Annual report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the fiscal year ended |
Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from to . |
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☒ |
Accelerated Filer |
☐ | |||
Non-Accelerated Filer |
☐ |
Smaller Reporting Company |
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Emerging Growth Company |
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Fund |
Aggregate Market Value of the Fund’s Units Held by Non-Affiliates as ofJune 30, 2019 |
Number of Outstanding Units as of February 21, 2020 |
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ProShares Short Euro |
$ | |
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ProShares Short VIX Short-Term Futures ETF |
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ProShares Ultra Bloomberg Crude Oil |
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ProShares Ultra Bloomberg Natural Gas |
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ProShares Ultra Euro |
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ProShares Ultra Gold |
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ProShares Ultra Silver |
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ProShares Ultra VIX Short-Term Futures ETF |
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ProShares Ultra Yen |
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ProShares UltraPro 3x Crude Oil ETF |
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ProShares UltraPro 3x Short Crude Oil ETF |
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ProShares UltraShort Australian Dollar |
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ProShares UltraShort Bloomberg Crude Oil |
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ProShares UltraShort Bloomberg Natural Gas |
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ProShares UltraShort Euro |
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ProShares UltraShort Gold |
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ProShares UltraShort Silver |
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ProShares UltraShort Yen |
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ProShares VIX Mid-Term Futures ETF |
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ProShares VIX Short-Term Futures ETF |
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61 |
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61 |
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67 |
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122 |
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295 |
Item 1. |
Business. |
Index |
Bloomberg Ticker Symbol | |
S&P 500 VIX Short-Term Futures Index |
SPVXSP | |
S&P 500 VIX Mid-Term Futures Index |
SPVXMPID |
Underlying Benchmark |
Create/Redeem Cutoff |
NAV Calculation Time | ||
Silver |
1:00 p.m. (Eastern Time) |
1:25 p.m. (Eastern Time) | ||
Gold |
1:00 p.m. (Eastern Time) |
1:30 p.m. (Eastern Time) | ||
S&P 500 VIX Short-Term Futures Index |
2:00 p.m. (Eastern Time) |
4:15 p.m. (Eastern Time) | ||
S&P 500 VIX Mid-Term Futures Index |
2:00 p.m. (Eastern Time) |
4:15 p.m. (Eastern Time) | ||
Bloomberg WTI Crude Oil Subindex SM |
2:00 p.m. (Eastern Time) |
2:30 p.m. (Eastern Time) | ||
Bloomberg Natural Gas Subindex SM |
2:00 p.m. (Eastern Time) |
2:30 p.m. (Eastern Time) | ||
Australian dollar |
3:00 p.m. (Eastern Time) |
4:00 p.m. (Eastern Time) | ||
Euro |
3:00 p.m. (Eastern Time) |
4:00 p.m. (Eastern Time) | ||
Yen |
3:00 p.m. (Eastern Time) |
4:00 p.m. (Eastern Time) |
• | it determines that the purchase order is not in proper form; |
• | the Sponsor believes that the purchase order would have adverse tax consequences to a Fund or its shareholders; |
• | the order would be illegal; or |
• | circumstances outside the control of the Sponsor make it, for all practical purposes, not feasible to process creations of Creation Units. |
Fund |
NAV Calculation Time |
|||
ProShares UltraShort Silver and ProShares Ultra Silver |
1:25 p.m. (Eastern Time) |
* | ||
ProShares UltraShort Gold and ProShares Ultra Gold |
1:30 p.m. (Eastern Time) |
* | ||
ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil |
2:30 p.m. (Eastern Time) |
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ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF |
2:30 p.m. (Eastern Time) |
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ProShares UltraShort Bloomberg Natural Gas and ProShares Ultra Bloomberg Natural Gas |
2:30 p.m. (Eastern Time) |
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ProShares Short Euro, ProShares UltraShort Euro and ProShares Ultra Euro |
4:00 p.m. (Eastern Time) |
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ProShares UltraShort Australian Dollar |
4:00 p.m. (Eastern Time) |
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ProShares UltraShort Yen and ProShares Ultra Yen |
4:00 p.m. (Eastern Time) |
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ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and |
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ProShares Short VIX Short-Term Futures ETF |
4:15 p.m. (Eastern Time) |
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ProShares VIX Mid-Term Futures ETF |
4:15 p.m. (Eastern Time) |
* | For silver and gold, this time may vary due to differences in when daylight savings time is effective between London and New York. The actual times equate to noon London time for silver and 3:00 p.m. London time for gold. |
• | initial SEC registration fees and SEC and FINRA filing fees; |
• | costs of preparing, printing (including typesetting), amending, supplementing, mailing and distributing the Trust’s Registration Statements, the exhibits thereto and the related prospectuses; |
• | the costs of qualifying, printing (including typesetting), amending, supplementing and mailing sales materials used in connection with the offering and issuance of the Shares; and |
• | accounting, auditing and legal fees (including disbursements related thereto) incurred in connection therewith. |
• | The term “Matching VIX Fund” refers to ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF; |
• | The term “Geared VIX Fund” refers to ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF; |
• | The term “VIX Fund” refers to each Geared VIX Fund and each Matching VIX Fund; |
• | The term “Geared Fund” refers to ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro Short 3x Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares Short Euro, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen, and each Geared VIX Fund; |
• | The term “Natural Gas Fund” refers to ProShares UltraShort Bloomberg Natural Gas and ProShares Ultra Bloomberg Natural Gas ; |
• | The term “Oil Fund” refers to ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, ProShares UltraPro 3x Short Crude Oil ETF, and ProShares Ultra Bloomberg Crude Oil; |
• | The term “Precious Metal Fund” refers to ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares Ultra Gold and ProShares Ultra Silver; and |
• | The term “Currency Fund” refers to ProShares Short Euro, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Euro and ProShares Ultra Yen. |
Benchmark XYZ |
Fund XYZ |
|||||||||||||||
Level |
Daily Performance |
Daily Performance |
Net Asset Value |
|||||||||||||
Start |
100.00 |
$ | 100.00 |
|||||||||||||
Day 1 |
97.00 |
-3.00 |
% | -6.00 |
% | 94.00 |
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Day 2 |
99.91 |
3.00 |
% | 6.00 |
% | 99.64 |
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Day 3 |
96.91 |
-3.00 |
% | -6.00 |
% | 93.66 |
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Day 4 |
99.82 |
3.00 |
% | 6.00 |
% | 99.28 |
||||||||||
Day 5 |
96.83 |
-3.00 |
% | -6.00 |
% | 93.32 |
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Day 6 |
99.73 |
3.00 |
% | 6.00 |
% | 98.92 |
||||||||||
Day 7 |
96.74 |
-3.00 |
% | -6.00 |
% | 92.99 |
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Total Return |
-3.26 |
% |
-7.01 |
% |
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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 |
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Day 2 |
99.91 |
-3.00 |
% | -6.00 |
% | 99.64 |
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Day 3 |
102.91 |
3.00 |
% | 6.00 |
% | 105.62 |
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Day 4 |
99.82 |
-3.00 |
% | -6.00 |
% | 99.28 |
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Day 5 |
102.81 |
3.00 |
% | 6.00 |
% | 105.24 |
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Day 6 |
99.73 |
-3.00 |
% | -6.00 |
% | 98.92 |
||||||||||
Day 7 |
102.72 |
3.00 |
% | 6.00 |
% | 104.86 |
||||||||||
Total Return |
2.72 |
% |
4.86 |
% |
||||||||||||
Index |
Identifier |
Historical Five-Year AverageVolatility Rate As of December 31, 2019 |
||||||
S&P 500 VIX Short-Term Futures Index |
SPVXSP |
79.27 |
% | |||||
S&P 500 VIX Mid-Term Futures Index |
SPVXMPID |
32.42 |
% | |||||
Bloomberg WTI Crude Oil Subindex SM |
BCOMCL |
36.72 |
% | |||||
Bloomberg Natural Gas Subindex SM |
BCOMNG |
39.81 |
% | |||||
Bloomberg Gold Subindex SM |
BCOMGC |
12.86 |
% | |||||
Bloomberg Silver Subindex SM |
BCOMSI |
22.00 |
% | |||||
The US dollar price of the euro |
USDEUR |
8.23 |
% | |||||
The US dollar price of the Japanese yen |
USDJPY |
8.46 |
% | |||||
The US dollar price of the Australian dollar |
USDAUD |
9.37 |
% |
Index Volatility |
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One Year Index Performance |
One-Half theInvers (-0.5x) One Year Index Performance |
0% |
5% |
10% |
15% |
20% |
25% |
30% |
35% |
40% |
45% |
50% |
55% |
60% |
65% |
70% |
75% |
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-60% |
30.0 |
% | 58.1 |
% | 58.0 |
% | 57.5 |
% | 56.8 |
% | 55.8 |
% | 54.5 |
% | 52.9 |
% | 51.0 |
% | 48.9 |
% | 46.6 |
% | 44.0 |
% | 41.2 |
% | 38.1 |
% | 34.9 |
% | 31.6 |
% | 28.0 |
% | ||||||||||||||||||||||||||||||||||
-55% |
27.5 |
% | 49.1 |
% | 48.9 |
% | 48.5 |
% | 47.8 |
% | 46.9 |
% | 45.6 |
% | 44.1 |
% | 42.4 |
% | 40.4 |
% | 38.2 |
% | 35.7 |
% | 33.1 |
% | 30.2 |
% | 27.2 |
% | 24.0 |
% | 20.7 |
% | ||||||||||||||||||||||||||||||||||
-50% |
25.0 |
% | 41.4 |
% | 41.3 |
% | 40.9 |
% | 40.2 |
% | 39.3 |
% | 38.1 |
% | 36.7 |
% | 35.1 |
% | 33.2 |
% | 31.1 |
% | 28.8 |
% | 26.3 |
% | 23.6 |
% | 20.7 |
% | 17.7 |
% | 14.5 |
% | ||||||||||||||||||||||||||||||||||
-45% |
22.5 |
% | 34.8 |
% | 34.7 |
% | 34.3 |
% | 33.7 |
% | 32.8 |
% | 31.7 |
% | 30.4 |
% | 28.8 |
% | 27.0 |
% | 25.0 |
% | 22.8 |
% | 20.4 |
% | 17.8 |
% | 15.1 |
% | 12.2 |
% | 9.2 |
% | ||||||||||||||||||||||||||||||||||
-40% |
20.0 |
% | 29.1 |
% | 29.0 |
% | 28.6 |
% | 28.0 |
% | 27.2 |
% | 26.1 |
% | 24.8 |
% | 23.3 |
% | 21.6 |
% | 19.7 |
% | 17.5 |
% | 15.3 |
% | 12.8 |
% | 10.2 |
% | 7.4 |
% | 4.5 |
% | ||||||||||||||||||||||||||||||||||
-35% |
17.5 |
% | 24.0 |
% | 23.9 |
% | 23.6 |
% | 23.0 |
% | 22.2 |
% | 21.2 |
% | 19.9 |
% | 18.5 |
% | 16.8 |
% | 15.0 |
% | 12.9 |
% | 10.7 |
% | 8.4 |
% | 5.9 |
% | 3.2 |
% | 0.4 |
% | ||||||||||||||||||||||||||||||||||
-30% |
15.0 |
% | 19.5 |
% | 19.4 |
% | 19.1 |
% | 18.5 |
% | 17.7 |
% | 16.8 |
% | 15.6 |
% | 14.2 |
% | 12.6 |
% | 10.8 |
% | 8.8 |
% | 6.7 |
% | 4.4 |
% | 2.0 |
% | -0.5 |
% | -3.2 |
% | ||||||||||||||||||||||||||||||||||
-25% |
12.5 |
% | 15.5 |
% | 15.4 |
% | 15.0 |
% | 14.5 |
% | 13.8 |
% | 12.8 |
% | 11.6 |
% | 10.3 |
% | 8.7 |
% | 7.0 |
% | 5.1 |
% | 3.1 |
% | 0.9 |
% | -1.4 |
% | -3.9 |
% | -6.5 |
% | ||||||||||||||||||||||||||||||||||
-20% |
10.0 |
% | 11.8 |
% | 11.7 |
% | 11.4 |
% | 10.9 |
% | 10.1 |
% | 9.2 |
% | 8.1 |
% | 6.8 |
% | 5.3 |
% | 3.6 |
% | 1.8 |
% | -0.2 |
% | -2.3 |
% | -4.6 |
% | -7.0 |
% | -9.5 |
% | ||||||||||||||||||||||||||||||||||
-15% |
7.5 |
% | 8.5 |
% | 8.4 |
% | 8.1 |
% | 7.6 |
% | 6.9 |
% | 6.0 |
% | 4.9 |
% | 3.6 |
% | 2.1 |
% | 0.5 |
% | -1.2 |
% | -3.2 |
% | -5.2 |
% | -7.4 |
% | -9.7 |
% | -12.2 |
% | ||||||||||||||||||||||||||||||||||
-10% |
5.0 |
% | 5.4 |
% | 5.3 |
% | 5.0 |
% | 4.5 |
% | 3.8 |
% | 3.0 |
% | 1.9 |
% | 0.7 |
% | -0.7 |
% | -2.3 |
% | -4.0 |
% | -5.9 |
% | -7.9 |
% | -10.0 |
% | -12.3 |
% | -14.6 |
% | ||||||||||||||||||||||||||||||||||
-5% |
2.5 |
% | 2.6 |
% | 2.5 |
% | 2.2 |
% | 1.7 |
% | 1.1 |
% | 0.2 |
% | -0.8 |
% | -2.0 |
% | -3.4 |
% | -4.9 |
% | -6.6 |
% | -8.4 |
% | -10.4 |
% | -12.4 |
% | -14.6 |
% | -16.9 |
% | ||||||||||||||||||||||||||||||||||
0% |
0.0 |
% | 0.0 |
% | -0.1 |
% | -0.4 |
% | -0.8 |
% | -1.5 |
% | -2.3 |
% | -3.3 |
% | -4.5 |
% | -5.8 |
% | -7.3 |
% | -8.9 |
% | -10.7 |
% | -12.6 |
% | -14.7 |
% | -16.8 |
% | -19.0 |
% | ||||||||||||||||||||||||||||||||||
5% |
-2.5 |
% | -2.4 |
% | -2.5 |
% | -2.8 |
% | -3.2 |
% | -3.9 |
% | -4.7 |
% | -5.6 |
% | -6.8 |
% | -8.1 |
% | -9.5 |
% | -11.1 |
% | -12.9 |
% | -14.7 |
% | -16.7 |
% | -18.8 |
% | -21.0 |
% | ||||||||||||||||||||||||||||||||||
10% |
-5.0 |
% | -4.7 |
% | -4.7 |
% | -5.0 |
% | -5.5 |
% | -6.1 |
% | -6.9 |
% | -7.8 |
% | -8.9 |
% | -10.2 |
% | -11.6 |
% | -13.2 |
% | -14.9 |
% | -16.7 |
% | -18.6 |
% | -20.7 |
% | -22.8 |
% | ||||||||||||||||||||||||||||||||||
15% |
-7.5 |
% | -6.7 |
% | -6.8 |
% | -7.1 |
% | -7.5 |
% | -8.1 |
% | -8.9 |
% | -9.8 |
% | -10.9 |
% | -12.2 |
% | -13.6 |
% | -15.1 |
% | -16.7 |
% | -18.5 |
% | -20.4 |
% | -22.4 |
% | -24.5 |
% | ||||||||||||||||||||||||||||||||||
20% |
-10.0 |
% | -8.7 |
% | -8.8 |
% | -9.1 |
% | -9.5 |
% | -10.1 |
% | -10.8 |
% | -11.7 |
% | -12.8 |
% | -14.0 |
% | -15.4 |
% | -16.9 |
% | -18.5 |
% | -20.2 |
% | -22.1 |
% | -24.0 |
% | -26.1 |
% | ||||||||||||||||||||||||||||||||||
25% |
-12.5 |
% | -10.6 |
% | -10.6 |
% | -10.9 |
% | -11.3 |
% | -11.9 |
% | -12.6 |
% | -13.5 |
% | -14.6 |
% | -15.8 |
% | -17.1 |
% | -18.6 |
% | -20.1 |
% | -21.9 |
% | -23.7 |
% | -25.6 |
% | -27.6 |
% | ||||||||||||||||||||||||||||||||||
30% |
-15.0 |
% | -12.3 |
% | -12.4 |
% | -12.6 |
% | -13.0 |
% | -13.6 |
% | -14.3 |
% | -15.2 |
% | -16.2 |
% | -17.4 |
% | -18.7 |
% | -20.1 |
% | -21.7 |
% | -23.4 |
% | -25.1 |
% | -27.0 |
% | -29.0 |
% | ||||||||||||||||||||||||||||||||||
35% |
-17.5 |
% | -13.9 |
% | -14.0 |
% | -14.3 |
% | -14.7 |
% | -15.2 |
% | -15.9 |
% | -16.8 |
% | -17.8 |
% | -18.9 |
% | -20.2 |
% | -21.6 |
% | -23.2 |
% | -24.8 |
% | -26.5 |
% | -28.4 |
% | -30.3 |
% | ||||||||||||||||||||||||||||||||||
40% |
-20.0 |
% | -15.5 |
% | -15.6 |
% | -15.8 |
% | -16.2 |
% | -16.7 |
% | -17.4 |
% | -18.3 |
% | -19.3 |
% | -20.4 |
% | -21.7 |
% | -23.0 |
% | -24.5 |
% | -26.2 |
% | -27.9 |
% | -29.7 |
% | -31.6 |
% | ||||||||||||||||||||||||||||||||||
45% |
-22.5 |
% | -17.0 |
% | -17.0 |
% | -17.3 |
% | -17.7 |
% | -18.2 |
% | -18.9 |
% | -19.7 |
% | -20.7 |
% | -21.8 |
% | -23.0 |
% | -24.4 |
% | -25.9 |
% | -27.4 |
% | -29.1 |
% | -30.9 |
% | -32.7 |
% | ||||||||||||||||||||||||||||||||||
50% |
-25.0 |
% | -18.4 |
% | -18.4 |
% | -18.7 |
% | -19.0 |
% | -19.6 |
% | -20.2 |
% | -21.1 |
% | -22.0 |
% | -23.1 |
% | -24.3 |
% | -25.7 |
% | -27.1 |
% | -28.7 |
% | -30.3 |
% | -32.1 |
% | -33.9 |
% | ||||||||||||||||||||||||||||||||||
55% |
-27.5 |
% | -19.7 |
% | -19.8 |
% | -20.0 |
% | -20.4 |
% | -20.9 |
% | -21.5 |
% | -22.3 |
% | -23.3 |
% | -24.4 |
% | -25.6 |
% | -26.9 |
% | -28.3 |
% | -29.8 |
% | -31.4 |
% | -33.2 |
% | -35.0 |
% | ||||||||||||||||||||||||||||||||||
60% |
-30.0 |
% | -20.9 |
% | -21.0 |
% | -21.2 |
% | -21.6 |
% | -22.1 |
% | -22.8 |
% | -23.6 |
% | -24.5 |
% | -25.5 |
% | -26.7 |
% | -28.0 |
% | -29.4 |
% | -30.9 |
% | -32.5 |
% | -34.2 |
% | -36.0 |
% |
Benchmark Volatility |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance |
Inverse(-1x) of One Year Benchmark Performance |
0% |
5% |
10% |
15% |
20% |
25% |
30% |
35% |
40% |
45% |
50% |
55% |
60% |
65% |
70% |
||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
60 |
% | 150.0 |
% | 149.4 |
% | 147.5 |
% | 144.4 |
% | 140.2 |
% | 134.9 |
% | 128.5 |
% | 121.2 |
% | 113.0 |
% | 104.2 |
% | 94.7 |
% | 84.7 |
% | 74.4 |
% | 63.9 |
% | 53.2 |
% | ||||||||||||||||||||||||||||||||
-55% |
55 |
% | 122.2 |
% | 121.7 |
% | 120.0 |
% | 117.3 |
% | 113.5 |
% | 108.8 |
% | 103.1 |
% | 96.6 |
% | 89.4 |
% | 81.5 |
% | 73.1 |
% | 64.2 |
% | 55.0 |
% | 45.6 |
% | 36.1 |
% | ||||||||||||||||||||||||||||||||
-50% |
50 |
% | 100.0 |
% | 99.5 |
% | 98.0 |
% | 95.6 |
% | 92.2 |
% | 87.9 |
% | 82.8 |
% | 76.9 |
% | 70.4 |
% | 63.3 |
% | 55.8 |
% | 47.8 |
% | 39.5 |
% | 31.1 |
% | 22.5 |
% | ||||||||||||||||||||||||||||||||
-45% |
45 |
% | 81.8 |
% | 81.4 |
% | 80.0 |
% | 77.8 |
% | 74.7 |
% | 70.8 |
% | 66.2 |
% | 60.9 |
% | 54.9 |
% | 48.5 |
% | 41.6 |
% | 34.4 |
% | 26.9 |
% | 19.2 |
% | 11.4 |
% | ||||||||||||||||||||||||||||||||
-40% |
40 |
% | 66.7 |
% | 66.3 |
% | 65.0 |
% | 63.0 |
% | 60.1 |
% | 56.6 |
% | 52.3 |
% | 47.5 |
% | 42.0 |
% | 36.1 |
% | 29.8 |
% | 23.2 |
% | 16.3 |
% | 9.2 |
% | 2.1 |
% | ||||||||||||||||||||||||||||||||
-35% |
35 |
% | 53.8 |
% | 53.5 |
% | 52.3 |
% | 50.4 |
% | 47.8 |
% | 44.5 |
% | 40.6 |
% | 36.1 |
% | 31.1 |
% | 25.6 |
% | 19.8 |
% | 13.7 |
% | 7.3 |
% | 0.8 |
% | -5.7 |
% | ||||||||||||||||||||||||||||||||
-30% |
30 |
% | 42.9 |
% | 42.5 |
% | 41.4 |
% | 39.7 |
% | 37.3 |
% | 34.2 |
% | 30.6 |
% | 26.4 |
% | 21.7 |
% | 16.7 |
% | 11.3 |
% | 5.6 |
% | -0.3 |
% | -6.4 |
% | -12.5 |
% | ||||||||||||||||||||||||||||||||
-25% |
25 |
% | 33.3 |
% | 33.0 |
% | 32.0 |
% | 30.4 |
% | 28.1 |
% | 25.3 |
% | 21.9 |
% | 18.0 |
% | 13.6 |
% | 8.9 |
% | 3.8 |
% | -1.5 |
% | -7.0 |
% | -12.6 |
% | -18.3 |
% | ||||||||||||||||||||||||||||||||
-20% |
20 |
% | 25.0 |
% | 24.7 |
% | 23.8 |
% | 22.2 |
% | 20.1 |
% | 17.4 |
% | 14.2 |
% | 10.6 |
% | 6.5 |
% | 2.1 |
% | -2.6 |
% | -7.6 |
% | -12.8 |
% | -18.1 |
% | -23.4 |
% | ||||||||||||||||||||||||||||||||
-15% |
15 |
% | 17.6 |
% | 17.4 |
% | 16.5 |
% | 15.0 |
% | 13.0 |
% | 10.5 |
% | 7.5 |
% | 4.1 |
% | 0.3 |
% | -3.9 |
% | -8.4 |
% | -13.1 |
% | -17.9 |
% | -22.9 |
% | -27.9 |
% | ||||||||||||||||||||||||||||||||
-10% |
10 |
% | 11.1 |
% | 10.8 |
% | 10.0 |
% | 8.6 |
% | 6.8 |
% | 4.4 |
% | 1.5 |
% | -1.7 |
% | -5.3 |
% | -9.3 |
% | -13.5 |
% | -17.9 |
% | -22.5 |
% | -27.2 |
% | -31.9 |
% | ||||||||||||||||||||||||||||||||
-5% |
5 |
% | 5.3 |
% | 5.0 |
% | 4.2 |
% | 2.9 |
% | 1.1 |
% | -1.1 |
% | -3.8 |
% | -6.9 |
% | -10.3 |
% | -14.0 |
% | -18.0 |
% | -22.2 |
% | -26.6 |
% | -31.0 |
% | -35.5 |
% | ||||||||||||||||||||||||||||||||
0% |
0 |
% | 0.0 |
% | -0.2 |
% | -1.0 |
% | -2.2 |
% | -3.9 |
% | -6.1 |
% | -8.6 |
% | -11.5 |
% | -14.8 |
% | -18.3 |
% | -22.1 |
% | -26.1 |
% | -30.2 |
% | -34.5 |
% | -38.7 |
% | ||||||||||||||||||||||||||||||||
5% |
-5 |
% | -4.8 |
% | -5.0 |
% | -5.7 |
% | -6.9 |
% | -8.5 |
% | -10.5 |
% | -13.0 |
% | -15.7 |
% | -18.8 |
% | -22.2 |
% | -25.8 |
% | -29.6 |
% | -33.6 |
% | -37.6 |
% | -41.7 |
% | ||||||||||||||||||||||||||||||||
10% |
-10 |
% | -9.1 |
% | -9.3 |
% | -10.0 |
% | -11.1 |
% | -12.7 |
% | -14.6 |
% | -16.9 |
% | -19.6 |
% | -22.5 |
% | -25.8 |
% | -29.2 |
% | -32.8 |
% | -36.6 |
% | -40.4 |
% | -44.3 |
% | ||||||||||||||||||||||||||||||||
15% |
-15 |
% | -13.0 |
% | -13.3 |
% | -13.9 |
% | -15.0 |
% | -16.5 |
% | -18.3 |
% | -20.5 |
% | -23.1 |
% | -25.9 |
% | -29.0 |
% | -32.3 |
% | -35.7 |
% | -39.3 |
% | -43.0 |
% | -46.7 |
% | ||||||||||||||||||||||||||||||||
20% |
-20 |
% | -16.7 |
% | -16.9 |
% | -17.5 |
% | -18.5 |
% | -19.9 |
% | -21.7 |
% | -23.8 |
% | -26.3 |
% | -29.0 |
% | -31.9 |
% | -35.1 |
% | -38.4 |
% | -41.9 |
% | -45.4 |
% | -48.9 |
% | ||||||||||||||||||||||||||||||||
25% |
-25 |
% | -20.0 |
% | -20.2 |
% | -20.8 |
% | -21.8 |
% | -23.1 |
% | -24.8 |
% | -26.9 |
% | -29.2 |
% | -31.8 |
% | -34.7 |
% | -37.7 |
% | -40.9 |
% | -44.2 |
% | -47.6 |
% | -51.0 |
% | ||||||||||||||||||||||||||||||||
30% |
-30 |
% | -23.1 |
% | -23.3 |
% | -23.8 |
% | -24.8 |
% | -26.1 |
% | -27.7 |
% | -29.7 |
% | -31.9 |
% | -34.5 |
% | -37.2 |
% | -40.1 |
% | -43.2 |
% | -46.3 |
% | -49.6 |
% | -52.9 |
% | ||||||||||||||||||||||||||||||||
35% |
-35 |
% | -25.9 |
% | -26.1 |
% | -26.7 |
% | -27.6 |
% | -28.8 |
% | -30.4 |
% | -32.3 |
% | -34.5 |
% | -36.9 |
% | -39.5 |
% | -42.3 |
% | -45.3 |
% | -48.3 |
% | -51.5 |
% | -54.6 |
% | ||||||||||||||||||||||||||||||||
40% |
-40 |
% | -28.6 |
% | -28.7 |
% | -29.3 |
% | -30.2 |
% | -31.4 |
% | -32.9 |
% | -34.7 |
% | -36.8 |
% | -39.1 |
% | -41.7 |
% | -44.4 |
% | -47.2 |
% | -50.2 |
% | -53.2 |
% | -56.2 |
% | ||||||||||||||||||||||||||||||||
45% |
-45 |
% | -31.0 |
% | -31.2 |
% | -31.7 |
% | -32.6 |
% | -33.7 |
% | -35.2 |
% | -37.0 |
% | -39.0 |
% | -41.2 |
% | -43.7 |
% | -46.3 |
% | -49.0 |
% | -51.9 |
% | -54.8 |
% | -57.7 |
% | ||||||||||||||||||||||||||||||||
50% |
-50 |
% | -33.3 |
% | -33.5 |
% | -34.0 |
% | -34.8 |
% | -35.9 |
% | -37.4 |
% | -39.1 |
% | -41.0 |
% | -43.2 |
% | -45.6 |
% | -48.1 |
% | -50.7 |
% | -53.5 |
% | -56.3 |
% | -59.2 |
% | ||||||||||||||||||||||||||||||||
55% |
-55 |
% | -35.5 |
% | -35.6 |
% | -36.1 |
% | -36.9 |
% | -38.0 |
% | -39.4 |
% | -41.0 |
% | -42.9 |
% | -45.0 |
% | -47.3 |
% | -49.8 |
% | -52.3 |
% | -55.0 |
% | -57.7 |
% | -60.5 |
% | ||||||||||||||||||||||||||||||||
60% |
-60 |
% | -37.5 |
% | -37.7 |
% | -38.1 |
% | -38.9 |
% | -40.0 |
% | -41.3 |
% | -42.9 |
% | -44.7 |
% | -46.7 |
% | -49.0 |
% | -51.3 |
% | -53.8 |
% | -56.4 |
% | -59.0 |
% | -61.7 |
% |
Benchmark Volatility |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance |
Two Times Inverse(-2x) of One Year Benchmark Performance |
0% |
5% |
10% |
15% |
20% |
25% |
30% |
35% |
40% |
45% |
50% |
55% |
60% |
65% |
70% |
||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
120 |
% | 525.0 |
% | 520.3 |
% | 506.5 |
% | 484.2 |
% | 454.3 |
% | 418.1 |
% | 377.1 |
% | 332.8 |
% | 286.7 |
% | 240.4 |
% | 195.2 |
% | 152.2 |
% | 112.2 |
% | 76.0 |
% | 43.7 |
% | ||||||||||||||||||||||||||||||||
-55% |
110 |
% | 393.8 |
% | 390.1 |
% | 379.2 |
% | 361.6 |
% | 338.0 |
% | 309.4 |
% | 277.0 |
% | 242.0 |
% | 205.6 |
% | 169.0 |
% | 133.3 |
% | 99.3 |
% | 67.7 |
% | 39.0 |
% | 13.5 |
% | ||||||||||||||||||||||||||||||||
-50% |
100 |
% | 300.0 |
% | 297.0 |
% | 288.2 |
% | 273.9 |
% | 254.8 |
% | 231.6 |
% | 205.4 |
% | 177.0 |
% | 147.5 |
% | 117.9 |
% | 88.9 |
% | 61.4 |
% | 35.8 |
% | 12.6 |
% | -8.0 |
% | ||||||||||||||||||||||||||||||||
-45% |
90 |
% | 230.6 |
% | 228.1 |
% | 220.8 |
% | 209.0 |
% | 193.2 |
% | 174.1 |
% | 152.4 |
% | 128.9 |
% | 104.6 |
% | 80.1 |
% | 56.2 |
% | 33.4 |
% | 12.3 |
% | -6.9 |
% | -24.0 |
% | ||||||||||||||||||||||||||||||||
-40% |
80 |
% | 177.8 |
% | 175.7 |
% | 169.6 |
% | 159.6 |
% | 146.4 |
% | 130.3 |
% | 112.0 |
% | 92.4 |
% | 71.9 |
% | 51.3 |
% | 31.2 |
% | 12.1 |
% | -5.7 |
% | -21.8 |
% | -36.1 |
% | ||||||||||||||||||||||||||||||||
-35% |
70 |
% | 136.7 |
% | 134.9 |
% | 129.7 |
% | 121.2 |
% | 109.9 |
% | 96.2 |
% | 80.7 |
% | 63.9 |
% | 46.5 |
% | 28.9 |
% | 11.8 |
% | -4.5 |
% | -19.6 |
% | -33.4 |
% | -45.6 |
% | ||||||||||||||||||||||||||||||||
-30% |
60 |
% | 104.1 |
% | 102.6 |
% | 98.1 |
% | 90.8 |
% | 81.0 |
% | 69.2 |
% | 55.8 |
% | 41.3 |
% | 26.3 |
% | 11.2 |
% | -3.6 |
% | -17.6 |
% | -30.7 |
% | -42.5 |
% | -53.1 |
% | ||||||||||||||||||||||||||||||||
-25% |
50 |
% | 77.8 |
% | 76.4 |
% | 72.5 |
% | 66.2 |
% | 57.7 |
% | 47.4 |
% | 35.7 |
% | 23.1 |
% | 10.0 |
% | -3.2 |
% | -16.0 |
% | -28.3 |
% | -39.6 |
% | -49.9 |
% | -59.1 |
% | ||||||||||||||||||||||||||||||||
-20% |
40 |
% | 56.3 |
% | 55.1 |
% | 51.6 |
% | 46.1 |
% | 38.6 |
% | 29.5 |
% | 19.3 |
% | 8.2 |
% | -3.3 |
% | -14.9 |
% | -26.2 |
% | -36.9 |
% | -46.9 |
% | -56.0 |
% | -64.1 |
% | ||||||||||||||||||||||||||||||||
-15% |
30 |
% | 38.4 |
% | 37.4 |
% | 34.3 |
% | 29.4 |
% | 22.8 |
% | 14.7 |
% | 5.7 |
% | -4.2 |
% | -14.4 |
% | -24.6 |
% | -34.6 |
% | -44.1 |
% | -53.0 |
% | -61.0 |
% | -68.2 |
% | ||||||||||||||||||||||||||||||||
-10% |
20 |
% | 23.5 |
% | 22.5 |
% | 19.8 |
% | 15.4 |
% | 9.5 |
% | 2.3 |
% | -5.8 |
% | -14.5 |
% | -23.6 |
% | -32.8 |
% | -41.7 |
% | -50.2 |
% | -58.1 |
% | -65.2 |
% | -71.6 |
% | ||||||||||||||||||||||||||||||||
-5% |
10 |
% | 10.8 |
% | 10.0 |
% | 7.5 |
% | 3.6 |
% | -1.7 |
% | -8.1 |
% | -15.4 |
% | -23.3 |
% | -31.4 |
% | -39.6 |
% | -47.7 |
% | -55.3 |
% | -62.4 |
% | -68.8 |
% | -74.5 |
% | ||||||||||||||||||||||||||||||||
0% |
0 |
% | 0.0 |
% | -0.7 |
% | -3.0 |
% | -6.5 |
% | -11.3 |
% | -17.1 |
% | -23.7 |
% | -30.8 |
% | -38.1 |
% | -45.5 |
% | -52.8 |
% | -59.6 |
% | -66.0 |
% | -71.8 |
% | -77.0 |
% | ||||||||||||||||||||||||||||||||
5% |
-10 |
% | -9.3 |
% | -10.0 |
% | -12.0 |
% | -15.2 |
% | -19.6 |
% | -24.8 |
% | -30.8 |
% | -37.2 |
% | -43.9 |
% | -50.6 |
% | -57.2 |
% | -63.4 |
% | -69.2 |
% | -74.5 |
% | -79.1 |
% | ||||||||||||||||||||||||||||||||
10% |
-20 |
% | -17.4 |
% | -18.0 |
% | -19.8 |
% | -22.7 |
% | -26.7 |
% | -31.5 |
% | -36.9 |
% | -42.8 |
% | -48.9 |
% | -55.0 |
% | -61.0 |
% | -66.7 |
% | -71.9 |
% | -76.7 |
% | -81.0 |
% | ||||||||||||||||||||||||||||||||
15% |
-30 |
% | -24.4 |
% | -25.0 |
% | -26.6 |
% | -29.3 |
% | -32.9 |
% | -37.3 |
% | -42.3 |
% | -47.6 |
% | -53.2 |
% | -58.8 |
% | -64.3 |
% | -69.5 |
% | -74.3 |
% | -78.7 |
% | -82.6 |
% | ||||||||||||||||||||||||||||||||
20% |
-40 |
% | -30.6 |
% | -31.1 |
% | -32.6 |
% | -35.1 |
% | -38.4 |
% | -42.4 |
% | -47.0 |
% | -51.9 |
% | -57.0 |
% | -62.2 |
% | -67.2 |
% | -72.0 |
% | -76.4 |
% | -80.4 |
% | -84.0 |
% | ||||||||||||||||||||||||||||||||
25% |
-50 |
% | -36.0 |
% | -36.5 |
% | -37.9 |
% | -40.2 |
% | -43.2 |
% | -46.9 |
% | -51.1 |
% | -55.7 |
% | -60.4 |
% | -65.1 |
% | -69.8 |
% | -74.2 |
% | -78.3 |
% | -82.0 |
% | -85.3 |
% | ||||||||||||||||||||||||||||||||
30% |
-60 |
% | -40.8 |
% | -41.3 |
% | -42.6 |
% | -44.7 |
% | -47.5 |
% | -50.9 |
% | -54.8 |
% | -59.0 |
% | -63.4 |
% | -67.8 |
% | -72.0 |
% | -76.1 |
% | -79.9 |
% | -83.3 |
% | -86.4 |
% | ||||||||||||||||||||||||||||||||
35% |
-70 |
% | -45.1 |
% | -45.5 |
% | -46.8 |
% | -48.7 |
% | -51.3 |
% | -54.5 |
% | -58.1 |
% | -62.0 |
% | -66.0 |
% | -70.1 |
% | -74.1 |
% | -77.9 |
% | -81.4 |
% | -84.6 |
% | -87.4 |
% | ||||||||||||||||||||||||||||||||
40% |
-80 |
% | -49.0 |
% | -49.4 |
% | -50.5 |
% | -52.3 |
% | -54.7 |
% | -57.7 |
% | -61.1 |
% | -64.7 |
% | -68.4 |
% | -72.2 |
% | -75.9 |
% | -79.4 |
% | -82.7 |
% | -85.6 |
% | -88.3 |
% | ||||||||||||||||||||||||||||||||
45% |
-90 |
% | -52.4 |
% | -52.8 |
% | -53.8 |
% | -55.5 |
% | -57.8 |
% | -60.6 |
% | -63.7 |
% | -67.1 |
% | -70.6 |
% | -74.1 |
% | -77.5 |
% | -80.8 |
% | -83.8 |
% | -86.6 |
% | -89.1 |
% | ||||||||||||||||||||||||||||||||
50% |
-100 |
% | -55.6 |
% | -55.9 |
% | -56.9 |
% | -58.5 |
% | -60.6 |
% | -63.2 |
% | -66.1 |
% | -69.2 |
% | -72.5 |
% | -75.8 |
% | -79.0 |
% | -82.1 |
% | -84.9 |
% | -87.5 |
% | -89.8 |
% | ||||||||||||||||||||||||||||||||
55% |
-110 |
% | -58.4 |
% | -58.7 |
% | -59.6 |
% | -61.1 |
% | -63.1 |
% | -65.5 |
% | -68.2 |
% | -71.2 |
% | -74.2 |
% | -77.3 |
% | -80.3 |
% | -83.2 |
% | -85.9 |
% | -88.3 |
% | -90.4 |
% | ||||||||||||||||||||||||||||||||
60% |
-120 |
% | -60.9 |
% | -61.2 |
% | -62.1 |
% | -63.5 |
% | -65.4 |
% | -67.6 |
% | -70.2 |
% | -73.0 |
% | -75.8 |
% | -78.7 |
% | -81.5 |
% | -84.2 |
% | -86.7 |
% | -89.0 |
% | -91.0 |
% |
Benchmark Volatility |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance |
Three Times Inverse (-3x) One Year Benchmark Performance |
0% |
5% |
10% |
15% |
20% |
25% |
30% |
35% |
40% |
45% |
50% |
55% |
60% |
65% |
70% |
||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
180 |
% | 1462.5 |
% | 1439.2 |
% | 1371.5 |
% | 1265.2 |
% | 1129.1 |
% | 973.9 |
% | 810.5 |
% | 649.2 |
% | 498.3 |
% | 363.6 |
% | 248.6 |
% | 154.4 |
% | 80.2 |
% | 23.8 |
% | -17.4 |
% | ||||||||||||||||||||||||||||||||
-55% |
165 |
% | 997.4 |
% | 981.1 |
% | 933.5 |
% | 858.8 |
% | 763.2 |
% | 654.2 |
% | 539.5 |
% | 426.2 |
% | 320.2 |
% | 225.6 |
% | 144.9 |
% | 78.7 |
% | 26.6 |
% | -13.0 |
% | -42.0 |
% | ||||||||||||||||||||||||||||||||
-50% |
150 |
% | 700.0 |
% | 688.1 |
% | 653.4 |
% | 599.0 |
% | 529.3 |
% | 449.8 |
% | 366.2 |
% | 283.6 |
% | 206.3 |
% | 137.4 |
% | 78.5 |
% | 30.3 |
% | -7.7 |
% | -36.6 |
% | -57.7 |
% | ||||||||||||||||||||||||||||||||
-45% |
135 |
% | 501.1 |
% | 492.1 |
% | 466.0 |
% | 425.1 |
% | 372.8 |
% | 313.1 |
% | 250.3 |
% | 188.2 |
% | 130.1 |
% | 78.3 |
% | 34.1 |
% | -2.1 |
% | -30.7 |
% | -52.4 |
% | -68.2 |
% | ||||||||||||||||||||||||||||||||
-40% |
120 |
% | 363.0 |
% | 356.1 |
% | 336.0 |
% | 304.5 |
% | 264.2 |
% | 218.2 |
% | 169.8 |
% | 122.0 |
% | 77.3 |
% | 37.4 |
% | 3.3 |
% | -24.6 |
% | -46.6 |
% | -63.3 |
% | -75.5 |
% | ||||||||||||||||||||||||||||||||
-35% |
105 |
% | 264.1 |
% | 258.7 |
% | 242.9 |
% | 218.1 |
% | 186.4 |
% | 150.3 |
% | 112.2 |
% | 74.6 |
% | 39.4 |
% | 8.0 |
% | -18.8 |
% | -40.7 |
% | -58.0 |
% | -71.1 |
% | -80.7 |
% | ||||||||||||||||||||||||||||||||
-30% |
90 |
% | 191.5 |
% | 187.2 |
% | 174.6 |
% | 154.7 |
% | 129.3 |
% | 100.4 |
% | 69.9 |
% | 39.8 |
% | 11.6 |
% | -13.5 |
% | -34.9 |
% | -52.5 |
% | -66.4 |
% | -76.9 |
% | -84.6 |
% | ||||||||||||||||||||||||||||||||
-25% |
75 |
% | 137.0 |
% | 133.5 |
% | 123.2 |
% | 107.1 |
% | 86.5 |
% | 62.9 |
% | 38.1 |
% | 13.7 |
% | -9.2 |
% | -29.7 |
% | -47.1 |
% | -61.4 |
% | -72.7 |
% | -81.2 |
% | -87.5 |
% | ||||||||||||||||||||||||||||||||
-20% |
60 |
% | 95.3 |
% | 92.4 |
% | 83.9 |
% | 70.6 |
% | 53.6 |
% | 34.2 |
% | 13.8 |
% | -6.3 |
% | -25.2 |
% | -42.0 |
% | -56.4 |
% | -68.2 |
% | -77.5 |
% | -84.5 |
% | -89.7 |
% | ||||||||||||||||||||||||||||||||
-15% |
45 |
% | 62.8 |
% | 60.4 |
% | 53.4 |
% | 42.3 |
% | 28.1 |
% | 11.9 |
% | -5.1 |
% | -21.9 |
% | -37.7 |
% | -51.7 |
% | -63.7 |
% | -73.5 |
% | -81.2 |
% | -87.1 |
% | -91.4 |
% | ||||||||||||||||||||||||||||||||
-10% |
30 |
% | 37.2 |
% | 35.1 |
% | 29.2 |
% | 19.9 |
% | 7.9 |
% | -5.7 |
% | -20.1 |
% | -34.2 |
% | -47.5 |
% | -59.3 |
% | -69.4 |
% | -77.7 |
% | -84.2 |
% | -89.1 |
% | -92.7 |
% | ||||||||||||||||||||||||||||||||
-5% |
15 |
% | 16.6 |
% | 14.9 |
% | 9.8 |
% | 1.9 |
% | -8.3 |
% | -19.8 |
% | -32.0 |
% | -44.1 |
% | -55.3 |
% | -65.4 |
% | -74.0 |
% | -81.0 |
% | -86.5 |
% | -90.8 |
% | -93.8 |
% | ||||||||||||||||||||||||||||||||
0% |
0 |
% | 0.0 |
% | -1.5 |
% | -5.8 |
% | -12.6 |
% | -21.3 |
% | -31.3 |
% | -41.7 |
% | -52.0 |
% | -61.7 |
% | -70.3 |
% | -77.7 |
% | -83.7 |
% | -88.5 |
% | -92.1 |
% | -94.7 |
% | ||||||||||||||||||||||||||||||||
5% |
-15 |
% | -13.6 |
% | -14.9 |
% | -18.6 |
% | -24.5 |
% | -32.0 |
% | -40.6 |
% | -49.7 |
% | -58.6 |
% | -66.9 |
% | -74.4 |
% | -80.7 |
% | -85.9 |
% | -90.0 |
% | -93.2 |
% | -95.4 |
% | ||||||||||||||||||||||||||||||||
10% |
-30 |
% | -24.9 |
% | -26.0 |
% | -29.2 |
% | -34.4 |
% | -40.9 |
% | -48.4 |
% | -56.2 |
% | -64.0 |
% | -71.2 |
% | -77.7 |
% | -83.2 |
% | -87.8 |
% | -91.3 |
% | -94.0 |
% | -96.0 |
% | ||||||||||||||||||||||||||||||||
15% |
-45 |
% | -34.2 |
% | -35.2 |
% | -38.1 |
% | -42.6 |
% | -48.3 |
% | -54.8 |
% | -61.7 |
% | -68.5 |
% | -74.8 |
% | -80.5 |
% | -85.3 |
% | -89.3 |
% | -92.4 |
% | -94.8 |
% | -96.5 |
% | ||||||||||||||||||||||||||||||||
20% |
-60 |
% | -42.1 |
% | -43.0 |
% | -45.5 |
% | -49.4 |
% | -54.5 |
% | -60.2 |
% | -66.3 |
% | -72.3 |
% | -77.8 |
% | -82.8 |
% | -87.1 |
% | -90.6 |
% | -93.3 |
% | -95.4 |
% | -96.9 |
% | ||||||||||||||||||||||||||||||||
25% |
-75 |
% | -48.8 |
% | -49.6 |
% | -51.8 |
% | -55.3 |
% | -59.7 |
% | -64.8 |
% | -70.2 |
% | -75.4 |
% | -80.4 |
% | -84.8 |
% | -88.6 |
% | -91.7 |
% | -94.1 |
% | -95.9 |
% | -97.3 |
% | ||||||||||||||||||||||||||||||||
30% |
-90 |
% | -54.5 |
% | -55.2 |
% | -57.1 |
% | -60.2 |
% | -64.2 |
% | -68.7 |
% | -73.5 |
% | -78.2 |
% | -82.6 |
% | -86.5 |
% | -89.8 |
% | -92.6 |
% | -94.8 |
% | -96.4 |
% | -97.6 |
% | ||||||||||||||||||||||||||||||||
35% |
-105 |
% | -59.4 |
% | -60.0 |
% | -61.7 |
% | -64.5 |
% | -68.0 |
% | -72.1 |
% | -76.3 |
% | -80.5 |
% | -84.4 |
% | -87.9 |
% | -90.9 |
% | -93.4 |
% | -95.3 |
% | -96.8 |
% | -97.9 |
% | ||||||||||||||||||||||||||||||||
40% |
-120 |
% | -63.6 |
% | -64.1 |
% | -65.7 |
% | -68.2 |
% | -71.3 |
% | -75.0 |
% | -78.8 |
% | -82.5 |
% | -86.0 |
% | -89.2 |
% | -91.9 |
% | -94.1 |
% | -95.8 |
% | -97.1 |
% | -98.1 |
% | ||||||||||||||||||||||||||||||||
45% |
-135 |
% | -67.2 |
% | -67.7 |
% | -69.1 |
% | -71.3 |
% | -74.2 |
% | -77.5 |
% | -80.9 |
% | -84.3 |
% | -87.4 |
% | -90.3 |
% | -92.7 |
% | -94.7 |
% | -96.2 |
% | -97.4 |
% | -98.3 |
% | ||||||||||||||||||||||||||||||||
50% |
-150 |
% | -70.4 |
% | -70.8 |
% | -72.1 |
% | -74.1 |
% | -76.7 |
% | -79.6 |
% | -82.7 |
% | -85.8 |
% | -88.7 |
% | -91.2 |
% | -93.4 |
% | -95.2 |
% | -96.6 |
% | -97.7 |
% | -98.4 |
% | ||||||||||||||||||||||||||||||||
55% |
-165 |
% | -73.1 |
% | -73.5 |
% | -74.7 |
% | -76.5 |
% | -78.9 |
% | -81.5 |
% | -84.4 |
% | -87.1 |
% | -89.7 |
% | -92.0 |
% | -94.0 |
% | -95.6 |
% | -96.9 |
% | -97.9 |
% | -98.6 |
% | ||||||||||||||||||||||||||||||||
60% |
-180 |
% | -75.6 |
% | -75.9 |
% | -77.0 |
% | -78.7 |
% | -80.8 |
% | -83.2 |
% | -85.8 |
% | -88.3 |
% | -90.7 |
% | -92.8 |
% | -94.6 |
% | -96.0 |
% | -97.2 |
% | -98.1 |
% | -98.7 |
% |
Index Volatility |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Index Performance |
One and One-Half Times (1.5x) One Year Index Performance |
0% |
5% |
10% |
15% |
20% |
25% |
30% |
35% |
40% |
45% |
50% |
55% |
60% |
65% |
70% |
75% |
|||||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
-90.0 |
% | -74.7 |
% | -74.7 |
% | -74.8 |
% | -74.9 |
% | -75.1 |
% | -75.3 |
% | -75.5 |
% | -75.8 |
% | -76.2 |
% | -76.6 |
% | -77.0 |
% | -77.4 |
% | -77.9 |
% | -78.4 |
% | -78.9 |
% | -79.5 |
% | ||||||||||||||||||||||||||||||||||
-55% |
-82.5 |
% | -69.8 |
% | -69.8 |
% | -69.9 |
% | -70.1 |
% | -70.3 |
% | -70.5 |
% | -70.8 |
% | -71.2 |
% | -71.6 |
% | -72.0 |
% | -72.5 |
% | -73.1 |
% | -73.6 |
% | -74.2 |
% | -74.9 |
% | -75.6 |
% | ||||||||||||||||||||||||||||||||||
-50% |
-75.0 |
% | -64.6 |
% | -64.7 |
% | -64.8 |
% | -64.9 |
% | -65.2 |
% | -65.5 |
% | -65.8 |
% | -66.2 |
% | -66.7 |
% | -67.2 |
% | -67.8 |
% | -68.4 |
% | -69.1 |
% | -69.8 |
% | -70.6 |
% | -71.4 |
% | ||||||||||||||||||||||||||||||||||
-45% |
-67.5 |
% | -59.2 |
% | -59.2 |
% | -59.4 |
% | -59.6 |
% | -59.8 |
% | -60.2 |
% | -60.6 |
% | -61.0 |
% | -61.6 |
% | -62.2 |
% | -62.9 |
% | -63.6 |
% | -64.4 |
% | -65.2 |
% | -66.1 |
% | -67.0 |
% | ||||||||||||||||||||||||||||||||||
-40% |
-60.0 |
% | -53.5 |
% | -53.6 |
% | -53.7 |
% | -53.9 |
% | -54.2 |
% | -54.6 |
% | -55.1 |
% | -55.6 |
% | -56.2 |
% | -56.9 |
% | -57.7 |
% | -58.5 |
% | -59.4 |
% | -60.3 |
% | -61.3 |
% | -62.4 |
% | ||||||||||||||||||||||||||||||||||
-35% |
-52.5 |
% | -47.6 |
% | -47.6 |
% | -47.8 |
% | -48.0 |
% | -48.4 |
% | -48.8 |
% | -49.3 |
% | -49.9 |
% | -50.6 |
% | -51.4 |
% | -52.3 |
% | -53.2 |
% | -54.2 |
% | -55.3 |
% | -56.4 |
% | -57.6 |
% | ||||||||||||||||||||||||||||||||||
-30% |
-45.0 |
% | -41.4 |
% | -41.5 |
% | -41.7 |
% | -41.9 |
% | -42.3 |
% | -42.8 |
% | -43.4 |
% | -44.1 |
% | -44.8 |
% | -45.7 |
% | -46.7 |
% | -47.7 |
% | -48.8 |
% | -50.0 |
% | -51.3 |
% | -52.6 |
% | ||||||||||||||||||||||||||||||||||
-25% |
-37.5 |
% | -35.0 |
% | -35.1 |
% | -35.3 |
% | -35.6 |
% | -36.0 |
% | -36.6 |
% | -37.2 |
% | -38.0 |
% | -38.8 |
% | -39.8 |
% | -40.9 |
% | -42.0 |
% | -43.3 |
% | -44.6 |
% | -46.0 |
% | -47.4 |
% | ||||||||||||||||||||||||||||||||||
-20% |
-30.0 |
% | -28.4 |
% | -28.5 |
% | -28.7 |
% | -29.0 |
% | -29.5 |
% | -30.1 |
% | -30.8 |
% | -31.7 |
% | -32.6 |
% | -33.7 |
% | -34.8 |
% | -36.1 |
% | -37.5 |
% | -38.9 |
% | -40.5 |
% | -42.1 |
% | ||||||||||||||||||||||||||||||||||
-15% |
-22.5 |
% | -21.6 |
% | -21.7 |
% | -21.9 |
% | -22.3 |
% | -22.8 |
% | -23.4 |
% | -24.2 |
% | -25.2 |
% | -26.2 |
% | -27.4 |
% | -28.6 |
% | -30.0 |
% | -31.5 |
% | -33.1 |
% | -34.8 |
% | -36.5 |
% | ||||||||||||||||||||||||||||||||||
-10% |
-15.0 |
% | -14.6 |
% | -14.7 |
% | -14.9 |
% | -15.3 |
% | -15.9 |
% | -16.6 |
% | -17.5 |
% | -18.5 |
% | -19.6 |
% | -20.9 |
% | -22.3 |
% | -23.8 |
% | -25.4 |
% | -27.1 |
% | -29.0 |
% | -30.9 |
% | ||||||||||||||||||||||||||||||||||
-5% |
-7.5 |
% | -7.4 |
% | -7.5 |
% | -7.8 |
% | -8.2 |
% | -8.8 |
% | -9.6 |
% | -10.5 |
% | -11.6 |
% | -12.8 |
% | -14.2 |
% | -15.7 |
% | -17.3 |
% | -19.1 |
% | -21.0 |
% | -22.9 |
% | -25.0 |
% | ||||||||||||||||||||||||||||||||||
0% |
0.0 |
% | 0.0 |
% | -0.1 |
% | -0.4 |
% | -0.8 |
% | -1.5 |
% | -2.3 |
% | -3.3 |
% | -4.5 |
% | -5.8 |
% | -7.3 |
% | -8.9 |
% | -10.7 |
% | -12.6 |
% | -14.7 |
% | -16.8 |
% | -19.0 |
% | ||||||||||||||||||||||||||||||||||
5% |
7.5 |
% | 7.6 |
% | 7.5 |
% | 7.2 |
% | 6.7 |
% | 6.0 |
% | 5.1 |
% | 4.0 |
% | 2.8 |
% | 1.3 |
% | -0.3 |
% | -2.0 |
% | -3.9 |
% | -6.0 |
% | -8.2 |
% | -10.5 |
% | -12.9 |
% | ||||||||||||||||||||||||||||||||||
10% |
15.0 |
% | 15.4 |
% | 15.3 |
% | 14.9 |
% | 14.4 |
% | 13.7 |
% | 12.7 |
% | 11.5 |
% | 10.2 |
% | 8.7 |
% | 6.9 |
% | 5.0 |
% | 3.0 |
% | 0.8 |
% | -1.5 |
% | -4.0 |
% | -6.6 |
% | ||||||||||||||||||||||||||||||||||
15% |
22.5 |
% | 23.3 |
% | 23.2 |
% | 22.9 |
% | 22.3 |
% | 21.5 |
% | 20.5 |
% | 19.2 |
% | 17.8 |
% | 16.1 |
% | 14.3 |
% | 12.3 |
% | 10.1 |
% | 7.7 |
% | 5.3 |
% | 2.6 |
% | -0.1 |
% | ||||||||||||||||||||||||||||||||||
20% |
30.0 |
% | 31.5 |
% | 31.3 |
% | 31.0 |
% | 30.3 |
% | 29.5 |
% | 28.4 |
% | 27.1 |
% | 25.6 |
% | 23.8 |
% | 21.8 |
% | 19.7 |
% | 17.4 |
% | 14.9 |
% | 12.2 |
% | 9.4 |
% | 6.5 |
% | ||||||||||||||||||||||||||||||||||
25% |
37.5 |
% | 39.8 |
% | 39.6 |
% | 39.2 |
% | 38.6 |
% | 37.7 |
% | 36.5 |
% | 35.1 |
% | 33.5 |
% | 31.6 |
% | 29.5 |
% | 27.2 |
% | 24.8 |
% | 22.1 |
% | 19.3 |
% | 16.3 |
% | 13.2 |
% | ||||||||||||||||||||||||||||||||||
30% |
45.0 |
% | 48.2 |
% | 48.1 |
% | 47.7 |
% | 47.0 |
% | 46.0 |
% | 44.8 |
% | 43.3 |
% | 41.6 |
% | 39.6 |
% | 37.4 |
% | 35.0 |
% | 32.3 |
% | 29.5 |
% | 26.5 |
% | 23.3 |
% | 20.0 |
% | ||||||||||||||||||||||||||||||||||
35% |
52.5 |
% | 56.9 |
% | 56.7 |
% | 56.3 |
% | 55.5 |
% | 54.5 |
% | 53.2 |
% | 51.7 |
% | 49.8 |
% | 47.7 |
% | 45.4 |
% | 42.8 |
% | 40.0 |
% | 37.0 |
% | 33.9 |
% | 30.5 |
% | 27.0 |
% | ||||||||||||||||||||||||||||||||||
40% |
60.0 |
% | 65.7 |
% | 65.5 |
% | 65.0 |
% | 64.3 |
% | 63.2 |
% | 61.8 |
% | 60.2 |
% | 58.2 |
% | 56.0 |
% | 53.5 |
% | 50.8 |
% | 47.9 |
% | 44.7 |
% | 41.4 |
% | 37.8 |
% | 34.1 |
% | ||||||||||||||||||||||||||||||||||
45% |
67.5 |
% | 74.6 |
% | 74.4 |
% | 73.9 |
% | 73.1 |
% | 72.0 |
% | 70.6 |
% | 68.8 |
% | 66.8 |
% | 64.4 |
% | 61.8 |
% | 59.0 |
% | 55.9 |
% | 52.6 |
% | 49.0 |
% | 45.3 |
% | 41.4 |
% | ||||||||||||||||||||||||||||||||||
50% |
75.0 |
% | 83.7 |
% | 83.5 |
% | 83.0 |
% | 82.2 |
% | 81.0 |
% | 79.5 |
% | 77.6 |
% | 75.5 |
% | 73.0 |
% | 70.3 |
% | 67.3 |
% | 64.0 |
% | 60.5 |
% | 56.8 |
% | 52.9 |
% | 48.8 |
% | ||||||||||||||||||||||||||||||||||
55% |
82.5 |
% | 93.0 |
% | 92.8 |
% | 92.3 |
% | 91.4 |
% | 90.1 |
% | 88.5 |
% | 86.6 |
% | 84.3 |
% | 81.7 |
% | 78.9 |
% | 75.7 |
% | 72.3 |
% | 68.6 |
% | 64.7 |
% | 60.6 |
% | 56.3 |
% | ||||||||||||||||||||||||||||||||||
60% |
90.0 |
% | 102.4 |
% | 102.2 |
% | 101.6 |
% | 100.7 |
% | 99.4 |
% | 97.7 |
% | 95.7 |
% | 93.3 |
% | 90.6 |
% | 87.6 |
% | 84.3 |
% | 80.7 |
% | 76.8 |
% | 72.7 |
% | 68.4 |
% | 63.9 |
% |
Benchmark Volatility |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance |
Two Times (2x) One Year Benchmark Performance |
0% |
5% |
10% |
15% |
20% |
25% |
30% |
35% |
40% |
45% |
50% |
55% |
60% |
65% |
70% |
||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
-120 |
% | -84.0 |
% | -84.0 |
% | -84.2 |
% | -84.4 |
% | -84.6 |
% | -85.0 |
% | -85.4 |
% | -85.8 |
% | -86.4 |
% | -86.9 |
% | -87.5 |
% | -88.2 |
% | -88.8 |
% | -89.5 |
% | -90.2 |
% | ||||||||||||||||||||||||||||||||
-55% |
-110 |
% | -79.8 |
% | -79.8 |
% | -80.0 |
% | -80.2 |
% | -80.5 |
% | -81.0 |
% | -81.5 |
% | -82.1 |
% | -82.7 |
% | -83.5 |
% | -84.2 |
% | -85.0 |
% | -85.9 |
% | -86.7 |
% | -87.6 |
% | ||||||||||||||||||||||||||||||||
-50% |
-100 |
% | -75.0 |
% | -75.1 |
% | -75.2 |
% | -75.6 |
% | -76.0 |
% | -76.5 |
% | -77.2 |
% | -77.9 |
% | -78.7 |
% | -79.6 |
% | -80.5 |
% | -81.5 |
% | -82.6 |
% | -83.6 |
% | -84.7 |
% | ||||||||||||||||||||||||||||||||
-45% |
-90 |
% | -69.8 |
% | -69.8 |
% | -70.1 |
% | -70.4 |
% | -70.9 |
% | -71.6 |
% | -72.4 |
% | -73.2 |
% | -74.2 |
% | -75.3 |
% | -76.4 |
% | -77.6 |
% | -78.9 |
% | -80.2 |
% | -81.5 |
% | ||||||||||||||||||||||||||||||||
-40% |
-80 |
% | -64.0 |
% | -64.1 |
% | -64.4 |
% | -64.8 |
% | -65.4 |
% | -66.2 |
% | -67.1 |
% | -68.2 |
% | -69.3 |
% | -70.6 |
% | -72.0 |
% | -73.4 |
% | -74.9 |
% | -76.4 |
% | -77.9 |
% | ||||||||||||||||||||||||||||||||
-35% |
-70 |
% | -57.8 |
% | -57.9 |
% | -58.2 |
% | -58.7 |
% | -59.4 |
% | -60.3 |
% | -61.4 |
% | -62.6 |
% | -64.0 |
% | -65.5 |
% | -67.1 |
% | -68.8 |
% | -70.5 |
% | -72.3 |
% | -74.1 |
% | ||||||||||||||||||||||||||||||||
-30% |
-60 |
% | -51.0 |
% | -51.1 |
% | -51.5 |
% | -52.1 |
% | -52.9 |
% | -54.0 |
% | -55.2 |
% | -56.6 |
% | -58.2 |
% | -60.0 |
% | -61.8 |
% | -63.8 |
% | -65.8 |
% | -67.9 |
% | -70.0 |
% | ||||||||||||||||||||||||||||||||
-25% |
-50 |
% | -43.8 |
% | -43.9 |
% | -44.3 |
% | -45.0 |
% | -46.0 |
% | -47.2 |
% | -48.6 |
% | -50.2 |
% | -52.1 |
% | -54.1 |
% | -56.2 |
% | -58.4 |
% | -60.8 |
% | -63.1 |
% | -65.5 |
% | ||||||||||||||||||||||||||||||||
-20% |
-40 |
% | -36.0 |
% | -36.2 |
% | -36.6 |
% | -37.4 |
% | -38.5 |
% | -39.9 |
% | -41.5 |
% | -43.4 |
% | -45.5 |
% | -47.7 |
% | -50.2 |
% | -52.7 |
% | -55.3 |
% | -58.1 |
% | -60.8 |
% | ||||||||||||||||||||||||||||||||
-15% |
-30 |
% | -27.8 |
% | -27.9 |
% | -28.5 |
% | -29.4 |
% | -30.6 |
% | -32.1 |
% | -34.0 |
% | -36.1 |
% | -38.4 |
% | -41.0 |
% | -43.7 |
% | -46.6 |
% | -49.6 |
% | -52.6 |
% | -55.7 |
% | ||||||||||||||||||||||||||||||||
-10% |
-20 |
% | -19.0 |
% | -19.2 |
% | -19.8 |
% | -20.8 |
% | -22.2 |
% | -23.9 |
% | -26.0 |
% | -28.3 |
% | -31.0 |
% | -33.8 |
% | -36.9 |
% | -40.1 |
% | -43.5 |
% | -46.9 |
% | -50.4 |
% | ||||||||||||||||||||||||||||||||
-5% |
-10 |
% | -9.8 |
% | -10.0 |
% | -10.6 |
% | -11.8 |
% | -13.3 |
% | -15.2 |
% | -17.5 |
% | -20.2 |
% | -23.1 |
% | -26.3 |
% | -29.7 |
% | -33.3 |
% | -37.0 |
% | -40.8 |
% | -44.7 |
% | ||||||||||||||||||||||||||||||||
0% |
0 |
% | 0.0 |
% | -0.2 |
% | -1.0 |
% | -2.2 |
% | -3.9 |
% | -6.1 |
% | -8.6 |
% | -11.5 |
% | -14.8 |
% | -18.3 |
% | -22.1 |
% | -26.1 |
% | -30.2 |
% | -34.5 |
% | -38.7 |
% | ||||||||||||||||||||||||||||||||
5% |
10 |
% | 10.3 |
% | 10.0 |
% | 9.2 |
% | 7.8 |
% | 5.9 |
% | 3.6 |
% | 0.8 |
% | -2.5 |
% | -6.1 |
% | -10.0 |
% | -14.1 |
% | -18.5 |
% | -23.1 |
% | -27.7 |
% | -32.5 |
% | ||||||||||||||||||||||||||||||||
10% |
20 |
% | 21.0 |
% | 20.7 |
% | 19.8 |
% | 18.3 |
% | 16.3 |
% | 13.7 |
% | 10.6 |
% | 7.0 |
% | 3.1 |
% | -1.2 |
% | -5.8 |
% | -10.6 |
% | -15.6 |
% | -20.7 |
% | -25.9 |
% | ||||||||||||||||||||||||||||||||
15% |
30 |
% | 32.3 |
% | 31.9 |
% | 30.9 |
% | 29.3 |
% | 27.1 |
% | 24.2 |
% | 20.9 |
% | 17.0 |
% | 12.7 |
% | 8.0 |
% | 3.0 |
% | -2.3 |
% | -7.7 |
% | -13.3 |
% | -19.0 |
% | ||||||||||||||||||||||||||||||||
20% |
40 |
% | 44.0 |
% | 43.6 |
% | 42.6 |
% | 40.8 |
% | 38.4 |
% | 35.3 |
% | 31.6 |
% | 27.4 |
% | 22.7 |
% | 17.6 |
% | 12.1 |
% | 6.4 |
% | 0.5 |
% | -5.6 |
% | -11.8 |
% | ||||||||||||||||||||||||||||||||
25% |
50 |
% | 56.3 |
% | 55.9 |
% | 54.7 |
% | 52.8 |
% | 50.1 |
% | 46.8 |
% | 42.8 |
% | 38.2 |
% | 33.1 |
% | 27.6 |
% | 21.7 |
% | 15.5 |
% | 9.0 |
% | 2.4 |
% | -4.3 |
% | ||||||||||||||||||||||||||||||||
30% |
60 |
% | 69.0 |
% | 68.6 |
% | 67.3 |
% | 65.2 |
% | 62.4 |
% | 58.8 |
% | 54.5 |
% | 49.5 |
% | 44.0 |
% | 38.0 |
% | 31.6 |
% | 24.9 |
% | 17.9 |
% | 10.8 |
% | 3.5 |
% | ||||||||||||||||||||||||||||||||
35% |
70 |
% | 82.3 |
% | 81.8 |
% | 80.4 |
% | 78.2 |
% | 75.1 |
% | 71.2 |
% | 66.6 |
% | 61.2 |
% | 55.3 |
% | 48.8 |
% | 41.9 |
% | 34.7 |
% | 27.2 |
% | 19.4 |
% | 11.7 |
% | ||||||||||||||||||||||||||||||||
40% |
80 |
% | 96.0 |
% | 95.5 |
% | 94.0 |
% | 91.6 |
% | 88.3 |
% | 84.1 |
% | 79.1 |
% | 73.4 |
% | 67.0 |
% | 60.1 |
% | 52.6 |
% | 44.8 |
% | 36.7 |
% | 28.5 |
% | 20.1 |
% | ||||||||||||||||||||||||||||||||
45% |
90 |
% | 110.3 |
% | 109.7 |
% | 108.2 |
% | 105.6 |
% | 102.0 |
% | 97.5 |
% | 92.2 |
% | 86.0 |
% | 79.2 |
% | 71.7 |
% | 63.7 |
% | 55.4 |
% | 46.7 |
% | 37.8 |
% | 28.8 |
% | ||||||||||||||||||||||||||||||||
50% |
100 |
% | 125.0 |
% | 124.4 |
% | 122.8 |
% | 120.0 |
% | 116.2 |
% | 111.4 |
% | 105.6 |
% | 99.1 |
% | 91.7 |
% | 83.8 |
% | 75.2 |
% | 66.3 |
% | 57.0 |
% | 47.5 |
% | 37.8 |
% | ||||||||||||||||||||||||||||||||
55% |
110 |
% | 140.3 |
% | 139.7 |
% | 137.9 |
% | 134.9 |
% | 130.8 |
% | 125.7 |
% | 119.6 |
% | 112.6 |
% | 104.7 |
% | 96.2 |
% | 87.1 |
% | 77.5 |
% | 67.6 |
% | 57.5 |
% | 47.2 |
% | ||||||||||||||||||||||||||||||||
60% |
120 |
% | 156.0 |
% | 155.4 |
% | 153.5 |
% | 150.3 |
% | 146.0 |
% | 140.5 |
% | 134.0 |
% | 126.5 |
% | 118.1 |
% | 109.1 |
% | 99.4 |
% | 89.2 |
% | 78.6 |
% | 67.8 |
% | 56.8 |
% |
Benchmark Volatility |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance |
Three Times (3x) One Year Benchmark Performance |
0% |
5% |
10% |
15% |
20% |
25% |
30% |
35% |
40% |
45% |
50% |
55% |
60% |
65% |
70% |
||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
-180 |
% | -93.6 |
% | -93.6 |
% | -93.8 |
% | -94.0 |
% | -94.3 |
% | -94.7 |
% | -95.1 |
% | -95.6 |
% | -96.0 |
% | -96.5 |
% | -97.0 |
% | -97.4 |
% | -97.8 |
% | -98.2 |
% | -98.5 |
% | ||||||||||||||||||||||||||||||||
-55% |
-165 |
% | -90.9 |
% | -91.0 |
% | -91.2 |
% | -91.5 |
% | -91.9 |
% | -92.4 |
% | -93.0 |
% | -93.7 |
% | -94.4 |
% | -95.0 |
% | -95.7 |
% | -96.3 |
% | -96.9 |
% | -97.4 |
% | -97.9 |
% | ||||||||||||||||||||||||||||||||
-50% |
-150 |
% | -87.5 |
% | -87.6 |
% | -87.9 |
% | -88.3 |
% | -88.9 |
% | -89.6 |
% | -90.5 |
% | -91.3 |
% | -92.3 |
% | -93.2 |
% | -94.1 |
% | -95.0 |
% | -95.8 |
% | -96.5 |
% | -97.1 |
% | ||||||||||||||||||||||||||||||||
-45% |
-135 |
% | -83.4 |
% | -83.5 |
% | -83.9 |
% | -84.4 |
% | -85.2 |
% | -86.2 |
% | -87.3 |
% | -88.5 |
% | -89.7 |
% | -90.9 |
% | -92.1 |
% | -93.3 |
% | -94.3 |
% | -95.3 |
% | -96.2 |
% | ||||||||||||||||||||||||||||||||
-40% |
-120 |
% | -78.4 |
% | -78.6 |
% | -79.0 |
% | -79.8 |
% | -80.8 |
% | -82.1 |
% | -83.5 |
% | -85.0 |
% | -86.6 |
% | -88.2 |
% | -89.8 |
% | -91.3 |
% | -92.7 |
% | -93.9 |
% | -95.0 |
% | ||||||||||||||||||||||||||||||||
-35% |
-105 |
% | -72.5 |
% | -72.7 |
% | -73.3 |
% | -74.3 |
% | -75.6 |
% | -77.2 |
% | -79.0 |
% | -81.0 |
% | -83.0 |
% | -85.0 |
% | -87.0 |
% | -88.9 |
% | -90.7 |
% | -92.3 |
% | -93.7 |
% | ||||||||||||||||||||||||||||||||
-30% |
-90 |
% | -65.7 |
% | -66.0 |
% | -66.7 |
% | -67.9 |
% | -69.6 |
% | -71.6 |
% | -73.8 |
% | -76.2 |
% | -78.8 |
% | -81.3 |
% | -83.8 |
% | -86.2 |
% | -88.4 |
% | -90.3 |
% | -92.1 |
% | ||||||||||||||||||||||||||||||||
-25% |
-75 |
% | -57.8 |
% | -58.1 |
% | -59.1 |
% | -60.6 |
% | -62.6 |
% | -65.0 |
% | -67.8 |
% | -70.8 |
% | -73.9 |
% | -77.0 |
% | -80.1 |
% | -83.0 |
% | -85.7 |
% | -88.1 |
% | -90.3 |
% | ||||||||||||||||||||||||||||||||
-20% |
-60 |
% | -48.8 |
% | -49.2 |
% | -50.3 |
% | -52.1 |
% | -54.6 |
% | -57.6 |
% | -60.9 |
% | -64.5 |
% | -68.3 |
% | -72.1 |
% | -75.8 |
% | -79.3 |
% | -82.6 |
% | -85.6 |
% | -88.2 |
% | ||||||||||||||||||||||||||||||||
-15% |
-45 |
% | -38.6 |
% | -39.0 |
% | -40.4 |
% | -42.6 |
% | -45.5 |
% | -49.1 |
% | -53.1 |
% | -57.5 |
% | -62.0 |
% | -66.5 |
% | -71.0 |
% | -75.2 |
% | -79.1 |
% | -82.7 |
% | -85.9 |
% | ||||||||||||||||||||||||||||||||
-10% |
-30 |
% | -27.1 |
% | -27.6 |
% | -29.3 |
% | -31.9 |
% | -35.3 |
% | -39.6 |
% | -44.3 |
% | -49.5 |
% | -54.9 |
% | -60.3 |
% | -65.6 |
% | -70.6 |
% | -75.2 |
% | -79.5 |
% | -83.2 |
% | ||||||||||||||||||||||||||||||||
-5% |
-15 |
% | -14.3 |
% | -14.9 |
% | -16.8 |
% | -19.9 |
% | -24.0 |
% | -28.9 |
% | -34.5 |
% | -40.6 |
% | -46.9 |
% | -53.3 |
% | -59.5 |
% | -65.4 |
% | -70.9 |
% | -75.9 |
% | -80.3 |
% | ||||||||||||||||||||||||||||||||
0% |
0 |
% | 0.0 |
% | -0.7 |
% | -3.0 |
% | -6.5 |
% | -11.3 |
% | -17.1 |
% | -23.7 |
% | -30.8 |
% | -38.1 |
% | -45.5 |
% | -52.8 |
% | -59.6 |
% | -66.0 |
% | -71.8 |
% | -77.0 |
% | ||||||||||||||||||||||||||||||||
5% |
15 |
% | 15.8 |
% | 14.9 |
% | 12.3 |
% | 8.2 |
% | 2.7 |
% | -4.0 |
% | -11.6 |
% | -19.8 |
% | -28.4 |
% | -36.9 |
% | -45.3 |
% | -53.3 |
% | -60.7 |
% | -67.4 |
% | -73.4 |
% | ||||||||||||||||||||||||||||||||
10% |
30 |
% | 33.1 |
% | 32.1 |
% | 29.2 |
% | 24.4 |
% | 18.0 |
% | 10.3 |
% | 1.6 |
% | -7.8 |
% | -17.6 |
% | -27.5 |
% | -37.1 |
% | -46.3 |
% | -54.8 |
% | -62.5 |
% | -69.4 |
% | ||||||||||||||||||||||||||||||||
15% |
45 |
% | 52.1 |
% | 51.0 |
% | 47.6 |
% | 42.2 |
% | 34.9 |
% | 26.1 |
% | 16.1 |
% | 5.3 |
% | -5.9 |
% | -17.2 |
% | -28.2 |
% | -38.6 |
% | -48.4 |
% | -57.2 |
% | -65.0 |
% | ||||||||||||||||||||||||||||||||
20% |
60 |
% | 72.8 |
% | 71.5 |
% | 67.7 |
% | 61.5 |
% | 53.3 |
% | 43.3 |
% | 31.9 |
% | 19.7 |
% | 6.9 |
% | -5.9 |
% | -18.4 |
% | -30.3 |
% | -41.3 |
% | -51.4 |
% | -60.3 |
% | ||||||||||||||||||||||||||||||||
25% |
75 |
% | 95.3 |
% | 93.9 |
% | 89.5 |
% | 82.6 |
% | 73.2 |
% | 61.9 |
% | 49.1 |
% | 35.2 |
% | 20.9 |
% | 6.4 |
% | -7.7 |
% | -21.2 |
% | -33.7 |
% | -45.0 |
% | -55.1 |
% | ||||||||||||||||||||||||||||||||
30% |
90 |
% | 119.7 |
% | 118.1 |
% | 113.2 |
% | 105.4 |
% | 94.9 |
% | 82.1 |
% | 67.7 |
% | 52.1 |
% | 35.9 |
% | 19.7 |
% | 3.8 |
% | -11.3 |
% | -25.4 |
% | -38.1 |
% | -49.5 |
% | ||||||||||||||||||||||||||||||||
35% |
105 |
% | 146.0 |
% | 144.2 |
% | 138.8 |
% | 130.0 |
% | 118.2 |
% | 104.0 |
% | 87.8 |
% | 70.4 |
% | 52.2 |
% | 34.0 |
% | 16.2 |
% | -0.7 |
% | -16.4 |
% | -30.7 |
% | -43.4 |
% | ||||||||||||||||||||||||||||||||
40% |
120 |
% | 174.4 |
% | 172.3 |
% | 166.3 |
% | 156.5 |
% | 143.4 |
% | 127.5 |
% | 109.5 |
% | 90.0 |
% | 69.8 |
% | 49.5 |
% | 29.6 |
% | 10.7 |
% | -6.8 |
% | -22.7 |
% | -36.9 |
% | ||||||||||||||||||||||||||||||||
45% |
135 |
% | 204.9 |
% | 202.6 |
% | 195.9 |
% | 185.0 |
% | 170.4 |
% | 152.7 |
% | 132.7 |
% | 111.1 |
% | 88.6 |
% | 66.1 |
% | 44.0 |
% | 23.0 |
% | 3.5 |
% | -14.2 |
% | -29.9 |
% | ||||||||||||||||||||||||||||||||
50% |
150 |
% | 237.5 |
% | 235.0 |
% | 227.5 |
% | 215.5 |
% | 199.3 |
% | 179.8 |
% | 157.6 |
% | 133.7 |
% | 108.8 |
% | 83.8 |
% | 59.4 |
% | 36.2 |
% | 14.6 |
% | -5.0 |
% | -22.4 |
% | ||||||||||||||||||||||||||||||||
55% |
165 |
% | 272.4 |
% | 269.6 |
% | 261.4 |
% | 248.1 |
% | 230.3 |
% | 208.7 |
% | 184.3 |
% | 157.9 |
% | 130.4 |
% | 102.8 |
% | 75.9 |
% | 50.3 |
% | 26.5 |
% | 4.8 |
% | -14.4 |
% | ||||||||||||||||||||||||||||||||
60% |
180 |
% | 309.6 |
% | 306.5 |
% | 297.5 |
% | 282.9 |
% | 263.3 |
% | 239.6 |
% | 212.7 |
% | 183.6 |
% | 153.5 |
% | 123.1 |
% | 93.5 |
% | 65.3 |
% | 39.1 |
% | 15.3 |
% | -5.8 |
% |
• | Significant increases or decreases in the available supply of a physical commodity due to natural or technological factors. Natural factors would include depletion of known cost-effective sources for natural gas, silver, gold or oil or the impact of severe weather or other natural events on the ability to produce or distribute the commodity. Technological factors, such as increases in availability created by new or improved extraction, refining and processing equipment and methods or decreases caused by failure or unavailability of major refining and processing equipment (for example, shutting down or constructing natural gas processing plants), also materially influence the supply of the commodity. General economic conditions in the world or in a major region, such as population growth rates, periods of civil unrest, government austerity programs, or currency exchange rate fluctuations may affect prices of underlying commodities. |
• | In regard to the Oil Funds, the exploration and production of crude oil are uncertain processes with many risks. The cost of drilling, completing and operating wells for crude oil is often uncertain, and a number of factors can delay or prevent operations or production of crude oil, including (1) unexpected drilling conditions, (2) pressure or irregularities in formations, (3) equipment failures or repairs, (4) fires or other accidents, (5) adverse weather conditions, (6) pipeline ruptures, spills or other supply disruptions, and (7) shortages or delays in the availability of extraction or delivery equipment. |
• | Significant increases or decreases in the demand for natural gas, silver, gold or oil due to natural or technological factors. Natural factors would include such events as unusual climatological conditions impacting the demand for natural gas, silver, gold or oil. Technological factors may include such developments as substitutes or new uses for particular commodities. |
• | A significant change in the attitude of speculators and investors towards natural gas, silver, gold or oil or in the hedging activities of commodity producers. Should the speculative community take a negative or positive view towards natural gas, silver, gold or oil, or if there is an increase or decrease in the level of hedge activity of commodity producing companies, countries and/or organizations, such action could cause a change in world prices of any given commodity. |
• | Large purchases or sales of physical commodities by the official sector. Governments and large institutions have large commodities holdings or may establish major commodities positions. For example, a significant portion of the aggregate world precious metals holdings is owned by governments, central banks and related institutions. Similarly, nations with centralized or nationalized energy production organizations may control large physical quantities of certain commodities. The purchase or sale by one of these institutions in large amounts could potentially cause a change in prices for that commodity. |
• | With regard to the Oil Funds, nations with centralized or nationalized oil production and organizations such as the Organization of Petroleum Exporting Countries (OPEC) control large physical qualities of crude oil. The purchase or sale by one of these institutions in large amounts could potentially cause a change in prices for that commodity. Tension between the governments of the United States and oil exporting nations, civil unrest and sabotage, the ability of members of OPEC to agree upon and maintain oil prices and production levels, and fluctuations in the reserve capacity of crude oil could impact future oil prices. |
• | Political activity such as imposition of regulations or entry into trade treaties, as well as political disruptions caused by societal breakdown, insurrection, terrorism, sabotage and/or war may greatly influence prices of particular commodities. |
• | With regard to the Natural Gas Funds, the demand for natural gas correlates closely with general economic growth rates. The occurrence of recessions or other periods of low or negative economic growth will typically have a direct adverse impact on natural gas demand and natural gas prices. The supply and demand for natural gas may also be impacted by changes in interest rates, inflation, and other local or regional market conditions, as well as by the development of alternative energy sources. |
• | The recent proliferation of commodity-linked products and their unknown effect on the commodity markets. |
• | With regard to the Oil and Natural Gas Funds, competition from clean power companies, fluctuations in the supply and demand of alternative energy fuels, energy conservation, changes in consumer preferences regarding the use of renewable energy sources to replace fossil fuels, and tax and other government regulations can significantly affect the prices of oil and natural gas. |
• | Debt level and trade deficit of the relevant foreign countries; |
• | Inflation rates of the United States and the relevant foreign countries and investors’ expectations concerning inflation rates; |
• | Interest rates of the United States and the relevant foreign countries and investors’ expectations concerning interest rates; |
• | Investment and trading activities of mutual funds, hedge funds and other market participants; |
• | Global or regional political, economic or financial events and situations; |
• | Sovereign action to set or restrict currency conversion; |
• | Monetary policies and other related activities of central banks within the U.S. and other relevant non-U.S. markets; |
• | Overall growth and performance of the economies of the relevant countries; and |
• | Non-U.S. financial markets may be closed on a day when U.S. domestic markets are open for trading. As a result, liquidity and/or pricing may be affected by the absence of trading in a specific currency. |
• | Prevailing market prices and forward volatility levels of the U.S. stock markets, the S&P 500, the equity securities included in the S&P 500 and prevailing market prices of options on the S&P 500, the VIX, options on the VIX, the relevant VIX futures contracts, or any other financial instruments related to the S&P 500 and the VIX or VIX futures contracts; |
• | Interest rates, and investors’ expectations concerning interest rates; |
• | Inflation rates and investors’ expectations concerning inflation rates; |
• | Economic, financial, political, regulatory, geographical, judicial and other events that affect the level of the Mid-Term VIX Futures Index or the market price or forward volatility of the U.S. stock markets, the equity securities included in the S&P 500, the S&P 500, the VIX or the relevant futures or option contracts on the VIX; |
• | Supply and demand as well as hedging activities in the listed and OTC equity derivatives markets; |
• | The level of margin requirements; |
• | The position limits imposed by futures exchanges and any position or risk limits imposed by FCMs and swap counterparties; |
• | Disruptions in trading of the S&P 500, futures contracts on the S&P 500 or options on the S&P 500; and |
• | The level of contango or backwardation in the VIX futures contract market. |
• | Prevailing market prices and forward volatility levels of the U.S. stock markets, the S&P 500, the equity securities included in the S&P 500 and prevailing market prices of options on the S&P 500, the VIX, options on the VIX, the relevant VIX futures contracts, or any other financial instruments related to the S&P 500 and the VIX or VIX futures contracts; |
• | Interest rates, and investors’ expectations concerning interest rates; |
• | Inflation rates and investors’ expectations concerning inflation rates; |
• | Economic, financial, political, regulatory, geographical, biological or judicial events that affect the level of the Mid-Term VIX Index or the market price or forward volatility of the U.S. stock markets, the equity securities included in the S&P 500, the S&P 500, the VIX or the relevant futures or option contracts on the VIX; |
• | Supply and demand as well as hedging activities in the listed and OTC equity derivatives markets; |
• | Disruptions in trading of the S&P 500, futures contracts on the S&P 500 or options on the S&P 500; |
• | The level of contango or backwardation in the VIX futures contract market; |
• | The position limits imposed by FCMs; and |
• | The level of margin requirements. |
Item 5. |
Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities. |
a) |
The Shares of each Fund that has commenced investment operations are listed on the NYSE Arca. The dates the Shares of each Fund began trading on the NYSE Arca and their symbols are indicated below: |
Fund |
Commencement of Operations |
Ticker Symbol | ||
ProShares Short Euro |
June 26, 2012 |
EUFX | ||
ProShares Short VIX Short-Term Futures ETF |
October 3, 2011 |
SVXY | ||
ProShares Ultra Bloomberg Crude Oil |
November 25, 2008 |
UCO | ||
ProShares Ultra Bloomberg Natural Gas |
October 4, 2011 |
BOIL | ||
ProShares Ultra Euro |
November 25, 2008 |
ULE | ||
ProShares Ultra Gold |
December 3, 2008 |
UGL | ||
ProShares Ultra Silver |
December 3, 2008 |
AGQ | ||
ProShares Ultra VIX Short-Term Futures ETF |
October 3, 2011 |
UVXY | ||
ProShares Ultra Yen |
November 25, 2008 |
YCL | ||
ProShares UltraPro 3x Crude Oil ETF |
March 24, 2017 |
OILU | ||
ProShares UltraPro 3x Short Crude Oil ETF |
March 24, 2017 |
OILD | ||
ProShares UltraShort Australian Dollar |
July 17, 2012 |
CROC | ||
ProShares UltraShort Bloomberg Crude Oil |
November 25, 2008 |
SCO | ||
ProShares UltraShort Bloomberg Natural Gas |
October 4, 2011 |
KOLD | ||
ProShares UltraShort Euro |
November 25, 2008 |
EUO | ||
ProShares UltraShort Gold |
December 3, 2008 |
GLL | ||
ProShares UltraShort Silver |
December 3, 2008 |
ZSL | ||
ProShares UltraShort Yen |
November 25, 2008 |
YCS | ||
ProShares VIX Mid-Term Futures ETF |
January 3, 2011 |
VIXM | ||
ProShares VIX Short-Term Futures ETF |
January 3, 2011 |
VIXY |
Fund |
Number of Holders |
|||
ProShares Short Euro |
262 |
|||
ProShares Short VIX Short-Term Futures ETF |
11,794 |
|||
ProShares Ultra Bloomberg Crude Oil |
27,384 |
|||
ProShares Ultra Bloomberg Natural Gas |
3,935 |
|||
ProShares Ultra Euro |
796 |
|||
ProShares Ultra Gold |
5,703 |
|||
ProShares Ultra Silver |
19,106 |
|||
ProShares Ultra VIX Short-Term Futures ETF |
40,762 |
|||
ProShares Ultra Yen |
220 |
|||
ProShares UltraPro 3x Crude Oil ETF |
4,101 |
|||
ProShares UltraPro 3x Short Crude Oil ETF |
2,521 |
|||
ProShares UltraShort Australian Dollar |
195 |
|||
ProShares UltraShort Bloomberg Crude Oil |
5,571 |
|||
ProShares UltraShort Bloomberg Natural Gas |
981 |
|||
ProShares UltraShort Euro |
5,387 |
|||
ProShares UltraShort Gold |
1,476 |
|||
ProShares UltraShort Silver |
1,496 |
|||
ProShares UltraShort Yen |
1,701 |
|||
ProShares VIX Mid-Term Futures ETF |
3,124 |
|||
ProShares VIX Short-Term Futures ETF |
15,912 |
|||
Total Trust: |
152,427 |
b) |
Not applicable. |
Title of Securities Registered |
Amount Registered as of December 31, 2019 |
Shares Sold For the Three Months Ended December 31, 2019 |
Sale Price of Shares Sold For the Three Months Ended December 31, 2019 |
Shares Sold For the Year Ended December 31, 2019 |
Sale Price of Shares Sold For the Year Ended December 31, 2019 |
|||||||||||||||
ProShares Short Euro |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 140,213,786 |
— |
$ | — |
300,000 |
$ | 13,205,150 |
||||||||||||
ProShares Short VIX Short-Term Futures ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 8,945,616,566 |
350,000 |
$ | 22,279,185 |
1,500,000 |
$ | 84,372,594 |
||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 3,767,599,303 |
8,400,000 |
$ | 132,246,531 |
34,050,000 |
$ | 569,843,253 |
||||||||||||
ProShares Ultra Bloomberg Natural Gas |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 353,205,850 |
4,600,000 |
$ | 50,401,495 |
8,250,000 |
$ | 115,544,309 |
||||||||||||
ProShares Ultra Euro |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 90,976,566 |
50,000 |
$ | 678,115 |
100,000 |
$ | 1,422,682 |
||||||||||||
ProShares Ultra Gold |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 246,598,845 |
50,000 |
$ | 2,448,525 |
900,000 |
$ | 38,466,355 |
||||||||||||
ProShares Ultra Silver |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 1,200,576,548 |
250,000 |
$ | 7,276,965 |
2,300,000 |
$ | 62,741,459 |
||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 6,661,218,948 |
27,900,000 |
$ | 504,882,722 |
83,750,000 |
$ | 2,454,259,697 |
||||||||||||
ProShares Ultra Yen |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 132,956,903 |
100,000 |
$ | 5,563,743 |
200,000 |
$ | 11,322,305 |
Title of Securities Registered |
Amount Registered as of December 31, 2019 |
Shares Sold For the Three Months Ended December 31, 2019 |
Sale Price of Shares Sold For the Three Months Ended December 31, 2019 |
Shares Sold For the Year Ended December 31, 2019 |
Sale Price of Shares Sold For the Year Ended December 31, 2019 |
|||||||||||||||
ProShares UltraPro 3x Crude Oil ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 829,485,301 |
6,050,000 |
$ | 91,792,208 |
15,150,000 |
$ | 251,308,636 |
||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 908,565,729 |
10,850,000 |
$ | 145,081,783 |
20,600,000 |
$ | 304,935,397 |
||||||||||||
ProShares UltraShort Australian Dollar |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 162,940,781 |
— |
$ | — |
50,000 |
$ | 3,004,977 |
||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 1,353,775,887 |
9,250,000 |
$ | 126,711,618 |
25,950,000 |
$ | 397,696,425 |
||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 663,864,980 |
400,000 |
$ | 11,096,468 |
1,200,000 |
$ | 30,089,484 |
||||||||||||
ProShares UltraShort Euro |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 1,857,267,878 |
600,000 |
$ | 16,398,643 |
1,050,000 |
$ | 27,861,560 |
||||||||||||
ProShares UltraShort Gold |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 197,613,808 |
50,000 |
$ | 2,867,682 |
600,000 |
$ | 39,522,691 |
||||||||||||
ProShares UltraShort Silver |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 887,571,447 |
150,000 |
$ | 4,694,420 |
1,000,000 |
$ | 35,269,175 |
||||||||||||
ProShares UltraShort Yen |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 906,315,192 |
— |
$ | — |
450,000 |
$ | 34,403,213 |
||||||||||||
ProShares VIX Mid-Term Futures ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 471,970,126 |
275,000 |
$ | 6,458,915 |
1,400,000 |
$ | 31,405,087 |
||||||||||||
ProShares VIX Short-Term Futures ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 1,157,471,315 |
9,800,000 |
$ | 150,212,946 |
30,800,000 |
$ | 623,530,990 |
||||||||||||
Total Trust: |
79,125,000 |
$ |
1,281,091,964 |
229,600,000 |
$ |
5,130,205,439 |
c) |
From October 1, 2019 through December 31, 2019, the number of Shares redeemed and average price per Share for each Fund were as follows: |
Fund |
Total Number of Shares Redeemed |
Average Price Per Share |
||||||
ProShares Short Euro |
||||||||
10/01/19 to 10/31/19 |
350,000 |
$ | 46.31 |
|||||
11/01/19 to 11/30/19 |
— |
$ | — |
|||||
12/01/19 to 12/31/19 |
— |
$ | — |
|||||
ProShares Short VIX Short-Term Futures ETF |
||||||||
10/01/19 to 10/31/19 |
1,450,000 |
$ | 57.00 |
|||||
11/01/19 to 11/30/19 |
850,000 |
$ | 59.90 |
|||||
12/01/19 to 12/31/19 |
— |
$ | — |
|||||
ProShares Ultra Bloomberg Crude Oil |
||||||||
10/01/19 to 10/31/19 |
5,400,000 |
$ | 16.82 |
|||||
11/01/19 to 11/30/19 |
3,350,000 |
$ | 18.06 |
|||||
12/01/19 to 12/31/19 |
3,550,000 |
$ | 19.52 |
|||||
ProShares Ultra Bloomberg Natural Gas |
||||||||
10/01/19 to 10/31/19 |
350,000 |
$ | 13.47 |
|||||
11/01/19 to 11/30/19 |
550,000 |
$ | 14.99 |
|||||
12/01/19 to 12/31/19 |
250,000 |
$ | 9.88 |
|||||
ProShares Ultra Euro |
||||||||
10/01/19 to 10/31/19 |
— |
$ | — |
|||||
11/01/19 to 11/30/19 |
— |
$ | — |
|||||
12/01/19 to 12/31/19 |
— |
$ | — |
|||||
ProShares Ultra Gold |
||||||||
10/01/19 to 10/31/19 |
150,000 |
$ | 48.29 |
|||||
11/01/19 to 11/30/19 |
— |
$ | — |
|||||
12/01/19 to 12/31/19 |
— |
$ | — |
|||||
ProShares Ultra Silver |
||||||||
10/01/19 to 10/31/19 |
100,000 |
$ | 31.19 |
|||||
11/01/19 to 11/30/19 |
— |
$ | — |
|||||
12/01/19 to 12/31/19 |
— |
$ | — |
|||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||
10/01/19 to 10/31/19 |
5,400,000 |
$ | 28.50 |
|||||
11/01/19 to 11/30/19 |
— |
$ | — |
|||||
12/01/19 to 12/31/19 |
4,400,000 |
$ | 17.38 |
|||||
ProShares Ultra Yen |
||||||||
10/01/19 to 10/31/19 |
— |
$ | — |
|||||
11/01/19 to 11/30/19 |
50,000 |
$ | 55.68 |
|||||
12/01/19 to 12/31/19 |
— |
$ | — |
|||||
ProShares UltraPro 3x Crude Oil ETF |
||||||||
10/01/19 to 10/31/19 |
3,600,000 |
$ | 16.34 |
|||||
11/01/19 to 11/30/19 |
2,750,000 |
$ | 18.28 |
|||||
12/01/19 to 12/31/19 |
2,050,000 |
$ | 20.15 |
|||||
ProShares UltraPro 3x Short Crude Oil ETF |
||||||||
10/01/19 to 10/31/19 |
2,750,000 |
$ | 17.87 |
|||||
11/01/19 to 11/30/19 |
1,650,000 |
$ | 13.61 |
|||||
12/01/19 to 12/31/19 |
1,750,000 |
$ | 12.94 |
Fund |
Total Number of Shares Redeemed |
Average Price Per Share |
||||||
ProShares UltraShort Australian Dollar |
||||||||
10/01/19 to 10/31/19 |
50,000 |
$ | 60.98 |
|||||
11/01/19 to 11/30/19 |
— |
$ | — |
|||||
12/01/19 to 12/31/19 |
— |
$ | — |
|||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||
10/01/19 to 10/31/19 |
2,550,000 |
$ | 16.63 |
|||||
11/01/19 to 11/30/19 |
500,000 |
$ | 14.78 |
|||||
12/01/19 to 12/31/19 |
1,550,000 |
$ | 14.70 |
|||||
ProShares UltraShort Bloomberg Natural Gas |
||||||||
10/01/19 to 10/31/19 |
100,000 |
$ | 28.30 |
|||||
11/01/19 to 11/30/19 |
200,000 |
$ | 31.22 |
|||||
12/01/19 to 12/31/19 |
50,000 |
$ | 35.31 |
|||||
ProShares UltraShort Euro |
||||||||
10/01/19 to 10/31/19 |
150,000 |
$ | 27.35 |
|||||
11/01/19 to 11/30/19 |
700,000 |
$ | 27.59 |
|||||
12/01/19 to 12/31/19 |
100,000 |
$ | 27.19 |
|||||
ProShares UltraShort Gold |
||||||||
10/01/19 to 10/31/19 |
— |
$ | — |
|||||
11/01/19 to 11/30/19 |
50,000 |
$ | 57.78 |
|||||
12/01/19 to 12/31/19 |
— |
$ | — |
|||||
ProShares UltraShort Silver |
||||||||
10/01/19 to 10/31/19 |
100,000 |
$ | 27.55 |
|||||
11/01/19 to 11/30/19 |
— |
$ | — |
|||||
12/01/19 to 12/31/19 |
50,000 |
$ | 30.20 |
|||||
ProShares UltraShort Yen |
||||||||
10/01/19 to 10/31/19 |
— |
$ | — |
|||||
11/01/19 to 11/30/19 |
— |
$ | — |
|||||
12/01/19 to 12/31/19 |
50,000 |
$ | 77.03 |
|||||
ProShares VIX Mid-Term Futures ETF |
||||||||
10/01/19 to 10/31/19 |
25,000 |
$ | 22.92 |
|||||
11/01/19 to 11/30/19 |
— |
$ | — |
|||||
12/01/19 to 12/31/19 |
— |
$ | — |
|||||
ProShares VIX Short-Term Futures ETF |
||||||||
10/01/19 to 10/31/19 |
1,075,000 |
$ | 21.85 |
|||||
11/01/19 to 11/30/19 |
— |
$ | — |
|||||
12/01/19 to 12/31/19 |
1,575,000 |
$ | 13.81 |
Item 6. |
Selected Financial Data. |
PROSHARES SHORT EURO |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 2,289,155 |
$ | 8,631,926 |
$ | 8,041,728 |
$ | 15,859,440 |
$ | 17,524,993 |
||||||||||
Total shareholders’ equity at end of period |
2,282,195 |
8,619,686 |
7,991,880 |
15,770,088 |
17,510,898 |
|||||||||||||||
Net investment income (loss) |
176,251 |
44,457 |
(37,627 |
) | (122,728 |
) | (178,761 |
) | ||||||||||||
Net realized and unrealized gain (loss) |
1,002,978 |
583,349 |
(1,461,940 |
) | 553,281 |
1,417,580 |
||||||||||||||
Net income (loss) |
1,179,229 |
627,806 |
(1,499,567 |
) | 430,553 |
1,238,819 |
||||||||||||||
Net increase (decrease) in net asset value per share |
2.54 |
3.14 |
(5.10 |
) | 1.28 |
3.72 |
||||||||||||||
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 284,649,062 |
$ | 360,341,566 |
$ | 816,337,770 |
$ | 228,630,598 |
$ | 674,236,256 |
||||||||||
Total shareholders’ equity at end of period |
284,437,179 |
344,596,263 |
770,163,871 |
228,075,387 |
642,811,361 |
|||||||||||||||
Net investment income (loss) |
1,162,163 |
(2,209,355 |
) | (5,373,544 |
) | (5,396,850 |
) | (5,798,200 |
) | |||||||||||
Net realized and unrealized gain (loss) |
150,375,598 |
(1,917,289,617 |
) | 924,694,573 |
419,316,869 |
96,936,157 |
||||||||||||||
Net income (loss) |
151,537,761 |
(1,919,498,972 |
) | 919,321,029 |
413,920,019 |
91,137,957 |
||||||||||||||
Net increase (decrease) in net asset value per share |
23.26 |
(466.84 |
) | 326.74 |
80.83 |
(21.16 |
) | |||||||||||||
PROSHARES ULTRA BLOOMBERG CRUDE OIL |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 310,368,837 |
$ | 441,765,830 |
$ | 534,325,767 |
$ | 962,419,733 |
$ | 859,276,004 |
||||||||||
Total shareholders’ equity at end of period |
309,844,582 |
368,399,654 |
524,445,526 |
933,731,860 |
783,922,475 |
|||||||||||||||
Net investment income (loss) |
3,864,584 |
3,022,808 |
(1,379,461 |
) | (6,631,380 |
) | (8,473,155 |
) | ||||||||||||
Net realized and unrealized gain (loss) |
253,585,147 |
(139,204,737 |
) | 35,389,465 |
225,050,768 |
(863,611,244 |
) | |||||||||||||
Net income (loss) |
257,449,731 |
(136,181,929 |
) | 34,010,004 |
218,419,388 |
(872,084,399 |
) | |||||||||||||
Net increase (decrease) in net asset value per share |
7.31 |
(10.60 |
) | 0.32 |
(1.81 |
) | (76.33 |
) |
PROSHARES ULTRA BLOOMBERG NATURAL GAS |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 45,196,991 |
$ | 17,951,294 |
$ | 67,524,849 |
$ | 44,767,860 |
$ | 38,879,917 |
||||||||||
Total shareholders’ equity at end of period |
45,160,205 |
14,617,440 |
63,268,950 |
43,203,386 |
38,851,184 |
|||||||||||||||
Net investment income (loss) |
162,388 |
96,319 |
(233,762 |
) | (384,486 |
) | (761,335 |
) | ||||||||||||
Net realized and unrealized gain (loss) |
(24,707,604 |
) | 3,545,801 |
(36,107,690 |
) | 13,794,133 |
(59,570,610 |
) | ||||||||||||
Net income (loss) |
(24,545,216 |
) | 3,642,120 |
(36,341,452 |
) | 13,409,647 |
(60,331,945 |
) | ||||||||||||
Net increase (decrease) in net asset value per share |
(16.88 |
) | (7.36 |
) | (61.60 |
) | 1.39 |
(215.40 |
) | |||||||||||
PROSHARES ULTRA EURO |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 6,209,342 |
$ | 7,554,617 |
$ | 9,656,271 |
$ | 12,500,772 |
$ | 12,437,492 |
||||||||||
Total shareholders’ equity at end of period |
6,204,424 |
7,544,569 |
9,591,516 |
11,914,585 |
10,857,730 |
|||||||||||||||
Net investment income (loss) |
58,528 |
30,823 |
(29,782 |
) | (74,522 |
) | (104,071 |
) | ||||||||||||
Net realized and unrealized gain (loss) |
(670,417 |
) | (1,269,677 |
) | 3,049,926 |
(1,039,312 |
) | (1,274,395 |
) | |||||||||||
Net income (loss) |
(611,889 |
) | (1,238,854 |
) | 3,020,144 |
(1,113,834 |
) | (1,378,466 |
) | |||||||||||
Net increase (decrease) in net asset value per share |
(1.30 |
) | (2.35 |
) | 3.42 |
(1.49 |
) | (4.36 |
) | |||||||||||
PROSHARES ULTRA GOLD |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 110,810,975 |
$ | 87,308,381 |
$ | 93,779,522 |
$ | 96,632,172 |
$ | 72,172,441 |
||||||||||
Total shareholders’ equity at end of period |
110,726,032 |
83,523,294 |
93,708,748 |
92,127,200 |
69,864,815 |
|||||||||||||||
Net investment income (loss) |
902,937 |
625,631 |
(136,329 |
) | (650,951 |
) | (796,424 |
) | ||||||||||||
Net realized and unrealized gain (loss) |
23,404,029 |
(6,664,992 |
) | 19,581,562 |
3,617,098 |
(22,915,651 |
) | |||||||||||||
Net income (loss) |
24,306,966 |
(6,039,361 |
) | 19,445,233 |
2,966,147 |
(23,712,075 |
) | |||||||||||||
Net increase (decrease) in net asset value per share |
12.09 |
(2.76 |
) | 6.98 |
3.17 |
(10.27 |
) | |||||||||||||
PROSHARES ULTRA SILVER |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 239,830,381 |
$ | 202,021,571 |
$ | 261,786,204 |
$ | 296,979,700 |
$ | 239,160,686 |
||||||||||
Total shareholders’ equity at end of period |
239,254,842 |
201,824,376 |
258,244,696 |
275,779,940 |
216,416,642 |
|||||||||||||||
Net investment income (loss) |
1,856,270 |
1,469,179 |
(409,752 |
) | (2,179,392 |
) | (2,507,859 |
) | ||||||||||||
Net realized and unrealized gain (loss) |
38,597,244 |
(52,558,544 |
) | 10,949,744 |
63,914,077 |
(88,492,326 |
) | |||||||||||||
Net income (loss) |
40,453,514 |
(51,089,365 |
) | 10,539,992 |
61,734,685 |
(91,000,185 |
) | |||||||||||||
Net increase (decrease) in net asset value per share |
5.31 |
(7.16 |
) | 0.11 |
6.38 |
(12.31 |
) |
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 562,277,336 |
$ | 222,583,868 |
$ | 394,379,433 |
$ | 552,972,566 |
$ | 560,771,363 |
||||||||||
Total shareholders’ equity at end of period |
527,636,003 |
214,304,871 |
394,035,141 |
515,758,754 |
547,708,740 |
|||||||||||||||
Net investment income (loss) |
95,052 |
(3,145,671 |
) | (4,896,061 |
) | (8,936,777 |
) | (7,410,148 |
) | |||||||||||
Net realized and unrealized gain (loss) |
(690,606,892 |
) | 455,645,412 |
(1,047,275,669 |
) | (1,587,220,286 |
) | (419,888,086 |
) | |||||||||||
Net income (loss) |
(690,511,840 |
) | 452,499,741 |
(1,052,171,730 |
) | (1,596,157,063 |
) | (427,298,234 |
) | |||||||||||
Net increase (decrease) in net asset value per share |
(68.79 |
) | 29.79 |
(817.96 |
) | (13,172.38 |
) | (48,688.01 |
) | |||||||||||
PROSHARES ULTRA YEN |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 5,595,968 |
$ | 5,756,235 |
$ | 2,901,405 |
$ | 5,887,949 |
$ | 5,483,876 |
||||||||||
Total shareholders’ equity at end of period |
5,580,964 |
5,751,716 |
2,864,269 |
5,540,957 |
5,473,848 |
|||||||||||||||
Net investment income (loss) |
38,514 |
(983 |
) | (21,882 |
) | (45,847 |
) | (44,423 |
) | |||||||||||
Net realized and unrealized gain (loss) |
(129,576 |
) | 41,854 |
260,916 |
113,155 |
(196,091 |
) | |||||||||||||
Net income (loss) |
(91,062 |
) | 40,871 |
239,034 |
67,308 |
(240,514 |
) | |||||||||||||
Net increase (decrease) in net asset value per share |
(1.70 |
) | 0.21 |
1.89 |
0.68 |
(1.72 |
) |
PROSHARES ULTRAPRO 3X CRUDE OIL ETF |
||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
January 13, 2017 (Inception) through December 31, 2017 |
||||||||||
Total assets |
$ | 73,000,005 |
$ | 87,728,540 |
$ | 11,335,483 |
||||||
Total shareholders’ equity at end of period |
70,859,329 |
87,667,042 |
11,335,483 |
|||||||||
Net investment income (loss) |
730,081 |
(38,284 |
) | (119,518 |
) | |||||||
Net realized and unrealized gain (loss) |
99,897,682 |
(62,304,155 |
) | 7,436,616 |
||||||||
Net income (loss) |
100,627,763 |
(62,342,439 |
) | 7,317,098 |
||||||||
Net increase (decrease) in net asset value per share |
8.39 |
(24.70 |
) | 12.78 |
||||||||
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF |
||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
January 13, 2017 (Inception) through December 31, 2017 |
||||||||||
Total assets |
$ | 91,463,267 |
$ | 18,772,977 |
$ | 21,688,274 |
||||||
Total shareholders’ equity at end of period |
91,389,147 |
18,665,099 |
21,161,176 |
|||||||||
Net investment income (loss) |
103,397 |
(108,691 |
) | (110,590 |
) | |||||||
Net realized and unrealized gain (loss) |
(17,779,115 |
) | 17,384,911 |
(10,034,783 |
) | |||||||
Net income (loss) |
(17,675,718 |
) | 17,276,220 |
(10,145,373 |
) | |||||||
Net increase (decrease) in net asset value per share |
(39.13 |
) | 7.47 |
(57.68 |
) |
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 5,651,054 |
$ | 11,068,693 |
$ | 13,766,301 |
$ | 16,658,768 |
$ | 20,477,446 |
||||||||||
Total shareholders’ equity at end of period |
5,608,612 |
11,060,333 |
13,702,102 |
16,613,473 |
20,460,679 |
|||||||||||||||
Net investment income (loss) |
80,325 |
36,746 |
(46,774 |
) | (145,652 |
) | (209,987 |
) | ||||||||||||
Net realized and unrealized gain (loss) |
97,591 |
1,534,232 |
(2,943,227 |
) | (1,183,820 |
) | 3,166,384 |
|||||||||||||
Net income (loss) |
177,916 |
1,570,978 |
(2,990,001 |
) | (1,329,472 |
) | 2,956,397 |
|||||||||||||
Net increase (decrease) in net asset value per share |
0.79 |
9.63 |
(9.71 |
) | (3.08 |
) | 7.08 |
|||||||||||||
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 129,574,044 |
$ | 114,514,333 |
$ | 257,334,914 |
$ | 213,341,677 |
$ | 96,858,373 |
||||||||||
Total shareholders’ equity at end of period |
125,451,681 |
114,377,311 |
225,843,284 |
200,958,303 |
95,897,894 |
|||||||||||||||
Net investment income (loss) |
709,799 |
1,038,630 |
(355,651 |
) | (1,408,964 |
) | (2,166,211 |
) | ||||||||||||
Net realized and unrealized gain (loss) |
(45,316,202 |
) | 16,471,427 |
(27,449,491 |
) | (90,265,381 |
) | 57,732,875 |
||||||||||||
Net income (loss) |
(44,606,403 |
) | 17,510,057 |
(27,805,142 |
) | (91,674,345 |
) | 55,566,664 |
||||||||||||
Net increase (decrease) in net asset value per share |
(17.60 |
) | 5.48 |
(7.39 |
) | (34.90 |
) | 27.61 |
||||||||||||
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 12,532,289 |
$ | 22,163,554 |
$ | 7,009,957 |
$ | 4,042,309 |
$ | 11,260,804 |
||||||||||
Total shareholders’ equity at end of period |
12,515,603 |
17,825,441 |
6,902,743 |
4,038,794 |
10,462,856 |
|||||||||||||||
Net investment income (loss) |
29,417 |
(4,454 |
) | (54,451 |
) | (122,172 |
) | (177,124 |
) | |||||||||||
Net realized and unrealized gain (loss) |
9,121,181 |
(2,213,011 |
) | 4,146,852 |
2,578,744 |
8,800,372 |
||||||||||||||
Net income (loss) |
9,150,598 |
(2,217,465 |
) | 4,092,401 |
2,456,572 |
8,623,248 |
||||||||||||||
Net increase (decrease) in net asset value per share |
16.92 |
(17.87 |
) | 16.38 |
(23.43 |
) | 18.54 |
|||||||||||||
PROSHARES ULTRASHORT EURO |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 123,046,852 |
$ | 158,275,753 |
$ | 209,513,363 |
$ | 356,811,359 |
$ | 556,539,359 |
||||||||||
Total shareholders’ equity at end of period |
120,581,173 |
154,120,159 |
202,548,197 |
349,392,650 |
522,306,518 |
|||||||||||||||
Net investment income (loss) |
1,528,830 |
1,324,494 |
(396,715 |
) | (2,764,657 |
) | (5,000,587 |
) | ||||||||||||
Net realized and unrealized gain (loss) |
12,993,771 |
23,822,591 |
(62,222,928 |
) | 19,174,666 |
86,176,969 |
||||||||||||||
Net income (loss) |
14,522,601 |
25,147,085 |
(62,619,643 |
) | 16,410,009 |
81,176,382 |
||||||||||||||
Net increase (decrease) in net asset value per share |
2.53 |
3.06 |
(5.87 |
) | 1.54 |
3.95 |
PROSHARES ULTRASHORT GOLD |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 22,262,798 |
$ | 19,105,095 |
$ | 33,013,345 |
$ | 63,709,441 |
$ | 75,031,735 |
||||||||||
Total shareholders’ equity at end of period |
21,047,560 |
18,098,997 |
31,497,410 |
63,653,647 |
74,971,764 |
|||||||||||||||
Net investment income (loss) |
186,714 |
171,341 |
(60,865 |
) | (461,423 |
) | (703,582 |
) | ||||||||||||
Net realized and unrealized gain (loss) |
(5,733,559 |
) | 1,796,398 |
(11,543,036 |
) | (11,000,717 |
) | 16,807,446 |
||||||||||||
Net income (loss) |
(5,546,845 |
) | 1,967,739 |
(11,603,901 |
) | (11,462,140 |
) | 16,103,864 |
||||||||||||
Net increase (decrease) in net asset value per share |
(20.26 |
) | 2.81 |
(20.86 |
) | (24.55 |
) | 19.23 |
||||||||||||
PROSHARES ULTRASHORT SILVER |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 15,813,405 |
$ | 13,578,709 |
$ | 19,713,505 |
$ | 23,037,206 |
$ | 56,035,123 |
||||||||||
Total shareholders’ equity at end of period |
13,834,163 |
11,768,863 |
14,806,259 |
23,017,656 |
55,987,938 |
|||||||||||||||
Net investment income (loss) |
131,913 |
112,472 |
(36,600 |
) | (255,853 |
) | (516,464 |
) | ||||||||||||
Net realized and unrealized gain (loss) |
(4,741,974 |
) | 4,905,754 |
(1,980,408 |
) | (20,928,956 |
) | 14,943,700 |
||||||||||||
Net income (loss) |
(4,610,061 |
) | 5,018,226 |
(2,017,008 |
) | (21,184,809 |
) | 14,427,236 |
||||||||||||
Net increase (decrease) in net asset value per share |
(10.37 |
) | 5.42 |
(5.60 |
) | (27.27 |
) | 6.77 |
||||||||||||
PROSHARES ULTRASHORT YEN |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 38,165,164 |
$ | 59,214,608 |
$ | 134,986,033 |
$ | 277,139,658 |
$ | 261,207,696 |
||||||||||
Total shareholders’ equity at end of period |
38,132,320 |
55,363,675 |
131,077,453 |
276,781,747 |
237,372,900 |
|||||||||||||||
Net investment income (loss) |
555,474 |
607,874 |
(355,974 |
) | (1,609,562 |
) | (3,623,678 |
) | ||||||||||||
Net realized and unrealized gain (loss) |
1,240,842 |
(2,528,655 |
) | (23,960,625 |
) | 8,431,035 |
(3,541,134 |
) | ||||||||||||
Net income (loss) |
1,796,316 |
(1,920,781 |
) | (24,316,599 |
) | 6,821,473 |
(7,164,812 |
) | ||||||||||||
Net increase (decrease) in net asset value per share |
2.48 |
(1.04 |
) | (5.31 |
) | (7.70 |
) | (1.39 |
) |
PROSHARES VIX MID-TERM FUTURES ETF |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 47,145,739 |
$ | 57,571,528 |
$ | 27,429,888 |
$ | 47,936,506 |
$ | 27,671,016 |
||||||||||
Total shareholders’ equity at end of period |
45,986,584 |
56,299,121 |
26,347,948 |
45,818,914 |
27,650,638 |
|||||||||||||||
Net investment income (loss) |
493,213 |
116,328 |
(81,807 |
) | (294,491 |
) | (240,600 |
) | ||||||||||||
Net realized and unrealized gain (loss) |
(12,266,525 |
) | 10,305,853 |
(26,246,741 |
) | (12,029,971 |
) | (3,939,933 |
) | |||||||||||
Net income (loss) |
(11,773,312 |
) | 10,422,181 |
(26,328,548 |
) | (12,324,462 |
) | (4,180,533 |
) | |||||||||||
Net increase (decrease) in net asset value per share |
(5.38 |
) | 5.36 |
(20.85 |
) | (11.82 |
) | (9.64 |
) | |||||||||||
PROSHARES VIX SHORT-TERM FUTURES ETF |
||||||||||||||||||||
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
Year Ended December 31, 2015 |
||||||||||||||||
Total assets |
$ | 292,836,738 |
$ | 155,107,403 |
$ | 141,228,210 |
$ | 174,247,783 |
$ | 105,350,240 |
||||||||||
Total shareholders’ equity at end of period |
279,792,503 |
149,547,115 |
137,741,560 |
174,160,146 |
105,272,823 |
|||||||||||||||
Net investment income (loss) |
2,153,399 |
366,665 |
(293,186 |
) | (1,436,647 |
) | (1,150,794 |
) | ||||||||||||
Net realized and unrealized gain (loss) |
(227,121,451 |
) | 112,056,276 |
(198,310,919 |
) | (194,856,158 |
) | (26,753,742 |
) | |||||||||||
Net income (loss) |
(224,968,052 |
) | 112,422,941 |
(198,604,105 |
) | (196,292,805 |
) | (27,904,536 |
) | |||||||||||
Net increase (decrease) in net asset value per share |
(26.28 |
) | 15.24 |
(61.52 |
) | (179.98 |
) | (153.80 |
) |
Item 7. |
Management’s Discussion and Analysis of Financial Condition and Results of Operations. |
Fund |
Interest Income Year Ended December 31, 2019 |
Interest Income Year Ended December 31, 2018 |
||||||
ProShares Short Euro |
$ | 314,021 |
$ | 123,954 |
||||
ProShares Short VIX Short-Term Futures ETF |
5,618,666 |
5,721,966 |
||||||
ProShares Ultra Bloomberg Crude Oil |
7,627,706 |
7,041,517 |
||||||
ProShares Ultra Bloomberg Natural Gas |
589,183 |
489,924 |
||||||
ProShares Ultra Euro |
121,071 |
112,904 |
||||||
ProShares Ultra Gold |
1,798,692 |
1,437,347 |
||||||
ProShares Ultra Silver |
3,823,565 |
3,490,072 |
||||||
ProShares Ultra VIX Short-Term Futures ETF |
7,903,309 |
3,853,146 |
||||||
ProShares Ultra Yen |
78,463 |
26,930 |
||||||
ProShares UltraPro 3x Crude Oil ETF* |
2,114,130 |
351,928 |
||||||
ProShares UltraPro 3x Short Crude Oil ETF* |
562,435 |
190,658 |
||||||
ProShares UltraShort Australian Dollar |
159,039 |
119,098 |
||||||
ProShares UltraShort Bloomberg Crude Oil |
1,570,676 |
2,758,399 |
||||||
ProShares UltraShort Bloomberg Natural Gas |
167,939 |
121,027 |
||||||
ProShares UltraShort Euro |
2,822,207 |
3,045,321 |
||||||
ProShares UltraShort Gold |
380,158 |
423,926 |
||||||
ProShares UltraShort Silver |
279,294 |
309,090 |
||||||
ProShares UltraShort Yen |
1,007,112 |
1,399,342 |
||||||
ProShares VIX Mid-Term Futures ETF |
903,643 |
368,351 |
||||||
ProShares VIX Short-Term Futures ETF |
4,458,270 |
1,594,294 |
• | executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; |
• | limiting the outstanding amounts due from counterparties to the Funds; |
• | not posting margin directly with a counterparty; |
• | requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds; |
• | limiting the amount of margin or premium posted at a FCM; and |
• | ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for. |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 8,619,686 |
$ | 7,991,880 |
||||
NAV end of period |
$ | 2,282,195 |
$ | 8,619,686 |
||||
Percentage change in NAV |
(73.5 |
)% | 7.9 |
% | ||||
Shares outstanding beginning of period |
200,000 |
200,000 |
||||||
Shares outstanding end of period |
50,000 |
200,000 |
||||||
Percentage change in shares outstanding |
(75.0 |
)% | — |
|||||
Shares created |
300,000 |
— |
||||||
Shares redeemed |
450,000 |
— |
||||||
Per share NAV beginning of period |
$ | 43.10 |
$ | 39.96 |
||||
Per share NAV end of period |
$ | 45.64 |
$ | 43.10 |
||||
Percentage change in per share NAV |
5.9 |
% | 7.9 |
% | ||||
Percentage change in benchmark |
(2.1 |
)% | (4.5 |
)% | ||||
Benchmark annualized volatility |
5.1 |
% | 7.2 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 176,251 |
$ | 44,457 |
||||
Management fee |
135,292 |
78,253 |
||||||
Brokerage commissions |
2,478 |
1,244 |
||||||
Net realized gain (loss) |
973,665 |
459,984 |
||||||
Change in net unrealized appreciation (depreciation) |
29,313 |
123,365 |
||||||
Net income (loss) |
$ | 1,179,229 |
$ | 627,806 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 344,596,263 |
$ | 770,163,871 |
||||
NAV end of period |
$ | 284,437,179 |
$ | 344,596,263 |
||||
Percentage change in NAV |
(17.5 |
)% | (55.3 |
)% | ||||
Shares outstanding beginning of period |
8,134,307 |
1,512,500 |
||||||
Shares outstanding end of period |
4,334,307 |
8,134,307 |
||||||
Percentage change in shares outstanding |
(46.7 |
)% | 437.8 |
% | ||||
Shares created |
1,500,000 |
19,000,000 |
||||||
Shares redeemed |
5,300,000 |
12,378,193 |
||||||
Per share NAV beginning of period |
$ | 42.36 |
$ | 509.20 |
||||
Per share NAV end of period |
$ | 65.62 |
$ | 42.36 |
||||
Percentage change in per share NAV |
54.9 |
% | (91.7 |
)% | ||||
Percentage change in benchmark |
(67.8 |
)% | 68.1 |
% | ||||
Benchmark annualized volatility |
60.4 |
% | 118.0 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 1,162,163 |
$ | (2,209,355 |
) | |||
Management fee |
3,333,950 |
5,617,477 |
||||||
Brokerage commissions |
723,282 |
2,162,086 |
||||||
Non-recurring fees and expenses |
398,550 |
— |
||||||
Net realized gain (loss) |
125,641,839 |
(1,885,823,832 |
) | |||||
Change in net unrealized appreciation (depreciation) |
24,733,759 |
(31,465,785 |
) | |||||
Net income (loss) |
$ | 151,537,761 |
$ | (1,919,498,972 |
) |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 368,399,654 |
$ | 524,445,526 |
||||
NAV end of period |
$ | 309,844,582 |
$ | 368,399,654 |
||||
Percentage change in NAV |
(15.9 |
)% | (29.8 |
)% | ||||
Shares outstanding beginning of period |
28,211,317 |
22,161,317 |
||||||
Shares outstanding end of period |
15,211,317 |
28,211,317 |
||||||
Percentage change in shares outstanding |
(46.1 |
)% | 27.3 |
% | ||||
Shares created |
34,050,000 |
24,600,000 |
||||||
Shares redeemed |
47,050,000 |
18,550,000 |
||||||
Per share NAV beginning of period |
$ | 13.06 |
$ | 23.66 |
||||
Per share NAV end of period |
$ | 20.37 |
$ | 13.06 |
||||
Percentage change in per share NAV |
56.0 |
% | (44.8 |
)% | ||||
Percentage change in benchmark |
34.4 |
% | (20.5 |
)% | ||||
Benchmark annualized volatility |
33.7 |
% | 31.1 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 3,864,584 |
$ | 3,022,808 |
||||
Management fee |
3,612,580 |
3,918,014 |
||||||
Brokerage commissions |
150,542 |
100,695 |
||||||
Net realized gain (loss) |
144,188,809 |
21,754,687 |
||||||
Change in net unrealized appreciation (depreciation) |
109,396,338 |
(160,959,424 |
) | |||||
Net income (loss) |
$ | 257,449,731 |
$ | (136,181,929 |
) |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 14,617,440 |
$ | 63,268,950 |
||||
NAV end of period |
$ | 45,160,205 |
$ | 14,617,440 |
||||
Percentage change in NAV |
208.9 |
% | (76.9 |
)% | ||||
Shares outstanding beginning of period |
578,150 |
1,938,434 |
||||||
Shares outstanding end of period |
5,378,150 |
578,150 |
||||||
Percentage change in shares outstanding |
830.2 |
% | (70.2 |
)% | ||||
Shares created |
8,250,000 |
1,600,000 |
||||||
Shares redeemed |
3,450,000 |
2,960,284 |
||||||
Per share NAV beginning of period |
$ | 25.28 |
$ | 32.64 |
||||
Per share NAV end of period |
$ | 8.40 |
$ | 25.28 |
||||
Percentage change in per share NAV |
(66.8 |
)% | (22.5 |
)% | ||||
Percentage change in benchmark |
(37.2 |
)% | (0.1 |
)% | ||||
Benchmark annualized volatility |
36.1 |
% | 45.8 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 162,388 |
$ | 96,319 |
||||
Management fee |
297,043 |
305,706 |
||||||
Brokerage commissions |
129,752 |
87,899 |
||||||
Net realized gain (loss) |
(32,380,218 |
) | 21,092,833 |
|||||
Change in net unrealized appreciation (depreciation) |
7,672,614 |
(17,547,032 |
) | |||||
Net income (loss) |
$ | (24,545,216 |
) | $ | 3,642,120 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 7,544,569 |
$ | 9,591,516 |
||||
NAV end of period |
$ | 6,204,424 |
$ | 7,544,569 |
||||
Percentage change in NAV |
(17.8 |
)% | (21.3 |
)% | ||||
Shares outstanding beginning of period |
500,000 |
550,000 |
||||||
Shares outstanding end of period |
450,000 |
500,000 |
||||||
Percentage change in shares outstanding |
(10.0 |
)% | (9.1 |
)% | ||||
Shares created |
100,000 |
150,000 |
||||||
Shares redeemed |
150,000 |
200,000 |
||||||
Per share NAV beginning of period |
$ | 15.09 |
$ | 17.44 |
||||
Per share NAV end of period |
$ | 13.79 |
$ | 15.09 |
||||
Percentage change in per share NAV |
(8.6 |
)% | (13.5 |
)% | ||||
Percentage change in benchmark |
(2.1 |
)% | (4.5 |
)% | ||||
Benchmark annualized volatility |
5.1 |
% | 7.2 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 58,528 |
$ | 30,823 |
||||
Management fee |
62,543 |
82,081 |
||||||
Net realized gain (loss) |
(722,691 |
) | (1,063,816 |
) | ||||
Change in net unrealized appreciation (depreciation) |
52,274 |
(205,861 |
) | |||||
Net income (loss) |
$ | (611,889 |
) | $ | (1,238,854 |
) |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 83,523,294 |
$ | 93,708,748 |
||||
NAV end of period |
$ | 110,726,032 |
$ | 83,523,294 |
||||
Percentage change in NAV |
32.6 |
% | (10.9 |
)% | ||||
Shares outstanding beginning of period |
2,250,000 |
2,350,000 |
||||||
Shares outstanding end of period |
2,250,000 |
2,250,000 |
||||||
Percentage change in shares outstanding |
— |
(4.3 |
)% | |||||
Shares created |
900,000 |
550,000 |
||||||
Shares redeemed |
900,000 |
650,000 |
||||||
Per share NAV beginning of period |
$ | 37.12 |
$ | 39.88 |
||||
Per share NAV end of period |
$ | 49.21 |
$ | 37.12 |
||||
Percentage change in per share NAV |
32.6 |
% | (6.9 |
)% | ||||
Percentage change in benchmark |
18.0 |
% | (0.9 |
)% | ||||
Benchmark annualized volatility |
11.5 |
% | 9.0 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 902,937 |
$ | 625,631 |
||||
Management fee |
884,410 |
811,581 |
||||||
Brokerage commissions |
11,345 |
135 |
||||||
Net realized gain (loss) |
19,588,339 |
(7,345,178 |
) | |||||
Change in net unrealized appreciation (depreciation) |
3,815,690 |
680,186 |
||||||
Net income (loss) |
$ | 24,306,966 |
$ | (6,039,361 |
) |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 201,824,376 |
$ | 258,244,696 |
||||
NAV end of period |
$ | 239,254,842 |
$ | 201,824,376 |
||||
Percentage change in NAV |
18.5 |
% | (21.8 |
)% | ||||
Shares outstanding beginning of period |
7,646,526 |
7,696,526 |
||||||
Shares outstanding end of period |
7,546,526 |
7,646,526 |
||||||
Percentage change in shares outstanding |
(1.3 |
)% | (0.6 |
)% | ||||
Shares created |
2,300,000 |
2,100,000 |
||||||
Shares redeemed |
2,400,000 |
2,150,000 |
||||||
Per share NAV beginning of period |
$ | 26.39 |
$ | 33.55 |
||||
Per share NAV end of period |
$ | 31.70 |
$ | 26.39 |
||||
Percentage change in per share NAV |
20.1 |
% | (21.3 |
)% | ||||
Percentage change in benchmark |
13.9 |
% | (8.3 |
)% | ||||
Benchmark annualized volatility |
19.6 |
% | 13.8 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 1,856,270 |
$ | 1,469,179 |
||||
Management fee |
1,928,478 |
2,020,586 |
||||||
Brokerage commissions |
38,814 |
307 |
||||||
Net realized gain (loss) |
34,374,143 |
(57,489,729 |
) | |||||
Change in net unrealized appreciation (depreciation) |
4,223,101 |
4,931,185 |
||||||
Net income (loss) |
$ | 40,453,514 |
$ | (51,089,365 |
) |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 214,304,871 |
$ | 394,035,141 |
||||
NAV end of period |
$ | 527,636,003 |
$ | 214,304,871 |
||||
Percentage change in NAV |
146.2 |
% | (45.6 |
)% | ||||
Shares outstanding beginning of period |
2,630,912 |
7,625,448 |
||||||
Shares outstanding end of period |
41,630,912 |
2,630,912 |
||||||
Percentage change in shares outstanding |
1,482.4 |
% | (65.5 |
)% | ||||
Shares created |
83,750,000 |
38,280,000 |
||||||
Shares redeemed |
44,750,000 |
43,274,536 |
||||||
Per share NAV beginning of period |
$ | 81.46 |
$ | 51.67 |
||||
Per share NAV end of period |
$ | 12.67 |
$ | 81.46 |
||||
Percentage change in per share NAV |
(84.4 |
)% | 57.7 |
% | ||||
Percentage change in benchmark |
(67.8 |
)% | 68.1 |
% | ||||
Benchmark annualized volatility |
60.4 |
% | 118.0 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 95,052 |
$ | (3,145,671 |
) | |||
Management fee |
4,819,171 |
3,966,185 |
||||||
Brokerage commissions |
2,936,813 |
3,032,632 |
||||||
Non-recurring fees and expenses |
27,508 |
— |
||||||
Net realized gain (loss) |
(612,840,041 |
) | 389,993,011 |
|||||
Change in net unrealized appreciation (depreciation) |
(77,766,851 |
) | 65,652,401 |
|||||
Net income (loss) |
$ | (690,511,840 |
) | $ | 452,499,741 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 5,751,716 |
$ | 2,864,269 |
||||
NAV end of period |
$ | 5,580,964 |
$ | 5,751,716 |
||||
Percentage change in NAV |
(3.0 |
)% | 100.8 |
% | ||||
Shares outstanding beginning of period |
99,970 |
49,970 |
||||||
Shares outstanding end of period |
99,970 |
99,970 |
||||||
Percentage change in shares outstanding |
— |
100.1 |
% | |||||
Shares created |
200,000 |
50,000 |
||||||
Shares redeemed |
200,000 |
— |
||||||
Per share NAV beginning of period |
$ | 57.53 |
$ | 57.32 |
||||
Per share NAV end of period |
$ | 55.83 |
$ | 57.53 |
||||
Percentage change in per share NAV |
(3.0 |
)% | 0.4 |
% | ||||
Percentage change in benchmark |
0.9 |
% | 2.8 |
% | ||||
Benchmark annualized volatility |
5.7 |
% | 6.6 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 38,514 |
$ | (983 |
) | |||
Management fee |
39,949 |
27,913 |
||||||
Net realized gain (loss) |
57,990 |
(170,364 |
) | |||||
Change in net unrealized appreciation (depreciation) |
(187,566 |
) | 212,218 |
|||||
Net income (loss) |
$ | (91,062 |
) | $ | 40,871 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 87,667,042 |
$ | 11,335,483 |
||||
NAV end of period |
$ | 70,859,329 |
$ | 87,667,042 |
||||
Percentage change in NAV |
(19.2 |
)% | 673.4 |
% | ||||
Shares outstanding beginning of period |
6,700,000 |
300,008 |
||||||
Shares outstanding end of period |
3,300,000 |
6,700,000 |
||||||
Percentage change in shares outstanding |
(50.7 |
)% | 2,133.3 |
% | ||||
Shares created |
15,150,000 |
7,250,000 |
||||||
Shares redeemed |
18,550,000 |
850,008 |
||||||
Per share NAV beginning of period |
$ | 13.08 |
$ | 37.78 |
||||
Per share NAV end of period |
$ | 21.47 |
$ | 13.08 |
||||
Percentage change in per share NAV |
64.1 |
% | (65.4 |
)% | ||||
Percentage change in benchmark |
34.4 |
% | (20.5 |
)% | ||||
Benchmark annualized volatility |
33.7 |
% | 31.1 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 730,081 |
$ | (38,284 |
) | |||
Management fee |
1,049,564 |
277,762 |
||||||
Brokerage commissions |
334,485 |
86,561 |
||||||
Offering costs |
— |
52,846 |
||||||
Limitation by Sponsor |
— |
(26,957 |
) | |||||
Net realized gain (loss) |
69,178,251 |
(37,435,672 |
) | |||||
Change in net unrealized appreciation (depreciation) |
30,719,431 |
(24,868,483 |
) | |||||
Net income (loss) |
$ | 100,627,763 |
$ | (62,342,439 |
) |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 18,665,099 |
$ | 21,161,176 |
||||
NAV end of period |
$ | 91,389,147 |
$ | 18,665,099 |
||||
Percentage change in NAV |
389.6 |
% | (11.8 |
)% | ||||
Shares outstanding beginning of period |
374,906 |
500,002 |
||||||
Shares outstanding end of period |
8,574,906 |
374,906 |
||||||
Percentage change in shares outstanding |
2,187.2 |
% | (25.0 |
)% | ||||
Shares created |
20,600,000 |
2,637,500 |
||||||
Shares redeemed |
12,400,000 |
2,762,596 |
||||||
Per share NAV beginning of period |
$ | 49.79 |
$ | 42.32 |
||||
Per share NAV end of period |
$ | 10.66 |
$ | 49.79 |
||||
Percentage change in per share NAV |
(78.6 |
)% | 17.7 |
% | ||||
Percentage change in benchmark |
34.4 |
% | (20.5 |
)% | ||||
Benchmark annualized volatility |
33.7 |
% | 31.1 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 103,397 |
$ | (108,691 |
) | |||
Management fee |
312,430 |
176,390 |
||||||
Brokerage commissions |
146,608 |
70,338 |
||||||
Offering costs |
— |
52,797 |
||||||
Limitation by Sponsor |
— |
(176 |
) | |||||
Net realized gain (loss) |
(2,404,520 |
) | 7,377,281 |
|||||
Change in net unrealized appreciation (depreciation) |
(15,374,595 |
) | 10,007,630 |
|||||
Net income (loss) |
$ | (17,675,718 |
) | $ | 17,276,220 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 11,060,333 |
$ | 13,702,102 |
||||
NAV end of period |
$ | 5,608,612 |
$ | 11,060,333 |
||||
Percentage change in NAV |
(49.3 |
)% | (19.3 |
)% | ||||
Shares outstanding beginning of period |
200,000 |
300,000 |
||||||
Shares outstanding end of period |
100,000 |
200,000 |
||||||
Percentage change in shares outstanding |
(50.0 |
)% | (33.3 |
)% | ||||
Shares created |
50,000 |
100,000 |
||||||
Shares redeemed |
150,000 |
200,000 |
||||||
Per share NAV beginning of period |
$ | 55.30 |
$ | 45.67 |
||||
Per share NAV end of period |
$ | 56.09 |
$ | 55.30 |
||||
Percentage change in per share NAV |
1.4 |
% | 21.1 |
% | ||||
Percentage change in benchmark |
(0.4 |
)% | (9.7 |
)% | ||||
Benchmark annualized volatility |
6.9 |
% | 8.7 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 80,325 |
$ | 36,746 |
||||
Management fee |
72,858 |
75,944 |
||||||
Brokerage commissions |
5,856 |
6,408 |
||||||
Net realized gain (loss) |
833,199 |
128,204 |
||||||
Change in net unrealized appreciation (depreciation) |
(735,608 |
) | 1,406,028 |
|||||
Net income (loss) |
$ | 177,916 |
$ | 1,570,978 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 114,377,311 |
$ | 225,843,284 |
||||
NAV end of period |
$ | 125,451,681 |
$ | 114,377,311 |
||||
Percentage change in NAV |
9.7 |
% | (49.4 |
)% | ||||
Shares outstanding beginning of period |
3,839,884 |
9,289,884 |
||||||
Shares outstanding end of period |
10,289,884 |
3,839,884 |
||||||
Percentage change in shares outstanding |
168.0 |
% | (58.7 |
)% | ||||
Shares created |
25,950,000 |
13,300,000 |
||||||
Shares redeemed |
19,500,000 |
18,750,000 |
||||||
Per share NAV beginning of period |
$ | 29.79 |
$ | 24.31 |
||||
Per share NAV end of period |
$ | 12.19 |
$ | 29.79 |
||||
Percentage change in per share NAV |
(59.1 |
)% | 22.5 |
% | ||||
Percentage change in benchmark |
34.4 |
% | (20.5 |
)% | ||||
Benchmark annualized volatility |
33.7 |
% | 31.1 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 709,799 |
$ | 1,038,630 |
||||
Management fee |
769,401 |
1,663,576 |
||||||
Brokerage commissions |
91,476 |
56,193 |
||||||
Net realized gain (loss) |
(14,247,456 |
) | (42,039,983 |
) | ||||
Change in net unrealized appreciation (depreciation) |
(31,068,746 |
) | 58,511,410 |
|||||
Net income (loss) |
$ | (44,606,403 |
) | $ | 17,510,057 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 17,825,441 |
$ | 6,902,743 |
||||
NAV end of period |
$ | 12,515,603 |
$ | 17,825,441 |
||||
Percentage change in NAV |
(29.8 |
)% | 158.2 |
% | ||||
Shares outstanding beginning of period |
824,832 |
174,832 |
||||||
Shares outstanding end of period |
324,832 |
824,832 |
||||||
Percentage change in shares outstanding |
(60.6 |
)% | 371.8 |
% | ||||
Shares created |
1,200,000 |
2,500,000 |
||||||
Shares redeemed |
1,700,000 |
1,850,000 |
||||||
Per share NAV beginning of period |
$ | 21.61 |
$ | 39.48 |
||||
Per share NAV end of period |
$ | 38.53 |
$ | 21.61 |
||||
Percentage change in per share NAV |
78.3 |
% | (45.3 |
)% | ||||
Percentage change in benchmark |
(37.2 |
)% | (0.1 |
)% | ||||
Benchmark annualized volatility |
36.1 |
% | 45.8 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 29,417 |
$ | (4,454 |
) | |||
Management fee |
83,978 |
84,418 |
||||||
Brokerage commissions |
54,544 |
41,063 |
||||||
Net realized gain (loss) |
19,286,567 |
(14,147,964 |
) | |||||
Change in net unrealized appreciation (depreciation) |
(10,165,386 |
) | 11,934,953 |
|||||
Net income (loss) |
$ | 9,150,598 |
$ | (2,217,465 |
) |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 154,120,159 |
$ | 202,548,197 |
||||
NAV end of period |
$ | 120,581,173 |
$ | 154,120,159 |
||||
Percentage change in NAV |
(21.8 |
)% | (23.9 |
)% | ||||
Shares outstanding beginning of period |
6,350,000 |
9,550,000 |
||||||
Shares outstanding end of period |
4,500,000 |
6,350,000 |
||||||
Percentage change in shares outstanding |
(29.1 |
)% | (33.5 |
)% | ||||
Shares created |
1,050,000 |
1,700,000 |
||||||
Shares redeemed |
2,900,000 |
4,900,000 |
||||||
Per share NAV beginning of period |
$ | 24.27 |
$ | 21.21 |
||||
Per share NAV end of period |
$ | 26.80 |
$ | 24.27 |
||||
Percentage change in per share NAV |
10.4 |
% | 14.4 |
% | ||||
Percentage change in benchmark |
(2.1 |
)% | (4.5 |
)% | ||||
Benchmark annualized volatility |
5.1 |
% | 7.2 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 1,528,830 |
$ | 1,324,494 |
||||
Management fee |
1,293,377 |
1,720,827 |
||||||
Net realized gain (loss) |
13,747,208 |
18,953,236 |
||||||
Change in net unrealized appreciation (depreciation) |
(753,437 |
) | 4,869,355 |
|||||
Net income (loss) |
$ | 14,522,601 |
$ | 25,147,085 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 18,098,997 |
$ | 31,497,410 |
||||
NAV end of period |
$ | 21,047,560 |
$ | 18,098,997 |
||||
Percentage change in NAV |
16.3 |
% | (42.5 |
)% | ||||
Shares outstanding beginning of period |
246,978 |
446,978 |
||||||
Shares outstanding end of period |
396,977 |
246,978 |
||||||
Percentage change in shares outstanding |
60.7 |
% | (44.7 |
)% | ||||
Shares created |
600,000 |
250,000 |
||||||
Shares redeemed |
450,001 |
450,000 |
||||||
Per share NAV beginning of period |
$ | 73.28 |
$ | 70.47 |
||||
Per share NAV end of period |
$ | 53.02 |
$ | 73.28 |
||||
Percentage change in per share NAV |
(27.6 |
)% | 4.0 |
% | ||||
Percentage change in benchmark |
18.0 |
% | (0.9 |
)% | ||||
Benchmark annualized volatility |
11.5 |
% | 9.0 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 186,714 |
$ | 171,341 |
||||
Management fee |
188,089 |
252,524 |
||||||
Brokerage commissions |
5,355 |
61 |
||||||
Net realized gain (loss) |
(5,192,568 |
) | 1,323,731 |
|||||
Change in net unrealized appreciation (depreciation) |
(540,991 |
) | 472,667 |
|||||
Net income (loss) |
$ | (5,546,845 |
) | $ | 1,967,739 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 11,768,863 |
$ | 14,806,259 |
||||
NAV end of period |
$ | 13,834,163 |
$ | 11,768,863 |
||||
Percentage change in NAV |
17.5 |
% | (20.5 |
)% | ||||
Shares outstanding beginning of period |
316,976 |
466,976 |
||||||
Shares outstanding end of period |
516,976 |
316,976 |
||||||
Percentage change in shares outstanding |
63.1 |
% | (32.1 |
)% | ||||
Shares created |
1,000,000 |
800,000 |
||||||
Shares redeemed |
800,000 |
950,000 |
||||||
Per share NAV beginning of period |
$ | 37.13 |
$ | 31.71 |
||||
Per share NAV end of period |
$ | 26.76 |
$ | 37.13 |
||||
Percentage change in per share NAV |
(27.9 |
)% | 17.1 |
% | ||||
Percentage change in benchmark |
13.9 |
% | (8.3 |
)% | ||||
Benchmark annualized volatility |
19.6 |
% | 13.8 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 131,913 |
$ | 112,472 |
||||
Management fee |
139,668 |
196,546 |
||||||
Brokerage commissions |
7,713 |
72 |
||||||
Net realized gain (loss) |
(4,544,543 |
) | 5,022,945 |
|||||
Change in net unrealized appreciation (depreciation) |
(197,432 |
) | (117,191 |
) | ||||
Net income (loss) |
$ | (4,610,062 |
) | $ | 5,018,226 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 55,363,675 |
$ | 131,077,453 |
||||
NAV end of period |
$ | 38,132,320 |
$ | 55,363,675 |
||||
Percentage change in NAV |
(31.1 |
)% | (57.8 |
)% | ||||
Shares outstanding beginning of period |
749,290 |
1,749,290 |
||||||
Shares outstanding end of period |
499,290 |
749,290 |
||||||
Percentage change in shares outstanding |
(33.4 |
)% | (57.2 |
)% | ||||
Shares created |
450,000 |
100,000 |
||||||
Shares redeemed |
700,000 |
1,100,000 |
||||||
Per share NAV beginning of period |
$ | 73.89 |
$ | 74.93 |
||||
Per share NAV end of period |
$ | 76.37 |
$ | 73.89 |
||||
Percentage change in per share NAV |
3.4 |
% | (1.4 |
)% | ||||
Percentage change in benchmark |
0.9 |
% | 2.8 |
% | ||||
Benchmark annualized volatility |
5.7 |
% | 6.6 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 555,474 |
$ | 607,874 |
||||
Management fee |
451,638 |
791,468 |
||||||
Net realized gain (loss) |
(1,979,679 |
) | 2,111,630 |
|||||
Change in net unrealized appreciation (depreciation) |
3,220,521 |
(4,640,285 |
) | |||||
Net income (loss) |
$ | 1,796,316 |
$ | (1,920,781 |
) |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 56,299,121 |
$ | 26,347,948 |
||||
NAV end of period |
$ | 45,986,584 |
$ | 56,299,121 |
||||
Percentage change in NAV |
(18.3 |
)% | 113.7 |
% | ||||
Shares outstanding beginning of period |
2,112,403 |
1,237,403 |
||||||
Shares outstanding end of period |
2,162,403 |
2,112,403 |
||||||
Percentage change in shares outstanding |
2.4 |
% | 70.7 |
% | ||||
Shares created |
1,400,000 |
2,325,000 |
||||||
Shares redeemed |
1,350,000 |
1,450,000 |
||||||
Per share NAV beginning of period |
$ | 26.65 |
$ | 21.29 |
||||
Per share NAV end of period |
$ | 21.27 |
$ | 26.65 |
||||
Percentage change in per share NAV |
(20.2 |
)% | 25.2 |
% | ||||
Percentage change in benchmark |
(19.3 |
)% | 27.2 |
% | ||||
Benchmark annualized volatility |
25.3 |
% | 39.8 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 493,213 |
$ | 116,328 |
||||
Management fee |
380,474 |
221,717 |
||||||
Brokerage commissions |
29,956 |
30,306 |
||||||
Net realized gain (loss) |
(6,228,644 |
) | 4,332,654 |
|||||
Change in net unrealized appreciation (depreciation) |
(6,037,881 |
) | 5,973,199 |
|||||
Net income (loss) |
$ | (11,773,312 |
) | $ | 10,422,181 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
NAV beginning of period |
$ | 149,547,115 |
$ | 137,741,560 |
||||
NAV end of period |
$ | 279,792,503 |
$ | 149,547,115 |
||||
Percentage change in NAV |
87.1 |
% | 8.6 |
% | ||||
Shares outstanding beginning of period |
3,876,317 |
5,901,317 |
||||||
Shares outstanding end of period |
22,751,317 |
3,876,317 |
||||||
Percentage change in shares outstanding |
486.9 |
% | (34.3 |
)% | ||||
Shares created |
30,800,000 |
8,275,000 |
||||||
Shares redeemed |
11,925,000 |
10,300,000 |
||||||
Per share NAV beginning of period |
$ | 38.58 |
$ | 23.34 |
||||
Per share NAV end of period |
$ | 12.30 |
$ | 38.58 |
||||
Percentage change in per share NAV |
(68.1 |
)% | 65.3 |
% | ||||
Percentage change in benchmark |
(67.8 |
)% | 68.1 |
% | ||||
Benchmark annualized volatility |
60.4 |
% | 118.0 |
% |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Net investment income (loss) |
$ | 2,153,399 |
$ | 366,665 |
||||
Management fee |
2,038,850 |
1,046,876 |
||||||
Brokerage commissions |
253,057 |
176,459 |
||||||
Net realized gain (loss) |
(194,350,788 |
) | 89,901,119 |
|||||
Change in net unrealized appreciation (depreciation) |
(32,770,663 |
) | 22,155,157 |
|||||
Net income (loss) |
$ | (224,968,052 |
) | $ | 112,422,941 |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Euro Fx Currency Futures (CME) |
Short |
March 2020 |
16 |
$ | 1.13 |
125,000 |
$ | (2,256,400 |
) | |||||||||||||||
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Euro Fx Currency Futures (CME) |
Short |
March 2019 |
60 |
$ | 1.15 |
125,000 |
$ | (8,641,875 |
) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
VIX Futures (Cboe) |
Short |
January 2020 |
5,442 |
$ | 14.63 |
1,000 |
$ | (79,589,250 |
) | |||||||||||||||
VIX Futures (Cboe) |
Short |
February 2020 |
3,764 |
16.63 |
1,000 |
(62,576,500 |
) | |||||||||||||||||
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
VIX Futures (Cboe) |
Short |
January 2019 |
4,103 |
$ | 24.18 |
1,000 |
$ | (99,190,025 |
) | |||||||||||||||
VIX Futures (Cboe) |
Short |
February 2019 |
3,282 |
22.28 |
1,000 |
(73,106,550 |
) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
WTI Crude Oil (NYMEX) |
Long |
March 2020 |
554 |
$ | 60.77 |
1,000 |
$ | 33,666,580 |
Swap Agreements as of December 31, 2019 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg WTI Crude Oil Subindex |
Citibank, N.A. |
Long |
$ | 90.3776 |
$ | 172,174,920 |
||||||||
Bloomberg WTI Crude Oil Subindex |
Goldman Sachs International |
Long |
90.3776 |
120,411,487 |
||||||||||
Bloomberg WTI Crude Oil Subindex |
Royal Bank of Canada |
Long |
90.3776 |
115,540,626 |
||||||||||
Bloomberg WTI Crude Oil Subindex |
Societe Generale |
Long |
90.3776 |
64,308,537 |
||||||||||
Bloomberg WTI Crude Oil Subindex |
UBS AG |
Long |
90.3776 |
113,574,303 |
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
WTI Crude Oil (NYMEX) |
Long |
March 2019 |
3,121 |
$ | 45.72 |
1,000 |
$ | 142,692,120 |
Swap Agreements as of December 31, 2018 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg WTI Crude Oil Subindex |
Citibank N.A. |
Long |
$ | 68.6586 |
$ | 192,061,821 |
||||||||
Bloomberg WTI Crude Oil Subindex |
Goldman Sachs International |
Long |
68.6586 |
112,179,333 |
||||||||||
Bloomberg WTI Crude Oil Subindex |
Royal Bank of Canada |
Long |
68.6586 |
113,997,533 |
||||||||||
Bloomberg WTI Crude Oil Subindex |
Societe Generale |
Long |
68.6586 |
38,382,074 |
||||||||||
Bloomberg WTI Crude Oil Subindex |
UBS AG |
Long |
68.6586 |
137,242,162 |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Natural Gas (NYMEX) |
Long |
March 2020 |
4,185 |
$ | 2.16 |
10,000 |
$ | 90,312,300 |
||||||||||||||||
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Natural Gas (NYMEX) |
Long |
March 2019 |
1,025 |
$ | 2.85 |
10,000 |
$ | 29,222,750 |
Foreign Currency Forward Contracts as of December 31, 2019 |
||||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||||
Euro |
Goldman Sachs International |
Long |
01/10/20 |
5,436,377 |
1.1121 |
$ | 6,045,958 |
|||||||||||||||
Euro |
UBS AG |
Long |
01/10/20 |
5,589,416 |
1.1123 |
6,217,058 |
||||||||||||||||
Foreign Currency Forward Contracts as of December 31, 2018 |
||||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||||
Euro |
Goldman Sachs International |
Long |
01/11/19 |
7,046,525 |
1.1425 |
$ | 8,050,889 |
|||||||||||||||
Euro |
UBS AG |
Long |
01/11/19 |
6,507,700 |
1.1414 |
7,427,758 |
||||||||||||||||
Euro |
Goldman Sachs International |
Short |
01/11/19 |
(206,300 |
) | 1.1363 |
(234,428 |
) | ||||||||||||||
Euro |
UBS AG |
Short |
01/11/19 |
(203,200 |
) | 1.1371 |
(231,052 |
) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Gold Futures (COMEX) |
Long |
February 2020 |
438 |
$ | 1,523.10 |
100 |
$ | 66,711,780 |
Swap Agreements as of December 31, 2019 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg Gold Subindex |
Citibank, N.A. |
Long |
$ | 174.6300 |
$ | 60,437,683 |
||||||||
Bloomberg Gold Subindex |
Goldman Sachs International |
Long |
174.6300 |
44,172,192 |
||||||||||
Bloomberg Gold Subindex |
UBS AG |
Long |
174.6300 |
50,125,199 |
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Gold Futures (COMEX) |
Long |
February 2019 |
47 |
$ | 1,282.70 |
100 |
$ | 6,022,110 |
Forward Agreements as of December 31, 2018 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Valuation Price |
Notional Amount at Value |
||||||||||
0.995 Fine Troy Ounce Gold |
Citibank N.A. |
Long |
$ | 1,279.65 |
$ | 64,366,395 |
||||||||
0.995 Fine Troy Ounce Gold |
Goldman Sachs International |
Long |
1,279.71 |
48,862,980 |
||||||||||
0.995 Fine Troy Ounce Gold |
Societe Generale |
Long |
1,279.64 |
1,279,640 |
||||||||||
0.995 Fine Troy Ounce Gold |
UBS AG |
Long |
1,279.62 |
48,497,598 |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Silver Futures (COMEX) |
Long |
March 2020 |
1,316 |
$ | 17.92 |
5,000 |
$ | 117,920,180 |
Swap Agreements as of December 31, 2019 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg Silver Subindex |
Citibank, N.A. |
Long |
$ | 170.1072 |
$ | 152,640,569 |
||||||||
Bloomberg Silver Subindex |
Goldman Sachs International |
Long |
170.1072 |
83,225,484 |
||||||||||
Bloomberg Silver Subindex |
UBS AG |
Long |
170.1072 |
124,680,616 |
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Silver Futures (COMEX) |
Long |
March 2019 |
129 |
$ | 15.55 |
5,000 |
$ | 10,023,300 |
Reference Index |
Counterparty |
Long or Short |
Valuation Price |
Notional Amount at Value |
||||||||||
0.999 Fine Troy Ounce Silver |
Citibank N.A. |
Long |
$ | 15.4734 |
$ | 146,687,832 |
||||||||
0.999 Fine Troy Ounce Silver |
Goldman Sachs International |
Long |
15.4746 |
124,892,402 |
||||||||||
0.999 Fine Troy Ounce Silver |
Societe Generale |
Long |
15.4732 |
1,547,320 |
||||||||||
0.999 Fine Troy Ounce Silver |
UBS AG |
Long |
15.4747 |
120,486,014 |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
VIX Futures (Cboe) |
Long |
January 2020 |
29,402 |
$ | 14.63 |
1,000 |
$ | 430,004,250 |
||||||||||||||||
VIX Futures (Cboe) |
Long |
February 2020 |
20,358 |
16.63 |
1,000 |
338,451,750 |
Swap Agreements as of December 31, 2019 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index |
Goldman Sachs & Co. |
Long |
$ | 14.9650 |
$ | 23,078,793 |
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
VIX Futures (Cboe) |
Long |
January 2019 |
5,932 |
$ | 24.18 |
1,000 |
$ | 143,406,100 |
||||||||||||||||
VIX Futures (Cboe) |
Long |
February 2019 |
4,746 |
22.28 |
1,000 |
105,717,150 |
Swap Agreements as of December 31, 2018 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
iPath S&P 500 VIX Short-Term Futures ETN IOPV |
Goldman Sachs International |
Long |
$ | 46.8826 |
$ | 72,301,516 |
Foreign Currency Forward Contracts as of December 31, 2019 |
||||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||||
Yen |
Goldman Sachs International |
Long |
01/10/20 |
325,804,302 |
0.009213 |
$ | 3,001,477 |
|||||||||||||||
Yen |
UBS AG |
Long |
01/10/20 |
888,782,738 |
0.009214 |
8,189,206 |
||||||||||||||||
Yen |
UBS AG |
Short |
01/10/20 |
(6,892,531 |
) | 0.009164 |
(63,163 |
) |
Foreign Currency Forward Contracts as of December 31, 2018 |
||||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||||
Yen |
Goldman Sachs International |
Long |
01/11/19 |
314,867,300 |
0.008893 |
$ | 2,800,074 |
|||||||||||||||
Yen |
UBS AG |
Long |
01/11/19 |
955,546,600 |
0.009017 |
8,615,742 |
||||||||||||||||
Yen |
UBS AG |
Short |
01/11/19 |
(10,055,200 |
) | 0.008921 |
(89,698 |
) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
WTI Crude Oil (NYMEX) |
Long |
March 2020 |
3,498 |
$ | 60.77 |
1,000 |
$ | 212,573,460 |
||||||||||||||||
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
WTI Crude Oil (NYMEX) |
Long |
March 2019 |
5,751 |
$ | 45.72 |
1,000 |
$ | 262,935,720 |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
WTI Crude Oil (NYMEX) |
Short |
March 2020 |
4,511 |
$ | 60.77 |
1,000 |
$ | (274,133,470 |
) |
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
WTI Crude Oil (NYMEX) |
Short |
March 2019 |
1,225 |
$ | 45.72 |
1,000 |
$ | (56,007,000 |
) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Australian Dollar Fx Currency Futures (CME) |
Short |
March 2020 |
160 |
$ | 70.31 |
1,000 |
$ | (11,260,800 |
) |
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Australian Dollar Fx Currency Futures (CME) |
Short |
March 2019 |
315 |
$ | 70.54 |
1,000 |
$ | (22,313,800 |
) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
WTI Crude Oil (NYMEX) |
Short |
March 2020 |
1,864 |
$ | 60.77 |
1,000 |
$ | (113,275,280 |
) |
Swap Agreements as of December 31, 2019 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg WTI Crude Oil Subindex |
Citibank, N.A. |
Short |
$ | 90.3776 |
$ | (39,727,981 |
) | |||||||
Bloomberg WTI Crude Oil Subindex |
Goldman Sachs International |
Short |
90.3776 |
(37,407,865 |
) | |||||||||
Bloomberg WTI Crude Oil Subindex |
Royal Bank of Canada |
Short |
90.3776 |
(31,487,418 |
) | |||||||||
Bloomberg WTI Crude Oil Subindex |
Societe Generale |
Short |
90.3776 |
(9,213,127 |
) | |||||||||
Bloomberg WTI Crude Oil Subindex |
UBS AG |
Short |
90.3776 |
(19,757,339 |
) |
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
WTI Crude Oil (NYMEX) |
Short |
March 2019 |
641 |
$ | 45.72 |
1,000 |
$ | (29,306,520 |
) | |||||||||||||||
Swap Agreements as of December 31, 2018 |
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||||||
Bloomberg WTI Crude Oil Subindex |
Citibank N.A. |
Short |
$ | 68.6586 |
$ | (67,986,223 |
) | |||||||||||
Bloomberg WTI Crude Oil Subindex |
Goldman Sachs International |
Short |
68.6586 |
(43,744,157 |
) | |||||||||||||
Bloomberg WTI Crude Oil Subindex |
Royal Bank of Canada |
Short |
68.6586 |
(31,327,722 |
) | |||||||||||||
Bloomberg WTI Crude Oil Subindex |
Societe Generale |
Short |
68.6586 |
(13,980,566 |
) | |||||||||||||
Bloomberg WTI Crude Oil Subindex |
UBS AG |
Short |
68.6586 |
(42,493,832 |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Natural Gas (NYMEX) |
Short |
March 2020 |
1,160 |
$ | 2.16 |
10,000 |
$ | (25,032,800 |
) |
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Natural Gas (NYMEX) |
Short |
March 2019 |
1,250 |
$ | 2.85 |
10,000 |
$ | (35,637,500 |
) |
Foreign Currency Forward Contracts as of December 31, 2019 |
||||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||||
Euro |
UBS AG |
Long |
01/10/20 |
19,396,955 |
1.1162 |
$ | 21,651,280 |
|||||||||||||||
Euro |
Goldman Sachs International |
Short |
01/10/20 |
(112,762,143 |
) | 1.1121 |
(125,406,162 |
) | ||||||||||||||
Euro |
UBS AG |
Short |
01/10/20 |
(122,358,446 |
) | 1.1121 |
(136,077,171 |
) | ||||||||||||||
Foreign Currency Forward Contracts as of December 31, 2018 |
||||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||||
Euro |
Goldman Sachs International |
Long |
01/11/19 |
11,497,100 |
1.1418 |
$ | 13,127,174 |
|||||||||||||||
Euro |
UBS AG |
Long |
01/11/19 |
33,071,100 |
1.1451 |
37,868,488 |
||||||||||||||||
Euro |
Goldman Sachs International |
Short |
01/11/19 |
(152,127,525 |
) | 1.1422 |
(173,757,198 |
) | ||||||||||||||
Euro |
UBS AG |
Short |
01/11/19 |
(161,054,700 |
) | 1.1407 |
(183,722,475 |
) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Gold Futures (COMEX) |
Short |
February 2020 |
76 |
$ | 1,523.10 |
100 |
$ | (11,575,560 |
) |
Swap Agreements as of December 31, 2019 |
||||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||||
Bloomberg Gold Subindex |
Citibank, N.A. |
Short |
$ | 174.6300 |
$ | (13,940,590 |
) | |||||||||
Bloomberg Gold Subindex |
Goldman Sachs International |
Short |
174.6300 |
(6,884,579 |
) | |||||||||||
Bloomberg Gold Subindex |
UBS AG |
Short |
174.6300 |
(9,756,431 |
) |
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Gold Futures (COMEX) |
Short |
February 2019 |
10 |
$ | 1,282.70 |
100 |
$ | (1,281,300 |
) |
Forward Agreements as of December 31, 2018 |
||||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Valuation Price |
Notional Amount at Value |
||||||||||||
0.995 Fine Troy Ounce Gold |
Citibank N.A |
Short |
$ | 1,279.65 |
$ | (14,332,080 |
) | |||||||||
0.995 Fine Troy Ounce Gold |
Goldman Sachs International |
Short |
1,279.71 |
(9,723,237 |
) | |||||||||||
0.995 Fine Troy Ounce Gold |
Societe Generale |
Short |
1,279.64 |
(1,279,640 |
) | |||||||||||
0.995 Fine Troy Ounce Gold |
UBS AG |
Short |
1,279.62 |
(9,533,169 |
) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Silver Futures (COMEX) |
Short |
March 2020 |
27 |
$ | 17.92 |
5,000 |
$ | (2,419,335 |
) |
Swap Agreements as of December 31, 2019 |
||||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||||
Bloomberg Silver Subindex |
Citibank, N.A. |
Short |
$ | 170.1072 |
$ | (9,595,700 |
) | |||||||||
Bloomberg Silver Subindex |
Goldman Sachs International |
Short |
170.1072 |
(4,926,137 |
) | |||||||||||
Bloomberg Silver Subindex |
UBS AG |
Short |
170.1072 |
(10,687,683 |
) |
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
Silver Futures (COMEX) |
Short |
March 2019 |
11 |
$ | 15.55 |
5,000 |
$ | (854,700 |
) |
Forward Agreements as of December 31, 2018 |
||||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Valuation Price |
Notional Amount at Value |
||||||||||||
0.999 Fine Troy Ounce Silver |
Citibank N.A. |
Short |
$ | 15.4734 |
$ | (6,173,887 |
) | |||||||||
0.999 Fine Troy Ounce Silver |
Goldman Sachs International |
Short |
15.4746 |
(8,658,038 |
) | |||||||||||
0.999 Fine Troy Ounce Silver |
Societe Generale |
Short |
15.4732 |
(1,547,320 |
) | |||||||||||
0.999 Fine Troy Ounce Silver |
UBS AG |
Short |
15.4747 |
(6,298,203 |
) |
Foreign Currency Forward Contracts as of December 31, 2019 |
||||||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||||||
Yen |
UBS AG |
Long |
01/10/20 |
1,025,624,482 |
0.009170 |
$ | 9,404,720 |
|||||||||||||||||
Yen |
Goldman Sachs International |
Short |
01/10/20 |
(4,448,656,033 |
) | 0.009213 |
(40,983,307 |
) | ||||||||||||||||
Yen |
UBS AG |
Short |
01/10/20 |
(4,893,578,348 |
) | 0.009211 |
(45,072,829 |
) |
Foreign Currency Forward Contracts as of December 31, 2018 |
||||||||||||||||||||||||
Counterparty |
Long or Short |
Settlement Date |
Yen |
Forward Rate |
Market Value USD |
|||||||||||||||||||
Yen |
Goldman Sachs International |
Long |
01/11/19 |
1,459,634,700 |
0.008901 |
$ | 12,991,545 |
|||||||||||||||||
Yen |
UBS AG |
Long |
01/11/19 |
2,446,453,800 |
0.008985 |
21,980,969 |
||||||||||||||||||
Yen |
Goldman Sachs International |
Short |
01/11/19 |
(7,490,711,300 |
) | 0.008893 |
(66,611,796 |
) | ||||||||||||||||
Yen |
UBS AG |
Short |
01/11/19 |
(8,547,990,500 |
) | 0.008888 |
(75,970,705 |
) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
VIX Futures (Cboe) |
Long |
April 2020 |
511 |
$ | 17.43 |
1,000 |
$ | 8,904,175 |
||||||||||||||||
VIX Futures (Cboe) |
Long |
May 2020 |
865 |
17.58 |
1,000 |
15,202,375 |
||||||||||||||||||
VIX Futures (Cboe) |
Long |
June 2020 |
865 |
17.88 |
1,000 |
15,461,875 |
||||||||||||||||||
VIX Futures (Cboe) |
Long |
July 2020 |
354 |
18.13 |
1,000 |
6,416,250 |
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
VIX Futures (Cboe) |
Long |
April 2019 |
503 |
$ | 20.98 |
1,000 |
$ | 10,550,425 |
||||||||||||||||
VIX Futures (Cboe) |
Long |
May 2019 |
906 |
20.75 |
1,000 |
18,799,500 |
||||||||||||||||||
VIX Futures (Cboe) |
Long |
June 2019 |
906 |
20.55 |
1,000 |
18,618,300 |
||||||||||||||||||
VIX Futures (Cboe) |
Long |
July 2019 |
403 |
20.68 |
1,000 |
8,332,025 |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
VIX Futures (Cboe) |
Long |
January 2020 |
10,706 |
$ | 14.63 |
1,000 |
$ | 156,575,250 |
||||||||||||||||
VIX Futures (Cboe) |
Long |
February 2020 |
7,415 |
16.63 |
1,000 |
123,274,375 |
Futures Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||||
VIX Futures (Cboe) |
Long |
January 2019 |
3,561 |
$ | 24.18 |
1,000 |
$ | 86,087,175 |
||||||||||||||||
VIX Futures (Cboe) |
Long |
February 2019 |
2,849 |
22.28 |
1,000 |
63,461,475 |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 37,625 |
$ | 71,866 |
$ | 60,251 |
$ | 6,509 |
$ | 176,251 |
||||||||||
Net realized and unrealized gain (loss) |
$ | 350,977 |
$ | (157,901 |
) | $ | 963,281 |
$ | (153,379 |
) | $ | 1,002,978 |
||||||||
Net income (loss) |
$ | 388,602 |
$ | (86,035 |
) | $ | 1,023,532 |
$ | (146,870 |
) | $ | 1,179,229 |
||||||||
Net increase (decrease) in net asset value per share |
$ | 1.33 |
$ | (0.18 |
) | $ | 2.38 |
$ | (0.99 |
) | $ | 2.54 |
||||||||
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | 934 |
$ | 7,908 |
$ | 11,261 |
$ | 24,354 |
$ | 44,457 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (142,252 |
) | $ | 460,859 |
$ | 87,653 |
$ | 177,089 |
$ | 583,349 |
|||||||||
Net income (loss) |
$ | (141,318 |
) | $ | 468,767 |
$ | 98,914 |
$ | 201,443 |
$ | 627,806 |
|||||||||
Net increase (decrease) in net asset value per share |
$ | (0.71 |
) | $ | 2.35 |
$ | 0.49 |
$ | 1.01 |
$ | 3.14 |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 45,436 |
$ | 725,505 |
$ | 366,033 |
$ | 25,189 |
$ | 1,162,163 |
||||||||||
Net realized and unrealized gain (loss) |
$ | 81,676,814 |
$ | 15,996,074 |
$ | (4,250,833 |
) | $ | 56,953,543 |
$ | 150,375,598 |
|||||||||
Net income (loss) |
$ | 81,722,250 |
$ | 16,721,579 |
$ | (3,884,800 |
) | $ | 56,978,732 |
$ | 151,537,761 |
|||||||||
Net increase (decrease) in net asset value per share |
$ | 9.95 |
$ | 2.20 |
$ | (0.58 |
) | $ | 11.69 |
$ | 23.26 |
|||||||||
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | (1,750,599 |
) | $ | (645,154 |
) | $ | (101,161 |
) | $ | 287,559 |
$ | (2,209,355 |
) | ||||||
Net realized and unrealized gain (loss) |
$ | (1,937,523,391 |
) | $ | 70,228,943 |
$ | 71,756,231 |
$ | (121,751,400 |
) | $ | (1,917,289,617 |
) | |||||||
Net income (loss) |
$ | (1,939,273,990 |
) | $ | 69,583,789 |
$ | 71,655,070 |
$ | (121,463,841 |
) | $ | (1,919,498,972 |
) | |||||||
Net increase (decrease) in net asset value per share |
$ | (462.82 |
) | $ | 4.72 |
$ | 8.00 |
$ | (16.74 |
) | $ | (466.84 |
) |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 1,095,944 |
$ | 1,231,167 |
$ | 964,368 |
$ | 573,105 |
$ | 3,864,584 |
||||||||||
Net realized and unrealized gain (loss) |
$ | 219,922,437 |
$ | (11,746,328 |
) | $ | (44,341,886 |
) | $ | 89,750,924 |
$ | 253,585,147 |
||||||||
Net income (loss) |
$ | 221,018,381 |
$ | (10,515,161 |
) | $ | (43,377,518 |
) | $ | 90,324,029 |
$ | 257,449,731 |
||||||||
Net increase (decrease) in net asset value per share |
$ | 8.46 |
$ | (1.89 |
) | $ | (3.55 |
) | $ | 4.29 |
$ | 7.31 |
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | 334,994 |
$ | 650,229 |
$ | 907,471 |
$ | 1,130,114 |
$ | 3,022,808 |
||||||||||
Net realized and unrealized gain (loss) |
$ | 74,009,930 |
$ | 103,315,781 |
$ | 17,868,429 |
$ | (334,398,877 |
) | $ | (139,204,737 |
) | ||||||||
Net income (loss) |
$ | 74,344,924 |
$ | 103,966,010 |
$ | 18,775,900 |
$ | (333,268,763 |
) | $ | (136,181,929 |
) | ||||||||
Net increase (decrease) in net asset value per share |
$ | 3.82 |
$ | 6.85 |
$ | 1.43 |
$ | (22.70 |
) | $ | (10.60 |
) |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 44,045 |
$ | 49,884 |
$ | 64,345 |
$ | 4,114 |
$ | 162,388 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (2,956,899 |
) | $ | (8,646,662 |
) | $ | 1,504,321 |
$ | (14,608,364 |
) | $ | (24,707,604 |
) | ||||||
Net income (loss) |
$ | (2,912,854 |
) | $ | (8,596,778 |
) | $ | 1,568,666 |
$ | (14,604,250 |
) | $ | (24,545,216 |
) | ||||||
Net increase (decrease) in net asset value per share |
$ | (4.95 |
) | $ | (6.48 |
) | $ | (0.98 |
) | $ | (4.47 |
) | $ | (16.88 |
) | |||||
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | 7,455 |
$ | 21,771 |
$ | 30,444 |
$ | 36,649 |
$ | 96,319 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (3,836,207 |
) | $ | 1,576,734 |
$ | 1,494,408 |
$ | 4,310,866 |
$ | 3,545,801 |
|||||||||
Net income (loss) |
$ | (3,828,752 |
) | $ | 1,598,505 |
$ | 1,524,852 |
$ | 4,347,515 |
$ | 3,642,120 |
|||||||||
Net increase (decrease) in net asset value per share |
$ | (5.16 |
) | $ | 1.80 |
$ | 1.06 |
$ | (5.06 |
) | $ | (7.36 |
) |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 20,829 |
$ | 18,923 |
$ | 12,333 |
$ | 6,443 |
$ | 58,528 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (452,758 |
) | $ | 75,978 |
$ | (546,620 |
) | $ | 252,983 |
$ | (670,417 |
) | |||||||
Net income (loss) |
$ | (431,929 |
) | $ | 94,901 |
$ | (534,287 |
) | $ | 259,426 |
$ | (611,889 |
) | |||||||
Net increase (decrease) in net asset value per share |
$ | (0.80 |
) | $ | 0.21 |
$ | (1.33 |
) | $ | 0.62 |
$ | (1.30 |
) | |||||||
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | 1,487 |
$ | 3,336 |
$ | 8,290 |
$ | 17,710 |
$ | 30,823 |
||||||||||
Net realized and unrealized gain (loss) |
$ | 318,529 |
$ | (1,063,679 |
) | $ | (199,010 |
) | $ | (325,517 |
) | $ | (1,269,677 |
) | ||||||
Net income (loss) |
$ | 320,016 |
$ | (1,060,343 |
) | $ | (190,720 |
) | $ | (307,807 |
) | $ | (1,238,854 |
) | ||||||
Net increase (decrease) in net asset value per share |
$ | 0.66 |
$ | (2.01 |
) | $ | (0.39 |
) | $ | (0.61 |
) | $ | (2.35 |
) |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 212,786 |
$ | 228,086 |
$ | 254,636 |
$ | 207,429 |
$ | 902,937 |
||||||||||
Net realized and unrealized gain (loss) |
$ | 279,826 |
$ | 12,185,406 |
$ | 4,937,206 |
$ | 6,001,591 |
$ | 23,404,029 |
||||||||||
Net income (loss) |
$ | 492,612 |
$ | 12,413,492 |
$ | 5,191,842 |
$ | 6,209,020 |
$ | 24,306,966 |
||||||||||
Net increase (decrease) in net asset value per share |
$ | 0.20 |
$ | 6.46 |
$ | 2.75 |
$ | 2.68 |
$ | 12.09 |
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | 87,511 |
$ | 174,419 |
$ | 187,472 |
$ | 176,229 |
$ | 625,631 |
||||||||||
Net realized and unrealized gain (loss) |
$ | 3,647,616 |
$ | (11,510,819 |
) | $ | (9,205,070 |
) | $ | 10,403,281 |
$ | (6,664,992 |
) | |||||||
Net income (loss) |
$ | 3,735,127 |
$ | (11,336,400 |
) | $ | (9,017,598 |
) | $ | 10,579,510 |
$ | (6,039,361 |
) | |||||||
Net increase (decrease) in net asset value per share |
$ | 1.56 |
$ | (4.95 |
) | $ | (4.00 |
) | $ | 4.63 |
$ | (2.76 |
) |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 445,559 |
$ | 512,068 |
$ | 489,406 |
$ | 409,237 |
$ | 1,856,270 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (13,588,404 |
) | $ | 485,637 |
$ | 33,071,129 |
$ | 18,628,882 |
$ | 38,597,244 |
|||||||||
Net income (loss) |
$ | (13,142,845 |
) | $ | 997,705 |
$ | 33,560,535 |
$ | 19,038,119 |
$ | 40,453,514 |
|||||||||
Net increase (decrease) in net asset value per share |
$ | (1.87 |
) | $ | .10 |
$ | 4.59 |
$ | 2.49 |
$ | 5.31 |
|||||||||
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | 214,408 |
$ | 386,411 |
$ | 489,197 |
$ | 379,163 |
$ | 1,469,179 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (19,015,679 |
) | $ | (9,668,809 |
) | $ | (50,021,707 |
) | $ | 26,147,651 |
$ | (52,558,544 |
) | ||||||
Net income (loss) |
$ | (18,801,271 |
) | $ | (9,282,398 |
) | $ | (49,532,510 |
) | $ | 26,526,814 |
$ | (51,089,365 |
) | ||||||
Net increase (decrease) in net asset value per share |
$ | (2.72 |
) | $ | (1.45 |
) | $ | (6.36 |
) | $ | 3.37 |
$ | (7.16 |
) |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | (150,629 |
) | $ | 507,125 |
$ | 128,125 |
$ | (389,569 |
) | $ | 95,052 |
||||||||
Net realized and unrealized gain (loss) |
$ | (234,281,324 |
) | $ | (94,539,260 |
) | $ | (10,108,464 |
) | $ | (351,677,844 |
) | $ | (690,606,892 |
) | |||||
Net income (loss) |
$ | (234,431,953 |
) | $ | (94,032,135 |
) | $ | (9,980,339 |
) | $ | (352,067,413 |
) | $ | (690,511,840 |
) | |||||
Net increase (decrease) in net asset value per share |
$ | (42.46 |
) | $ | (8.63 |
) | $ | (4.99 |
) | $ | (12.71 |
) | $ | (68.79 |
) | |||||
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | (1,067,496 |
) | $ | (1,082,646 |
) | $ | (1,124,013 |
) | $ | 128,484 |
$ | (3,145,671 |
) | ||||||
Net realized and unrealized gain (loss) |
$ | 484,076,554 |
$ | (148,750,315 |
) | $ | (230,179,281 |
) | $ | 350,498,454 |
$ | 455,645,412 |
||||||||
Net income (loss) |
$ | 483,009,058 |
$ | (149,832,961 |
) | $ | (231,303,294 |
) | $ | 350,626,938 |
$ | 452,499,741 |
||||||||
Net increase (decrease) in net asset value per share |
$ | 43.35 |
$ | (33.76 |
) | $ | (24.76 |
) | $ | 44.96 |
$ | 29.79 |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 14,571 |
$ | 9,668 |
$ | 8,446 |
$ | 5,829 |
$ | 38,514 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (189,904 |
) | $ | 154,832 |
$ | (38,615 |
) | $ | (55,889 |
) | $ | (129,576 |
) | ||||||
Net income (loss) |
$ | (175,333 |
) | $ | 164,500 |
$ | (30,169 |
) | $ | (50,060 |
) | $ | (91,062 |
) | ||||||
Net increase (decrease) in net asset value per share |
$ | (1.88 |
) | $ | 2.44 |
$ | (1.03 |
) | $ | (1.23 |
) | $ | (1.70 |
) |
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | (3,069 |
) | $ | (2,527 |
) | $ | (1,364 |
) | $ | 5,977 |
$ | (983 |
) | ||||||
Net realized and unrealized gain (loss) |
$ | 310,931 |
$ | (277,136 |
) | $ | (177,347 |
) | $ | 185,406 |
$ | 41,854 |
||||||||
Net income (loss) |
$ | 307,862 |
$ | (279,663 |
) | $ | (178,711 |
) | $ | 191,383 |
$ | 40,871 |
||||||||
Net increase (decrease) in net asset value per share |
$ | 6.16 |
$ | (5.60 |
) | $ | (3.57 |
) | $ | 3.22 |
$ | 0.21 |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 252,849 |
$ | 260,997 |
$ | 166,187 |
$ | 50,048 |
$ | 730,081 |
||||||||||
Net realized and unrealized gain (loss) |
$ | 86,429,677 |
$ | (9,317,208 |
) | $ | (20,140,427 |
) | $ | 42,925,640 |
$ | 99,897,682 |
||||||||
Net income (loss) |
$ | 86,682,526 |
$ | (9,056,211 |
) | $ | (19,974,240 |
) | $ | 42,975,688 |
$ | 100,627,763 |
||||||||
Net increase (decrease) in net asset value per share |
$ | 13.87 |
$ | (4.41 |
) | $ | (7.12 |
) | $ | 6.05 |
$ | 8.39 |
||||||||
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | (31,115 |
) | $ | (64,951 |
) | $ | 3,898 |
$ | 53,884 |
$ | (38,284 |
) | |||||||
Net realized and unrealized gain (loss) |
$ | 3,206,782 |
$ | 8,642,480 |
$ | 4,526,787 |
$ | (78,680,204 |
) | $ | (62,304,155 |
) | ||||||||
Net income (loss) |
$ | 3,175,667 |
$ | 8,577,529 |
$ | 4,530,685 |
$ | (78,626,320 |
) | $ | (62,342,439 |
) | ||||||||
Net increase (decrease) in net asset value per share |
$ | 8.52 |
$ | 16.48 |
$ | 2.36 |
$ | (52.06 |
) | $ | (24.70 |
) |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 24,014 |
$ | 37,229 |
$ | 36,261 |
$ | 5,893 |
$ | 103,397 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (11,765,350 |
) | $ | 112,611 |
$ | 17,342,394 |
$ | (23,468,770 |
) | $ | (17,779,115 |
) | |||||||
Net income (loss) |
$ | (11,741,336 |
) | $ | 149,840 |
$ | 17,378,655 |
$ | (23,462,877 |
) | $ | (17,675,718 |
) | |||||||
Net increase (decrease) in net asset value per share |
$ | (29.17 |
) | $ | (0.82 |
) | $ | (2.77 |
) | $ | (6.37 |
) | $ | (39.13 |
) | |||||
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | (67,214 |
) | $ | (65,455 |
) | $ | (8,035 |
) | $ | 32,013 |
$ | (108,691 |
) | ||||||
Net realized and unrealized gain (loss) |
$ | (5,422,950 |
) | $ | (8,500,464 |
) | $ | (2,905,992 |
) | $ | 34,214,317 |
$ | 17,384,911 |
|||||||
Net income (loss) |
$ | (5,490,164 |
) | $ | (8,565,919 |
) | $ | (2,914,027 |
) | $ | 34,246,330 |
$ | 17,276,220 |
|||||||
Net increase (decrease) in net asset value per share |
$ | (11.52 |
) | $ | (11.49 |
) | $ | (2.90 |
) | $ | 33.38 |
$ | 7.47 |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 25,789 |
$ | 25,895 |
$ | 19,953 |
$ | 8,688 |
$ | 80,325 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (314,459 |
) | $ | 175,523 |
$ | 663,547 |
$ | (427,020 |
) | $ | 97,591 |
||||||||
Net income (loss) |
$ | (288,670 |
) | $ | 201,418 |
$ | 683,500 |
$ | (418,332 |
) | $ | 177,916 |
||||||||
Net increase (decrease) in net asset value per share |
$ | (0.88 |
) | $ | 1.34 |
$ | 4.75 |
$ | (4.42 |
) | $ | 0.79 |
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | 135 |
$ | 4,750 |
$ | 9,501 |
$ | 22,360 |
$ | 36,746 |
||||||||||
Net realized and unrealized gain (loss) |
$ | 71,892 |
$ | 509,518 |
$ | 371,946 |
$ | 580,876 |
$ | 1,534,232 |
||||||||||
Net income (loss) |
$ | 72,027 |
$ | 514,268 |
$ | 381,447 |
$ | 603,236 |
$ | 1,570,978 |
||||||||||
Net increase (decrease) in net asset value per share |
$ | 1.42 |
$ | 3.43 |
$ | 2.19 |
$ | 2.59 |
$ | 9.63 |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 185,815 |
$ | 215,797 |
$ | 200,283 |
$ | 107,904 |
$ | 709,799 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (42,073,393 |
) | $ | 7,580,828 |
$ | 10,965,855 |
$ | (21,789,492 |
) | $ | (45,316,202 |
) | |||||||
Net income (loss) |
$ | (41,887,578 |
) | $ | 7,796,625 |
$ | 11,166,138 |
$ | (21,681,588 |
) | $ | (44,606,403 |
) | |||||||
Net increase (decrease) in net asset value per share |
$ | (12.90 |
) | $ | (0.03 |
) | $ | (0.46 |
) | $ | (4.21 |
) | $ | (17.60 |
) | |||||
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | 189,482 |
$ | 343,498 |
$ | 350,275 |
$ | 155,375 |
$ | 1,038,630 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (32,789,044 |
) | $ | (49,301,579 |
) | $ | (9,315,729 |
) | $ | 107,877,779 |
$ | 16,471,427 |
|||||||
Net income (loss) |
$ | (32,599,562 |
) | $ | (48,958,081 |
) | $ | (8,965,454 |
) | $ | 108,033,154 |
$ | 17,510,057 |
|||||||
Net increase (decrease) in net asset value per share |
$ | (4.35 |
) | $ | (5.03 |
) | $ | (1.34 |
) | $ | 16.20 |
$ | 5.48 |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 19,484 |
$ | 11,719 |
$ | 4,656 |
$ | (6,442 |
) | $ | 29,417 |
|||||||||
Net realized and unrealized gain (loss) |
$ | 1,002,714 |
$ | 2,903,656 |
$ | 723,285 |
$ | 4,491,526 |
$ | 9,121,181 |
||||||||||
Net income (loss) |
$ | 1,022,198 |
$ | 2,915,375 |
$ | 727,941 |
$ | 4,485,084 |
$ | 9,150,598 |
||||||||||
Net increase (decrease) in net asset value per share |
$ | 1.04 |
$ | 8.10 |
$ | (1.33 |
) | $ | 9.11 |
$ | 16.92 |
|||||||||
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | (9,587 |
) | $ | (2,564 |
) | $ | 1,662 |
$ | 6,035 |
$ | (4,454 |
) | |||||||
Net realized and unrealized gain (loss) |
$ | 1,678,891 |
$ | (587,894 |
) | $ | (278,829 |
) | $ | (3,025,179 |
) | $ | (2,213,011 |
) | ||||||
Net income (loss) |
$ | 1,669,304 |
$ | (590,458 |
) | $ | (277,167 |
) | $ | (3,019,144 |
) | $ | (2,217,465 |
) | ||||||
Net increase (decrease) in net asset value per share |
$ | 3.40 |
$ | (4.29 |
) | $ | (2.99 |
) | $ | (13.99 |
) | $ | (17.87 |
) |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 434,473 |
$ | 471,256 |
$ | 371,679 |
$ | 251,422 |
$ | 1,528,830 |
||||||||||
Net realized and unrealized gain (loss) |
$ | 7,754,055 |
$ | (1,896,379 |
) | $ | 12,977,337 |
$ | (5,841,242 |
) | $ | 12,993,771 |
||||||||
Net income (loss) |
$ | 8,188,528 |
$ | (1,425,123 |
) | $ | 13,349,016 |
$ | (5,589,820 |
) | $ | 14,522,601 |
||||||||
Net increase (decrease) in net asset value per share |
$ | 1.40 |
$ | (0.28 |
) | $ | 2.63 |
$ | (1.22 |
) | $ | 2.53 |
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | 168,129 |
$ | 322,447 |
$ | 376,603 |
$ | 457,315 |
$ | 1,324,494 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (8,816,475 |
) | $ | 22,599,812 |
$ | 3,375,847 |
$ | 6,663,407 |
$ | 23,822,591 |
|||||||||
Net income (loss) |
$ | (8,648,346 |
) | $ | 22,922,259 |
$ | 3,752,450 |
$ | 7,120,722 |
$ | 25,147,085 |
|||||||||
Net increase (decrease) in net asset value per share |
$ | (0.88 |
) | $ | 2.46 |
$ | 0.51 |
$ | 0.97 |
$ | 3.06 |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 47,471 |
$ | 52,582 |
$ | 53,681 |
$ | 32,980 |
$ | 186,714 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (290,878 |
) | $ | (3,257,747 |
) | $ | (767,290 |
) | $ | (1,417,644 |
) | $ | (5,733,559 |
) | |||||
Net income (loss) |
$ | (243,407 |
) | $ | (3,205,165 |
) | $ | (713,609 |
) | $ | (1,384,664 |
) | $ | (5,546,845 |
) | |||||
Net increase (decrease) in net asset value per share |
$ | (0.86 |
) | $ | (11.28 |
) | $ | (4.58 |
) | $ | (3.54 |
) | $ | (20.26 |
) | |||||
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | 22,378 |
$ | 47,828 |
$ | 51,360 |
$ | 49,775 |
$ | 171,341 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (1,361,639 |
) | $ | 3,454,273 |
$ | 2,987,259 |
$ | (3,283,495 |
) | $ | 1,796,398 |
||||||||
Net income (loss) |
$ | (1,339,261 |
) | $ | 3,502,101 |
$ | 3,038,619 |
$ | (3,233,720 |
) | $ | 1,967,739 |
||||||||
Net increase (decrease) in net asset value per share |
$ | (3.33 |
) | $ | 8.51 |
$ | 8.75 |
$ | (11.12 |
) | $ | 2.81 |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 31,554 |
$ | 42,177 |
$ | 40,671 |
$ | 17,511 |
$ | 131,913 |
||||||||||
Net realized and unrealized gain (loss) |
$ | 745,325 |
$ | (596,758 |
) | $ | (2,836,930 |
) | $ | (2,053,612 |
) | $ | (4,741,975 |
) | ||||||
Net income (loss) |
$ | 776,879 |
$ | (554,581 |
) | $ | (2,796,259 |
) | $ | (2,036,100 |
) | $ | (4,610,061 |
) | ||||||
Net increase (decrease) in net asset value per share |
$ | 2.05 |
$ | (0.96 |
) | $ | (8.35 |
) | $ | (3.11 |
) | $ | (10.37 |
) | ||||||
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | 13,187 |
$ | 33,075 |
$ | 41,266 |
$ | 24,944 |
$ | 112,472 |
||||||||||
Net realized and unrealized gain (loss) |
$ | 1,107,177 |
$ | 811,275 |
$ | 5,482,203 |
$ | (2,494,901 |
) | $ | 4,905,754 |
|||||||||
Net income (loss) |
$ | 1,120,364 |
$ | 844,350 |
$ | 5,523,469 |
$ | (2,469,957 |
) | $ | 5,018,226 |
|||||||||
Net increase (decrease) in net asset value per share |
$ | 2.22 |
$ | 0.84 |
$ | 8.79 |
$ | (6.43 |
) | $ | 5.42 |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 167,574 |
$ | 175,443 |
$ | 137,637 |
$ | 74,820 |
$ | 555,474 |
||||||||||
Net realized and unrealized gain (loss) |
$ | 2,090,200 |
$ | (2,316,880 |
) | $ | 605,022 |
$ | 862,500 |
$ | 1,240,842 |
|||||||||
Net income (loss) |
$ | 2,257,774 |
$ | (2,141,437 |
) | $ | 742,659 |
$ | 937,320 |
$ | 1,796,316 |
|||||||||
Net increase (decrease) in net asset value per share |
$ | 2.58 |
$ | (3.01 |
) | $ | 1.27 |
$ | 1.64 |
$ | 2.48 |
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | 81,401 |
$ | 151,662 |
$ | 178,878 |
$ | 195,933 |
$ | 607,874 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (11,656,244 |
) | $ | 7,918,559 |
$ | 4,795,653 |
$ | (3,586,623 |
) | $ | (2,528,655 |
) | |||||||
Net income (loss) |
$ | (11,574,843 |
) | $ | 8,070,221 |
$ | 4,974,531 |
$ | (3,390,690 |
) | $ | (1,920,781 |
) | |||||||
Net increase (decrease) in net asset value per share |
$ | (7.73 |
) | $ | 6.29 |
$ | 4.72 |
$ | (4.32 |
) | $ | (1.04 |
) |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 149,266 |
$ | 133,606 |
$ | 129,497 |
$ | 80,844 |
$ | 493,213 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (10,628,469 |
) | $ | (852,138 |
) | $ | 4,127,635 |
$ | (4,913,553 |
) | $ | (12,266,525 |
) | ||||||
Net income (loss) |
$ | (10,479,203 |
) | $ | (718,532 |
) | $ | 4,257,132 |
$ | (4,832,709 |
) | $ | (11,773,312 |
) | ||||||
Net increase (decrease) in net asset value per share |
$ | (5.01 |
) | $ | (0.22 |
) | $ | 2.08 |
$ | (2.23 |
) | $ | (5.38 |
) | ||||||
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | (4,487 |
) | $ | 2,771 |
$ | 20,539 |
$ | 97,505 |
$ | 116,328 |
|||||||||
Net realized and unrealized gain (loss) |
$ | 8,636,903 |
$ | (2,832,596 |
) | $ | (2,176,011 |
) | $ | 6,677,557 |
$ | 10,305,853 |
||||||||
Net income (loss) |
$ | 8,632,416 |
$ | (2,829,825 |
) | $ | (2,155,472 |
) | $ | 6,775,062 |
$ | 10,422,181 |
||||||||
Net increase (decrease) in net asset value per share |
$ | 5.32 |
$ | (3.58 |
) | $ | (2.46 |
) | $ | 6.08 |
$ | 5.36 |
Three Months Ended (unaudited) |
Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30, 2019 |
September 30, 2019 |
December 31, 2019 |
|||||||||||||||||
Net investment income (loss) |
$ | 476,702 |
$ | 724,602 |
$ | 615,421 |
$ | 336,674 |
$ | 2,153,399 |
||||||||||
Net realized and unrealized gain (loss) |
$ | (76,190,815 |
) | $ | (23,082,821 |
) | $ | (2,496,651 |
) | $ | (125,351,164 |
) | $ | (227,121,451 |
) | |||||
Net income (loss) |
$ | (75,714,113 |
) | $ | (22,358,219 |
) | $ | (1,881,230 |
) | $ | (125,014,490 |
) | $ | (224,968,052 |
) | |||||
Net increase (decrease) in net asset value per share |
$ | (14.50 |
) | $ | (3.22 |
) | $ | (1.67 |
) | $ | (6.89 |
) | $ | (26.28 |
) | |||||
Three Months Ended (unaudited) |
Year Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018 |
June 30, 2018 |
September 30, 2018 |
December 31, 2018 |
|||||||||||||||||
Net investment income (loss) |
$ | (47,426 |
) | $ | (16,991 |
) | $ | 50,013 |
$ | 381,069 |
$ | 366,665 |
||||||||
Net realized and unrealized gain (loss) |
$ | 91,294,868 |
$ | (23,350,906 |
) | $ | (41,230,299 |
) | $ | 85,342,613 |
$ | 112,056,276 |
||||||||
Net income (loss) |
$ | 91,247,442 |
$ | (23,367,897 |
) | $ | (41,180,286 |
) | $ | 85,723,682 |
$ | 112,422,941 |
||||||||
Net increase (decrease) in net asset value per share |
$ | 16.42 |
$ | (9.34 |
) | $ | (8.57 |
) | $ | 16.73 |
$ | 15.24 |
• | selects the Funds’ service providers; |
• | negotiates various agreements and fees; |
• | performs such other services as the Sponsor believes that the Trust may require from time to time; |
• | selects the FCM and Financial Instrument counterparties; |
• | manages each Fund’s portfolio of other assets, including cash equivalents; and |
• | manages the Funds with a view toward achieving the Funds’ investment objectives. |
Name |
Position | |
Michael L. Sapir |
Chief Executive Officer and Principal of the Sponsor | |
Louis M. Mayberg |
Principal of the Sponsor | |
William E. Seale |
Principal of the Sponsor | |
Sapir Family Trust |
Principal of the Sponsor | |
Northstar Trust |
Principal of the Sponsor | |
Timothy N. Coakley |
Chief Financial Officer and Principal of the Sponsor | |
Edward J. Karpowicz |
Principal Financial Officer of the Trust and Principal of the Sponsor | |
Todd B. Johnson* |
Principal Executive Officer of the Trust and Chief Investment Officer and Principal of the Sponsor | |
Hratch Najarian |
Director, Portfolio Management and Principal of the Sponsor | |
Alexander Ilyasov |
Senior Portfolio Manager of the Sponsor | |
Ryan Dofflemeyer |
Portfolio Manager and Associated Person of the Sponsor | |
Benjamin McAbee |
Portfolio Manager of the Sponsor | |
Victor M. Frye |
Principal of the Sponsor |
* | Denotes principal of the Sponsor who supervises persons who participate in making trading decisions for the Funds. |
Fund |
Amount |
|||
ProShares Short Euro |
$ | 135,292 |
||
ProShares Short VIX Short-Term Futures ETF |
3,333,950 |
|||
ProShares Ultra Bloomberg Crude Oil |
3,612,580 |
|||
ProShares Ultra Bloomberg Natural Gas |
297,043 |
|||
ProShares Ultra Euro |
62,543 |
|||
ProShares Ultra Gold |
884,410 |
|||
ProShares Ultra Silver |
1,928,478 |
|||
ProShares Ultra VIX Short-Term Futures ETF |
4,819,171 |
|||
ProShares Ultra Yen |
39,949 |
|||
ProShares UltraPro 3x Crude Oil ETF |
1,049,564 |
|||
ProShares UltraPro 3x Short Crude Oil ETF |
312,430 |
|||
ProShares UltraShort Australian Dollar |
72,858 |
|||
ProShares UltraShort Bloomberg Crude Oil |
769,401 |
|||
ProShares UltraShort Bloomberg Natural Gas |
83,978 |
|||
ProShares UltraShort Euro |
1,293,377 |
|||
ProShares UltraShort Gold |
188,089 |
|||
ProShares UltraShort Silver |
139,668 |
|||
ProShares UltraShort Yen |
451,638 |
|||
ProShares VIX Mid-Term Futures ETF |
380,474 |
|||
ProShares VIX Short-Term Futures ETF |
2,038,850 |
(1) to (4). | Fees for services performed by PricewaterhouseCoopers LLP (“PwC”) for the years ended December 31, 2019 and 2018 were as follows: |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
|||||||
Audit Fees |
$ | 730,400 |
$ | 810,400 |
||||
Audit-Related Fees |
— |
34,000 |
||||||
Tax Fees |
3,158,000 |
3,207,930 |
||||||
All Other Fees |
— |
— |
||||||
Total Trust: |
$ |
3,888,400 |
$ |
4,052,330 |
||||
(5) | The Sponsor approved all of the services provided by PwC described above. The Sponsor pre-approves all audit and allowed non-audit services of the Trust’s independent registered public accounting firm, including all engagement fees and terms. |
Exhibit No. |
Description of Document | |||
4.1 |
||||
4.2 |
||||
4.2.1 |
||||
4.3 |
||||
10.1 |
||||
10.2 |
||||
10.3 |
||||
10.4 |
||||
10.5 |
||||
23.1 |
||||
31.1 |
||||
31.2 |
||||
32.1 |
||||
32.2 |
||||
101.INS |
XBRL Instance Document | |||
101.SCH |
XBRL Taxonomy Extension Schema | |||
101.CAL |
XBRL Taxonomy Extension Calculation Linkbase | |||
101.DEF |
XBRL Taxonomy Extension Definition Linkbase | |||
101.LAB |
XBRL Taxonomy Extension Label Linkbase | |||
101.PRE |
XBRL Taxonomy Extension Presentation Linkbase | |||
104.1 |
Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document. |
(1) | Incorporated by reference to the Trust’s Registration Statement, filed on October 18, 2007. |
(2) | Incorporated by reference to the Trust’s Registration Statement, filed on August 15, 2008. |
(3) | Incorporated by reference to the Trust’s Registration Statement, filed on September 18, 2008. |
(4) | Incorporated by reference to the Trust’s Registration Statement, filed on November 17, 2008. |
(5) | Incorporated by reference to the Trust’s Registration Statement, filed on October 22, 2008. |
(6) | Filed herewith. |
Documents |
Page |
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||||
134 |
||||
140 |
||||
146 |
||||
152 |
||||
158 |
||||
164 |
||||
170 |
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176 |
||||
182 |
||||
188 |
||||
194 |
||||
200 |
||||
206 |
||||
212 |
||||
218 |
||||
224 |
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230 |
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236 |
||||
242 |
||||
248 |
||||
254 |
||||
258 |
ProShares Short Euro (a) |
ProShares UltraShort Australian Dollar (a) | |
ProShares Short VIX Short-Term Futures ETF (a) |
ProShares UltraShort Bloomberg Crude Oil (a) | |
ProShares Ultra Bloomberg Crude Oil (a) |
ProShares UltraShort Bloomberg Natural Gas (a) | |
ProShares Ultra Bloomberg Natural Gas (a) |
ProShares UltraShort Euro (a) | |
ProShares Ultra Euro (a) |
ProShares UltraShort Gold (a) | |
ProShares Ultra Gold (a) |
ProShares UltraShort Silver (a) | |
ProShares Ultra Silver (a) |
ProShares UltraShort Yen (a) | |
ProShares Ultra VIX Short-Term Futures ETF (a) |
ProShares VIX Mid-Term Futures ETF (a) | |
ProShares Ultra Yen (a) |
ProShares VIX Short-Term Futures ETF (a) | |
ProShares UltraPro 3x Crude Oil ETF (b) |
| |
ProShares UltraPro 3x Short Crude Oil ETF (b) |
ProShares Trust II (“combined”) (c) |
(a) | Statements of financial condition, including the schedules of investments, as of December 31, 2019 and 2018, and the related statements of operations, of changes in shareholders’ equity and of cash flows for each of the three years in the period ended December 31, 2019 |
(b) | Statements of financial condition, including the schedules of investments, as of December 31, 2019 and 2018, and the related statements of operations, of changes in shareholders’ equity and of cash flows for each of the two years in the period ended December 31, 2019 and for the period January 13, 2017 (inception) through December 31, 2017 |
(c) | Combined statements of financial condition as of December 31, 2019 and 2018, and the related combined statements of operations, of changes in shareholders’ equity and of cash flows for each of the three years in the period ended December 31, 2019 |
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
|
|
||||||
Payable to Sponsor |
|
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Euro Fx Currency Futures - CME, expires March 2020 |
|
$ | |
$ | ( |
) |
^^ |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
|
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Euro Fx Currency Futures - CME, expires March 2019 |
|
$ | |
$ | ( |
) |
^^ |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
|
|
( |
) | ||||||||
Short-term U.S. government and agency obligations |
|
— |
( |
) | ||||||||
Net realized gain (loss) |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
|
|
( |
) | ||||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
|
|
( |
) | ||||||||
Net realized and unrealized gain (loss) |
|
|
( |
) | ||||||||
Net income (loss) |
$ | |
$ | |
$ | ( |
) | |||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
— |
— |
|||||||||
Redemption of |
( |
) | — |
( |
) | |||||||
Net addition (redemption) of ( |
( |
) | — |
( |
) | |||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Net realized gain (loss) |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
|
|
( |
) | ||||||||
Net income (loss) |
|
|
( |
) | ||||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | |
$ | |
$ | ( |
) | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | — |
|
||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | |
|||||||
Decrease (Increase) in interest receivable |
|
( |
) | — |
||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | |
( |
) | |||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) operating activities |
|
|
|
|||||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
— |
— |
|||||||||
Payment on shares redeemed |
( |
) | — |
( |
) | |||||||
Net cash provided by (used in) financing activities |
( |
) | — |
( |
) | |||||||
Net increase (decrease) in cash |
( |
) | |
( |
) | |||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | — |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Receivable on open futures contracts |
|
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
— |
|
||||||
Payable to Sponsor |
|
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | |
$ | |
||||
† |
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe , expires January 2020 |
|
$ | |
$ | |
|||||||
VIX Futures - Cboe , expires February 2020 |
|
|
( |
) | ||||||||
$ | |
|||||||||||
^^ |
† |
All or partial amount pledged as collateral for futures contracts. |
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe , expires January 2019 |
|
$ | |
$ | ( |
) | ||||||
VIX Futures - Cboe , expires February 2019 |
|
|
|
|||||||||
$ | ( |
) | ||||||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Brokerage fees |
|
|
|
|||||||||
Non-recurring fees and expenses |
|
— |
— |
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
( |
) | ( |
) | |||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
|
( |
) | |
||||||||
Short-term U.S. government and agency obligations |
|
( |
) | ( |
) | |||||||
Net realized gain (loss) |
|
( |
) | |
||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
|
( |
) | |
||||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
|
( |
) | |
||||||||
Net realized and unrealized gain (loss) |
|
( |
) | |
||||||||
Net income (loss) |
$ | |
$ | ( |
) | $ | |
|||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of ( |
( |
) | |
( |
) | |||||||
Net investment income (loss) |
|
( |
) | ( |
) | |||||||
Net realized gain (loss) |
|
( |
) | |
||||||||
Change in net unrealized appreciation (depreciation) |
|
( |
) | |
||||||||
Net income (loss) |
|
( |
) | |
||||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | |
$ | ( |
) | $ | |
|||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | |
|
||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | |
|||||||
Decrease (Increase) in receivable on futures contracts |
|
( |
) | ( |
) | |||||||
Decrease (Increase) in interest receivable |
|
( |
) | — |
||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | |
|||||||
Increase (Decrease) in payable on futures contracts |
( |
) | |
|
||||||||
Net cash provided by (used in) operating activities |
|
( |
) | |
||||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
( |
) | |
( |
) | |||||||
Net increase (decrease) in cash |
( |
) | ( |
) | |
|||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Segregated cash balances with brokers for swap agreements |
— |
|
||||||
Unrealized appreciation on swap agreements |
|
— |
||||||
Receivable from capital shares sold |
— |
|
||||||
Receivable on open futures contracts |
— |
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
|
|
||||||
Payable to Sponsor |
|
|
||||||
Unrealized depreciation on swap agreements |
— |
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | |
$ | |
||||
† |
|
|
||||||
|
|
|
||||||
† |
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires March 2020 |
|
$ | |
$ | |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex |
|
% | |
$ | |
$ | |
|||||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex |
|
|
|
|
||||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex |
|
|
|
|
||||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex |
|
|
|
|
||||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex |
|
|
|
|
||||||||||||
Total Unrealized Appreciation |
$ | |
||||||||||||||
† All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ * Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | |
$ | |
||||
† |
|
|
||||||
† |
|
|
||||||
† |
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires March 2019 |
|
$ | |
$ | ( |
) |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex |
|
% | |
$ | |
$ | ( |
) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex |
|
|
|
( |
) | |||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex |
|
|
|
( |
) | |||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex |
|
|
|
( |
) | |||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex |
|
|
|
( |
) | |||||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
† |
All or partial amount pledged as collateral for swap agreements. | |
^ |
The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. | |
^^ |
| |
* |
Reflects the floating financing rate, as of December 31, 2018, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. | |
** |
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
|
( |
) | |
||||||||
Swap agreements |
|
|
( |
) | ||||||||
Short-term U.S. government and agency obligations |
|
( |
) | ( |
) | |||||||
Net realized gain (loss) |
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
|
( |
) | |
||||||||
Swap agreements |
|
( |
) | |
||||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
|
( |
) | |
||||||||
Net realized and unrealized gain (loss) |
|
( |
) | |
||||||||
Net income (loss) |
$ | |
$ | ( |
) | $ | |
|||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Net realized gain (loss) |
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) |
|
( |
) | |
||||||||
Net income (loss) |
|
( |
) | |
||||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | |
$ | ( |
) | $ | |
|||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | |
|
||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | |
( |
) | |||||||
Decrease (Increase) in receivable on futures contracts |
|
|
( |
) | ||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | — |
|||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ( |
) | ||||||
Increase (Decrease) in brokerage commissions payable |
— |
— |
( |
) | ||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | |
( |
) | |||||||
Net cash provided by (used in) operating activities |
|
|
|
|||||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ( |
) | ||||||
Net increase (decrease) in cash |
( |
) | |
( |
) | |||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Receivable from capital shares sold |
— |
|
||||||
Receivable on open futures contracts |
|
— |
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
— |
|
||||||
Payable to Sponsor |
|
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
|
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural Gas - NYMEX, expires March 2020 |
|
$ | |
$ | ( |
) |
^^ |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
|
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural Gas - NYMEX, expires March 2019 |
|
$ | |
$ | ( |
) |
^^ |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | |
( |
) | |||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) |
( |
) | |
( |
) | |||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
|
( |
) | |
||||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
|
( |
) | |
||||||||
Net realized and unrealized gain (loss) |
( |
) | |
( |
) | |||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | ( |
) | ||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of ( and |
|
( |
) | |
||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Net realized gain (loss) |
( |
) | |
( |
) | |||||||
Change in net unrealized appreciation (depreciation) |
|
( |
) | |
||||||||
Net income (loss) |
( |
) | |
( |
) | |||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
|
|
|
|||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | |
|||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | |
( |
) | |||||||
Decrease (Increase) in interest receivable |
|
( |
) | — |
||||||||
Increase (Decrease) in payable to Sponsor |
|
( |
) | |
||||||||
Increase (Decrease) in brokerage commissions payable |
— |
— |
( |
) | ||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | |
( |
) | |||||||
Net cash provided by (used in) operating activities |
( |
) | |
( |
) | |||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
|
( |
) | |
||||||||
Net increase (decrease) in cash |
|
( |
) | |
||||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for foreign currency forward contracts |
|
|
||||||
Unrealized appreciation on foreign currency forward contracts |
|
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable to Sponsor |
|
|
||||||
Unrealized depreciation on foreign currency forward contracts |
— |
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
|
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Euro with Goldman Sachs International |
|
|
$ | |
$ | |
||||||||||
Euro with UBS AG |
|
|
|
|
||||||||||||
Total Unrealized Appreciation |
$ | |
||||||||||||||
^ The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
|
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Euro with Goldman Sachs International |
|
|
$ | |
$ | |
||||||||||
Euro with UBS AG |
|
|
|
|
||||||||||||
Total Unrealized Appreciation |
$ | |
||||||||||||||
Contracts to Sell |
||||||||||||||||
Euro with Goldman Sachs International |
|
( |
) | $ | ( |
) | $ | ( |
) | |||||||
Euro with UBS AG |
|
( |
) | ( |
) | ( |
) | |||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
^ |
The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | |
|||||||
Short-term U.S. government and agency obligations |
— |
|
( |
) | ||||||||
Net realized gain (loss) |
( |
) | ( |
) | |
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Foreign currency forward contracts |
|
( |
) | |
||||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
|
( |
) | |
||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | |
|||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | |
||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Net realized gain (loss) |
( |
) | ( |
) | |
|||||||
Change in net unrealized appreciation (depreciation) |
|
( |
) | |
||||||||
Net income (loss) |
( |
) | ( |
) | |
|||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | |
||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
— |
( |
) | |
||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | |
( |
) | |||||||
Decrease (Increase) in interest receivable |
|
( |
) | — |
||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) operating activities |
( |
) | |
|
||||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ( |
) | ||||||
Net increase (decrease) in cash |
( |
) | |
|
||||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Segregated cash balances with brokers for forward agreements |
— |
|
||||||
Unrealized appreciation on swap agreements |
|
— |
||||||
Unrealized appreciation on forward agreements |
— |
|
||||||
Receivable on open futures contracts |
|
— |
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— |
|
||||||
Payable on open futures contracts |
|
|
||||||
Payable to Sponsor |
|
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | |
$ | |
||||
† |
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold Futures - COMEX, expires February 2020 |
|
$ | |
$ | |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex |
|
% | |
$ | |
$ | |
|||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex |
|
|
|
|
||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex |
|
|
|
|
||||||||||||
Total Unrealized Appreciation |
$ | |
||||||||||||||
† All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ * Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | |
$ | |
||||
† |
|
|
||||||
† |
|
|
||||||
† |
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold Futures - COMEX, expires February 2019 |
|
$ | |
$ | |
Rate Paid (Received) * |
Settlement Date |
Commitment to (Deliver)/Receive |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
||||||||||||||||
Forward agreements with Citibank, N.A. based on |
|
% | |
$ | |
$ | |
$ | |
|||||||||||
Forward agreements with Goldman Sachs International based on |
|
|
|
|
|
|||||||||||||||
Forward agreements with Societe Generale based on |
|
|
|
|
|
|||||||||||||||
Forward agreements with UBS AG based on |
|
|
|
|
|
|||||||||||||||
Total Unrealized Appreciation |
$ |
|||||||||||||||||||
† All or partial amount pledged as collateral for forward agreements. ^ The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ * Reflects the floating financing rate, as of December 31, 2018, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.** For forward agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
|
( |
) | |
||||||||
Swap agreements |
|
— |
— |
|||||||||
Forward agreements |
|
( |
) | |
||||||||
Short-term U.S. government and agency obligations |
|
( |
) | |
||||||||
Net realized gain (loss) |
|
( |
) | |
||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
|
|
|
|||||||||
Swap agreements |
|
— |
— |
|||||||||
Forward agreements |
( |
) | |
|
||||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
|
|
|
|||||||||
Net realized and unrealized gain (loss) |
|
( |
) | |
||||||||
Net income (loss) |
$ | |
$ | ( |
) | $ | |
|||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of |
|
( |
) | ( |
) | |||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Net realized gain (loss) |
|
( |
) | |
||||||||
Change in net unrealized appreciation (depreciation) |
|
|
|
|||||||||
Net income (loss) |
|
( |
) | |
||||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | |
$ | ( |
) | $ | |
|||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | |
( |
) | |||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ( |
) | ||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | |
( |
) | |||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | — |
|||||||
Increase (Decrease) in payable to Sponsor |
|
( |
) | ( |
) | |||||||
Increase (Decrease) in payable on futures contracts |
( |
) | |
( |
) | |||||||
Net cash provided by (used in) operating activities |
( |
) | |
|
||||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ( |
) | ||||||
Net increase (decrease) in cash |
( |
) | |
( |
) | |||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Segregated cash balances with brokers for forward agreements |
— |
|
||||||
Unrealized appreciation on swap agreements |
|
— |
||||||
Unrealized appreciation on forward agreements |
— |
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
|
|
||||||
Payable to Sponsor |
|
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | |
$ | |
||||
† |
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver Futures - COMEX, expires March 2020 |
|
$ | |
$ | |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex |
|
% | |
$ | |
$ | |
|||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex |
|
|
|
|
||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex |
|
|
|
|
||||||||||||
Total Unrealized Appreciation |
$ |
|||||||||||||||
† All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ * Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | |
$ | |
||||
† |
|
|
||||||
† |
|
|
||||||
† |
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver Futures - COMEX, expires March 2019 |
|
$ | |
$ | |
Rate Paid (Received) * |
Settlement Date |
Commitment to (Deliver)/Receive |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
||||||||||||||||
Forward agreements with Citibank, N.A. based on |
|
% | |
$ | |
$ | |
$ | |
|||||||||||
Forward agreements with Goldman Sachs International based on |
|
|
|
|
|
|||||||||||||||
Forward agreements with Societe Generale based on |
|
|
|
|
|
|||||||||||||||
Forward agreements with UBS AG based on |
|
|
|
|
|
|||||||||||||||
Total Unrealized Appreciation |
$ |
|||||||||||||||||||
† All or partial amount pledged as collateral for forward agreements. ^ The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ * Reflects the floating financing rate, as of December 31, 2018, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions. Forward Agreements payment is due at termination/maturity.** For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity. |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Brokerage fees |
|
— |
— |
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
|
( |
) | ( |
) | |||||||
Swap agreements |
( |
) | — |
— |
||||||||
Forward agreements |
|
( |
) | ( |
) | |||||||
Short-term U.S. government and agency obligations |
|
( |
) | |
||||||||
Net realized gain (loss) |
|
( |
) | ( |
) | |||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
|
|
|
|||||||||
Swap agreements |
|
— |
— |
|||||||||
Forward agreements |
( |
) | |
|
||||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
|
|
|
|||||||||
Net realized and unrealized gain (loss) |
|
( |
) | |
||||||||
Net income (loss) |
$ | |
$ | ( |
) | $ | |
|||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Net realized gain (loss) |
|
( |
) | ( |
) | |||||||
Change in net unrealized appreciation (depreciation) |
|
|
|
|||||||||
Net income (loss) |
|
( |
) | |
||||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | |
$ | ( |
) | $ | |
|||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | |
( |
) | |||||||
Change in unrealized appreciation (depreciation) on investments |
|
( |
) | ( |
) | |||||||
Decrease (Increase) in receivable on futures contracts |
— |
|
( |
) | ||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | — |
|||||||
Increase (Decrease) in payable to Sponsor |
|
( |
) | ( |
) | |||||||
Increase (Decrease) in payable on futures contracts |
|
|
( |
) | ||||||||
Net cash provided by (used in) operating activities |
|
|
|
|||||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ( |
) | ||||||
Net increase (decrease) in cash |
|
|
|
|||||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | — |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Segregated cash balances with brokers for swap agreements |
|
|
||||||
Receivable from capital shares sold |
|
|
||||||
Receivable on open futures contracts |
|
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
|
|
||||||
Payable to Sponsor |
|
|
||||||
Unrealized depreciation on swap agreements |
|
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | |
$ | |
||||
† |
|
|
||||||
† |
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - C boe , expires January 2020 |
|
$ | |
$ | ( |
) | ||||||
VIX Futures - C boe , expires February 2020 |
|
|
( |
) | ||||||||
$ | ( |
) | ||||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index |
|
% | |
$ | |
$ | ( |
) | ||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
† All or partial amount pledged as collateral for futures contracts. ^ The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ * Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - C boe , expires January 2019 |
|
$ | |
$ | |
|||||||
VIX Futures - C boe , expires February 2019 |
|
|
( |
) | ||||||||
$ | |
|||||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Goldman Sachs International based on iPath S&P 500 VIX Short-Term Futures ETN IOPV |
|
% | |
$ | |
$ | ( |
) | ||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
^ | The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
* | Reflects the floating financing rate, as of December 31, 2018, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Brokerage fees |
|
— |
|
|||||||||
Non-recurring fees and expenses |
|
— |
— |
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
( |
) | ( |
) | |||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | |
( |
) | |||||||
Swap agreements |
( |
) | |
— |
||||||||
Short-term U.S. government and agency obligations |
|
( |
) | ( |
) | |||||||
Net realized gain (loss) |
( |
) | |
( |
) | |||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | |
( |
) | |||||||
Swap agreements |
|
( |
) | — |
||||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net realized and unrealized gain (loss) |
( |
) | |
( |
) | |||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | ( |
) | ||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of |
|
( |
) | |
||||||||
Net investment income (loss) |
|
( |
) | ( |
) | |||||||
Net realized gain (loss) |
( |
) | |
( |
) | |||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net income (loss) |
( |
) | |
( |
) | |||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | |
|
||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | |
|
||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | |
|
||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | — |
|||||||
Increase (Decrease) in payable to Sponsor |
|
( |
) | ( |
) | |||||||
Increase (Decrease) in payable on futures contracts |
|
|
— |
|||||||||
Net cash provided by (used in) operating activities |
( |
) | |
( |
) | |||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
|
( |
) | |
||||||||
Net increase (decrease) in cash |
|
|
|
|||||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | — |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for foreign currency forward contracts |
|
|
||||||
Unrealized appreciation on foreign currency forward contracts |
— |
|
||||||
Receivable from capital shares sold |
— |
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable to Sponsor |
|
|
||||||
Unrealized depreciation on foreign currency forward contracts |
|
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Yen with Goldman Sachs International |
|
|
$ | |
$ | ( |
) | |||||||||
Yen with UBS AG |
|
|
|
( |
) | |||||||||||
|
$ | ( |
) | |||||||||||||
Contracts to Sell |
||||||||||||||||
Yen with UBS AG |
|
( |
) | $ | ( |
) | $ | ( |
) | |||||||
|
$ | ( |
) | |||||||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
^ | The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ |
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Yen with Goldman Sachs International |
|
|
$ | |
$ | |
||||||||||
Yen with UBS AG |
|
|
|
|
||||||||||||
Total Unrealized Appreciation |
$ | |
||||||||||||||
Contracts to Sell |
||||||||||||||||
Yen with UBS AG |
|
( |
) | $ | ( |
) | $ | ( |
) | |||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
^ | The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
( |
) | ( |
) | |||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Foreign currency forward contracts |
|
( |
) | ( |
) | |||||||
Short-term U.S. government and agency obligations |
( |
) | — |
( |
) | |||||||
Net realized gain (loss) |
|
( |
) | ( |
) | |||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Foreign currency forward contracts |
( |
) | |
|
||||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
|
||||||||
Net realized and unrealized gain (loss) |
( |
) | |
|
||||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | |
|||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
— |
|||||||||
Redemption of |
( |
) | — |
( |
) | |||||||
Net addition (redemption) of |
( |
) | |
( |
) | |||||||
Net investment income (loss) |
|
( |
) | ( |
) | |||||||
Net realized gain (loss) |
|
( |
) | ( |
) | |||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
|
||||||||
Net income (loss) |
( |
) | |
|
||||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | |
|||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
|
— |
|
|||||||||
Change in unrealized appreciation (depreciation) on investments |
|
( |
) | ( |
) | |||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | — |
|||||||
Increase (Decrease) in payable to Sponsor |
|
|
( |
) | ||||||||
Net cash provided by (used in) operating activities |
( |
) | |
|
||||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
— |
— |
|||||||||
Payment on shares redeemed |
( |
) | — |
( |
) | |||||||
Net cash provided by (used in) financing activities |
|
— |
( |
) | ||||||||
Net increase (decrease) in cash |
|
|
|
|||||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Receivable from capital shares sold |
— |
|
||||||
Receivable on open futures contracts |
— |
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
|
— |
||||||
Payable to Sponsor |
|
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
|
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires March 2020 |
|
$ | |
$ | |
^^ |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires March 2019 |
|
$ | |
$ | ( |
) |
^^ |
Year Ended December 31, |
January 13, 2017 (Inception) through December 31, 2017 |
|||||||||||
2019 |
2018 |
|||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
— |
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Brokerage fees |
— |
— |
|
|||||||||
Offering costs |
— |
|
|
|||||||||
Limitation by Sponsor |
— |
( |
) | ( |
) | |||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
( |
) | ( |
) | |||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
|
( |
) | |
||||||||
Short-term U.S. government and agency obligations |
|
— |
— |
|||||||||
Net realized gain (loss) |
|
( |
) | |
||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
|
( |
) | |
||||||||
Short-term U.S. government and agency obligations |
|
|
— |
|||||||||
Change in net unrealized appreciation (depreciation) |
|
( |
) | |
||||||||
Net realized and unrealized gain (loss) |
|
( |
) | |
||||||||
Net income (loss) |
$ | |
$ | ( |
) | $ | |
|||||
Year Ended December 31, |
January 13, 2017 (Inception) through December 31, 2017 |
|||||||||||
2019 |
2018 |
|||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | — |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of ( |
( |
) | |
|
||||||||
Net investment income (loss) |
|
( |
) | ( |
) | |||||||
Net realized gain (loss) |
|
( |
) | |
||||||||
Change in net unrealized appreciation (depreciation) |
|
( |
) | |
||||||||
Net income (loss) |
|
( |
) | |
||||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
January 13, 2017 (Inception) through December 31, 2017 |
|||||||||||
2019 |
2018 |
|||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | |
$ | ( |
) | $ | |
|||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | — |
|||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
— |
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | — |
|||||||
Net realized gain (loss) on investments |
( |
) | — |
— |
||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | — |
|||||||
Decrease (Increase) in receivable on futures contracts |
|
( |
) | ( |
) | |||||||
Decrease (Increase) in receivable in Limitation by Sponsor |
— |
|
( |
) | ||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | — |
|||||||
Cash paid for offering costs |
— |
— |
( |
) | ||||||||
Amortization of offering costs |
— |
|
|
|||||||||
Increase (Decrease) in payable to Sponsor |
|
|
— |
|||||||||
Increase (Decrease) in payable on futures contracts |
|
— |
— |
|||||||||
Net cash provided by (used in) operating activities |
|
( |
) | |
||||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
( |
) | |
|
||||||||
Net increase (decrease) in cash |
( |
) | |
|
||||||||
Cash, beginning of period |
|
|
— |
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | — |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Securities sold receivable |
|
— |
||||||
Receivable on open futures contracts |
|
— |
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
— |
|
||||||
Payable to Sponsor |
|
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
|
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires March 2020 |
|
$ | |
$ | ( |
) |
^^ |
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires March 2019 |
|
$ | |
$ | |
Year Ended December 31, |
January 13, 2017 (Inception) through December 31, 2017 |
|||||||||||
2019 |
2018 |
|||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
— |
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Brokerage fees |
— |
— |
|
|||||||||
Offering costs |
— |
|
|
|||||||||
Limitation by Sponsor |
— |
( |
) | ( |
) | |||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
( |
) | ( |
) | |||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | |
( |
) | |||||||
Short-term U.S. government and agency obligations |
|
— |
— |
|||||||||
Net realized gain (loss) |
( |
) | |
( |
) | |||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | |
( |
) | |||||||
Short-term U.S. government and agency obligations |
|
— |
— |
|||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net realized and unrealized gain (loss) |
( |
) | |
( |
) | |||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | ( |
) | ||||
Year Ended December 31, |
January 13, 2017 (Inception) through December 31, 2017 |
|||||||||||
2019 |
2018 |
|||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | – |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of |
|
( |
) | |
||||||||
Net investment income (loss) |
|
( |
) | ( |
) | |||||||
Net realized gain (loss) |
( |
) | |
( |
) | |||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net income (loss) |
( |
) | |
( |
) | |||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
January 13, 2017 (Inception) through December 31, 2017 |
|||||||||||
2019 |
2018 |
|||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | — |
|||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
— |
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | — |
|||||||
Net realized gain (loss) on investments |
( |
) | — |
— |
||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | — |
— |
||||||||
Decrease (Increase) in securities sold receivable |
( |
) | — |
— |
||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | — |
— |
||||||||
Decrease (Increase) in receivable in Limitation by Sponsor |
— |
|
( |
) | ||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | — |
|||||||
Cash paid for offering costs |
— |
— |
( |
) | ||||||||
Amortization of offering costs |
— |
|
|
|||||||||
Increase (Decrease) in payable to Sponsor |
|
|
— |
|||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ( |
) | |
|||||||
Net cash provided by (used in) operating activities |
( |
) | |
( |
) | |||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
|
( |
) | |
||||||||
Net increase (decrease) in cash |
|
( |
) | |
||||||||
Cash, beginning of period |
|
|
— |
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Receivable on open futures contracts |
— |
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
|
— |
||||||
Payable to Sponsor |
|
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
|
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Australian Dollar Fx Currency Futures - CME, expires March 2020 |
|
$ | |
$ | ( |
) |
^^ |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Australian Dollar Fx Currency Futures - CME, expires March 2019 |
|
$ | |
$ | |
^^ |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
|
|
( |
) | ||||||||
Short-term U.S. government and agency obligations |
|
( |
) | ( |
) | |||||||
Net realized gain (loss) |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | |
( |
) | |||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net realized and unrealized gain (loss) |
|
|
( |
) | ||||||||
Net income (loss) |
$ | |
$ | |
$ | ( |
) | |||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of ( |
( |
) | ( |
) | |
|||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Net realized gain (loss) |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net income (loss) |
|
|
( |
) | ||||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | |
$ | |
$ | ( |
) | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | |
|
||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | |
|||||||
Decrease (Increase) in receivable on futures contracts |
|
( |
) | — |
||||||||
Decrease (Increase) in interest receivable |
|
( |
) | — |
||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ( |
) | ||||||
Increase (Decrease) in payable on futures contracts |
|
( |
) | |
||||||||
Net cash provided by (used in) operating activities |
( |
) | |
( |
) | |||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | |
|||||||
Net increase (decrease) in cash |
( |
) | |
( |
) | |||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Segregated cash balances with brokers for swap agreements |
|
|
||||||
Unrealized appreciation on swap agreements |
— |
|
||||||
Receivable from capital shares sold |
|
|
||||||
Receivable on open futures contracts |
|
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
— |
|
||||||
Payable to Sponsor |
|
|
||||||
Unrealized depreciation on swap agreements |
|
— |
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
† |
|
|
||||||
|
|
|
||||||
† |
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires March 2020 |
|
$ | |
$ | ( |
) |
Total Return Swap Agreements ^ |
||||||||||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex |
|
% | |
$ | ( |
) | $ | ( |
) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex |
|
|
( |
) | ( |
) | ||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex |
|
|
( |
) | ( |
) | ||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex |
|
|
( |
) | ( |
) | ||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex |
|
|
( |
) | ( |
) | ||||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
† All or partial amount pledged as collateral for swap agreements.^ The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ * Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | |
$ | |
||||
† |
|
|
||||||
† |
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires March 2019 |
|
$ | |
$ | |
Total Return Swap Agreements ^ |
||||||||||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex |
|
% | |
$ | ( |
) | $ | |
||||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex |
|
|
( |
) | |
|||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex |
|
|
( |
) | |
|||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex |
|
|
( |
) | |
|||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex |
|
|
( |
) | |
|||||||||||
Total Unrealized Appreciation |
$ | |
||||||||||||||
† All or partial amount pledged as collateral for swap agreements.^ The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ * Reflects the floating financing rate, as of December 31, 2018, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | |
( |
) | |||||||
Swap agreements |
( |
) | |
( |
) | |||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net realized and unrealized gain (loss) |
( |
) | |
( |
) | |||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | ( |
) | ||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of |
|
( |
) | |
||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net income (loss) |
( |
) | |
( |
) | |||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | ( |
) | |
|||||||
Change in unrealized appreciation (depreciation) on investments |
|
( |
) | |
||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | ( |
) | — |
|||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | — |
|||||||
Increase (Decrease) in payable to Sponsor |
|
( |
) | |
||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ( |
) | |
|||||||
Net cash provided by (used in) operating activities |
( |
) | |
( |
) | |||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
|
( |
) | |
||||||||
Net increase (decrease) in cash |
|
|
( |
) | ||||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Receivable on open futures contracts |
— |
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— |
|
||||||
Payable on open futures contracts |
|
— |
||||||
Payable to Sponsor |
|
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
|
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural Gas - NYMEX, expires March 2020 |
|
$ | |
$ | |
^^ |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
|
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural Gas - NYMEX, expires March 2019 |
|
$ | |
$ | |
^^ |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Brokerage fees |
— |
— |
|
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
( |
) | ( |
) | |||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
|
( |
) | |
||||||||
Short-term U.S. government and agency obligations |
— |
— |
( |
) | ||||||||
Net realized gain (loss) |
|
( |
) | |
||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | |
( |
) | |||||||
Short-term U.S. government and agency obligations |
|
( |
) | |
||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net realized and unrealized gain (loss) |
|
( |
) | |
||||||||
Net income (loss) |
$ | |
$ | ( |
) | $ | |
|||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of ( |
( |
) | |
( |
) | |||||||
Net investment income (loss) |
|
( |
) | ( |
) | |||||||
Net realized gain (loss) |
|
( |
) | |
||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net income (loss) |
|
( |
) | |
||||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | |
$ | ( |
) | $ | |
|||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
— |
— |
|
|||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | |
( |
) | |||||||
Decrease (Increase) in receivable on futures contracts |
|
( |
) | |
||||||||
Decrease (Increase) in interest receivable |
|
( |
) | — |
||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | |
( |
) | |||||||
Increase (Decrease) in brokerage commissions and fees payable |
— |
— |
( |
) | ||||||||
Increase (Decrease) in payable on futures contracts |
|
( |
) | |
||||||||
Net cash provided by (used in) operating activities |
|
( |
) | |
||||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
( |
) | |
( |
) | |||||||
Net increase (decrease) in cash |
( |
) | |
|
||||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for foreign currency forward contracts |
— |
|
||||||
Unrealized appreciation on foreign currency forward contracts |
|
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— |
|
||||||
Payable to Sponsor |
|
|
||||||
Unrealized depreciation on foreign currency forward contracts |
|
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
† |
|
|
||||||
|
|
|
||||||
† |
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Foreign Currency Forward Contracts ^ |
||||||||||||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Euro with UBS AG |
|
|
$ | |
$ | |
||||||||||
Total Unrealized Appreciation |
$ | |
||||||||||||||
Contracts to Sell |
||||||||||||||||
Euro with Goldman Sachs International |
|
( |
) | $ | ( |
) | $ | ( |
) | |||||||
Euro with UBS AG |
|
( |
) | ( |
) | ( |
) | |||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
† All or partial amount pledged as collateral for foreign currency forward contracts.^ The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | |
$ | |
||||
† |
|
|
||||||
† |
|
|
||||||
† |
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Foreign Currency Forward Contracts ^ |
||||||||||||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Euro with Goldman Sachs International |
|
|
$ | |
$ | |
||||||||||
Euro with UBS AG |
|
|
|
|
||||||||||||
Total Unrealized Appreciation |
$ | |
||||||||||||||
Contracts to Sell |
||||||||||||||||
Euro with Goldman Sachs International |
|
( |
) | $ | ( |
) | $ | ( |
) | |||||||
Euro with UBS AG |
|
( |
) | ( |
) | ( |
) | |||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
† All or partial amount pledged as collateral for foreign currency forward contracts.^ The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Foreign currency forward contracts |
|
|
( |
) | ||||||||
Short-term U.S. government and agency obligations |
|
( |
) | ( |
) | |||||||
Net realized gain (loss) |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Foreign currency forward contracts |
( |
) | |
( |
) | |||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net realized and unrealized gain (loss) |
|
|
( |
) | ||||||||
Net income (loss) |
$ | |
$ | |
$ | ( |
) | |||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Net realized gain (loss) |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net income (loss) |
|
|
( |
) | ||||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | |
$ | |
$ | ( |
) | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | |
|
||||||||
Change in unrealized appreciation (depreciation) on investments |
|
( |
) | |
||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | — |
|||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) operating activities |
|
|
|
|||||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ( |
) | ||||||
Net increase (decrease) in cash |
|
|
|
|||||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Segregated cash balances with brokers for forward agreements |
— |
|
||||||
Segregated cash balances with brokers for swap agreements |
|
— |
||||||
Receivable on open futures contracts |
— |
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
|
— |
||||||
Payable to Sponsor |
|
|
||||||
Unrealized depreciation on swap agreements |
|
— |
||||||
Unrealized depreciation on forward agreements |
— |
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
† |
|
|
||||||
|
|
|
||||||
† |
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold Futures - COMEX, expires February 2020 |
|
$ | |
$ | ( |
) |
Total Return Swap Agreements ^ |
||||||||||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex |
|
% | |
$ | ( |
) | $ | ( |
) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex |
|
|
( |
) | ( |
) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex |
|
|
( |
) | ( |
) | ||||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
† All or partial amount pledged as collateral for swap agreements.^ The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ * Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | |
$ | |
||||
† |
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold Futures - COMEX, expires February 2019 |
|
$ | |
$ | ( |
) |
Forward Agreements ^ |
||||||||||||||||||||
Rate Paid (Received) * |
Settlement Date |
Commitment to (Deliver)/Receive |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
||||||||||||||||
Forward agreements with Citibank, N.A. based on |
( |
)% | |
$ | ( |
) | $ | ( |
) | $ | ( |
) | ||||||||
Forward agreements with Goldman Sachs International based on |
( |
) | |
( |
) | ( |
) | ( |
) | |||||||||||
Forward agreements with Societe Generale based on |
( |
) | |
( |
) | ( |
) | ( |
) | |||||||||||
Forward agreements with UBS AG based on |
( |
) | |
( |
) | ( |
) | ( |
) | |||||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||||||
† All or partial amount pledged as collateral for forward agreements.^ The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ * Reflects the floating financing rate, as of December 31, 2018, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.** For forward agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | |
( |
) | |||||||
Swap agreements |
( |
) | — |
— |
||||||||
Forward agreements |
( |
) | |
( |
) | |||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Net realized gain (loss) |
( |
) | |
( |
) | |||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||
Swap agreements |
( |
) | — |
— |
||||||||
Forward agreements |
|
|
( |
) | ||||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net realized and unrealized gain (loss) |
( |
) | |
( |
) | |||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | ( |
) | ||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of |
|
( |
) | ( |
) | |||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Net realized gain (loss) |
( |
) | |
( |
) | |||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net income (loss) |
( |
) | |
( |
) | |||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | ( |
) | |
|||||||
Change in unrealized appreciation (depreciation) on investments |
|
( |
) | |
||||||||
Decrease (Increase) in receivable on futures contracts |
|
( |
) | |
||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | – |
|||||||
Increase (Decrease) in payable to Sponsor |
|
( |
) | ( |
) | |||||||
Increase (Decrease) in payable on futures contracts |
|
( |
) | |
||||||||
Net cash provided by (used in) operating activities |
( |
) | |
|
||||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
|
( |
) | ( |
) | |||||||
Net increase (decrease) in cash |
( |
) | |
|
||||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for forward agreements |
— |
|||||||
Segregated cash balances with brokers for swap agreements |
— |
|||||||
Receivable on open futures contracts |
— | |||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on swap agreements |
— |
|||||||
Unrealized depreciation on forward agreements |
— |
|||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
$ | $ | |||||||
† |
||||||||
† |
||||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver Futures - COMEX, expires March 2020 |
$ | $ | ( |
) |
Total Return Swap Agreements ^ |
||||||||||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex |
% | $ | ( |
) | $ | ( |
) | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex |
( |
) | ( |
) | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex |
( |
) | ( |
) | ||||||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
† All or partial amount pledged as collateral for swap agreements.^ The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ * Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
$ | $ | |||||||
† |
||||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver Futures - COMEX, expires March 2019 |
$ | $ | ( |
) |
Forward Agreements ^ |
||||||||||||||||||||
Rate Paid (Received) * |
Settlement Date |
Commitment to (Deliver)/Receive |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
||||||||||||||||
Forward agreements with Citibank, N.A. based on |
( |
)% | $ | ( |
) | $ | ( |
) | $ | ( |
) | |||||||||
Forward agreements with Goldman Sachs International based on |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Forward agreements with Societe Generale based on |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Forward agreements with UBS AG based on |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||||||
† All or partial amount pledged as collateral for forward agreements.^ The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ * Reflects the floating financing rate, as of December 31, 2018, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.** For forward agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Total expenses |
||||||||||||
Net investment income (loss) |
( |
) | ||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Swap agreements |
( |
) | — |
— |
||||||||
Forward agreements |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||
Net realized gain (loss) |
( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||
Swap agreements |
( |
) | — |
— |
||||||||
Forward agreements |
( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of |
( |
) | ( |
) | ||||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||
Net income (loss) |
( |
) | ( |
) | ||||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | ||||||||||
Change in unrealized appreciation (depreciation) on investments |
||||||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) |
— |
|||||||||
Decrease (Increase) in interest receivable |
( |
) | — |
|||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||||||
Increase (Decrease) in payable on futures contracts |
||||||||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ||||||||
Net increase (decrease) in cash |
( |
) | ||||||||||
Cash, beginning of period |
||||||||||||
Cash, end of period |
$ | $ | $ | |||||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for foreign currency forward contracts |
— |
|
||||||
Unrealized appreciation on foreign currency forward contracts |
|
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable to Sponsor |
|
|
||||||
Unrealized depreciation on foreign currency forward contracts |
— |
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
† |
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Foreign Currency Forward Contracts ^ |
||||||||||||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Yen with UBS AG |
|
|
$ | |
$ | |
||||||||||
|
$ | |
||||||||||||||
Contracts to Sell |
||||||||||||||||
Yen with Goldman Sachs International |
|
( |
) | $ | ( |
) | $ | |
||||||||
Yen with UBS AG |
|
( |
) | ( |
) | |
||||||||||
|
$ | |
||||||||||||||
|
||||||||||||||||
Total Unrealized Appreciation |
$ | |
||||||||||||||
† All or partial amount pledged as collateral for foreign currency forward contracts.^ The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | |
$ | |
||||
† |
|
|
||||||
† |
|
|
||||||
† |
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Foreign Currency Forward Contracts ^ |
||||||||||||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Yen with Goldman Sachs International |
|
|
$ | |
$ | |
||||||||||
Yen with UBS AG |
|
|
|
|
||||||||||||
Total Unrealized Appreciation |
$ | |
||||||||||||||
Contracts to Sell |
||||||||||||||||
Yen with Goldman Sachs International |
|
( |
) | $ | ( |
) | $ | ( |
) | |||||||
Yen with UBS AG |
|
( |
) | ( |
) | ( |
) | |||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
† All or partial amount pledged as collateral for foreign currency forward contracts.^ The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Foreign currency forward contracts |
( |
) | |
( |
) | |||||||
Short-term U.S. government and agency obligations |
( |
) | |
( |
) | |||||||
Net realized gain (loss) |
( |
) | |
( |
) | |||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Foreign currency forward contracts |
|
( |
) | ( |
) | |||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
|
( |
) | ( |
) | |||||||
Net realized and unrealized gain (loss) |
|
( |
) | ( |
) | |||||||
Net income (loss) |
$ | |
$ | ( |
) | $ | ( |
) | ||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Net realized gain (loss) |
( |
) | |
( |
) | |||||||
Change in net unrealized appreciation (depreciation) |
|
( |
) | ( |
) | |||||||
Net income (loss) |
|
( |
) | ( |
) | |||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | |
$ | ( |
) | $ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
|
( |
) | |
||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | |
|
||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | — |
|||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) operating activities |
|
|
|
|||||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ( |
) | ||||||
Net increase (decrease) in cash |
( |
) | |
( |
) | |||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | — |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— |
|
||||||
Payable on open futures contracts |
|
|
||||||
Payable to Sponsor |
|
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
† |
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Futures Contracts Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - 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.^^ |
Futures Contracts Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - C boe , expires April 2019 |
|
$ | |
$ | |
|||||||
VIX Futures - Cboe , expires May 2019 |
|
|
|
|||||||||
VIX Futures - Cboe , expires June 2019 |
|
|
|
|||||||||
VIX Futures - Cboe , expires July 2019 |
|
|
( |
) | ||||||||
$ | |
|||||||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | |
( |
) | |||||||
Short-term U.S. government and agency obligations |
|
— |
( |
) | ||||||||
Net realized gain (loss) |
( |
) | |
( |
) | |||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | |
( |
) | |||||||
Short-term U.S. government and agency obligations |
|
( |
) | |
||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net realized and unrealized gain (loss) |
( |
) | |
( |
) | |||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | ( |
) | ||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Net realized gain (loss) |
( |
) | |
( |
) | |||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net income (loss) |
( |
) | |
( |
) | |||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | — |
|
||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | |
( |
) | |||||||
Decrease (Increase) in receivable on futures contracts |
— |
|
|
|||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | — |
|||||||
Increase (Decrease) in payable to Sponsor |
( |
) | |
( |
) | |||||||
Increase (Decrease) in payable on futures contracts |
|
|
— |
|||||||||
Net cash provided by (used in) operating activities |
( |
) | |
( |
) | |||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
|
|
|
|||||||||
Net increase (decrease) in cash |
( |
) | |
|
||||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Receivable on open futures contracts |
|
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
|
|
||||||
Payable to Sponsor |
|
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Net asset value per share |
$ | |
$ | |
||||
Market value per share (Note 2) |
$ | |
$ | |
||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | |
$ | |
||||
† |
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Futures Contracts Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - CBOE, expires January 2020 |
|
$ | |
$ | ( |
) | ||||||
VIX Futures - CBOE, expires February 2020 |
|
|
( |
) | ||||||||
$ | ( |
) | ||||||||||
† All or partial amount pledged as collateral for futures contracts.^^ |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | |
$ | |
||||
† |
|
|
||||||
|
|
|
||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |
||||||
Futures Contracts Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - C boe , expires January 2019 |
|
$ | |
$ | |
|||||||
VIX Futures - C boe , expires February 2019 |
|
|
( |
) | ||||||||
$ | |
|||||||||||
† All or partial amount pledged as collateral for futures contracts.^^ |
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Brokerage fees |
|
|
|
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | |
( |
) | |||||||
Short-term U.S. government and agency obligations |
|
( |
) | ( |
) | |||||||
Net realized gain (loss) |
( |
) | |
( |
) | |||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | |
( |
) | |||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net realized and unrealized gain (loss) |
( |
) | |
( |
) | |||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | ( |
) | ||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of |
|
( |
) | |
||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Net realized gain (loss) |
( |
) | |
( |
) | |||||||
Change in net unrealized appreciation (depreciation) |
( |
) | |
( |
) | |||||||
Net income (loss) |
( |
) | |
( |
) | |||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | |
$ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | |
|
||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | |
|||||||
Decrease (Increase) in receivable on futures contracts |
|
|
|
|||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | — |
|||||||
Increase (Decrease) in payable to Sponsor |
|
|
( |
) | ||||||||
Increase (Decrease) in payable on futures contracts |
|
|
— |
|||||||||
Net cash provided by (used in) operating activities |
( |
) | |
( |
) | |||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
|
( |
) | |
||||||||
Net increase (decrease) in cash |
|
|
( |
) | ||||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
December 31, 2019 |
December 31, 2018 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | |
$ | |
||||
Cash |
|
|
||||||
Segregated cash balances with brokers for futures contracts |
|
|
||||||
Segregated cash balances with brokers for forward agreements |
— |
|
||||||
Segregated cash balances with brokers for foreign currency forward contracts |
|
|
||||||
Segregated cash balances with brokers for swap agreements |
|
|
||||||
Unrealized appreciation on swap agreements |
|
|
||||||
Unrealized appreciation on forward agreements |
— |
|
||||||
Unrealized appreciation on foreign currency forward contracts |
|
|
||||||
Receivable from capital shares sold |
|
|
||||||
Securities sold receivable |
|
— |
||||||
Receivable on open futures contracts |
|
|
||||||
Interest receivable |
|
|
||||||
Total assets |
|
|
||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— |
|
||||||
Payable on open futures contracts |
|
|
||||||
Payable to Sponsor |
|
|
||||||
Unrealized depreciation on swap agreements |
|
|
||||||
Unrealized depreciation on forward agreements |
— |
|
||||||
Unrealized depreciation on foreign currency forward contracts |
|
|
||||||
Total liabilities |
|
|
||||||
Commitments and Contingencies (Note 2) |
|
|
||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ | |
$ | |
||||
Shares outstanding |
|
|
||||||
Year Ended December 31, |
||||||||||||
2019 |
2018 |
2017 * |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | |
$ | |
$ | |
||||||
Expenses |
||||||||||||
Management fee |
|
|
|
|||||||||
Brokerage commissions |
|
|
|
|||||||||
Brokerage fees |
|
|
|
|||||||||
Offering costs |
— |
|
|
|||||||||
Limitation by Sponsor |
— |
( |
) | ( |
) | |||||||
Non-recurring fees and expenses |
|
— |
— |
|||||||||
Total expenses |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||
Swap agreements |
|
( |
) | ( |
) | |||||||
Forward agreements |
|
( |
) | ( |
) | |||||||
Foreign currency forward contracts |
|
|
( |
) | ||||||||
Short-term U.S. government and agency obligations |
|
( |
) | ( |
) | |||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | |
( |
) | |||||||
Swap agreements |
|
( |
) | ( |
) | |||||||
Forward agreements |
( |
) | |
|
||||||||
Foreign currency forward contracts |
|
|
( |
) | ||||||||
Short-term U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
|
( |
) | ( |
) | |||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | |||
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF since January 13, 2017 (inception date). |
Years Ended December 31, |
||||||||||||
2019 |
2018 |
2017* |
||||||||||
Shareholders’ equity, beginning of period |
$ | |
$ | |
$ | |
||||||
Addition of |
|
|
|
|||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
Net addition (redemption) of |
|
|
|
|||||||||
Net investment income (loss) |
|
|
( |
) | ||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||
Change in net unrealized appreciation (depreciation) |
|
( |
) | ( |
) | |||||||
Net income (loss) |
( |
) | ( |
) | ( |
) | ||||||
Shareholders’ equity, end of period |
$ | |
$ | |
$ | |
||||||
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF since January 13, 2017 (inception date). |
Year ended December 31, |
||||||||||||
2019 |
2018 |
2017 * |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S government and agency obligations |
|
|
|
|||||||||
Net amortization and accretion on short-term U.S government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | |
|
||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | |
|
||||||||
Decrease (Increase) in securities sold receivable |
( |
) | — |
— |
||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | ( |
) | ( |
) | ||||||
Decrease (Increase) in receivable in Limitation by Sponsor |
— |
|
( |
) | ||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | — |
|||||||
Cash paid for offering costs |
— |
— |
( |
) | ||||||||
Amortization of offering costs |
— |
|
|
|||||||||
Increase (Decrease) in payable to Sponsor |
|
( |
) | ( |
) | |||||||
Increase (Decrease) in brokerage commissions and fees payable |
— |
— |
( |
) | ||||||||
Increase (Decrease) in payable on futures contracts |
|
|
( |
) | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
|
— |
— |
|||||||||
Net cash provided by (used in) operating activities |
( |
) | |
|
||||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
|
|
|
|||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
Net cash provided by (used in) financing activities |
|
|
|
|||||||||
Net increase (decrease) in cash |
|
|
|
|||||||||
Cash, beginning of period |
|
|
|
|||||||||
Cash, end of period |
$ | |
$ | |
$ | |
||||||
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF since January 13, 2017 (inception date). |
Fund |
Execution Date (Prior to Opening of Trading) |
Type of Split |
Date Trading Resumed at Post- Split Price | |||
ProShares UltraShort Bloomberg Crude Oil |
|
|
| |||
ProShares Ultra Bloomberg Crude Oil |
|
|
| |||
ProShares Ultra VIX Short-Term Futures ETF |
|
|
| |||
ProShares Short VIX Short-Term Futures ETF |
|
|
| |||
ProShares VIX Short-Term Futures ETF |
|
|
| |||
ProShares Ultra VIX Short-Term Futures ETF |
|
|
| |||
ProShares Ultra Bloomberg Natural Gas |
|
|
| |||
ProShares UltraPro 3x Short Crude Oil ETF |
|
|
| |||
ProShares Short VIX Short-Term Futures ETF |
|
|
| |||
ProShares Ultra VIX Short-Term Futures ETF |
|
|
|
Fund |
Create/Redeem Cut-off* |
NAV Calculation Time |
NAV Calculation Date | |||
ProShares UltraShort Silver, ProShares Ultra Silver |
|
|
December 31, 2019 | |||
ProShares UltraShort Gold, ProShares Ultra Gold |
|
|
December 31, 2019 | |||
ProShares UltraShort Bloomberg Crude Oil, |
||||||
ProShares Ultra Bloomberg Crude Oil, |
|
|
December 31, 2019 | |||
ProShares UltraPro 3x Short Crude Oil ETF, |
||||||
ProShares UltraPro 3x Crude Oil ETF |
||||||
ProShares UltraShort Bloomberg Natural Gas, |
||||||
ProShares Ultra Bloomberg Natural Gas |
|
|
December 31, 2019 | |||
ProShares UltraShort Australian Dollar |
|
|
December 31, 2019 | |||
ProShares Short Euro |
||||||
ProShares UltraShort Euro, |
||||||
ProShares Ultra Euro |
|
|
December 31, 2019 | |||
ProShares UltraShort Yen, |
||||||
ProShares Ultra Yen |
|
|
December 31, 2019 | |||
ProShares VIX Short-Term Futures ETF, |
||||||
ProShares Ultra VIX Short-Term Futures ETF, |
||||||
ProShares Short VIX Short-Term Futures ETF |
|
|
December 31, 2019 | |||
ProShares VIX Mid-Term Futures ETF |
|
|
December 31, 2019 |
* | Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the twelve months ended December 31, 2019. |
Level I - Quoted Prices |
Level II - Other Significant ObservableInputs |
|||||||||||||||||||
Fund |
Short-Term U.S.Government and Agencies |
Futures Contracts * |
Foreign Currency Forward Contracts |
Swap Agreements |
Total |
|||||||||||||||
ProShares Short Euro |
$ | |
$ | ( |
) | $ | — |
$ | — |
$ | |
|||||||||
ProShares Short VIX Short-Term Futures ETF |
|
|
— |
— |
|
|||||||||||||||
ProShares Ultra Bloomberg Crude Oil |
|
|
— |
|
|
|||||||||||||||
ProShares Ultra Bloomberg Natural Gas |
|
( |
) | — |
— |
|
||||||||||||||
ProShares Ultra Euro |
|
— |
|
— |
|
|||||||||||||||
ProShares Ultra Gold |
|
|
— |
|
|
|||||||||||||||
ProShares Ultra Silver |
|
|
— |
|
|
|||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
|
( |
) | — |
( |
) | |
|||||||||||||
ProShares Ultra Yen |
|
— |
( |
) | — |
|
||||||||||||||
ProShares UltraPro 3x Crude Oil ETF |
|
|
— |
— |
|
|||||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
|
( |
) | — |
— |
|
||||||||||||||
ProShares UltraShort Australian Dollar |
|
( |
) | — |
— |
|
||||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
|
( |
) | — |
( |
) | |
|||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
|
|
— |
— |
|
|||||||||||||||
ProShares UltraShort Euro |
|
— |
( |
) | — |
|
||||||||||||||
ProShares UltraShort Gold |
|
( |
) | — |
( |
) | |
|||||||||||||
ProShares UltraShort Silver |
|
( |
) | — |
( |
) | |
|||||||||||||
ProShares UltraShort Yen |
|
— |
|
— |
|
|||||||||||||||
ProShares VIX Mid-Term Futures ETF |
|
( |
) | — |
— |
|
||||||||||||||
ProShares VIX Short-Term Futures ETF |
|
( |
) | — |
— |
|
||||||||||||||
Total Trust |
$ |
|
$ |
( |
) |
$ |
( |
) |
$ |
|
$ |
|
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Level I - Quoted Prices |
Level II - Other Significant Observable Inputs |
|||||||||||||||||||||||
Fund |
Short-Term U.S.Government and Agencies |
Futures Contracts * |
Forward Agreements |
Foreign Currency Forward Contracts |
Swap Agreements |
Total |
||||||||||||||||||
ProShares Short Euro |
$ | $ | ( |
) | $ | — |
$ | — |
$ | — |
$ | |||||||||||||
ProShares Short VIX Short-Term Futures ETF |
— |
( |
) | — |
— |
— |
( |
) | ||||||||||||||||
ProShares Ultra Bloomberg Crude Oil |
( |
) | — |
— |
( |
) | ||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | — |
— |
— |
( |
) | |||||||||||||||||
ProShares Ultra Euro |
— |
— |
— |
|||||||||||||||||||||
ProShares Ultra Gold |
— |
— |
||||||||||||||||||||||
ProShares Ultra Silver |
— |
— |
||||||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
— |
— |
— |
( |
) | |||||||||||||||||||
ProShares Ultra Yen |
— |
— |
— |
— |
||||||||||||||||||||
ProShares UltraPro 3x Crude Oil ETF |
( |
) | — |
— |
— |
( |
) | |||||||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
— |
— |
— |
— |
||||||||||||||||||||
ProShares UltraShort Australian Dollar |
— |
— |
— |
|||||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
— |
— |
||||||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
— |
— |
— |
|||||||||||||||||||||
ProShares UltraShort Euro |
— |
— |
( |
) | — |
|||||||||||||||||||
ProShares UltraShort Gold |
( |
) | ( |
) | — |
— |
||||||||||||||||||
ProShares UltraShort Silver |
( |
) | ( |
) | — |
— |
||||||||||||||||||
ProShares UltraShort Yen |
— |
— |
( |
) | — |
|||||||||||||||||||
ProShares VIX Mid-Term Futures ETF |
— |
— |
— |
— |
||||||||||||||||||||
ProShares VIX Short-Term Futures ETF |
— |
— |
— |
|||||||||||||||||||||
Total Trust |
$ |
$ |
$ |
$ |
( |
) |
$ |
( |
) |
$ |
* |
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Asset Derivatives |
Liability Derivatives |
|||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Fund |
Statements of Financial Condition Location |
Unrealized Appreciation |
Statements of Financial Condition Location |
Unrealized Depreciation |
|||||||||
VIX Futures Contracts |
Receivables on open futures contracts and/or unrealized appreciation on swap agreements |
Payable on open futures contracts and/or unrealized depreciation on swap agreements |
||||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | * |
$ | * | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
— |
* | ||||||||||||
ProShares VIX Mid-Term Futures ETF |
* |
* | ||||||||||||
ProShares VIX Short-Term Futures ETF |
— |
* | ||||||||||||
Commodities Contracts |
Receivables on open futures contracts and/or unrealized appreciation on swap agreements |
Payable on open futures contracts and/or unrealized depreciation on swap agreements |
||||||||||||
ProShares Ultra Bloomberg Crude Oil |
* |
— |
||||||||||||
ProShares Ultra Bloomberg Natural Gas |
— |
* | ||||||||||||
ProShares Ultra Gold |
* |
— |
||||||||||||
ProShares Ultra Silver |
* |
— |
||||||||||||
ProShares UltraPro 3x Crude Oil ETF |
* |
— |
||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
— |
* | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
— |
* | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
* |
— |
||||||||||||
ProShares UltraShort Gold |
— |
* | ||||||||||||
ProShares UltraShort Silver |
— |
* | ||||||||||||
Foreign Exchange Contracts |
Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts |
Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts |
||||||||||||
ProShares Short Euro |
— |
* | ||||||||||||
ProShares Ultra Euro |
— |
|||||||||||||
ProShares Ultra Yen |
— |
|||||||||||||
ProShares UltraShort Australian Dollar |
— |
* | ||||||||||||
ProShares UltraShort Euro |
||||||||||||||
ProShares UltraShort Yen |
— |
|||||||||||||
Total Trust |
$ |
* |
$ |
* |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Asset Derivatives |
Liability Derivatives |
|||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Fund |
Statements of Financial Condition Location |
Unrealized Appreciation |
Statements of Financial Condition Location |
Unrealized Depreciation |
|||||||||
VIX Futures Contracts |
Receivables on open futures contracts, unrealized appreciation on swap agreements |
Payable on open futures contracts, unrealized depreciation on swap agreements |
||||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | * |
$ | * | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
* |
* | ||||||||||||
ProShares VIX Mid-Term Futures ETF |
* |
* | ||||||||||||
ProShares VIX Short-Term Futures ETF |
* |
* | ||||||||||||
Commodities Contracts |
Receivables on open futures contracts and/or unrealized appreciation on swap agreements |
Payable on open futures contracts and/or unrealized depreciation on swap agreements |
||||||||||||
ProShares Ultra Bloomberg Crude Oil |
— |
* | ||||||||||||
ProShares Ultra Bloomberg Natural Gas |
— |
* | ||||||||||||
ProShares Ultra Gold |
* |
— |
||||||||||||
ProShares Ultra Silver |
* |
— |
||||||||||||
ProShares UltraPro 3x Crude Oil ETF |
— |
* | ||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
* |
— |
||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
* |
— |
||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
* |
— |
||||||||||||
ProShares UltraShort Gold |
— |
* | ||||||||||||
ProShares UltraShort Silver |
— |
* | ||||||||||||
Foreign Exchange Contracts |
Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts |
Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts |
||||||||||||
ProShares Short Euro |
— |
* | ||||||||||||
ProShares Ultra Euro |
||||||||||||||
ProShares Ultra Yen |
||||||||||||||
ProShares UltraShort Australian Dollar |
* |
— |
||||||||||||
ProShares UltraShort Euro |
||||||||||||||
ProShares UltraShort Yen |
||||||||||||||
Total Trust |
$ |
* |
$ |
* |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Derivatives Not Accounted for as Hedging Instruments |
Location of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX Futures Contracts |
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements |
|||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | $ | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
( |
) | ( |
) | ||||||||
ProShares VIX Mid-Term Futures ETF |
( |
) | ( |
) | ||||||||
ProShares VIX Short-Term Futures ETF |
( |
) | ( |
) | ||||||||
Commodities Contracts |
Net realized gain (loss) on futures contracts, forward and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts, forward and/or swap agreements |
|||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares Ultra Gold |
||||||||||||
ProShares Ultra Silver |
||||||||||||
ProShares UltraPro 3x Crude Oil ETF |
||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
( |
) | ( |
) | ||||||||
ProShares UltraShort Bloomberg Crude Oil |
( |
) | ( |
) | ||||||||
ProShares UltraShort Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares UltraShort Gold |
( |
) | ( |
) | ||||||||
ProShares UltraShort Silver |
( |
) | ( |
) | ||||||||
Foreign Exchange Contracts |
Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation (depreciation) on futures and/or foreign currency forward contracts |
|||||||||||
ProShares Short Euro |
||||||||||||
ProShares Ultra Euro |
( |
) | ||||||||||
ProShares Ultra Yen |
( |
) | ||||||||||
ProShares UltraShort Australian Dollar |
( |
) | ||||||||||
ProShares UltraShort Euro |
( |
) | ||||||||||
ProShares UltraShort Yen |
( |
) | ||||||||||
Total Trust |
$ |
( |
) |
$ |
Derivatives Not Accounted for as Hedging Instruments |
Location of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX Futures Contracts |
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements |
|||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | ( |
) | $ | ( |
) | ||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||
ProShares VIX Mid-Term Futures ETF |
||||||||||||
ProShares VIX Short-Term Futures ETF |
||||||||||||
Commodities Contracts |
Net realized gain (loss) on futures contracts, swap and/or forward agreements/ changes in unrealized appreciation/ depreciation on futures contracts, swap and/ or forward agreements |
|||||||||||
ProShares Ultra Bloomberg Crude Oil |
( |
) | ||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares Ultra Gold |
( |
) | ||||||||||
ProShares Ultra Silver |
( |
) | ||||||||||
ProShares UltraPro 3x Crude Oil ETF |
( |
) | ( |
) | ||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
( |
) | ||||||||||
ProShares UltraShort Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares UltraShort Gold |
||||||||||||
ProShares UltraShort Silver |
( |
) | ||||||||||
Foreign Exchange Contracts |
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts |
|||||||||||
ProShares Short Euro |
||||||||||||
ProShares Ultra Euro |
( |
) | ( |
) | ||||||||
ProShares Ultra Yen |
( |
) | ||||||||||
ProShares UltraShort Australian Dollar |
||||||||||||
ProShares UltraShort Euro |
||||||||||||
ProShares UltraShort Yen |
( |
) | ||||||||||
Total Trust |
$ |
( |
) |
$ |
( |
) |
Derivatives Not Accounted for as Hedging Instruments |
Location of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX Futures Contracts |
Net realized gain (loss) on futures contracts/ changes in unrealized appreciation (depreciation) on futures contracts |
ProShares Short VIX Short-Term Futures ETF |
$ | $ | ||||||||
ProShares Ultra VIX Short-Term Futures ETF |
( |
) | ( |
) | ||||||||
ProShares VIX Mid-Term Futures ETF |
( |
) | ( |
) | ||||||||
ProShares VIX Short-Term Futures ETF |
( |
) | ( |
) | ||||||||
Commodity Contracts |
Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation (depreciation) on futures contracts, swap and/or forward agreements |
ProShares Ultra Bloomberg Crude Oil |
||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares Ultra Gold |
||||||||||||
ProShares Ultra Silver |
( |
) | ||||||||||
ProShares UltraPro 3x Crude Oil ETF |
||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
( |
) | ( |
) | ||||||||
ProShares UltraShort Bloomberg Crude Oil |
( |
) | ( |
) | ||||||||
ProShares UltraShort Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares UltraShort Gold |
( |
) | ( |
) | ||||||||
ProShares UltraShort Silver |
( |
) | ||||||||||
Foreign Exchange Contracts |
Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation (depreciation) on futures and/or foreign currency forward contracts |
ProShares Short Euro |
( |
) | ( |
) | ||||||
ProShares Ultra Euro |
||||||||||||
ProShares Ultra Yen |
( |
) | ||||||||||
ProShares UltraShort Australian Dollar |
( |
) | ( |
) | ||||||||
ProShares UltraShort Euro |
( |
) | ( |
) | ||||||||
ProShares UltraShort Yen |
( |
) | ( |
) | ||||||||
Total Trust |
$ | ( |
) | $ | ( |
) |
Fair Values of Derivative Instruments as of December 31, 2019 |
||||||||||||||||||||||||
Assets |
Liabilities |
|||||||||||||||||||||||
Fund |
Gross Amounts of Recognized Assets presented in the Statements of Financial Condition |
Gross Amounts Offset in the Statements of Financial Condition |
Net Amounts of Assets presented in the Statements of Financial Condition |
Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition |
Gross Amounts Offset in the Statements of Financial Condition |
Net Amounts of Liabilities presented in the Statements of Financial Condition |
||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap agreements |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
ProShares Ultra Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares Ultra Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2019 |
||||||||||||||||
Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition |
Financial Instruments for the Benefit of (the Funds) / the Counterparties |
Cash Collateral for the Benefit of (the Funds) / the Counterparties |
Net Amount |
|||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||||||
Citibank, N.A. |
$ | $ | — |
$ | ( |
) | $ | — |
||||||||
Goldman Sachs International |
( |
) | — |
— |
||||||||||||
Royal Bank of Canada |
— |
( |
) | — |
||||||||||||
Societe Generale |
( |
) | — |
— |
||||||||||||
UBS AG |
( |
) | — |
— |
||||||||||||
ProShares Ultra Euro |
||||||||||||||||
Goldman Sachs International |
— |
— |
||||||||||||||
UBS AG |
— |
— |
||||||||||||||
ProShares Ultra Gold |
||||||||||||||||
Citibank, N.A. |
— |
( |
) | |||||||||||||
Goldman Sachs International |
( |
) | — |
|||||||||||||
UBS AG |
( |
) | — |
|||||||||||||
ProShares Ultra Silver |
||||||||||||||||
Citibank, N.A. |
— |
( |
) | — |
||||||||||||
Goldman Sachs International |
( |
) | — |
— |
||||||||||||
UBS AG |
( |
) | — |
— |
||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||||||
Goldman Sachs & Co. |
( |
) | — |
— |
||||||||||||
ProShares Ultra Yen |
||||||||||||||||
Goldman Sachs International |
( |
) | — |
— |
||||||||||||
UBS AG |
( |
) | — |
— |
||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||||||||||
Citibank, N.A. |
( |
) | — |
|||||||||||||
Goldman Sachs International |
( |
) | — |
— |
||||||||||||
Royal Bank of Canada |
( |
) | — |
|||||||||||||
Societe Generale |
( |
) | — |
|||||||||||||
UBS AG |
( |
) | — |
|||||||||||||
ProShares UltraShort Euro |
||||||||||||||||
Goldman Sachs International |
( |
) | — |
— |
||||||||||||
UBS AG |
( |
) | — |
— |
||||||||||||
ProShares UltraShort Gold |
||||||||||||||||
Citibank, N.A. |
( |
) | — |
— |
||||||||||||
Goldman Sachs International |
( |
) | — |
— |
||||||||||||
UBS AG |
( |
) | — |
— |
||||||||||||
ProShares UltraShort Silver |
||||||||||||||||
Citibank, N.A. |
( |
) | — |
— |
||||||||||||
Goldman Sachs International |
( |
) | — |
|||||||||||||
UBS AG |
( |
) | — |
— |
||||||||||||
ProShares UltraShort Yen |
||||||||||||||||
Goldman Sachs International |
( |
) | — |
— |
||||||||||||
UBS AG |
( |
) | — |
— |
Fair Values of Derivative Instruments as of December 31, 2018 |
||||||||||||||||||||||||
Assets |
Liabilities |
|||||||||||||||||||||||
Gross Amounts of Recognized Assets presented in the Statements of Financial Condition |
Gross Amounts Offset in the Statements of Financial Condition |
Net Amounts of Assets presented in the Statements of Financial Condition |
Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition |
Gross Amounts Offset in the Statements of Financial Condition |
Net Amounts of Liabilities presented in the Statements of Financial Condition |
|||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap agreements |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
ProShares Ultra Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares Ultra Gold |
||||||||||||||||||||||||
Forward agreements |
||||||||||||||||||||||||
ProShares Ultra Silver |
||||||||||||||||||||||||
Forward agreements |
||||||||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Gold |
||||||||||||||||||||||||
Forward agreements |
||||||||||||||||||||||||
ProShares UltraShort Silver |
||||||||||||||||||||||||
Forward agreements |
||||||||||||||||||||||||
ProShares UltraShort Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2018 |
||||||||||||||||
Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition |
Financial Instruments for the Benefit of (the Funds) / the Counterparties |
Cash Collateral for the Benefit of (the Funds) / the Counterparties |
Net Amount |
|||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||||||
Citibank, N.A. |
$ | ( |
) | $ | $ | $ | — |
|||||||||
Goldman Sachs International |
( |
) | — |
|||||||||||||
Royal Bank of Canada |
( |
) | — |
— |
||||||||||||
Societe Generale |
( |
) | — |
|||||||||||||
UBS AG |
( |
) | — |
|||||||||||||
ProShares Ultra Euro |
||||||||||||||||
Goldman Sachs International |
— |
— |
||||||||||||||
UBS AG |
— |
— |
||||||||||||||
ProShares Ultra Gold |
||||||||||||||||
Citibank, N.A. |
( |
) | — |
— |
||||||||||||
Goldman Sachs International |
( |
) | — |
— |
||||||||||||
Societe Generale |
— |
— |
||||||||||||||
UBS AG |
( |
) | — |
— |
||||||||||||
ProShares Ultra Silver |
||||||||||||||||
Citibank, N.A. |
( |
) | — |
|||||||||||||
Goldman Sachs International |
( |
) | — |
|||||||||||||
Societe Generale |
— |
— |
||||||||||||||
UBS AG |
( |
) | — |
|||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||||||
Goldman Sachs International |
( |
) | — |
— |
||||||||||||
ProShares Ultra Yen |
||||||||||||||||
Goldman Sachs International |
— |
— |
||||||||||||||
UBS AG |
— |
— |
||||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||||||||||
Citibank, N.A. |
( |
) | — |
— |
||||||||||||
Goldman Sachs International |
( |
) | — |
— |
||||||||||||
Royal Bank of Canada |
— |
( |
) | — |
||||||||||||
Societe Generale |
( |
) | — |
— |
||||||||||||
UBS AG |
( |
) | — |
— |
||||||||||||
ProShares UltraShort Euro |
||||||||||||||||
Goldman Sachs International |
( |
) | — |
— |
||||||||||||
UBS AG |
( |
) | — |
— |
||||||||||||
ProShares UltraShort Gold |
||||||||||||||||
Citibank, N.A. |
( |
) | — |
|||||||||||||
Goldman Sachs International |
( |
) | — |
— |
||||||||||||
Societe Generale |
( |
) | — |
— |
||||||||||||
UBS AG |
( |
) | — |
— |
||||||||||||
ProShares UltraShort Silver |
||||||||||||||||
Citibank, N.A. |
( |
) | — |
— |
||||||||||||
Goldman Sachs International |
( |
) | — |
— |
||||||||||||
Societe Generale |
( |
) | — |
— |
||||||||||||
UBS AG |
( |
) | — |
— |
||||||||||||
ProShares UltraShort Yen |
||||||||||||||||
Goldman Sachs International |
( |
) | — |
— |
||||||||||||
UBS AG |
( |
) | — |
Fund |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
|||||||||
ProShares Short Euro |
$ | — |
$ | — |
$ | — |
||||||
ProShares Short VIX Short-Term Futures ETF |
|
|
|
|||||||||
ProShares Ultra Bloomberg Crude Oil |
|
|
|
|||||||||
ProShares Ultra Bloomberg Natural Gas |
|
|
|
|||||||||
ProShares Ultra Euro |
— |
— |
— |
|||||||||
ProShares Ultra Gold |
|
|
|
|||||||||
ProShares Ultra Silver |
|
|
|
|||||||||
ProShares Ultra VIX Short-Term Futures ETF |
|
|
|
|||||||||
ProShares Ultra Yen |
— |
— |
— |
|||||||||
ProShares UltraPro 3x Crude Oil ETF |
|
|
|
|||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
|
|
|
|||||||||
ProShares UltraShort Australian Dollar |
— |
— |
— |
|||||||||
ProShares UltraShort Bloomberg Crude Oil |
|
|
|
|||||||||
ProShares UltraShort Bloomberg Natural Gas |
|
|
|
|||||||||
ProShares UltraShort Euro |
— |
— |
— |
|||||||||
ProShares UltraShort Gold |
|
|
|
|||||||||
ProShares UltraShort Silver |
— |
— |
— |
|||||||||
ProShares UltraShort Yen |
— |
— |
— |
|||||||||
ProShares VIX Mid-Term Futures ETF |
|
|
|
|||||||||
ProShares VIX Short-Term Futures ETF |
|
|
|
|||||||||
Total Trust |
$ |
|
$ |
|
$ |
|
Per Share Operating Performance |
Short Euro |
Short VIX Short-Term Futures ETF |
Ultra Bloomberg Crude Oil |
Ultra Bloomberg Natural Gas |
Ultra Euro |
Ultra Gold |
||||||||||||||||||
Net asset value, at December 31, 2018 |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Net investment income (loss) |
|
|
|
|
|
|
||||||||||||||||||
Net realized and unrealized gain (loss)# |
|
|
|
( |
) | ( |
) | |
||||||||||||||||
Change in net asset value from operations |
|
|
|
( |
) | ( |
) | |
||||||||||||||||
Net asset value, at December 31, 2019 |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Market value per share, at December 31, 2018 † |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Market value per share, at December 31, 2019 † |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Total Return, at net asset value |
|
% | |
% | |
% | ( |
)% | ( |
)% | |
% | ||||||||||||
Total Return, at market value |
|
% | |
% | |
% | ( |
)% | ( |
)% | |
% | ||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio |
|
% | |
%^^ | |
% | |
% | |
% | |
% | ||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
Net investment income gain (loss) |
|
% | |
% | |
% | |
% | |
% | |
% |
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.† Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.^^ Expense ratio, excluding non-recurring fees and expense is |
Per Share Operating Performance |
Ultra Silver |
Ultra VIX Short-Term Futures ETF |
Ultra Yen |
UltraPro 3x Crude Oil ETF |
UltraPro 3x Short Crude Oil ETF |
UltraShort Australian Dollar |
||||||||||||||||||
Net asset value, at December 31, 2018 |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Net investment income (loss) |
|
|
|
|
|
|
||||||||||||||||||
Net realized and unrealized gain (loss)# |
|
( |
) | ( |
) | |
( |
) | |
|||||||||||||||
Change in net asset value from operations |
|
( |
) | ( |
) | |
( |
) | |
|||||||||||||||
Net asset value, at December 31, 2019 |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Market value per share, at December 31, 2018 † |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Market value per share, at December 31, 2019 † |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Total Return, at net asset value |
|
% | ( |
)% | ( |
)% | |
% | ( |
)% | |
% | ||||||||||||
Total Return, at market value |
|
% | ( |
)% | ( |
)% | |
% | ( |
)% | |
% | ||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio |
|
% | |
%^^ | |
% | |
% | |
% | |
% | ||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
Net investment income gain (loss) |
|
% | |
% | |
% | |
% | |
% | |
% |
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.† Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.^^ Expense ratio, excluding non-recurring fees and expense is |
Per Share Operating Performance |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas |
UltraShort Euro |
UltraShort Gold |
UltraShort Silver |
UltraShort Yen |
||||||||||||||||||
Net asset value, at December 31, 2018 |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Net investment income (loss) |
|
|
|
|
|
|
||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | |
|
( |
) | ( |
) | |
|||||||||||||||
Change in net asset value from operations |
( |
) | |
|
( |
) | ( |
) | |
|||||||||||||||
Net asset value, at December 31, 2019 |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Market value per share, at December 31, 2018 † |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Market value per share, at December 31, 2019 † |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Total Return, at net asset value |
( |
)% | |
% | |
% | ( |
)% | ( |
)% | |
% | ||||||||||||
Total Return, at market value |
( |
)% | |
% | |
% | ( |
)% | ( |
)% | |
% | ||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
Net investment income gain (loss) |
|
% | |
% | |
% | |
% | |
% | |
% |
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.† Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated. |
Per Share Operating Performance |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||
Net asset value, at December 31, 2018 |
$ | |
$ | |
||||
Net investment income (loss) |
|
|
||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||
Change in net asset value from operations |
( |
) | ( |
) | ||||
Net asset value, at December 31, 2019 |
$ | |
$ | |
||||
Market value per share, at December 31, 2018 † |
$ | |
$ | |
||||
Market value per share, at December 31, 2019 † |
$ | |
$ | |
||||
Total Return, at net asset value |
( |
)% | ( |
)% | ||||
Total Return, at market value |
( |
)% | ( |
)% | ||||
Ratios to Average Net Assets |
||||||||
Expense ratio |
|
% | |
% | ||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
|
% | |
% | ||||
Net investment income gain (loss) |
|
% | |
% |
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.† Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated. |
Per Share Operating Performance |
Short Euro |
Short VIX Short-Term Futures ETF * |
Ultra Bloomberg Crude Oil |
Ultra Bloomberg Natural Gas * |
Ultra Euro |
Ultra Gold |
||||||||||||||||||
Net asset value, at December 31, 2017 |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Net investment income (loss) |
|
( |
) | |
|
|
|
|||||||||||||||||
Net realized and unrealized gain (loss)# |
|
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | |||||||||||||
Change in net asset value from operations |
|
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | |||||||||||||
Net asset value, at December 31, 2018 |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Market value per share, at December 31, 2017 † |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Market value per share, at December 31, 2018 † |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Total Return, at net asset value |
|
% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||||||
Total Return, at market value |
|
% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
Net investment income gain (loss) |
|
% | ( |
)% | |
% | |
% | |
% | |
% |
* See Note 1 of these Notes to Financial Statements.# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.† Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated. |
Per Share Operating Performance |
Ultra Silver |
Ultra VIX Short-Term Futures ETF * |
Ultra Yen |
UltraPro 3x Crude Oil ETF |
UltraPro 3x Short Crude Oil ETF * |
UltraShort Australian Dollar |
||||||||||||||||||
Net asset value, at December 31, 2017 |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Net investment income (loss) |
|
( |
) | ( |
) | ( |
) | ( |
) | |
||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | |
|
( |
) | |
|
||||||||||||||||
Change in net asset value from operations |
( |
) | |
|
( |
) | |
|
||||||||||||||||
Net asset value, at December 31, 2018 |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Market value per share, at December 31, 2017 † |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Market value per share, at December 31, 2018 † |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Total Return, at net asset value |
( |
)% | |
% | |
% | ( |
)% | |
% | |
% | ||||||||||||
Total Return, at market value |
( |
)% | |
% | |
% | ( |
)% | |
% | |
% | ||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
Net investment income gain (loss) |
|
% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | |
% |
* See Note 1 of these Notes to Financial Statements.# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.† Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated. |
Per Share Operating Performance |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas |
UltraShort Euro |
UltraShort Gold |
UltraShort Silver |
UltraShort Yen |
||||||||||||||||||
Net asset value, at December 31, 2017 |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Net investment income (loss) |
|
( |
) | |
|
|
|
|||||||||||||||||
Net realized and unrealized gain (loss)# |
|
( |
) | |
|
|
( |
) | ||||||||||||||||
Change in net asset value from operations |
|
( |
) | |
|
|
( |
) | ||||||||||||||||
Net asset value, at December 31, 2018 |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Market value per share, at December 31, 2017 † |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Market value per share, at December 31, 2018 † |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Total Return, at net asset value |
|
% | ( |
)% | |
% | |
% | |
% | ( |
)% | ||||||||||||
Total Return, at market value |
|
% | ( |
)% | |
% | |
% | |
% | ( |
)% | ||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
Net investment income gain (loss) |
|
% | ( |
)% | |
% | |
% | |
% | |
% |
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.† Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated. |
Per Share Operating Performance |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||
Net asset value, at December 31, 2017 |
$ | |
$ | |
||||
Net investment income (loss) |
|
|
||||||
Net realized and unrealized gain (loss)# |
|
|
||||||
Change in net asset value from operations |
|
|
||||||
Net asset value, at December 31, 2018 |
$ | |
$ | |
||||
Market value per share, at December 31, 2017 † |
$ | |
$ | |
||||
Market value per share, at December 31, 2018 † |
$ | |
$ | |
||||
Total Return, at net asset value |
|
% | |
% | ||||
Total Return, at market value |
|
% | |
% | ||||
Ratios to Average Net Assets |
||||||||
Expense ratio |
|
% | |
% | ||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
|
% | |
% | ||||
Net investment income gain (loss) |
|
% | |
% |
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.† Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated. |
Per Share Operating Performance |
Short Euro |
Short VIX Short-Term Futures ETF * |
Ultra Bloomberg Crude Oil |
Ultra Bloomberg Natural Gas * |
Ultra Euro |
Ultra Gold |
||||||||||||||||||
Net asset value, at December 31, 2016 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ||||||||||||||||||||
Net asset value, at December 31, 2017 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2016 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2017 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value |
( |
)% | % | % | ( |
)% | % | % | ||||||||||||||||
Total Return, at market value |
( |
)% | % | % | ( |
)% | % | % | ||||||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% |
* See Note 1 of these Notes to Financial Statements.# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated. |
Per Share Operating Performance |
Ultra Silver |
Ultra VIX Short-Term Futures ETF* |
Ultra Yen |
UltraPro 3x Crude Oil ETF + |
UltraPro 3x Short Crude Oil ETF *+ |
UltraShort Australian Dollar |
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Net asset value, at December 31, 2016 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
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) | ( |
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Net realized and unrealized gain (loss)# |
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Change in net asset value from operations |
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Net asset value, at December 31, 2017 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2016 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2017 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value |
% | ( |
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Total Return, at market value |
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Ratios to Average Net Assets |
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Expense ratio |
% | % | % | % ** |
% ** |
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Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % ** |
% ** |
% | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% ** |
( |
)% ** |
( |
)% |
* See Note 1 of these Notes to Financial Statements.+ From commencement of operations, March 24, 2017 through December 31, 2017. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated. For ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF, the returns of shares outstanding for the period of commencement of operations through December 31, 2017 are calculated based on the initial offering price upon commencement of operations of $25.00 and $100.00 respectively. ^ Percentages are not annualized for the period ended December 31, 2017. ** Percentages are annualized. |
Per Share Operating Performance |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas |
UltraShort Euro |
UltraShort Gold |
UltraShort Silver |
UltraShort Yen |
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Net asset value, at December 31, 2016 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||
Net asset value, at December 31, 2017 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2016 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2017 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value |
( |
)% | % | ( |
)% | ( |
)% | ( |
)% | ( |
)% | |||||||||||||
Total Return, at market value |
( |
)% | % | ( |
)% | ( |
)% | ( |
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Ratios to Average Net Assets |
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Expense ratio |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% |
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.† Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated. |
Per Share Operating Performance |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF* |
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Net asset value, at December 31, 2016 |
$ | $ | ||||||
Net investment income (loss) |
( |
) | ( |
) | ||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||
Change in net asset value from operations |
( |
) | ( |
) | ||||
Net asset value, at December 31, 2017 |
$ | $ | ||||||
Market value per share, at December 31, 2016 † |
$ | $ | ||||||
Market value per share, at December 31, 2017 † |
$ | $ | ||||||
Total Return, at net asset value |
( |
)% | ( |
)% | ||||
Total Return, at market value |
( |
)% | ( |
)% | ||||
Ratios to Average n et Assets |
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Expense ratio |
% | % | ||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
% | % | ||||||
Net investment income (loss) |
( |
)% | ( |
)% |
* See Note 1 of these Notes to Financial Statements.# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated. |
/s/ Todd Johnson |
By: Todd Johnson |
Principal Executive Officer |
Date: February 28, 2020 |
/s/ Edward Karpowicz |
By: Edward Karpowicz |
Principal Financial and Accounting Officer |
Date: February 28, 2020 |