ||||||||||||
|
|
|||||||||||||||
$ | ||||||||||||||||
|
|
|||||||||||||||
|
Total Unrealized Appreciation |
|
$ | |||||||||||||
|
|
† |
All
or partial amount pledged as collateral for foreign currency forward
contracts. |
^ |
The
positions and counterparties herein are as of December 31, 2019. The
Fund continually evaluates different counterparties for their transactions
and counterparties are subject to change. New counterparties can be added
at any time. |
^^ |
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Non-recurring fees
and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Foreign
currency forward contracts |
( |
) | ( |
) | ||||||||
Short-term
U.S. government and agency obligations |
— | ( |
) | |||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Foreign
currency forward contracts |
( |
) | ( |
) | ||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
Net
realized gain (loss) |
( |
) | ( |
) | ||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
—
|
( |
) | |||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ||||||||||
Decrease
(Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ( |
) | ( |
) | ||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
||||||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
( |
) | ||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated
cash balances with brokers for futures contracts |
||||||||
Receivable
on open futures contracts |
— | |||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
for capital shares redeemed |
— | |||||||
Payable
on open futures contracts |
— | |||||||
Brokerage
commissions and fees payable |
— | |||||||
Payable
to Sponsor |
||||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Futures Contracts
Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX
Futures - Cboe, expires April 2021 |
$ | $ | ( |
) | ||||||||
VIX
Futures - Cboe, expires May 2021 |
( |
) | ||||||||||
VIX
Futures - Cboe, expires June 2021 |
||||||||||||
VIX
Futures - Cboe, expires July 2021 |
( |
) | ||||||||||
|
|
|||||||||||
$ | ( |
) | ||||||||||
|
|
^^ |
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
† |
||||||||
|
||||||||
|
|
|||||||
Total
short-term U.S. government and agency
obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX
Futures - Cboe, expires April 2020 |
$ | $ | ( |
) | ||||||||
VIX
Futures - Cboe, expires May 2020 |
( |
) | ||||||||||
VIX
Futures - Cboe, expires June 2020 |
( |
) | ||||||||||
VIX
Futures - Cboe, expires July 2020 |
||||||||||||
|
|
|||||||||||
$ | ( |
) | ||||||||||
|
|
† |
All
or partial amount pledged as collateral for futures contracts.
|
^^ |
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Brokerage
commissions |
||||||||||||
Brokerage
fees |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Futures
contracts |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | $ | ( |
) | $ | |||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of ( |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
Net
realized gain (loss) |
( |
) | ||||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | $ | ( |
) | $ | |||||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
— | ( |
) | — | ||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ||||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) | — | |||||||||
Decrease
(Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase
(Decrease) in brokerage commissions and fees payable |
— | — | ||||||||||
Increase
(Decrease) in payable on futures contracts |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
||||||||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
( |
) | ( |
) | ||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated
cash balances with brokers for futures contracts |
||||||||
Receivable
on open futures contracts |
||||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
on open futures contracts |
||||||||
Brokerage
commissions and fees payable |
— | |||||||
Payable
to Sponsor |
||||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding |
||||||||
|
|
|
|
|||||
Net
asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market
value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
|
|||||||
Total
short-term U.S. government and agency
obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX
Futures - Cboe, expires January 2021 |
$ | $ | ( |
) | ||||||||
VIX
Futures - Cboe, expires February 2021 |
( |
) | ||||||||||
|
|
|||||||||||
$ | ( |
) | ||||||||||
|
|
^^ |
|
Principal Amount |
Value |
|||||||
Short-term
U.S. government and agency obligations |
||||||||
( |
||||||||
U.S.
Treasury Bills
^^ : |
||||||||
|
$ | $ | ||||||
† |
||||||||
|
||||||||
|
|
|||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX
Futures - Cboe, expires January 2020 |
$ | $ | ( |
) | ||||||||
VIX
Futures - Cboe, expires February 2020 |
( |
) | ||||||||||
|
|
|||||||||||
$ | ( |
) | ||||||||||
|
|
† |
All
or partial amount pledged as collateral for futures contracts.
|
^^ |
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Brokerage
commissions |
||||||||||||
Brokerage
fees |
||||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Futures
contracts |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
— | ( |
) | |||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | $ | ( |
) | $ | |||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of ( |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
Net
realized gain (loss) |
( |
) | ||||||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | $ | ( |
) | $ | |||||||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S. government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
— | ( |
) | |||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) | ||||||||||
Decrease
(Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase
(Decrease) in payable to Sponsor |
||||||||||||
Increase
(Decrease) in brokerage commissions and fees payable |
— | — | ||||||||||
Increase
(Decrease) in payable on futures contracts |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
||||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated
cash balances with brokers for futures contracts |
||||||||
Segregated
cash balances with brokers for foreign currency forward
contracts |
||||||||
Segregated
cash balances with brokers for swap agreements |
||||||||
Unrealized
appreciation on swap agreements |
||||||||
Unrealized
appreciation on foreign currency forward contracts |
||||||||
Receivable
from capital shares sold |
||||||||
Securities
sold receivable |
— | |||||||
Receivable
on open futures contracts |
||||||||
Interest
receivable |
||||||||
|
|
|
|
|||||
Total
assets |
||||||||
|
|
|
|
|||||
Liabilities
and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable
for capital shares redeemed |
— | |||||||
Payable
on open futures contracts |
||||||||
Brokerage
commissions and fees payable |
— | |||||||
Payable
to Sponsor |
||||||||
Unrealized
depreciation on swap agreements |
||||||||
Unrealized
depreciation on foreign currency forward contracts |
||||||||
Non-recurring fees
and expenses payable |
— | |||||||
|
|
|
|
|||||
Total
liabilities |
||||||||
|
|
|
|
|||||
Commitments
and Contingencies (Note 2) |
||||||||
Shareholders’
equity |
||||||||
Shareholders’
equity |
||||||||
|
|
|
|
|||||
Total
liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares
outstanding (Note 1) |
||||||||
|
|
|
|
Year Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment
Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
Expenses |
||||||||||||
Management
fee |
||||||||||||
Brokerage
commissions |
||||||||||||
Brokerage
fees |
||||||||||||
Offering
costs |
— | — | ||||||||||
Limitation
by Sponsor |
— | — | ( |
) | ||||||||
Non-recurring fees
and expenses |
— | |||||||||||
|
|
|
|
|
|
|||||||
Total
expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized
and unrealized gain (loss) on investment activity |
||||||||||||
Net
realized gain (loss) on |
||||||||||||
Futures
contracts |
( |
) | ( |
) | ( |
) | ||||||
Swap
agreements |
( |
) | ( |
) | ||||||||
Options |
( |
) | — | — | ||||||||
Forward
agreements |
— | ( |
) | |||||||||
Foreign
currency forward contracts |
( |
) | ||||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) | ||||||||||
Swap
agreements |
( |
) | ||||||||||
Forward
agreements |
— | ( |
) | |||||||||
Foreign
currency forward contracts |
||||||||||||
Short-term
U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | |||
|
|
|
|
|
|
* |
The
operations include the activity of ProShares UltraPro 3x Crude Oil ETF
through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF
through April 13, 2020, the date of liquidation, respectively.
|
Years Ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’
equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition
of |
||||||||||||
Redemption
of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
addition (redemption) of |
||||||||||||
|
|
|
|
|
|
|||||||
Net
investment income (loss) |
( |
) | ||||||||||
Net
realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||
Change
in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net
income (loss) |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Shareholders’
equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
* |
The
operations include the activity of ProShares UltraPro 3x Crude Oil ETF
through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF
through April 13, 2020, the date of liquidation, respectively.
|
Year ended
December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash
flow from operating activities |
||||||||||||
Net
income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | |||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases
of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds
from sales or maturities of short-term U.S government and agency
obligations |
||||||||||||
Net
amortization and accretion on short-term U.S government and agency
obligations |
( |
) | ( |
) | ( |
) | ||||||
Net
realized gain (loss) on investments |
( |
) | ( |
) | ||||||||
Change
in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease
(Increase) in securities sold receivable |
( |
) | — | |||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) | ( |
) | ( |
) | ||||||
Decrease
(Increase) in receivable in Limitation by Sponsor |
— | — | ||||||||||
Decrease
(Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Amortization
of offering costs |
— | — | ||||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase
(Decrease) in brokerage commissions and fees payable |
— | — | ||||||||||
Increase
(Decrease) in payable on futures contracts |
( |
) | ||||||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) operating activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Cash
flow from financing activities |
||||||||||||
Proceeds
from addition of shares |
||||||||||||
Payment
on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net
cash provided by (used in) financing activities |
||||||||||||
|
|
|
|
|
|
|||||||
Net
increase (decrease) in cash |
||||||||||||
Cash,
beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash,
end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
* |
The
operations include the activity of ProShares UltraPro 3x Crude Oil ETF
through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF
through April 13, 2020, the date of liquidation, respectively.
|
Fund |
Execution
Date (Prior to
Opening of Trading) |
Type
of Split |
Date
Trading Resumed at Post- Split Price |
|||||
ProShares
Ultra Bloomberg Natural Gas |
|
|||||||
ProShares
UltraPro 3x Short Crude Oil ETF |
|
|||||||
ProShares
Short VIX Short-Term Futures ETF* |
|
|||||||
ProShares
Ultra VIX Short-Term Futures ETF* |
|
|||||||
ProShares
Ultra Bloomberg Crude Oil |
|
|||||||
ProShares
Ultra Bloomberg Natural Gas |
|
* |
On
December 16, 2020
, each
VIX Fund transferred its listing from the NYSE Arca to the Cboe BZX
Exchange. Please see Note 8 in these Notes to Financial Statements for
more information. |
Fund |
Create/Redeem Cut-off* |
NAV Calculation Time |
NAV Calculation
Date |
|||||
Ultra
Silver
,
UltraShort
Silver |
||||||||
|
||||||||
Ultra
Gold
,
UltraShort
Gold |
||||||||
|
||||||||
Ultra Bloomberg
Crude Oil, |
||||||||
Ultra
Bloomberg
Natural Gas , |
||||||||
UltraShort
Bloomberg
Crude Oil , |
||||||||
Ultra
Short Bloomberg
Natural Gas |
||||||||
|
||||||||
Short
Euro, |
||||||||
Ultra Euro, |
||||||||
Ultra
Yen
, |
||||||||
UltraShort
Australian Dollar, |
||||||||
Ultra
Short Euro, |
||||||||
Ultra
Short
Yen |
||||||||
|
||||||||
Short
VIX Short-Term Futures ETF, |
||||||||
Ultra
VIX Short-Term Futures ETF, |
||||||||
VIX
Mid-Term Futures
ETF
, |
||||||||
VIX
Short -Term
Futures ETF |
* |
Although
the Funds’ shares
may continue
to trade on secondary markets subsequent to the calculation of the final
NAV, these times represent the final opportunity to transact in creation
or redemption units for the twelve months ended December 31, 2020.
|
** |
On
Monday, October 26, 2020, each Fund changed its NAV calculation time
from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Please see Note
8 in these Notes to Financial Statements for more information.
|
Level I - Quoted
Prices |
Level II - Other
Significant Observable Inputs |
|||||||||||||||||||
Fund |
Short-Term
U.S. Government and Agencies |
Futures Contracts * |
Foreign Currency Forward Contracts |
Swap Agreements |
Total |
|||||||||||||||
ProShares
Short Euro |
$ | —
|
$ | ( |
) | $ | —
|
$ | —
|
$ | ( |
) | ||||||||
ProShares
Short VIX Short-Term Futures ETF |
—
|
—
|
||||||||||||||||||
ProShares
Ultra Bloomberg Crude Oil |
—
|
|||||||||||||||||||
ProShares
Ultra Bloomberg Natural Gas |
—
|
—
|
||||||||||||||||||
ProShares
Ultra Euro |
—
|
—
|
—
|
|||||||||||||||||
ProShares
Ultra Gold |
—
|
|||||||||||||||||||
ProShares
Ultra Silver |
—
|
|||||||||||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
( |
) | —
|
( |
) | |||||||||||||||
ProShares
Ultra Yen |
—
|
—
|
—
|
|||||||||||||||||
ProShares
UltraShort Australian Dollar |
—
|
( |
) | —
|
—
|
( |
) | |||||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
—
|
( |
) | —
|
—
|
( |
) | |||||||||||||
ProShares
UltraShort Bloomberg Natural Gas |
—
|
—
|
||||||||||||||||||
ProShares
UltraShort Euro |
—
|
( |
) | —
|
||||||||||||||||
ProShares
UltraShort Gold |
—
|
( |
) | —
|
( |
) | ( |
) | ||||||||||||
ProShares
UltraShort Silver |
—
|
( |
) | —
|
( |
) | ( |
) | ||||||||||||
ProShares
UltraShort Yen |
—
|
—
|
( |
) | —
|
( |
) | |||||||||||||
ProShares
VIX
Mid-Term Futures
ETF |
( |
) | —
|
—
|
||||||||||||||||
ProShares
VIX Short-Term Futures ETF |
( |
) | —
|
—
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total
Trust |
$ |
|
$ |
|
$ |
( |
) |
$ |
|
$ |
|
* |
Includes
cumulative appreciation (depreciation) of futures contracts as reported in
the Schedule of Investments. Only current day’s variation margin is
reported within the Statements of Financial Condition in
receivable/payable on open futures. |
Level I - Quoted
Prices |
Level II - Other
Significant Observable
Inputs |
|||||||||||||||||||
Fund |
Short-Term U.S. Government and Agencies |
Futures Contracts * |
Foreign Currency Forward Contracts |
Swap Agreements |
Total |
|||||||||||||||
ProShares
Short Euro |
$ | $ | ( |
) | $ | — | $ | — | $ | |||||||||||
ProShares
Short VIX Short-Term Futures ETF |
— | — | ||||||||||||||||||
ProShares
Ultra Bloomberg Crude Oil |
— | |||||||||||||||||||
ProShares
Ultra Bloomberg Natural Gas |
( |
) | — | — | ||||||||||||||||
ProShares
Ultra Euro |
— | — | ||||||||||||||||||
ProShares
Ultra Gold |
— | |||||||||||||||||||
ProShares
Ultra Silver |
— | |||||||||||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
( |
) | — | ( |
) | |||||||||||||||
ProShares
Ultra Yen |
— | ( |
) | — | ||||||||||||||||
ProShares
UltraPro 3x Crude Oil ETF |
— | — | ||||||||||||||||||
ProShares
UltraPro 3x Short Crude Oil ETF |
( |
) | — | — | ||||||||||||||||
ProShares
UltraShort Australian Dollar |
( |
) | — | — | ||||||||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
( |
) | — | ( |
) | |||||||||||||||
ProShares
UltraShort Bloomberg Natural Gas |
— | — | ||||||||||||||||||
ProShares
UltraShort Euro |
— | ( |
) | — | ||||||||||||||||
ProShares
UltraShort Gold |
( |
) | — | ( |
) | |||||||||||||||
ProShares
UltraShort Silver |
( |
) | — | ( |
) | |||||||||||||||
ProShares
UltraShort Yen |
— | — | ||||||||||||||||||
ProShares
VIX
Mid-Term Futures
ETF |
( |
) | — | — | ||||||||||||||||
ProShares
VIX Short-Term Futures ETF |
( |
) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total
Trust |
$ |
|
$ |
( |
) |
$ |
( |
) |
$ |
|
$ |
|
* |
Includes
cumulative appreciation (depreciation) of futures contracts as reported in
the Schedule of Investments. Only current day’s variation margin is
reported within the Statements of Financial Condition in
receivable/payable on open futures.
|
Fair
Value of Derivative Instruments as of December 31,
2020 |
||||||||||||||
Asset
Derivatives |
Liability
Derivatives |
|||||||||||||
Derivatives
Not Accounted for as Hedging Instruments |
Fund |
Statements of Financial Condition Location |
Unrealized Appreciation |
Statements of Financial Condition Location |
Unrealized Depreciation |
|||||||||
VIX
Futures Contracts |
Receivables on open futures contracts, unrealized appreciation on swap agreements | Payable on open futures contracts, unrealized depreciation on swap agreements | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ |
* |
$ | — | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | — |
* | ||||||||||||
ProShares VIX
Mid-Term Futures
ETF |
* |
* | ||||||||||||
ProShares VIX Short-Term Futures ETF | — |
* | ||||||||||||
Commodities
Contracts |
Receivables on open futures contracts and/or unrealized appreciation on swap agreements | Payable on open futures contracts and/or unrealized depreciation on swap agreements | ||||||||||||
ProShares Ultra Bloomberg Crude Oil |
* |
— | ||||||||||||
ProShares Ultra Bloomberg Natural Gas |
* |
— | ||||||||||||
ProShares Ultra Gold |
* |
— | ||||||||||||
ProShares Ultra Silver |
* |
— | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | — |
* | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
* |
— | ||||||||||||
ProShares UltraShort Gold | — |
* | ||||||||||||
ProShares UltraShort Silver | — |
* | ||||||||||||
Foreign
Exchange Contracts |
Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts | ||||||||||||
ProShares Short Euro | — |
* | ||||||||||||
ProShares Ultra Euro | ||||||||||||||
ProShares Ultra Yen | ||||||||||||||
ProShares UltraShort Australian Dollar | — |
* | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||
ProShares UltraShort Yen | ||||||||||||||
|
|
|
|
|||||||||||
Total Trust |
$ |
|
* |
$ |
|
* |
* |
Includes
cumulative appreciation (depreciation) of futures contracts as reported in
the Schedule of Investments. Only current day’s variation margin is
reported within the Statements of Financial Condition in
receivable/payable on open futures.
|
Fair Value of Derivative
Instruments as of December 31, 2019 |
||||||||||||||
Asset
Derivatives |
Liability
Derivatives |
|||||||||||||
Derivatives
Not Accounted for as Hedging Instruments |
Fund |
Statements
of Financial Condition Location |
Unrealized Appreciation |
Statements
of Financial Condition Location |
Unrealized Depreciation |
|||||||||
VIX
Futures Contracts |
Receivables on open futures contracts, unrealized appreciation on swap agreements | Payable on open futures contracts, unrealized depreciation on swap agreements | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ |
* |
$ |
* | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | — |
* | ||||||||||||
ProShares VIX
Mid-Term Futures
ETF |
* |
* | ||||||||||||
ProShares VIX Short-Term Futures ETF | — |
* | ||||||||||||
Commodities
Contracts |
Receivables on open futures contracts and/or unrealized appreciation on swap agreements | Payable on open futures contracts and/or unrealized depreciation on swap agreements | ||||||||||||
ProShares Ultra Bloomberg Crude Oil |
* |
— | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | — |
* | ||||||||||||
ProShares Ultra Gold |
* |
— | ||||||||||||
ProShares UltraPro 3x Crude Oil ETF |
* |
— | ||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF | — | * | ||||||||||||
ProShares Ultra Silver |
* |
— | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | — |
* | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
* |
— | ||||||||||||
ProShares UltraShort Gold | — |
* | ||||||||||||
ProShares UltraShort Silver | — |
* | ||||||||||||
Foreign
Exchange Contracts |
Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts | ||||||||||||
ProShares Short Euro | — |
* | ||||||||||||
ProShares Ultra Euro | — | |||||||||||||
ProShares Ultra Yen | — | |||||||||||||
ProShares UltraShort Australian Dollar | — |
* | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||
ProShares UltraShort Yen | — | |||||||||||||
|
|
|
|
|||||||||||
Total Trust |
$ |
|
* |
$ |
|
* |
* |
Includes
cumulative appreciation (depreciation) of futures contracts as reported in
the Schedule of Investments. Only current day’s variation margin is
reported within the Statements of Financial Condition in
receivable/payable on open futures.
|
The Effect of Derivative
Instruments on the Statement of Operations For the year ended December 31, 2020 |
||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Location
of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change
in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX Futures Contracts |
Net
realized gain (loss) on futures contracts and/or swap agreements/ changes
in unrealized appreciation (depreciation) on futures contracts and/or swap
agreements |
|||||||||||
ProShares
Short VIX Short-Term Futures ETF |
$ | ( |
) | $ | ( |
) | ||||||
ProShares
Ultra VIX Short-Term Futures ETF |
( |
) | ( |
) | ||||||||
ProShares
VIX
Mid-Term Futures
ETF |
||||||||||||
ProShares
VIX Short-Term Futures ETF |
||||||||||||
Commodities
Contracts |
Net
realized gain (loss) on futures contracts and swap agreements/ changes in
unrealized appreciation (depreciation) on futures contracts and swap
agreements |
|||||||||||
ProShares
Ultra Bloomberg Crude Oil |
( |
) | ||||||||||
ProShares
Ultra Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares
Ultra Gold |
( |
) | ||||||||||
ProShares
Ultra Silver |
||||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
( |
) | ||||||||||
ProShares
UltraShort Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares
UltraShort Gold |
( |
) | ||||||||||
ProShares
UltraShort Silver |
( |
) | ( |
) | ||||||||
Foreign
Exchange Contracts |
Net
realized gain (loss) on futures and/ or foreign currency forward
contracts/ changes in unrealized appreciation (depreciation) on futures
and/ or foreign currency forward contracts |
|||||||||||
ProShares
Short Euro |
( |
) | ( |
) | ||||||||
ProShares
Ultra Euro |
( |
) | ||||||||||
ProShares
Ultra Yen |
||||||||||||
ProShares
UltraShort Australian Dollar |
( |
) | ||||||||||
ProShares
UltraShort Euro |
( |
) | ||||||||||
ProShares
UltraShort Yen |
( |
) | ( |
) | ||||||||
|
|
|
|
|||||||||
Total Trust |
$ |
( |
) |
$ |
|
The Effect of Derivative
Instruments on the Statement of Operations For the year ended December 31, 2019 |
||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Location
of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change
in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX
Futures Contracts |
Net
realized gain (loss) on futures contracts and/or swap agreements/ changes
in unrealized appreciation (depreciation) on futures contracts and/or swap
agreements |
|||||||||||
ProShares
Short VIX Short-Term Futures ETF |
$ | $ | ||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
( |
) | ( |
) | ||||||||
ProShares
VIX
Mid-Term Futures
ETF |
( |
) | ( |
) | ||||||||
ProShares
VIX Short-Term Futures ETF |
( |
) | ( |
) | ||||||||
Commodities
Contracts |
Net
realized gain (loss) on futures contracts and swap agreements/ changes in
unrealized appreciation (depreciation) on futures contracts and swap
agreements |
|||||||||||
ProShares
Ultra Bloomberg Crude Oil |
||||||||||||
ProShares
Ultra Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares
Ultra Gold |
||||||||||||
ProShares
Ultra Silver |
||||||||||||
ProShares
UltraPro 3x Crude Oil ETF |
||||||||||||
ProShares
UltraPro 3x Short Crude Oil ETF |
( |
) | ( |
) | ||||||||
ProShares
UltraShort Bloomberg Crude Oil |
( |
) | ( |
) | ||||||||
ProShares
UltraShort Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares
UltraShort Gold |
( |
) | ( |
) | ||||||||
ProShares
UltraShort Silver |
( |
) | ( |
) | ||||||||
Foreign
Exchange Contracts |
Net
realized gain (loss) on futures and/ or foreign currency forward
contracts/ changes in unrealized appreciation (depreciation) on futures
and/ or foreign currency forward contracts |
|||||||||||
ProShares
Short Euro |
||||||||||||
ProShares
Ultra Euro |
( |
) | ||||||||||
ProShares
Ultra Yen |
( |
) | ||||||||||
ProShares
UltraShort Australian Dollar |
( |
) | ||||||||||
ProShares
UltraShort Euro |
( |
) | ||||||||||
ProShares
UltraShort Yen |
( |
) | ||||||||||
|
|
|
|
|||||||||
Total Trust |
$ |
( |
) |
$ |
|
The Effect of Derivative
Instruments on the Statement of Operations For the year ended December 31, 2018 |
||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Location
of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change
in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX
Futures Contracts |
Net
realized gain (loss) on futures contracts and/or swap agreements/ changes
in unrealized appreciation (depreciation) on futures contracts and/or swap
agreements |
|||||||||||
ProShares
Short VIX Short-Term Futures ETF |
$ | ( |
) | $ | ( |
) | ||||||
ProShares
Ultra VIX Short-Term Futures ETF |
||||||||||||
ProShares
VIX
Mid-Term Futures
ETF |
||||||||||||
ProShares
VIX Short-Term Futures ETF |
||||||||||||
Commodities
Contracts |
Net
realized gain (loss) on futures contracts, swap and/or forward agreements/
changes in unrealized appreciation (depreciation) on futures contracts,
swap and/or forward agreements |
|||||||||||
ProShares
Ultra Bloomberg Crude Oil |
( |
) | ||||||||||
ProShares
Ultra Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares
Ultra Gold |
( |
) | ||||||||||
ProShares
Ultra Silver |
( |
) | ||||||||||
ProShares
UltraPro 3x Crude Oil ETF |
( |
) | ( |
) | ||||||||
ProShares
UltraPro 3x Short Crude Oil ETF |
||||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
( |
) | ||||||||||
ProShares
UltraShort Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares
UltraShort Gold |
||||||||||||
ProShares
UltraShort Silver |
( |
) | ||||||||||
Foreign
Exchange Contracts |
Net
realized gain (loss) on futures and/ or foreign currency forward
contracts/ changes in unrealized appreciation (depreciation) on futures
and/ or foreign currency forward contracts |
|||||||||||
ProShares
Short Euro |
||||||||||||
ProShares
Ultra Euro |
( |
) | ( |
) | ||||||||
ProShares
Ultra Yen |
( |
) | ||||||||||
ProShares
UltraShort Australian Dollar |
||||||||||||
ProShares
UltraShort Euro |
||||||||||||
ProShares
UltraShort Yen |
( |
) | ||||||||||
|
|
|
|
|||||||||
Total Trust |
$ |
( |
) |
$ |
( |
) |
Fair
Values of Derivative Instruments as of December 31,
2020 |
||||||||||||||||||||||||
Assets |
Liabilities |
|||||||||||||||||||||||
Fund |
Gross Amounts of Recognized Assets presented in the Statements of Financial Condition |
Gross Amounts Offset in
the Statements
of Financial Condition |
Net Amounts of Assets presented in the Statements of Financial Condition |
Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition |
Gross Amounts Offset in the Statements of Financial Condition |
Net Amounts of Liabilities presented in the Statements of Financial Condition |
||||||||||||||||||
ProShares
Ultra Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap
agreements |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
ProShares
Ultra Euro |
||||||||||||||||||||||||
Foreign
currency forward contracts |
||||||||||||||||||||||||
ProShares
Ultra Gold |
||||||||||||||||||||||||
Swap
agreements |
||||||||||||||||||||||||
ProShares
Ultra Silver |
||||||||||||||||||||||||
Swap
agreements |
||||||||||||||||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
||||||||||||||||||||||||
Swap
agreements |
||||||||||||||||||||||||
ProShares
Ultra Yen |
||||||||||||||||||||||||
Foreign
currency forward contracts |
||||||||||||||||||||||||
ProShares
UltraShort Euro |
||||||||||||||||||||||||
Foreign
currency forward contracts |
||||||||||||||||||||||||
ProShares
UltraShort Gold |
||||||||||||||||||||||||
Swap
agreements |
||||||||||||||||||||||||
ProShares
UltraShort Silver |
||||||||||||||||||||||||
Swap
agreements |
||||||||||||||||||||||||
ProShares
UltraShort Yen |
||||||||||||||||||||||||
Foreign
currency forward contracts |
Gross
Amounts Not Offset in the Statements of Financial Condition as of
December 31, 2020 |
||||||||||||||||
Fund |
Amounts of Recognized Assets /
(Liabilities) presented in
the Statements of Financial Condition |
Financial Instruments for the Benefit of (the Funds) /
the Counterparties |
Cash Collateral for the Benefit of (the Funds) / the
Counterparties |
Net Amount |
||||||||||||
ProShares
Ultra Bloomberg Crude Oil |
||||||||||||||||
Goldman
Sachs International |
$ | $ | ( |
) | $ | $ | ||||||||||
Morgan
Stanley & Co. International PLC |
( |
) | ||||||||||||||
Societe
Generale |
( |
) | ||||||||||||||
UBS
AG |
( |
) | ( |
) | ||||||||||||
ProShares
Ultra Euro |
||||||||||||||||
Goldman
Sachs International |
||||||||||||||||
UBS
AG |
||||||||||||||||
ProShares
Ultra Gold |
||||||||||||||||
Citibank,
N.A. |
( |
) | ||||||||||||||
Goldman
Sachs International |
( |
) | ||||||||||||||
UBS
AG |
||||||||||||||||
ProShares
Ultra Silver |
||||||||||||||||
Citibank,
N.A. |
( |
) | ||||||||||||||
Goldman
Sachs International |
( |
) | ||||||||||||||
Morgan
Stanley & Co. International PLC |
( |
) | ||||||||||||||
UBS
AG |
( |
) | ( |
) | ||||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
||||||||||||||||
Goldman
Sachs & Co. |
( |
) | ||||||||||||||
ProShares
Ultra Yen |
||||||||||||||||
Goldman
Sachs International |
||||||||||||||||
UBS
AG |
||||||||||||||||
ProShares
UltraShort Euro |
||||||||||||||||
Goldman
Sachs International |
( |
) | ||||||||||||||
UBS
AG |
( |
) | ||||||||||||||
ProShares
UltraShort Gold |
||||||||||||||||
Citibank,
N.A. |
( |
) | ||||||||||||||
Goldman
Sachs International |
( |
) | ||||||||||||||
UBS
AG |
( |
) | ||||||||||||||
ProShares
UltraShort Silver |
||||||||||||||||
Citibank,
N.A. |
( |
) | ||||||||||||||
Goldman
Sachs International |
( |
) | ||||||||||||||
Morgan
Stanley & Co. International PLC |
( |
) | ||||||||||||||
UBS
AG |
( |
) | ||||||||||||||
ProShares
UltraShort Yen |
||||||||||||||||
Goldman
Sachs International |
( |
) | ||||||||||||||
UBS
AG |
( |
) |
Fair
Values of Derivative Instruments as of December 31,
2019 |
||||||||||||||||||||||||
Assets |
Liabilities |
|||||||||||||||||||||||
Gross |
Gross |
|||||||||||||||||||||||
Amounts of |
Amounts of |
|||||||||||||||||||||||
Recognized |
Gross |
Net Amounts of |
Recognized |
Gross |
Net Amounts of |
|||||||||||||||||||
Assets |
Amounts |
Assets |
Liabilities |
Amounts |
Liabilities |
|||||||||||||||||||
presented
in |
Offset in
the |
presented
in |
presented
in |
Offset in the |
presented
in |
|||||||||||||||||||
the Statements |
the Statements |
the
Statements |
the Statements |
Statements |
the
Statements |
|||||||||||||||||||
of
Financial |
of
Financial |
of
Financial |
of
Financial |
of
Financial |
of
Financial |
|||||||||||||||||||
Condition |
Condition |
Condition |
Condition |
Condition |
Condition |
|||||||||||||||||||
ProShares
Ultra Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap
agreements |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
ProShares
Ultra Euro |
||||||||||||||||||||||||
Foreign
currency forward contracts |
||||||||||||||||||||||||
ProShares
Ultra Gold |
||||||||||||||||||||||||
Swap
agreements |
||||||||||||||||||||||||
ProShares
Ultra Silver |
||||||||||||||||||||||||
Swap
agreements |
||||||||||||||||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
||||||||||||||||||||||||
Swap
agreements |
||||||||||||||||||||||||
ProShares
Ultra Yen |
||||||||||||||||||||||||
Foreign
currency forward contracts |
||||||||||||||||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap
agreements |
||||||||||||||||||||||||
ProShares
UltraShort Euro |
||||||||||||||||||||||||
Foreign
currency forward contracts |
||||||||||||||||||||||||
ProShares
UltraShort Gold |
||||||||||||||||||||||||
Swap
agreements |
||||||||||||||||||||||||
ProShares
UltraShort Silver |
||||||||||||||||||||||||
Swap
agreements |
||||||||||||||||||||||||
ProShares
UltraShort Yen |
||||||||||||||||||||||||
Foreign
currency forward contracts |
Gross
Amounts Not Offset in the Statements of Financial Condition as of
December 31, 2019 |
||||||||||||||||
Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition |
Financial Instruments for the Benefit of (the Funds) / the Counterparties |
Cash Collateral for the Benefit of (the Funds) / the Counterparties |
Net Amount |
|||||||||||||
ProShares
Ultra Bloomberg Crude Oil |
||||||||||||||||
Citibank,
N.A. |
$ | $ | — | $ | ( |
) | $ | — | ||||||||
Goldman
Sachs International |
( |
) | — | — | ||||||||||||
Royal
Bank of Canada |
— | ( |
) | — | ||||||||||||
Societe
Generale |
( |
) | — | — | ||||||||||||
UBS
AG |
( |
) | — | — | ||||||||||||
ProShares
Ultra Euro |
||||||||||||||||
Goldman
Sachs International |
— | — | ||||||||||||||
UBS
AG |
— | — | ||||||||||||||
ProShares
Ultra Gold |
||||||||||||||||
Citibank,
N.A. |
— | ( |
) | |||||||||||||
Goldman
Sachs International |
( |
) | — | |||||||||||||
UBS
AG |
( |
) | — | |||||||||||||
ProShares
Ultra Silver |
||||||||||||||||
Citibank,
N.A. |
— | ( |
) | — | ||||||||||||
Goldman
Sachs International |
( |
) | — | — | ||||||||||||
UBS
AG |
( |
) | — | — | ||||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
||||||||||||||||
Goldman
Sachs & Co. |
( |
) | — | — | ||||||||||||
ProShares
Ultra Yen |
||||||||||||||||
Goldman
Sachs International |
( |
) | — | — | ||||||||||||
UBS
AG |
( |
) | — | — | ||||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
||||||||||||||||
Citibank,
N.A. |
( |
) | — | — | ||||||||||||
Goldman
Sachs International |
( |
) | — | — | ||||||||||||
Royal
Bank of Canada |
( |
) | — | — | ||||||||||||
Societe
Generale |
( |
) | — | — | ||||||||||||
UBS
AG |
( |
) | — | — | ||||||||||||
ProShares
UltraShort Euro |
||||||||||||||||
Goldman
Sachs International |
( |
) | — | — | ||||||||||||
UBS
AG |
( |
) | — | — | ||||||||||||
ProShares
UltraShort Gold |
||||||||||||||||
Citibank,
N.A. |
( |
) | — | — | ||||||||||||
Goldman
Sachs International |
( |
) | — | — | ||||||||||||
UBS
AG |
( |
) | — | — | ||||||||||||
ProShares
UltraShort Silver |
||||||||||||||||
Citibank,
N.A. |
( |
) | — | — | ||||||||||||
Goldman
Sachs International |
( |
) | — | — | ||||||||||||
UBS
AG |
( |
) | — | — | ||||||||||||
ProShares
UltraShort Yen |
||||||||||||||||
Goldman
Sachs International |
( |
) | — | — | ||||||||||||
UBS
AG |
( |
) | — | — |
Year Ended |
Year Ended |
Year Ended |
||||||||||
Fund |
December 31, 2020 |
December 31, 2019 |
December 31, 2018 |
|||||||||
ProShares
Short Euro |
$ | $ | — | $ | — | |||||||
ProShares
Short VIX Short-Term Futures ETF |
||||||||||||
ProShares
Ultra Bloomberg Crude Oil |
||||||||||||
ProShares
Ultra Bloomberg Natural Gas |
||||||||||||
ProShares
Ultra Euro |
— | — | ||||||||||
ProShares
Ultra Gold |
||||||||||||
ProShares
Ultra Silver |
||||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
||||||||||||
ProShares
Ultra Yen |
— | — | ||||||||||
ProShares
UltraPro 3x Crude Oil ETF* |
||||||||||||
ProShares
UltraPro 3x Short Crude Oil ETF* |
||||||||||||
ProShares
UltraShort Australian Dollar |
— | — | ||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
||||||||||||
ProShares
UltraShort Bloomberg Natural Gas |
||||||||||||
ProShares
UltraShort Euro |
— | — | ||||||||||
ProShares
UltraShort Gold |
||||||||||||
ProShares
UltraShort Silver |
— | — | ||||||||||
ProShares
UltraShort Yen |
— | — | ||||||||||
ProShares
VIX
Mid-Term Futures
ETF |
||||||||||||
ProShares
VIX Short-Term Futures ETF |
||||||||||||
|
|
|
|
|
|
|||||||
Total
Trust |
$ |
|
$ |
|
$ |
|
* |
The
operations include the activity of ProShares UltraPro 3x Crude Oil ETF
through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF
through April 13, 2020, the date of liquidation, respectively.
|
For
the Year Ended December 31, 2020 |
||||||||||||||||||||||||
Per
Share Operating Performance |
Short Euro |
Short VIX Short-Term Futures ETF |
Ultra Bloomberg Crude Oil
* |
Ultra Bloomberg Natural Gas
* |
Ultra Euro |
Ultra Gold |
||||||||||||||||||
Net
asset value, at December 31, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net
investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net
realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change
in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net
asset value, at December 31, 2020 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2019
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2020
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total
Return, at net asset value |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | % | ||||||||||||||
Total
Return, at market value |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | % | ||||||||||||||
Ratios
to Average Net Assets |
||||||||||||||||||||||||
Expense
ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net
investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% |
* |
See
Note 1 of these Notes to Financial Statements.
|
# |
The
amount shown for a share outstanding throughout the period may not accord
with the change in aggregate gains and losses during the period because of
timing of creation and redemption units in relation to fluctuating net
asset value during the period. |
† |
Market
values are determined at the close of the applicable primary listing
exchange, which may be later than when the Funds’ net asset value is
calculated. |
^^ |
Expense
ratio, excluding
non-recurring fees
and expense
, is
|
For
the Year Ended December 31, 2020 |
||||||||||||||||||||||||
Per
Share Operating Performance |
Ultra Silver |
Ultra VIX Short-Term Futures ETF |
Ultra Yen |
UltraShort Australian Dollar |
||||||||||||||||||||
Net
asset value, at December 31, 2019 |
$ | $ | $ | $ | ||||||||||||||||||||
Net
investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net
realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||||||||||||||||||
Change
in net asset value from operations |
( |
) | ( |
) | ||||||||||||||||||||
Net
asset value, at December 31, 2020 |
$ | $ | $ | $ | ||||||||||||||||||||
Market
value per share, at December 31, 2019
† |
$ | $ | $ | $ | ||||||||||||||||||||
Market
value per share, at December 31, 2020
† |
$ | $ | $ | $ | ||||||||||||||||||||
Total
Return, at net asset value |
% | ( |
)% | % | ( |
)% | ||||||||||||||||||
Total
Return, at market value |
% | ( |
)% | % | ( |
)% | ||||||||||||||||||
Ratios
to Average Net Assets |
||||||||||||||||||||||||
Expense
ratio^^ |
% | % | % | % | ||||||||||||||||||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
% | % | % | % | ||||||||||||||||||||
Net
investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% |
# |
The
amount shown for a share outstanding throughout the period may not accord
with the change in aggregate gains and losses during the period because of
timing of creation and redemption units in relation to fluctuating net
asset value during the period. |
† |
Market
values are determined at the close of the applicable primary listing
exchange, which may be later than when the Funds’ net asset value is
calculated. |
^^ |
Expense
ratio, excluding
non-recurring fees
and expense
, is
|
For
the Year Ended December 31, 2020 |
||||||||||||||||||||||||
Per
Share Operating Performance |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas |
UltraShort Euro |
UltraShort Gold |
UltraShort Silver |
UltraShort Yen |
||||||||||||||||||
Net
asset value, at December 31, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net
investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net
realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||
Change
in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||
Net
asset value, at December 31, 2020 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2019
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2020
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total
Return, at net asset value |
( |
)% | % | ( |
)% | ( |
)% | ( |
)% | ( |
)% | |||||||||||||
Total
Return, at market value |
( |
)% | % | ( |
)% | ( |
)% | ( |
)% | ( |
)% | |||||||||||||
Ratios
to Average Net Assets |
||||||||||||||||||||||||
Expense
ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net
investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% |
# |
The
amount shown for a share outstanding throughout the period may not accord
with the change in aggregate gains and losses during the period because of
timing of creation and redemption units in relation to fluctuating net
asset value during the period. |
† |
Market
values are determined at the close of the applicable primary listing
exchange, which may be later than when the Funds’ net asset value is
calculated. |
^^ |
Expense
ratio, excluding
non-recurring fees
and expense
, is
|
For
the Year Ended December 31, 2020 |
||||||||
Per
Share Operating
Performance |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||
Net
asset value, at December 31, 2019 |
$ | $ | ||||||
Net
investment income (loss) |
( |
) | ( |
) | ||||
Net
realized and unrealized gain (loss)# |
||||||||
Change
in net asset value from operations |
||||||||
Net
asset value, at December 31, 2020 |
$ | $ | ||||||
Market
value per share, at December 31, 2019
† |
$ | $ | ||||||
Market
value per share, at December 31, 2020
† |
$ | $ | ||||||
Total
Return, at net asset value |
% | % | ||||||
Total
Return, at market value |
% | % | ||||||
Ratios
to Average Net Assets |
||||||||
Expense
ratio |
% | % | ||||||
Expense
ratio, excluding brokerage commissions and fees |
% | % | ||||||
Net
investment income gain (loss) |
( |
)% | ( |
)% |
# |
The
amount shown for a share outstanding throughout the period may not accord
with the change in aggregate gains and losses during the period because of
timing of creation and redemption units in relation to fluctuating net
asset value during the period. |
† |
Market
values are determined at the close of the applicable primary listing
exchange, which may be later than when the Funds’ net asset value is
calculated. |
For
the Year Ended December 31, 2019 |
||||||||||||||||||||||||
Per
Share Operating
Performance |
Short Euro |
Short VIX Short-Term Futures ETF |
Ultra Bloomberg Crude Oil
* |
Ultra Bloomberg Natural Gas
* |
Ultra Euro |
Ultra Gold |
||||||||||||||||||
Net
asset value, at December 31, 2018 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net
investment income (loss) |
||||||||||||||||||||||||
Net
realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||||||||||||||||||
Change
in net asset value from operations |
( |
) | ( |
) | ||||||||||||||||||||
Net
asset value, at December 31, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2018
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2019
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total
Return, at net asset value |
% | % | % | ( |
)% | ( |
)% | % | ||||||||||||||||
Total
Return, at market value |
% | % | % | ( |
)% | ( |
)% | % | ||||||||||||||||
Ratios
to Average Net Assets |
||||||||||||||||||||||||
Expense
ratio |
% | %^^ | % | % | % | % | ||||||||||||||||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net
investment income gain (loss) |
% | % | % | % | % | % |
* |
See
Note 1 of these Notes to Financial Statements.
|
# |
The
amount shown for a share outstanding throughout the period may not accord
with the change in aggregate gains and losses during the period because of
timing of creation and redemption units in relation to fluctuating net
asset value during the period. |
† |
Market
values are determined at the close of the applicable primary listing
exchange, which may be later than when the Funds’ net asset value is
calculated. |
^^ |
Expense
ratio, excluding
non-recurring fees
and expense is |
For
the Year Ended December 31, 2019 |
||||||||||||||||||||||||
Per
Share Operating
Performance |
Ultra Silver |
Ultra VIX Short-Term Futures ETF |
Ultra Yen |
UltraPro 3x Crude Oil ETF |
UltraPro 3x Short Crude Oil ETF |
UltraShort Australian Dollar |
||||||||||||||||||
Net
asset value, at December 31, 2018 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net
investment income (loss) |
||||||||||||||||||||||||
Net
realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Change
in net asset value from operations |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Net
asset value, at December 31, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2018
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2019
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total
Return, at net asset value |
% | ( |
)% | ( |
)% | % | ( |
)% | % | |||||||||||||||
Total
Return, at market value |
% | ( |
)% | ( |
)% | % | ( |
)% | % | |||||||||||||||
Ratios
to Average Net Assets |
||||||||||||||||||||||||
Expense
ratio |
% | %^^ | % | % | % | % | ||||||||||||||||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net
investment income gain (loss) |
% | % | % | % | % | % |
# |
The
amount shown for a share outstanding throughout the period may not accord
with the change in aggregate gains and losses during the period because of
timing of creation and redemption units in relation to fluctuating net
asset value during the period. |
† |
Market
values are determined at the close of the applicable primary listing
exchange, which may be later than when the Funds’ net asset value is
calculated. |
^^ |
Expense
ratio, excluding
non-recurring fees
and expense is |
For
the Year Ended December 31, 2019 |
||||||||||||||||||||||||
Per
Share Operating
Performance |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas |
UltraShort Euro |
UltraShort Gold |
UltraShort Silver |
UltraShort Yen |
||||||||||||||||||
Net
asset value, at December 31, 2018 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net
investment income (loss) |
||||||||||||||||||||||||
Net
realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Change
in net asset value from operations |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Net
asset value, at December 31, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2018
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2019
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total
Return, at net asset value |
( |
)% | % | % | ( |
)% | ( |
)% | % | |||||||||||||||
Total
Return, at market value |
( |
)% | % | % | ( |
)% | ( |
)% | % | |||||||||||||||
Ratios
to Average Net Assets |
||||||||||||||||||||||||
Expense
ratio |
% | % | % | % | % | % | ||||||||||||||||||
Expense
ratio, excluding brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net
investment income gain (loss) |
% | % | % | % | % | % |
# |
The
amount shown for a share outstanding throughout the period may not accord
with the change in aggregate gains and losses during the period because of
timing of creation and redemption units in relation to fluctuating net
asset value during the period. |
† |
Market
values are determined at the close of the applicable primary listing
exchange, which may be later than when the Funds’ net asset value is
calculated.
|
For
the Year Ended December 31, 2019 |
||||||||
Per
Share Operating
Performance |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||
Net
asset value, at December 31, 2018 |
$ | $ | ||||||
Net
investment income (loss) |
||||||||
Net
realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||
Change
in net asset value from operations |
( |
) | ( |
) | ||||
Net
asset value, at December 31, 2019 |
$ | $ | ||||||
Market
value per share, at December 31, 2018
† |
$ | $ | ||||||
Market
value per share, at December 31, 2019
† |
$ | $ | ||||||
Total
Return, at net asset value |
( |
)% | ( |
)% | ||||
Total
Return, at market value |
( |
)% | ( |
)% | ||||
Ratios
to Average Net Assets |
||||||||
Expense
ratio |
% | % | ||||||
Expense
ratio, excluding brokerage commissions and fees |
% | % | ||||||
Net
investment income gain (loss) |
% | % |
# |
The
amount shown for a share outstanding throughout the period may not accord
with the change in aggregate gains and losses during the period because of
timing of creation and redemption units in relation to fluctuating net
asset value during the period. |
† |
Market
values are determined at the close of the applicable primary listing
exchange, which may be later than when the Funds’ net asset value is
calculated.
|
For
the Year Ended December 31, 2018 |
||||||||||||||||||||||||
Per
Share Operating
Performance |
Short Euro |
Short VIX Short-Term Futures ETF |
Ultra Bloomberg Crude Oil
* |
Ultra Bloomberg Natural Gas
* |
Ultra Euro |
Ultra Gold |
||||||||||||||||||
Net
asset value, at December 31, 2017 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net
investment income (loss) |
( |
) | ||||||||||||||||||||||
Net
realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||
Change
in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||
Net
asset value, at December 31, 2018 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2017
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2018
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total
Return, at net asset value |
% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | |||||||||||||
Total
Return, at market value |
% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | |||||||||||||
Ratios
to Average Net Assets |
||||||||||||||||||||||||
Expense
ratio |
% | % | % | % | % | % | ||||||||||||||||||
Expense
ratio, excluding brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net
investment income gain (loss) |
% | ( |
)% | % | % | % | % |
* |
See
Note 1 of these Notes to Financial Statements.
|
# |
The
amount shown for a share outstanding throughout the period may not accord
with the change in aggregate gains and losses during the period because of
timing of creation and redemption units in relation to fluctuating net
asset value during the period. |
† |
Market
values are determined at the close of the applicable primary listing
exchange, which may be later than when the Funds’ net asset value is
calculated.
|
For
the Year Ended December 31, 2018 |
||||||||||||||||||||||||
Per
Share Operating
Performance |
Ultra Silver |
Ultra VIX Short-Term Futures ETF |
Ultra Yen |
UltraPro 3x Crude Oil ETF |
UltraPro 3x Short Crude Oil ETF* |
UltraShort Australian Dollar |
||||||||||||||||||
Net
asset value, at December 31, 2017 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net
investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net
realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||||||||||||||||||
Change
in net asset value from operations |
( |
) | ( |
) | ||||||||||||||||||||
Net
asset value, at December 31, 2018 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2017
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2018
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total
Return, at net asset value |
( |
)% | % | % | ( |
)% | % | % | ||||||||||||||||
Total
Return, at market value |
( |
)% | % | % | ( |
)% | % | % | ||||||||||||||||
Ratios
to Average Net Assets |
||||||||||||||||||||||||
Expense
ratio |
% | % | % | % | % | % | ||||||||||||||||||
Expense
ratio, excluding brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net
investment income gain (loss) |
% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | % |
* |
See
Note 1 of these Notes to Financial Statements.
|
# |
The
amount shown for a share outstanding throughout the period may not accord
with the change in aggregate gains and losses during the period because of
timing of creation and redemption units in relation to fluctuating net
asset value during the period. |
† |
Market
values are determined at the close of the applicable primary listing
exchange, which may be later than when the Funds’ net asset value is
calculated.
|
For
the Year Ended December 31, 2018 |
||||||||||||||||||||||||
Per
Share Operating
Performance |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas |
UltraShort Euro |
UltraShort Gold |
UltraShort Silver |
UltraShort Yen |
||||||||||||||||||
Net
asset value, at December 31, 2017 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net
investment income (loss) |
( |
) | ||||||||||||||||||||||
Net
realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||||||||||||||||||
Change
in net asset value from operations |
( |
) | ( |
) | ||||||||||||||||||||
Net
asset value, at December 31, 2018 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2017
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market
value per share, at December 31, 2018
† |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total
Return, at net asset value |
% | ( |
)% | % | % | % | ( |
)% | ||||||||||||||||
Total
Return, at market value |
% | ( |
)% | % | % | % | ( |
)% | ||||||||||||||||
Ratios
to Average Net Assets |
||||||||||||||||||||||||
Expense
ratio |
% | % | % | % | % | % | ||||||||||||||||||
Expense
ratio, excluding brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net
investment income gain (loss) |
% | ( |
)% | % | % | % | % |
# |
The
amount shown for a share outstanding throughout the period may not accord
with the change in aggregate gains and losses during the period because of
timing of creation and redemption units in relation to fluctuating net
asset value during the period. |
† |
Market
values are determined at the close of the applicable primary listing
exchange, which may be later than when the Funds’ net asset value is
calculated.
|
Per
Share Operating Performance |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||
Net
asset value, at December 31, 2017 |
$ | $ | ||||||
Net
investment income (loss) |
||||||||
Net
realized and unrealized gain (loss)# |
||||||||
Change
in net asset value from operations |
||||||||
Net
asset value, at December 31, 2018 |
$ | $ | ||||||
Market
value per share, at December 31, 2017
† |
$ | $ | ||||||
Market
value per share, at December 31, 2018
† |
$ | $ | ||||||
Total
Return, at net asset value |
% | % | ||||||
Total
Return, at market value |
% | % | ||||||
Ratios
to Average Net Assets |
||||||||
Expense
ratio |
% | % | ||||||
Expense
ratio, excluding brokerage commissions and fees |
% | % | ||||||
Net
investment income gain (loss) |
% | % |
# |
The
amount shown for a share outstanding throughout the period may not accord
with the change in aggregate gains and losses during the period because of
timing of creation and redemption units in relation to fluctuating net
asset value during the period. |
† |
Market
values are determined at the close of the applicable primary listing
exchange, which may be later than when the Funds’ net asset value is
calculated.
|
• |
By
the close of business on Tuesday, June 30, 2020, ProShares Ultra
Bloomberg Crude Oil and ProShares UltraShort Bloomberg Crude Oil (the “Oil
Funds”), had transitioned approximately half of its exposure to the
September 2020 WTI crude oil futures contract into exposure to the October
2020 WTI crude oil futures contract. As a result of this transition, each
Fund had approximately 1/3 of its portfolio exposed to the September 2020
WTI crude oil futures contract, approximately 1/3 of its portfolio exposed
to the October 2020 WTI crude oil futures contract, and approximately 1/3
of its portfolio exposed to the December 2020 WTI crude oil futures
contract on the close of business on Tuesday, June 30, 2020.
|
• |
In
addition, by the close of business on Wednesday, July 1, 2020, each
Oil Fund had transitioned the remaining portion of its exposure to the
September 2020 WTI crude oil futures contract into exposure to the
November 2020 WTI crude oil futures contract. As a result of this
transition, each Fund had approximately 1/3 of its portfolio exposed to
the October 2020 WTI crude oil futures contract, approximately 1/3 of its
portfolio exposed to the November 2020 WTI crude oil futures contract, and
approximately 1/3 of its portfolio exposed to the December 2020 WTI crude
oil futures contract on the close of business on Wednesday, July 1,
2020. |
PROSHARES TRUST
II | ||
/s/
Todd Johnson | ||
By: |
|
Todd
Johnson |
|
Principal
Executive Officer | |
Date: |
|
February 19,
2021 |
/s/
Edward Karpowicz | ||
By: |
|
Edward
Karpowicz |
|
Principal
Financial and Accounting Officer | |
Date: |
|
February 19,
2021 |