Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
Title of each class |
Trading Symbol(s) |
Name of each exchange on which registered | ||
☒ | Accelerated Filer | ☐ | ||||
Non-Accelerated Filer |
☐ | Smaller Reporting Company | ||||
Emerging Growth Company | ☐ |
Page |
||||
1 | ||||
139 | ||||
195 | ||||
210 | ||||
211 | ||||
211 | ||||
214 | ||||
216 | ||||
216 | ||||
216 | ||||
217 |
Item 1. |
Financial Statements. |
Documents |
Page |
|||
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows: |
||||
2 | ||||
7 | ||||
12 | ||||
17 | ||||
22 | ||||
27 | ||||
32 | ||||
37 | ||||
42 | ||||
47 | ||||
52 | ||||
57 | ||||
62 | ||||
67 | ||||
72 | ||||
77 | ||||
82 | ||||
87 | ||||
92 | ||||
96 |
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | — | $ | |||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
— | |||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
— | |||||||
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) |
$ | $ | ||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Euro Fx Currency Futures - CME, expires December 2020 |
$ | $ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||||||
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) |
$ | ( |
) | $ | $ | ( |
) | $ | ||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of –, –, – and |
— | — | — | |||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
( |
) | ( |
) | ||||
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 |
$ | $ | ||||||
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable on open futures contracts |
— | |||||||
Brokerage commissions and fees payable |
— | |||||||
Payable to Sponsor |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
$ | $ | |||||||
Total short-term U.S. government and agency obligations |
||||||||
(cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires October 2020 |
$ | $ | ||||||||||
VIX Futures - Cboe, expires November 2020 |
( |
) | ||||||||||
$ | ||||||||||||
^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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) |
$ | $ | ( |
) | $ | ( |
) | $ | ||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized gain (loss) on investments |
( |
) | ||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | ||||||
Decrease (Increase) in interest receivable |
||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in brokerage commissions and fees payable |
||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
Net increase (decrease) in cash |
( |
) | ( |
) | ||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Unrealized appreciation on swap agreements |
— | |||||||
Receivable 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 (Note 1) |
||||||||
Net asset value per share (Note 1) |
$ | $ | ||||||
Market value per share (Note 1) (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
|
|
|||||||
Total short-term U.S. government and agency obligations |
||||||||
(cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires December 2020 |
$ | $ | ||||||||||
WTI Crude Oil - NYMEX, expires June 2021 |
||||||||||||
WTI Crude Oil - NYMEX, expires December 2021 |
( |
) | ||||||||||
|
|
|||||||||||
$ | ||||||||||||
|
|
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Subindex |
% | $ | $ | |||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
^ | The positions and counterparties herein are as of September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
* | Reflects the floating financing rate, as of September 30, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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) |
$ | $ | ( |
) | $ | ( |
) | $ | ||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
$ | $ | ||||||
|
|
|
|
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
— | |||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
— | |||||||
Payable to Sponsor |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding (Note 1) |
||||||||
Net asset value per share (Note 1) |
$ | $ | ||||||
Market value per share (Note 1) (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
$ | $ | |||||||
Total short-term U.S. government and agency obligations |
||||||||
(cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural Gas - NYMEX, expires November 2020 |
$ | $ | ( |
) |
^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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) |
$ | $ | $ | ( |
) | $ | ( |
) | ||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
|
|
|
|
|
|
|
|
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
$ | $ | ||||||
|
|
|
|
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | — | $ | |||||
Cash |
||||||||
Segregated cash balances with brokers for foreign currency forward contracts |
||||||||
Unrealized appreciation on foreign currency forward contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on foreign currency forward contracts |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||
Contracts to Purchase |
||||||||||||||
Euro with Goldman Sachs International |
$ | $ | ( |
) | ||||||||||
Euro with UBS AG |
( |
) | ||||||||||||
|
Total Unrealized Depreciation |
|
$ | ( |
) | |||||||||
Contracts to Sell |
||||||||||||||
Euro with UBS AG |
( |
) | $ | ( |
) | $ | ||||||||
|
Total Unrealized Appreciation |
|
$ | |||||||||||
^ | The positions and counterparties herein are as of September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ||||||||||||
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) |
$ | $ | ( |
) | $ | $ | ( |
) | ||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
( |
) | ( |
) | ||||
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 |
$ | $ | ||||||
|
|
|
|
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
— | |||||||
Unrealized appreciation on swap agreements |
— | |||||||
Receivable on open futures contracts |
— | |||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable 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 |
||||||||||
Gold Futures - COMEX, expires December 2020 |
$ | $ |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex |
% | $ | $ | ( |
) | |||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex |
( |
) | ||||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex |
( |
) | ||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ |
* | Reflects the floating financing rate, as of September 30, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Brokerage fees |
— | — | ||||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
||||||||||||||||
Swap agreements |
||||||||||||||||
Forward agreements |
— | — | — | |||||||||||||
Short-term U.S. government and agency obligations |
— | — | — | |||||||||||||
Net realized gain (loss) |
||||||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ||||||||||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Forward agreements |
— | — | — | ( |
) | |||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized and unrealized gain (loss) |
||||||||||||||||
Net income (loss) |
$ | $ | $ | $ | ||||||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
$ | $ | ||||||
|
|
|
|
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
— | |||||||
Unrealized appreciation on swap agreements |
— | |||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
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 |
||||||||||
Silver Futures - COMEX, expires December 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 Morgan Stanley & Co. International PLC 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 September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ |
* | Reflects the floating financing rate, as of September 30, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Brokerage fees |
— | |||||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
||||||||||||||||
Swap agreements |
||||||||||||||||
Forward agreements |
— | — | — | |||||||||||||
Short-term U.S. government and agency obligations |
— | — | ||||||||||||||
Net realized gain (loss) |
||||||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Forward agreements |
— | — | — | ( |
) | |||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized and unrealized gain (loss) |
||||||||||||||||
Net income (loss) |
$ | $ | $ | $ | ||||||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
|
|
|
|
|
|
|
|
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
$ | $ | ||||||
|
|
|
|
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Receivable from capital shares sold |
||||||||
Securities sold receivable |
— | |||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
— | |||||||
Brokerage commissions and fees payable |
— | |||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on swap agreements |
— | |||||||
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 October 2020 |
$ | $ | ||||||||||
VIX Futures - Cboe, expires November 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 |
|
$ | ||||||||||||||
^ | The positions and counterparties herein are as of September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ |
* | Reflects the floating financing rate, as of September 30, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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) |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 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 |
$ | $ | ||||||
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | — | $ | |||||
Cash |
||||||||
Segregated cash balances with brokers for foreign currency forward contracts |
||||||||
Unrealized appreciation on foreign currency forward contracts |
— | |||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on foreign currency forward contracts |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Yen with Goldman Sachs International |
$ | $ | ||||||||||||||
Yen with UBS AG |
||||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
Contracts to Sell |
||||||||||||||||
Yen with UBS AG |
( |
) | $ | ( |
) | $ | ||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
^ | The positions and counterparties herein are as of September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||
Short-term U.S. government and agency obligations |
— | ( |
) | — | ( |
) | ||||||||||
Net realized gain (loss) |
||||||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Short-term U.S. government and agency obligations |
— | ( |
) | — | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
$ | $ | ( |
) | $ | $ | ( |
) | ||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of –, –, – and |
— | — | — | |||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
$ | $ | ||||||
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | — | $ | |||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable 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) |
$ | $ | ||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Australian Dollar Fx Currency Futures - CME, expires December 2020 |
$ | $ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||||||
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) |
$ | ( |
) | $ | $ | ( |
) | $ | ||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
( |
) | ( |
) | ||||
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 |
$ | $ | ||||||
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | — | $ | |||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Receivable from capital shares sold |
— | |||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
— | |||||||
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) |
$ | $ | ||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires December 2020 |
$ | $ | ||||||||||
WTI Crude Oil - NYMEX, expires June 2021 |
( |
) | ||||||||||
WTI Crude Oil - NYMEX, expires December 2021 |
||||||||||||
$ | ||||||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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) |
$ | ( |
) | $ | $ | $ | ( |
) | ||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
$ | $ | ||||||
|
|
|
|
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
— | |||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable on open futures contracts |
— | |||||||
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 November 2020 |
$ | $ |
^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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) |
$ | ( |
) | $ | $ | ( |
) | $ | ||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
$ | $ | ||||||
|
|
|
|
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
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 $ |
$ | |||||||
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 Depreciation |
|
$ | ( |
) | |||||||||||
Contracts to Sell |
||||||||||||||||
Euro with Goldman Sachs International |
( |
) | $ | ( |
) | $ | ||||||||||
Euro 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 September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | $ | ||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
|
|
|
|
|
|
|
|
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
$ | $ | ||||||
|
|
|
|
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Unrealized appreciation on swap agreements |
— | |||||||
Receivable on open futures contracts |
— | |||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable 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 |
||||||||||
Gold Futures - COMEX, expires December 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 |
|
$ | |||||||||||||
^ | The positions and counterparties herein are as of September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ |
* | Reflects the floating financing rate, as of September 30, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Brokerage fees |
— | — | ||||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Forward agreements |
— | — | — | ( |
) | |||||||||||
Short-term U.S. government and agency obligations |
— | — | ||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
||||||||||||||||
Swap agreements |
||||||||||||||||
Forward agreements |
— | — | — | |||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
$ | $ | ||||||
|
|
|
|
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Unrealized appreciation on swap agreements |
— | |||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable 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 |
||||||||||
Silver Futures - COMEX, expires December 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 Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex |
( |
) | ||||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex |
( |
) | ||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ |
* | Reflects the floating financing rate, as of September 30, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Brokerage fees |
— | — | ||||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Forward agreements |
— | — | — | ( |
) | |||||||||||
Short-term U.S. government and agency obligations |
— | — | ||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
||||||||||||||||
Swap agreements |
||||||||||||||||
Forward agreements |
— | — | — | |||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
$ | $ | ||||||
|
|
|
|
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for foreign currency forward contracts |
— | |||||||
Unrealized appreciation on foreign currency forward contracts |
— | |||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on foreign currency forward contracts |
— | |||||||
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 |
( |
) | ||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
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 September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
— | ( |
) | — | ( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | $ | ||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
$ | $ | ||||||
|
|
|
|
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
— | |||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
— | |||||||
Brokerage commissions and fees payable |
— | |||||||
Payable to Sponsor |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
$ | $ | |||||||
Total short-term U.S. government and agency obligations |
||||||||
(cost $ |
$ | |||||||
Futures Contracts Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires January 2021 |
$ | $ | ||||||||||
VIX Futures - Cboe, expires February 2021 |
||||||||||||
VIX Futures - Cboe, expires March 2021 |
||||||||||||
VIX Futures - Cboe, expires April 2021 |
( |
) | ||||||||||
$ | ||||||||||||
^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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) |
$ | $ | $ | $ | ( |
) | ||||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
$ | $ | ||||||
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
— | |||||||
Brokerage commissions and fees payable |
— | |||||||
Payable to Sponsor |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
$ | $ | |||||||
Total short-term U.S. government and agency obligations |
||||||||
(cost $ |
$ | |||||||
Futures Contracts Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires October 2020 |
$ | $ | ( |
) | ||||||||
VIX Futures - Cboe, expires November 2020 |
||||||||||||
$ | ||||||||||||
^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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) |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
|
|
|
|
|
|
|
|
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 |
$ | $ | ||||||
|
|
|
|
September 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for foreign currency forward contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Unrealized appreciation on swap agreements |
||||||||
Unrealized appreciation on foreign currency forward contracts |
||||||||
Receivable from capital shares sold |
||||||||
Securities sold receivable |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and fees payable |
— | |||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on swap agreements |
||||||||
Unrealized depreciation on foreign currency forward contracts |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Three Months Ended |
Nine Months Ended |
|||||||||||||||
September 30, |
September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
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 |
( |
) | ||||||||||||||
Options |
— | — | ( |
) | — | |||||||||||
Forward agreements |
— | — | — | |||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ||||||||||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Forward agreements |
— | — | — | ( |
) | |||||||||||
Foreign currency forward contracts |
||||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | $ | ( |
) | ||||||
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
Nine Months Ended September 30, |
||||||||
2020 |
2019 |
|||||||
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 interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
||||||||
Increase (Decrease) in brokerage commissions and fees payable |
||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ||||||
Increase (Decrease) in payable to Broker |
||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities |
||||||||
|
|
|
|
|||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
|
|
|
|
|||||
Cash, end of period |
$ | $ | ||||||
|
|
|
|
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
Fund |
Execution Date (Prior to Opening of Trading) |
Type of Split |
Date Trading Resumed at Post- Split Price |
|||||
ProShares Ultra Bloomberg Crude Oil |
||||||||
ProShares Ultra Bloomberg Natural Gas |
Fund |
Create/Redeem Cut-off* |
NAV Calculation Time |
NAV Calculation Date |
|||||
UltraShort Silver, Ultra Silver |
||||||||
|
|
|
|
|||||
UltraShort Gold, Ultra Gold |
||||||||
|
|
|
|
|||||
UltraShort Bloomberg Crude Oil, |
||||||||
Ultra Bloomberg Crude Oil, |
||||||||
UltraShort Bloomberg Natural Gas, |
||||||||
Ultra Bloomberg Natural Gas |
||||||||
|
|
|
|
|||||
UltraShort Australian Dollar, |
||||||||
Short Euro, |
||||||||
UltraShort Euro, |
||||||||
Ultra Euro, |
||||||||
UltraShort Yen, |
||||||||
Ultra Yen |
||||||||
|
|
|
|
|||||
VIX Short-Term Futures ETF, |
||||||||
Ultra VIX Short-Term Futures ETF, |
||||||||
Short VIX Short-Term Futures ETF, |
||||||||
VIX Mid-Term Futures ETF |
||||||||
|
|
|
|
* | Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 30, 2020. |
** |
Effective Monday, October 26, 2020 each Fund will change its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00p.m. (Eastern Time). Please see Note 9 in these Notes to Financial Statements for more information. |
Level I - Quoted Prices |
Level II - Other SignificantObservable Inputs |
|||||||||||||||||||
Fund |
Short-Term U.S. Government and Agencies |
Futures Contracts * |
Foreign Currency Forward Contracts |
Swap Agreements |
Total |
|||||||||||||||
ProShares Short Euro |
$ | — | $ | $ | — | $ | — | $ | ||||||||||||
ProShares Short VIX Short-Term Futures ETF |
— | — | ||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil |
— | — | ||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | — | — | ||||||||||||||||
ProShares Ultra Euro |
— | — | ( |
) | — | ( |
) | |||||||||||||
ProShares Ultra Gold |
— | ( |
) | |||||||||||||||||
ProShares Ultra Silver |
( |
) | — | ( |
) | |||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
— | — | ||||||||||||||||||
ProShares Ultra Yen |
— | — | — | |||||||||||||||||
ProShares UltraShort Australian Dollar |
— | — | — | |||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
— | — | — | |||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
— | — | ||||||||||||||||||
ProShares UltraShort Euro |
— | — | ||||||||||||||||||
ProShares UltraShort Gold |
— | |||||||||||||||||||
ProShares UltraShort Silver |
— | |||||||||||||||||||
ProShares UltraShort Yen |
— | ( |
) | — | ||||||||||||||||
ProShares VIX Mid-Term Futures ETF |
— | — | ||||||||||||||||||
ProShares VIX Short-Term Futures ETF |
— | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Trust |
$ |
$ |
$ |
$ |
( |
) |
$ |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Level I - Quoted Prices |
Level II - Other Significant Observable Inputs |
|||||||||||||||||||
Fund |
Short-Term U.S. Government and Agencies |
Futures Contracts * |
Foreign Currency Forward Contracts |
Swap Agreements |
Total |
|||||||||||||||
ProShares Short Euro |
$ | $ | ( |
) | $ | — | $ | — | $ | |||||||||||
ProShares Short VIX Short-Term Futures ETF |
— | — | ||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil |
— | |||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | — | — | ||||||||||||||||
ProShares Ultra Euro |
— | — | ||||||||||||||||||
ProShares Ultra Gold |
— | |||||||||||||||||||
ProShares Ultra Silver |
— | |||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
( |
) | — | ( |
) | |||||||||||||||
ProShares Ultra Yen |
— | ( |
) | — | ||||||||||||||||
ProShares UltraPro 3x Crude Oil ETF |
— | — | ||||||||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
( |
) | — | — | ||||||||||||||||
ProShares UltraShort Australian Dollar |
( |
) | — | — | ||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
( |
) | — | ( |
) | |||||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
— | — | ||||||||||||||||||
ProShares UltraShort Euro |
— | ( |
) | — | ||||||||||||||||
ProShares UltraShort Gold |
( |
) | — | ( |
) | |||||||||||||||
ProShares UltraShort Silver |
( |
) | — | ( |
) | |||||||||||||||
ProShares UltraShort Yen |
— | — | ||||||||||||||||||
ProShares VIX Mid-Term Futures ETF |
( |
) | — | — | ||||||||||||||||
ProShares VIX Short-Term Futures ETF |
( |
) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Trust |
$ |
$ |
( |
) |
$ |
( |
) |
$ |
$ |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Asset Derivatives |
Liability Derivatives |
|||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Fund |
Statements of Financial Condition Location |
Unrealized Appreciation |
Statements of Financial Condition Location |
Unrealized Depreciation |
|||||||||
VIX Futures Contracts |
Receivables on open futures contracts, unrealized appreciation on swap agreements | Payable on open futures contracts, unrealized depreciation on swap agreements | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | * |
$ | * | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | * |
— | ||||||||||||
ProShares VIX Mid-Term Futures ETF |
* |
* | ||||||||||||
ProShares VIX Short-Term Futures ETF | * |
* | ||||||||||||
Commodities Contracts |
Receivables on open futures contracts and/or unrealized appreciation on swap agreements | Payable on open futures contracts and/or unrealized depreciation on swap agreements | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | * |
* | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | — | * | ||||||||||||
ProShares Ultra Gold | * |
* | ||||||||||||
ProShares Ultra Silver | — | * | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | * |
* | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | * |
— | ||||||||||||
ProShares UltraShort Gold | * |
— | ||||||||||||
ProShares UltraShort Silver | * |
— |
Foreign Exchange Contracts | Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts | ||||||||||||
ProShares Short Euro | $ |
* |
$ |
— | ||||||||||
ProShares Ultra Euro | ||||||||||||||
ProShares Ultra Yen | — | |||||||||||||
ProShares UltraShort Australian Dollar | * |
— | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||
ProShares UltraShort Yen | — | |||||||||||||
Total Trust |
$ |
* |
$ |
* |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
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 |
$ |
* |
$ |
* |
Derivatives Not Accounted for as Hedging Instruments |
Location of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX Futures Contracts |
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements |
|||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | $ | ( |
) | ||||||||
ProShares Ultra VIX Short-Term Futures ETF |
( |
) | ||||||||||
ProShares VIX Mid-Term Futures ETF |
||||||||||||
ProShares VIX Short-Term Futures ETF |
( |
) | ||||||||||
Commodities Contracts |
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements |
|||||||||||
ProShares Ultra Bloomberg Crude Oil |
( |
) | ||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares Ultra Gold |
( |
) | ||||||||||
ProShares Ultra Silver |
( |
) |
ProShares UltraShort Bloomberg Crude Oil |
$ |
( |
) | $ |
||||||||
ProShares UltraShort Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares UltraShort Gold |
( |
) | ||||||||||
ProShares UltraShort Silver |
( |
) | ||||||||||
Foreign Exchange Contracts |
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts |
|||||||||||
ProShares Short Euro |
( |
) | ( |
) | ||||||||
ProShares Ultra Euro |
( |
) | ||||||||||
ProShares Ultra Yen |
( |
) | ||||||||||
ProShares UltraShort Australian Dollar |
( |
) | ||||||||||
ProShares UltraShort Euro |
( |
) | ||||||||||
ProShares UltraShort Yen |
( |
) | ||||||||||
Total Trust |
$ |
( |
) |
$ |
( |
) |
Derivatives Not Accounted for as Hedging Instruments |
Location of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX Futures Contracts |
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements |
|||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | ( |
) | $ | ( |
) | ||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||
ProShares VIX Mid-Term Futures ETF |
||||||||||||
ProShares VIX Short-Term Futures ETF |
||||||||||||
Commodities Contracts |
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements |
|||||||||||
ProShares Ultra Bloomberg Crude Oil |
( |
) |
ProShares Ultra Bloomberg Natural Gas |
$ |
$ |
( |
) | ||||||||
ProShares Ultra Gold |
( |
) | ||||||||||
ProShares Ultra Silver |
( |
) | ||||||||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares UltraShort Gold |
( |
) | ||||||||||
ProShares UltraShort Silver |
( |
) | ||||||||||
Foreign Exchange Contracts |
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts |
|||||||||||
ProShares Short Euro |
( |
) | ||||||||||
ProShares Ultra Euro |
( |
) | ||||||||||
ProShares Ultra Yen |
||||||||||||
ProShares UltraShort Australian Dollar |
( |
) | ||||||||||
ProShares UltraShort Euro |
( |
) | ||||||||||
ProShares UltraShort Yen |
( |
) | ( |
) | ||||||||
Total Trust |
$ |
( |
) |
$ |
( |
) |
Derivatives Not Accounted for as Hedging Instruments |
Location of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX Futures Contracts |
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements |
|||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | $ | ( |
) | ||||||||
ProShares Ultra VIX Short-Term Futures ETF |
( |
) | ||||||||||
ProShares VIX Mid-Term Futures ETF |
||||||||||||
ProShares VIX Short-Term Futures ETF |
( |
) | ||||||||||
Commodities Contracts |
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements |
ProShares Ultra Bloomberg Crude Oil |
$ | $ | ( |
) | ||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares Ultra Gold |
( |
) | ||||||||||
ProShares Ultra Silver |
( |
) | ||||||||||
PrProShares 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 and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements |
|||||||||||
ProShares Ultra Bloomberg Crude Oil |
$ |
$ |
||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares Ultra Gold |
( |
) | ||||||||||
ProShares Ultra Silver |
( |
) | ||||||||||
ProShares UltraPro 3x Crude Oil ETF |
||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
( |
) | ||||||||||
ProShares UltraShort Bloomberg Crude Oil |
( |
) | ( |
) | ||||||||
ProShares UltraShort Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares UltraShort Gold |
( |
) | ||||||||||
ProShares UltraShort Silver |
( |
) | ||||||||||
Foreign Exchange Contracts |
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts |
|||||||||||
ProShares Short Euro |
||||||||||||
ProShares Ultra Euro |
( |
) | ( |
) | ||||||||
ProShares Ultra Yen |
( |
) | ||||||||||
ProShares UltraShort Australian Dollar |
( |
) | ||||||||||
ProShares UltraShort Euro |
||||||||||||
ProShares UltraShort Yen |
( |
) | ||||||||||
Total Trust |
$ |
( |
) |
$ |
( |
) |
Fair Values of Derivative Instruments as of September 30, 2020 |
||||||||||||||||||||||||
Assets |
Liabilities |
|||||||||||||||||||||||
Fund |
Gross Amounts of Recognized Assets presented in the Statements of Financial Condition |
Gross Amounts Offset in the Statements of Financial Condition |
Net Amounts of Assets presented in the Statements of Financial Condition |
Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition |
Gross Amounts Offset in the Statements of Financial Condition |
Net Amounts of Liabilities presented in the Statements of Financial Condition |
||||||||||||||||||
ProShares Ultra Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
ProShares Ultra Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2020 |
||||||||||||||||
Fund |
Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition |
Financial Instruments for the Benefit of (the Funds) / the Counterparties |
Cash Collateral for the Benefit of (the Funds) /the Counterparties |
Net Amount |
||||||||||||
ProShares Ultra Euro |
||||||||||||||||
Goldman Sachs International |
$ | ( |
$ | — | $ | |
$ | — | ||||||||
UBS AG |
( |
) | — | — | ||||||||||||
ProShares Ultra Gold |
||||||||||||||||
Citibank, N.A. |
( |
) | — | |||||||||||||
Goldman Sachs International |
( |
) | — | — | ||||||||||||
UBS AG |
( |
) | — | |||||||||||||
ProShares Ultra Silver |
||||||||||||||||
Citibank, N.A. |
( |
) | — | |||||||||||||
Goldman Sachs International |
( |
) | — | |||||||||||||
Morgan Stanley & Co. International PLC |
( |
) | — | — | ||||||||||||
UBS AG |
( |
) | — | — |
ProShares Ultra Yen |
||||||||||||||||
Goldman Sachs International |
— | — | ||||||||||||||
UBS AG |
— | — | ||||||||||||||
ProShares UltraShort Euro |
||||||||||||||||
Goldman Sachs International |
( |
) | — | — | ||||||||||||
UBS AG |
( |
) | — | |||||||||||||
ProShares UltraShort Gold |
||||||||||||||||
Citibank, N.A. |
— | ( |
) | — | ||||||||||||
Goldman Sachs International |
( |
) | — | — | ||||||||||||
UBS AG |
( |
) | — | |||||||||||||
ProShares UltraShort Silver |
||||||||||||||||
Citibank, N.A. |
— | ( |
) | |||||||||||||
Goldman Sachs International |
( |
) | — | |||||||||||||
— |
— |
|||||||||||||||
UBS AG |
( |
) | — | |||||||||||||
ProShares UltraShort Yen |
||||||||||||||||
Goldman Sachs International |
( |
) | — | — | ||||||||||||
UBS AG |
( |
) | — | — |
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 |
( |
) | — | — |
Three Months Ended |
Nine Months Ended |
|||||||
Fund |
September 30, 2020 |
September 30, 2020 |
||||||
ProShares Short Euro |
$ | — | $ | — | ||||
ProShares Short VIX Short-Term Futures ETF |
||||||||
ProShares Ultra Bloomberg Crude Oil |
— | — | ||||||
ProShares Ultra Bloomberg Natural Gas |
— | — | ||||||
ProShares Ultra Euro |
— | — | ||||||
ProShares Ultra Gold |
— | — | ||||||
ProShares Ultra Silver |
— | — | ||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||
ProShares Ultra Yen |
— | — | ||||||
ProShares UltraPro 3x Crude Oil ETF* |
||||||||
ProShares UltraPro 3x Short Crude Oil ETF* |
||||||||
ProShares UltraShort Australian Dollar |
— | — | ||||||
ProShares UltraShort Bloomberg Crude Oil |
— | — | ||||||
ProShares UltraShort Bloomberg Natural Gas |
— | — | ||||||
ProShares UltraShort Euro |
— | — | ||||||
ProShares UltraShort Gold |
— | — | ||||||
ProShares UltraShort Silver |
— | — | ||||||
ProShares UltraShort Yen |
— | — | ||||||
ProShares VIX Mid-Term Futures ETF |
||||||||
ProShares VIX Short-Term Futures ETF |
||||||||
|
|
|
|
|||||
Total Trust |
$ |
$ |
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
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 June 30, 2020 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ||||||||||||||||||||||
Change in net asset value from operations |
( |
) | ||||||||||||||||||||||
Net asset value, at September 30, 2020 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2020 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2020 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
( |
)% | % | % | % | % | % | |||||||||||||||||
Total Return, at market value^ |
( |
)% | % | ( |
)% | % | % | % | ||||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | 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. |
^ | Percentages are not annualized for the period ended September 30, 2020. |
^^ | Expense ratio, excluding non-recurring fees and expense is |
Per Share Operating Performance |
Ultra Silver |
Ultra VIX Short-Term Futures ETF |
Ultra Yen |
UltraShort Australian Dollar |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas |
||||||||||||||||||
Net asset value, at June 30, 2020 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net asset value, at September 30, 2020 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2020 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2020 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
% | ( |
)% | % | ( |
)% | ( |
)% | ( |
)% | ||||||||||||||
Total Return, at market value^ |
% | ( |
)% | % | ( |
)% | ( |
)% | ( |
)% | ||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non- recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% |
** | Percentages are annualized. |
# | 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. |
^ | Percentages are not annualized for the period ended September 30, 2020. |
^^ | Expense ratio, excluding non-recurring fees and expense is |
Per Share Operating Performance |
UltraShort Euro |
UltraShort Gold |
UltraShort Silver |
UltraShort Yen |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||||||||||||||
Net asset value, at June 30, 2020 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||
Net asset value, at September 30, 2020 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2020 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2020 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | ( |
)% | |||||||||||||
Total Return, at market value^ |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | ( |
)% | |||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non- recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% |
** | Percentages are annualized. |
# | 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. |
^ | Percentages are not annualized for the period ended September 30, 2020. |
^^ | Expense ratio, excluding non-recurring fees and expense is |
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 June 30, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
||||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net asset value, at September 30, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | % | ||||||||||||||
Total Return, at market value^ |
% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | % | ||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non- recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | 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. |
^ | Percentages are not annualized for the period ended September 30, 2019. |
Per Share Operating Performance |
Ultra Silver |
Ultra VIX Short-Term Futures ETF |
Ultra Yen |
UltraPro 3x Crude Oil ETF |
UltraPro 3x Short Crude Oil ETF * |
UltraShort Australian Dollar |
||||||||||||||||||
Net asset value, at June 30, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
||||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net asset value, at September 30, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | % | ||||||||||||||
Total Return, at market value^ |
% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | % | ||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non- recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | 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. |
^ | Percentages are not annualized for the period ended September 30, 2019. |
Per Share Operating Performance |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas |
UltraShort Euro |
UltraShort Gold |
UltraShort Silver |
UltraShort Yen |
||||||||||||||||||
Net asset value, at June 30, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
||||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net asset value, at September 30, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 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) |
% | % | % | % | % | % |
** | Percentages are annualized. |
# | 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. |
^ | Percentages are not annualized for the period ended September 30, 2019. |
Per Share Operating Performance |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||
Net asset value, at June 30, 2019 |
$ | $ | ||||||
Net investment income (loss) |
||||||||
Net realized and unrealized gain (loss)# |
( |
) | ||||||
Change in net asset value from operations |
( |
) | ||||||
Net asset value, at September 30, 2019 |
$ | $ | ||||||
Market value per share, at June 30, 2019 † |
$ | $ | ||||||
Market value per share, at September 30, 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) |
% | % |
** | Percentages are annualized. |
# | 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. |
^ | Percentages are not annualized for the period ended September 30, 2019. |
Per Share Operating Performance |
Short Euro |
Short VIX Short-Term Futures ETF |
Ultra Bloomberg Crude Oil * |
Ultra Bloomberg Natural Gas * |
Ultra Euro |
Ultra Gold |
||||||||||||||||||
Net asset value, at December 31, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net asset value, at September 30, 2020 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2020 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | % | ||||||||||||||
Total Return, at market value^ |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | % | ||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | 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. |
^ | Percentages are not annualized for the period ended September 30, 2020. |
^^ | Expense ratio, excluding non-recurring fees and expense is |
Per Share Operating Performance |
Ultra Silver |
Ultra VIX Short-Term Futures ETF |
Ultra Yen |
UltraShort Australian Dollar |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas |
||||||||||||||||||
Net asset value, at December 31, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ||||||||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ||||||||||||||||||||
Net asset value, at September 30, 2020 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2020 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
% | % | % | ( |
)% | % | ( |
)% | ||||||||||||||||
Total Return, at market value^ |
% | % | % | ( |
)% | % | ( |
)% | ||||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% |
% | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% |
** | Percentages are annualized. |
# | 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. |
^ | Percentages are not annualized for the period ended September 30, 2020. |
^^ | Expense ratio, excluding non-recurring fees and expense is |
Per Share Operating Performance |
UltraShort Euro |
UltraShort Gold |
UltraShort Silver |
UltraShort Yen |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||||||||||||||
Net asset value, at December 31, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net asset value, at September 30, 2020 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2020 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | % | ||||||||||||||
Total Return, at market value^ |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | % | ||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% |
** | Percentages are annualized. |
# | 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. |
^ | Percentages are not annualized for the period ended September 30, 2020. |
^^ | Expense ratio, excluding non-recurring fees and expense is and %, respectively . |
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 September 30, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2018 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
% | % | % | ( |
)% | ( |
)% | % | ||||||||||||||||
Total Return, at market value^ |
% | % | % | ( |
)% | ( |
)% | % | ||||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio |
% | %^^ | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | 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. |
^ | Percentages are not annualized for the period ended September 30, 2019. |
^^ | 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 September 30, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2018 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
% | ( |
)% | ( |
)% | % | ( |
)% | % | |||||||||||||||
Total Return, at market value^ |
% | ( |
)% | ( |
)% | % | ( |
)% | % | |||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio |
% | %^^ | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | 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. |
^ | Percentages are not annualized for the period ended September 30, 2019. |
^^ | 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 September 30, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2018 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
( |
)% | % | % | ( |
)% | ( |
)% | % | |||||||||||||||
Total Return, at market value^ |
( |
)% | % | % | ( |
)% | ( |
)% | % | |||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
** | Percentages are annualized. |
# | 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. |
^ | Percentages are not annualized for the period ended September 30, 2019. |
Per Share Operating Performance |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||
Net asset value, at December 31, 2018 |
$ | $ | ||||||
Net investment income (loss) |
||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||
Change in net asset value from operations |
( |
) | ( |
) | ||||
Net asset value, at September 30, 2019 |
$ | $ | ||||||
Market value per share, at December 31, 2018 † |
$ | $ | ||||||
Market value per share, at September 30, 2019 † |
$ | $ | ||||||
Total Return, at net asset value^ |
( |
)% | ( |
)% | ||||
Total Return, at market value^ |
( |
)% | ( |
)% | ||||
Ratios to Average Net Assets** |
||||||||
Expense ratio |
% | % | ||||||
Expense ratio, excluding brokerage commissions and fees |
% | % | ||||||
Net investment income gain (loss) |
% | % |
** | Percentages are annualized. |
# | 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. |
^ | Percentages are not annualized for the period ended September 30, 2019. |
• |
By the close of business on Tuesday, June 30, 2020, ProShares Ultra Bloomberg Crude Oil and ProShares UltraShort Bloomberg Crude Oil (the “Oil Funds”), had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020. |
• | In addition, by the close of business on Wednesday, July 1, 2020, each Oil Fund had transitioned the remaining portion of its exposure to the September 2020 WTI crude oil futures contract into exposure to the November 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the November 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Wednesday, July 1, 2020. |
Item 2. |
Management’s Discussion and Analysis of Financial Condition and Results of Operations. |
Fund |
Interest Income Three Months Ended September 30, 2020 * |
Interest Income Three Months Ended September 30, 2019 * |
Interest Income Nine Months Ended September 30, 2020 * |
Interest Income Nine Months Ended September 30, 2019 * |
||||||||||||
ProShares Short Euro |
$ | 127 | $ | 107,143 | $ | 7,776 | $ | 297,766 | ||||||||
ProShares Short VIX Short-Term Futures ETF |
53,301 | 1,291,477 | 909,185 | 4,759,836 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil |
50,356 | 1,881,595 | 1,817,563 | 6,185,775 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas |
15,347 | 174,945 | 191,160 | 431,788 | ||||||||||||
ProShares Ultra Euro |
357 | 25,543 | 16,350 | 100,510 | ||||||||||||
ProShares Ultra Gold |
59,354 | 508,770 | 543,895 | 1,333,779 | ||||||||||||
ProShares Ultra Silver |
103,976 | 1,032,102 | 1,018,578 | 2,867,840 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
88,621 | 2,018,561 | 1,601,884 | 6,119,714 | ||||||||||||
ProShares Ultra Yen |
171 | 16,771 | 9,100 | 62,655 | ||||||||||||
ProShares UltraPro 3x Crude Oil ETF |
— | 484,215 | 346,326 | 1,723,210 | ||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
— | 147,602 | 166,789 | 324,609 | ||||||||||||
ProShares UltraShort Australian Dollar |
289 | 38,466 | 20,385 | 134,230 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
4,832 | 418,817 | 259,750 | 1,205,353 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
8,136 | 25,657 | 51,939 | 133,810 | ||||||||||||
ProShares UltraShort Euro |
18,939 | 689,247 | 486,623 | 2,269,169 | ||||||||||||
ProShares UltraShort Gold |
1,831 | 97,539 | 65,111 | 295,028 | ||||||||||||
ProShares UltraShort Silver |
3,192 | 72,984 | 48,379 | 229,545 | ||||||||||||
ProShares UltraShort Yen |
5,085 | 242,826 | 136,411 | 833,627 | ||||||||||||
ProShares VIX Mid-Term Futures ETF |
13,590 | 227,815 | 199,491 | 718,946 | ||||||||||||
ProShares VIX Short-Term Futures ETF |
34,770 | 1,278,488 | 1,117,617 | 3,414,854 |
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
• | executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; |
• | limiting the outstanding amounts due from counterparties to the Funds; |
• | not posting margin directly with a counterparty; |
• | requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds; |
• | limiting the amount of margin or premium posted at a FCM; and |
• | ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for. |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 2,286,467 | $ | 22,127,403 | ||||
NAV end of period |
$ | 2,188,644 | $ | 18,651,067 | ||||
Percentage change in NAV |
(4.3 | )% | (15.7 | )% | ||||
Shares outstanding beginning of period |
50,000 | 500,000 | ||||||
Shares outstanding end of period |
50,000 | 400,000 | ||||||
Percentage change in shares outstanding |
— | % | (20.0 | )% | ||||
Shares created |
— | — | ||||||
Shares redeemed |
— | 100,000 | ||||||
Per share NAV beginning of period |
$ | 45.73 | $ | 44.25 | ||||
Per share NAV end of period |
$ | 43.77 | $ | 46.63 | ||||
Percentage change in per share NAV |
(4.3 | )% | 5.4 | % | ||||
Percentage change in benchmark |
4.4 |
% | (4.1 | )% | ||||
Benchmark annualized volatility |
6.3 |
% | 5.2 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (5,267 | ) | $ | 60,251 | |||
Management fee |
5,247 | 46,129 | ||||||
Brokerage commission |
82 | 763 | ||||||
Non-recurring fees and expenses |
65 | — | ||||||
Net realized gain (loss) |
(77,567 | ) | 625,576 | |||||
Change in net unrealized appreciation (depreciation) |
(14,989 | ) | 337,705 | |||||
Net Income (loss) |
$ | (97,823 | ) | $ | 1,023,532 |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 509,811,853 | $ | 337,102,327 | ||||
NAV end of period |
$ | 335,465,066 | $ | 338,896,125 | ||||
Percentage change in NAV |
(34.2 | )% | 0.5 | % | ||||
Shares outstanding beginning of period |
16,234,307 | 6,184,307 | ||||||
Shares outstanding end of period |
9,484,307 | 6,284,307 | ||||||
Percentage change in shares outstanding |
(41.6 | )% | 1.6 | % | ||||
Shares created |
— | 850,000 | ||||||
Shares redeemed |
6,750,000 | 750,000 | ||||||
Per share NAV beginning of period |
$ | 31.40 | $ | 54.51 | ||||
Per share NAV end of period |
$ | 35.37 | $ | 53.93 | ||||
Percentage change in per share NAV |
12.6 | % | (1.1 | )% | ||||
Percentage change in benchmark |
(26.3 |
)% |
(7.8 | )% | ||||
Benchmark annualized volatility |
56.2 |
% |
76.4 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (1,544,734 | ) | $ | 366,033 | |||
Management fee |
1,116,999 | 757,124 | ||||||
Brokerage commission |
167,648 | 166,779 | ||||||
Non-recurring fees and expenses |
22,038 | — | ||||||
Net realized gain (loss) |
60,593,305 | 1,175,732 | ||||||
Change in net unrealized appreciation (depreciation) |
(1,463,399 | ) | (5,426,565 | ) | ||||
Net Income (loss) |
$ | 57,585,172 | $ | (3,884,800 | ) |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 1,508,661,459 | $ | 381,980,628 | ||||
NAV end of period |
$ | 1,195,885,056 | $ | 307,227,999 | ||||
Percentage change in NAV |
(20.7 | )% | (19.6 | )% | ||||
Shares outstanding beginning of period |
52,760,774 | 778,453 | ||||||
Shares outstanding end of period |
41,610,774 | 764,453 | ||||||
Percentage change in shares outstanding |
(21.1 | )% | (1.8 | )% | ||||
Shares created |
21,500,000 | 610,000 | ||||||
Shares redeemed |
32,650,000 | 624,000 | ||||||
Per share NAV beginning of period |
$ | 28.59 | $ | 490.69 | ||||
Per share NAV end of period |
$ | 28.74 | $ | 401.89 | ||||
Percentage change in per share NAV |
0.5 | % | (18.1 | )% | ||||
Percentage change in benchmark |
2.6 |
% |
(6.6 | )% | ||||
Benchmark annualized volatility |
26.3 |
% |
47.5 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (4,420,342 | ) | $ | 964,368 | |||
Management fee |
3,210,517 | 864,705 | ||||||
Brokerage commission |
600,233 | 52,522 | ||||||
Non-recurring fees and expenses |
24,637 | — | ||||||
Net realized gain (loss) |
285,954,263 | 62,255,941 | ||||||
Change in net unrealized appreciation (depreciation) |
(232,630,286 | ) | (106,597,827 | ) | ||||
Net Income (loss) |
$ | 48,903,635 | $ | (43,377,518 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares Ultra Bloomberg Crude Oil. |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 50,599,783 | $ | 33,637,758 | ||||
NAV end of period |
$ | 99,203,762 | $ | 24,820,631 | ||||
Percentage change in NAV |
96.1 | % | (26.2 | )% | ||||
Shares outstanding beginning of period |
1,787,527 | 242,815 | ||||||
Shares outstanding end of period |
2,887,527 | 192,815 | ||||||
Percentage change in shares outstanding |
61.5 | % | (20.6 | )% | ||||
Shares created |
4,350,000 | 80,000 | ||||||
Shares redeemed |
3,250,000 | 130,000 | ||||||
Per share NAV beginning of period |
$ | 28.31 | $ | 138.53 | ||||
Per share NAV end of period |
$ | 34.36 | $ | 128.73 | ||||
Percentage change in per share NAV |
21.4 | % | (7.1 | )% | ||||
Percentage change in benchmark |
15.0 |
% |
(1.7 | )% | ||||
Benchmark annualized volatility |
58.7 |
% |
34.4 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (323,543 | ) | $ | 64,345 | |||
Management fee |
199,772 | 81,234 | ||||||
Brokerage commission |
106,449 | 29,366 | ||||||
Non-recurring fees and expenses |
1,129 | — | ||||||
Net realized gain (loss) |
41,156,156 | (1,826,765 | ) | |||||
Change in net unrealized appreciation (depreciation) |
(4,754,827 | ) | 3,331,086 | |||||
Net Income (loss) |
$ | 36,077,786 | $ | 1,568,666 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares Ultra Bloomberg Natural Gas. |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 4,067,686 | $ | 5,801,170 | ||||
NAV end of period |
$ | 4,397,675 | $ | 5,266,883 | ||||
Percentage change in NAV |
8.1 | % | (9.2 | )% | ||||
Shares outstanding beginning of period |
300,000 | 400,000 | ||||||
Shares outstanding end of period |
300,000 | 400,000 | ||||||
Percentage change in shares outstanding |
— | % | — | % | ||||
Shares created |
100,000 | — | ||||||
Shares redeemed |
100,000 | — | ||||||
Per share NAV beginning of period |
$ | 13.56 | $ | 14.50 | ||||
Per share NAV end of period |
$ | 14.66 | $ | 13.17 | ||||
Percentage change in per share NAV |
8.1 | % | (9.2 | )% | ||||
Percentage change in benchmark |
4.4 |
% | (4.1 | )% | ||||
Benchmark annualized volatility |
6.3 |
% | 5.2 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (12,155 | ) | $ | 12,333 | |||
Management fee |
12,404 | 13,210 | ||||||
Non-recurring fees and expenses |
108 | — | ||||||
Net realized gain (loss) |
441,714 | (396,315 | ) | |||||
Change in net unrealized appreciation (depreciation) |
(84,317 | ) | (150,305 | ) | ||||
Net Income (loss) |
$ | 345,242 | $ | (534,287 | ) |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 165,689,050 | $ | 85,377,335 | ||||
NAV end of period |
$ | 275,450,606 | $ | 109,353,860 | ||||
Percentage change in NAV |
66.2 | % | 28.1 | % | ||||
Shares outstanding beginning of period |
2,550,000 | 1,950,000 | ||||||
Shares outstanding end of period |
4,000,000 | 2,350,000 | ||||||
Percentage change in shares outstanding |
56.9 | % | 20.5 | % | ||||
Shares created |
1,700,000 | 450,000 | ||||||
Shares redeemed |
250,000 | 50,000 | ||||||
Per share NAV beginning of period |
$ | 64.98 | $ | 43.78 | ||||
Per share NAV end of period |
$ | 68.86 | $ | 46.53 | ||||
Percentage change in per share NAV |
6.0 | % | 6.3 | % | ||||
Percentage change in benchmark |
3.6 |
% | 3.8 | % | ||||
Benchmark annualized volatility |
25.4 |
% | 14.3 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (617,991 | ) | $ | 254,636 | |||
Management fee |
640,992 | 250,296 | ||||||
Brokerage commission |
12,115 | 3,838 | ||||||
Non-recurring fees and expenses |
3,751 | — | ||||||
Net realized gain (loss) |
25,742,296 | 16,725,025 | ||||||
Change in net unrealized appreciation (depreciation) |
(18,054,591 | ) | (11,787,819 | ) | ||||
Net Income (loss) |
$ | 7,069,714 | $ | 5,191,842 |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 249,671,968 | $ | 178,444,838 | ||||
NAV end of period |
$ | 620,883,156 | $ | 216,058,743 | ||||
Percentage change in NAV |
148.7 | % | 21.1 | % | ||||
Shares outstanding beginning of period |
8,446,526 | 7,246,526 | ||||||
Shares outstanding end of period |
14,696,526 | 7,396,526 | ||||||
Percentage change in shares outstanding |
74.0 | % | 2.1 | % | ||||
Shares created |
8,050,000 | 750,000 | ||||||
Shares redeemed |
1,800,000 | 600,000 | ||||||
Per share NAV beginning of period |
$ | 29.56 | $ | 24.62 | ||||
Per share NAV end of period |
$ | 42.25 | $ | 29.21 | ||||
Percentage change in per share NAV |
42.9 | % | 18.6 | % | ||||
Percentage change in benchmark |
25.1 |
% | 10.5 | % | ||||
Benchmark annualized volatility |
33.8 |
% | 27.9 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (1,497,215 | ) | $ | 489,406 | |||
Management fee |
1,462,400 | 528,976 | ||||||
Brokerage commission |
54,812 | 13,720 | ||||||
Non-recurring fees and expenses |
3,943 | — | ||||||
Net realized gain (loss) |
290,238,797 | 69,234,030 | ||||||
Change in net unrealized appreciation (depreciation) |
(199,313,772 | ) | (36,162,901 | ) | ||||
Net Income (loss) |
$ | 89,427,810 | $ | 33,560,535 |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 992,156,607 | $ | 529,341,464 | ||||
NAV end of period |
$ | 1,307,611,521 | $ | 597,106,050 | ||||
Percentage change in NAV |
31.8 | % | 12.8 | % | ||||
Shares outstanding beginning of period |
30,130,912 | 17,430,912 | ||||||
Shares outstanding end of period |
64,880,912 | 23,530,912 | ||||||
Percentage change in shares outstanding |
115.3 | % | 35.0 | % | ||||
Shares created |
42,800,000 | 23,650,000 | ||||||
Shares redeemed |
8,050,000 | 17,550,000 | ||||||
Per share NAV beginning of period |
$ | 32.93 | $ | 30.37 | ||||
Per share NAV end of period |
$ | 20.15 | $ | 25.38 | ||||
Percentage change in per share NAV |
(38.8 | )% | (16.4 | )% | ||||
Percentage change in benchmark |
(26.3 |
)% |
(7.8 | )% | ||||
Benchmark annualized volatility |
56.2 |
% |
76.4 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (5,136,994 | ) | $ | 128,125 | |||
Management fee |
2,969,740 | 1,166,670 | ||||||
Brokerage commission |
1,102,235 | 723,766 | ||||||
Non-recurring fees and expenses |
10,480 | — | ||||||
Net realized gain (loss) |
(559,537,850 | ) | (55,315,749 | ) | ||||
Change in net unrealized appreciation (depreciation) |
15,303,127 | 45,207,285 | ||||||
Net Income (loss) |
$ | (549,371,717 | ) | $ | (9,980,339 | ) |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 2,764,355 | $ | 5,807,397 | ||||
NAV end of period |
$ | 2,882,680 | $ | 2,851,387 | ||||
Percentage change in NAV |
4.3 | % | (50.9 | )% | ||||
Shares outstanding beginning of period |
49,970 | 99,970 | ||||||
Shares outstanding end of period |
49,970 | 49,970 | ||||||
Percentage change in shares outstanding |
— | % | (50.0 | )% | ||||
Shares created |
— | — | ||||||
Shares redeemed |
— | 50,000 | ||||||
Per share NAV beginning of period |
$ | 55.32 | $ | 58.09 | ||||
Per share NAV end of period |
$ | 57.69 | $ | 57.06 | ||||
Percentage change in per share NAV |
4.3 | % | (1.8 | )% | ||||
Percentage change in benchmark |
2.4 |
% |
(0.3 | )% | ||||
Benchmark annualized volatility |
5.8 |
% |
7.0 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (6,720 | ) | $ | 8,446 | |||
Management fee |
6,813 | 8,325 | ||||||
Non-recurring fees and expenses |
78 | — | ||||||
Net realized gain (loss) |
126,569 | 37,586 | ||||||
Change in net unrealized appreciation (depreciation) |
(1,524 | ) | (76,201 | ) | ||||
Net Income (loss) |
$ | 118,325 | $ | (30,169 | ) |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 5,614,042 | $ | 8,364,065 | ||||
NAV end of period |
$ | 5,173,668 | $ | 9,075,799 | ||||
Percentage change in NAV |
(7.8 | )% | 8.5 | % | ||||
Shares outstanding beginning of period |
100,000 | 150,000 | ||||||
Shares outstanding end of period |
100,000 | 150,000 | ||||||
Percentage change in shares outstanding |
— | % | — | % | ||||
Shares created |
— | 50,000 | ||||||
Shares redeemed |
— | 50,000 | ||||||
Per share NAV beginning of period |
$ | 56.14 | $ | 55.76 | ||||
Per share NAV end of period |
$ | 51.74 | $ | 60.51 | ||||
Percentage change in per share NAV |
(7.8 | )% | 8.5 | % | ||||
Percentage change in benchmark |
3.8 |
% | (3.8 | )% | ||||
Benchmark annualized volatility |
9.0 |
% | 6.4 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (13,294 | ) | $ | 19,953 | |||
Management fee |
12,478 | 17,005 | ||||||
Brokerage commission |
928 | 1,508 | ||||||
Non-recurring fees and expenses |
177 | — | ||||||
Net realized gain (loss) |
(432,100 | ) | 312,374 | |||||
Change in net unrealized appreciation (depreciation) |
5,020 | 351,173 | ||||||
Net Income (loss) |
$ | (440,374 | ) | $ | 683,500 |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 117,821,898 | $ | 68,096,767 | ||||
NAV end of period |
$ | 80,418,166 | $ | 92,471,273 | ||||
Percentage change in NAV |
(31.7 | )% | 35.8 | % | ||||
Shares outstanding beginning of period |
6,439,884 | 4,039,884 | ||||||
Shares outstanding end of period |
4,839,884 | 5,639,884 | ||||||
Percentage change in shares outstanding |
(24.8 | )% | 39.6 | % | ||||
Shares created |
4,300,000 | 8,450,000 | ||||||
Shares redeemed |
5,900,000 | 6,850,000 | ||||||
Per share NAV beginning of period |
$ | 18.30 | $ | 16.86 | ||||
Per share NAV end of period |
$ | 16.62 | $ | 16.40 | ||||
Percentage change in per share NAV |
(9.2 | )% | (2.7 | )% | ||||
Percentage change in benchmark |
2.6 |
% | (6.6 | )% | ||||
Benchmark annualized volatility |
26.3 |
% | 47.5 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (342,320 | ) | $ | 200,283 | |||
Management fee |
238,038 | 192,976 | ||||||
Brokerage commission |
64,657 | 25,558 | ||||||
Non-recurring fees and expenses |
4,892 | — | ||||||
Net realized gain (loss) |
(16,296,829 | ) | (12,233,280 | ) | ||||
Change in net unrealized appreciation (depreciation) |
5,848,114 | 23,199,135 | ||||||
Net Income (loss) |
$ | (10,791,035 | ) | $ | 11,166,138 |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 28,552,210 | $ | 3,838,842 | ||||
NAV end of period |
$ | 46,937,986 | $ | 8,086,224 | ||||
Percentage change in NAV |
64.4 | % | 110.6 | % | ||||
Shares outstanding beginning of period |
424,832 | 124,832 | ||||||
Shares outstanding end of period |
1,224,832 | 274,832 | ||||||
Percentage change in shares outstanding |
188.3 | % | 120.2 | % | ||||
Shares created |
3,200,000 | 300,000 | ||||||
Shares redeemed |
2,400,000 | 150,000 | ||||||
Per share NAV beginning of period |
$ | 67.21 | $ | 30.75 | ||||
Per share NAV end of period |
$ | 38.32 | $ | 29.42 | ||||
Percentage change in per share NAV |
(43.0 | )% | (4.3 | )% | ||||
Percentage change in benchmark |
15.0 |
% | (1.7 | )% | ||||
Benchmark annualized volatility |
58.7 |
% | 34.4 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (249,586 | ) | $ | 4,656 | |||
Management fee |
138,507 | 12,382 | ||||||
Brokerage commission |
98,416 | 8,619 | ||||||
Non-recurring fees and expenses |
345 | — | ||||||
Net realized gain (loss) |
(31,449,992 | ) | (68,026 | ) | ||||
Change in net unrealized appreciation (depreciation) |
8,969,137 | 791,311 | ||||||
Net Income (loss) |
$ | (22,730,441 | ) | $ | 727,941 |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 78,848,965 | $ | 134,573,471 | ||||
NAV end of period |
$ | 68,577,533 | $ | 135,920,188 | ||||
Percentage change in NAV |
(13.0 | )% | 1.0 | % | ||||
Shares outstanding beginning of period |
2,950,000 | 5,300,000 | ||||||
Shares outstanding end of period |
2,800,000 | 4,850,000 | ||||||
Percentage change in shares outstanding |
(5.1 | )% | (8.5 | )% | ||||
Shares created |
1,000,000 | 100,000 | ||||||
Shares redeemed |
1,150,000 | 550,000 | ||||||
Per share NAV beginning of period |
$ | 26.73 | $ | 25.39 | ||||
Per share NAV end of period |
$ | 24.49 | $ | 28.02 | ||||
Percentage change in per share NAV |
(8.4 | )% | 10.4 | % | ||||
Percentage change in benchmark |
4.4 |
% | (4.1 | )% | ||||
Benchmark annualized volatility |
6.3 |
% | 5.2 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (144,828 | ) | $ | 371,679 | |||
Management fee |
161,145 | 317,568 | ||||||
Non-recurring fees and expenses |
2,622 | — | ||||||
Net realized gain (loss) |
(7,511,167 | ) | 9,365,840 | |||||
Change in net unrealized appreciation (depreciation) |
1,525,791 | 3,611,497 | ||||||
Net Income (loss) |
$ | (6,130,204 | ) | $ | 13,349,016 |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 15,851,043 | $ | 18,158,403 | ||||
NAV end of period |
$ | 27,139,981 | $ | 22,453,523 | ||||
Percentage change in NAV |
71.2 | % | 23.7 | % | ||||
Shares outstanding beginning of period |
446,977 | 296,977 | ||||||
Shares outstanding end of period |
846,977 | 396,977 | ||||||
Percentage change in shares outstanding |
89.5 | % | 33.7 | % | ||||
Shares created |
750,000 | 150,000 | ||||||
Shares redeemed |
350,000 | 50,000 | ||||||
Per share NAV beginning of period |
$ | 35.46 | $ | 61.14 | ||||
Per share NAV end of period |
$ | 32.04 | $ | 56.56 | ||||
Percentage change in per share NAV |
(9.6 | )% | (7.5 | )% | ||||
Percentage change in benchmark |
3.6 |
% | 3.8 | % | ||||
Benchmark annualized volatility |
19.1 |
% | 14.3 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (47,471 | ) | $ | 53,681 | |||
Management fee |
45,591 | 42,251 | ||||||
Brokerage commission |
1,980 | 1,607 | ||||||
Non-recurring fees and expenses |
499 | — | ||||||
Net realized gain (loss) |
(4,021,537 | ) | (3,472,333 | ) | ||||
Change in net unrealized appreciation (depreciation) |
2,689,061 | 2,705,043 | ||||||
Net Income (loss) |
$ | (1,379,947 | ) | $ | (713,609 | ) |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 10,145,625 | $ | 14,026,041 | ||||
NAV end of period |
$ | 51,055,675 | $ | 15,441,093 | ||||
Percentage change in NAV |
403.2 | % | 10.1 | % | ||||
Shares outstanding beginning of period |
516,976 | 366,976 | ||||||
Shares outstanding end of period |
5,266,976 | 516,976 | ||||||
Percentage change in shares outstanding |
918.8 | % | 40.9 | % | ||||
Shares created |
11,300,000 | 300,000 | ||||||
Shares redeemed |
6,550,000 | 150,000 | ||||||
Per share NAV beginning of period |
$ | 19.62 | $ | 38.22 | ||||
Per share NAV end of period |
$ | 9.69 | $ | 29.87 | ||||
Percentage change in per share NAV |
(50.6 | )% | (21.8 | )% | ||||
Percentage change in benchmark |
25.1 |
% | 10.5 | % | ||||
Benchmark annualized volatility |
57.7 |
% | 27.9 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (94,990 | ) | $ | 40,671 | |||
Management fee |
84,377 | 30,418 | ||||||
Brokerage commission |
8,539 | 1,895 | ||||||
Non-recurring fees and expenses |
321 | — | ||||||
Net realized gain (loss) |
(15,896,820 | ) | (5,517,511 | ) | ||||
Change in net unrealized appreciation (depreciation) |
11,129,734 | 2,680,581 | ||||||
Net Income (loss) |
$ | (4,862,076 | ) | $ | (2,796,259 | ) |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 29,787,034 | $ | 47,695,345 | ||||
NAV end of period |
$ | 24,780,763 | $ | 41,046,700 | ||||
Percentage change in NAV |
(16.8 | )% | (13.9 | )% | ||||
Shares outstanding beginning of period |
399,290 | 649,290 | ||||||
Shares outstanding end of period |
349,290 | 549,290 | ||||||
Percentage change in shares outstanding |
(12.5 | )% | (15.4 | )% | ||||
Shares created |
— | — | ||||||
Shares redeemed |
50,000 | 100,000 | ||||||
Per share NAV beginning of period |
$ | 74.60 | $ | 73.46 | ||||
Per share NAV end of period |
$ | 70.95 | $ | 74.73 | ||||
Percentage change in per share NAV |
(4.9 | )% | 1.7 | % | ||||
Percentage change in benchmark |
2.4 |
% | (0.3 | )% | ||||
Benchmark annualized volatility |
5.8 |
% | 7.0 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (55,870 | ) | $ | 137,637 | |||
Management fee |
60,238 | 105,189 | ||||||
Non-recurring fees and expenses |
717 | — | ||||||
Net realized gain (loss) |
(1,451,651 | ) | (178,400 | ) | ||||
Change in net unrealized appreciation (depreciation) |
201,521 | 783,422 | ||||||
Net Income (loss) |
$ | (1,306,000 | ) | $ | 742,659 |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 59,085,470 | $ | 37,756,409 | ||||
NAV end of period |
$ | 101,957,520 | $ | 44,933,064 | ||||
Percentage change in NAV |
72.6 | % | 19.0 | % | ||||
Shares outstanding beginning of period |
1,462,403 | 1,762,403 | ||||||
Shares outstanding end of period |
2,487,403 | 1,912,403 | ||||||
Percentage change in shares outstanding |
70.1 | % | 8.5 | % | ||||
Shares created |
1,150,000 | 350,000 | ||||||
Shares redeemed |
125,000 | 200,000 | ||||||
Per share NAV beginning of period |
$ | 40.40 | $ | 21.42 | ||||
Per share NAV end of period |
$ | 40.99 | $ | 23.50 | ||||
Percentage change in per share NAV |
1.5 | % | 9.7 | % | ||||
Percentage change in benchmark |
1.8 | % | 10.0 | % | ||||
Benchmark annualized volatility |
26.2 | % | 31.4 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (204,460 | ) | $ | 129,497 | |||
Management fee |
172,587 | 90,860 | ||||||
Brokerage commission |
19,350 | 5,777 | ||||||
Net realized gain (loss) |
755,845 | 1,477,618 | ||||||
Change in net unrealized appreciation (depreciation) |
1,752,080 | 2,650,017 | ||||||
Net Income (loss) |
$ | 2,303,465 | $ | 4,257,132 |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 221,343,175 | $ | 240,473,128 | ||||
NAV end of period |
$ | 279,272,297 | $ | 299,409,882 | ||||
Percentage change in NAV |
26.2 | % | 24.5 | % | ||||
Shares outstanding beginning of period |
7,926,317 | 11,526,317 | ||||||
Shares outstanding end of period |
13,601,317 | 15,601,317 | ||||||
Percentage change in shares outstanding |
71.6 | % | 35.4 | % | ||||
Shares created |
6,650,000 | 8,875,000 | ||||||
Shares redeemed |
975,000 | 4,800,000 | ||||||
Per share NAV beginning of period |
$ | 27.93 | $ | 20.86 | ||||
Per share NAV end of period |
$ | 20.53 | $ | 19.19 | ||||
Percentage change in per share NAV |
(26.5 | )% | (8.0 | )% | ||||
Percentage change in benchmark |
(26.3 | )% | (7.8 | )% | ||||
Benchmark annualized volatility |
56.2 | % | 76.4 | % |
Three Months Ended September 30, 2020 |
Three Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (758,225 | ) | $ | 615,421 | |||
Management fee |
560,301 | 561,431 | ||||||
Brokerage commission |
66,969 | 96,608 | ||||||
Net realized gain (loss) |
(75,120,135 | ) | (15,922,047 | ) | ||||
Change in net unrealized appreciation (depreciation) |
556,466 | 13,425,396 | ||||||
Net Income (loss) |
$ | (75,321,894 | ) | $ | (1,881,230 | ) |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 2,282,195 | $ | 8,619,686 | ||||
NAV end of period |
$ | 2,188,644 | $ | 18,651,067 | ||||
Percentage change in NAV |
(4.1 | )% | 116.4 | % | ||||
Shares outstanding beginning of period |
50,000 | 200,000 | ||||||
Shares outstanding end of period |
50,000 | 400,000 | ||||||
Percentage change in shares outstanding |
— | % | 100.0 | % | ||||
Shares created |
— | 300,000 | ||||||
Shares redeemed |
— | 100,000 | ||||||
Per share NAV beginning of period |
$ | 45.64 | $ | 43.10 | ||||
Per share NAV end of period |
$ | 43.77 | $ | 46.63 | ||||
Percentage change in per share NAV |
(4.1 | )% | 8.2 | % | ||||
Percentage change in benchmark |
4.5 | % | (4.9 | )% | ||||
Benchmark annualized volatility |
7.9 | % | 5.4 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (8,827 | ) | $ | 169,742 | |||
Management fee |
16,266 | 125,906 | ||||||
Brokerage commission |
272 | 2,118 | ||||||
Non-recurring fees and expenses |
65 | — | ||||||
Net realized gain (loss) |
(116,225 | ) | 849,200 | |||||
Change in net unrealized appreciation (depreciation) |
31,501 | 307,157 | ||||||
Net Income (loss) |
$ | (93,551 | ) | $ | 1,326,099 |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 284,437,179 | $ | 344,596,263 | ||||
NAV end of period |
$ | 335,465,066 | $ | 338,896,125 | ||||
Percentage change in NAV |
17.9 | % | (1.7 | )% | ||||
Shares outstanding beginning of period |
4,334,307 | 8,134,307 | ||||||
Shares outstanding end of period |
9,484,307 | 6,284,307 | ||||||
Percentage change in shares outstanding |
118.8 | % | (22.7 | )% | ||||
Shares created |
25,850,000 | 1,150,000 | ||||||
Shares redeemed |
20,700,000 | 3,000,000 | ||||||
Per share NAV beginning of period |
$ | 65.62 | $ | 42.36 | ||||
Per share NAV end of period |
$ | 35.37 | $ | 53.93 | ||||
Percentage change in per share NAV |
(46.1 | )% | 27.3 | % | ||||
Percentage change in benchmark |
68.5 | % | (49.9 | )% | ||||
Benchmark annualized volatility |
112.9 | % | 63.5 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (4,043,310 | ) | $ | 1,136,974 | |||
Management fee |
3,592,232 | 2,647,947 | ||||||
Brokerage commission |
585,356 | 574,800 | ||||||
Non-recurring fees and expenses |
22,038 | 398,550 | ||||||
Net realized gain (loss) |
(129,092,294 | ) | 71,708,674 | |||||
Change in net unrealized appreciation (depreciation) |
(2,709,070 | ) | 21,713,381 | |||||
Net Income (loss) |
$ | (135,844,674 | ) | $ | 94,559,029 |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 309,844,582 | $ | 368,399,654 | ||||
NAV end of period |
$ | 1,195,885,056 | $ | 307,227,999 | ||||
Percentage change in NAV |
286.0 | % | (16.6 | )% | ||||
Shares outstanding beginning of period |
608,453 | 1,128,453 | ||||||
Shares outstanding end of period |
41,610,774 | 764,453 | ||||||
Percentage change in shares outstanding |
6,738.8 | % | (32.3 | )% | ||||
Shares created |
109,662,000 | 1,026,000 | ||||||
Shares redeemed |
68,659,679 | 1,390,000 | ||||||
Per share NAV beginning of period |
$ | 509.23 | $ | 326.46 | ||||
Per share NAV end of period |
$ | 28.74 | $ | 401.89 | ||||
Percentage change in per share NAV |
(94.4 | )% | 23.1 | % | ||||
Percentage change in benchmark |
(33.6 | )% | 18.1 | % | ||||
Benchmark annualized volatility |
90.6 | % | 36.4 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (8,010,293 | ) | $ | 3,291,479 | |||
Management fee |
6,887,044 | 2,788,455 | ||||||
Brokerage commission |
1,744,115 | 105,841 | ||||||
Non-recurring fees and expenses |
24,637 | — | ||||||
Net realized gain (loss) |
(891,020,242 | ) | 112,871,495 | |||||
Change in net unrealized appreciation (depreciation) |
106,126,899 | 50,962,728 | ||||||
Net Income (loss) |
$ | (792,903,636 | ) | $ | 167,125,702 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil. |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 45,160,205 | $ | 14,617,440 | ||||
NAV end of period |
$ | 99,203,762 | $ | 24,820,631 | ||||
Percentage change in NAV |
119.7 | % | 69.8 | % | ||||
Shares outstanding beginning of period |
537,815 | 57,815 | ||||||
Shares outstanding end of period |
2,887,527 | 192,815 | ||||||
Percentage change in shares outstanding |
436.9 | % | 233.5 | % | ||||
Shares created |
5,835,000 | 365,000 | ||||||
Shares redeemed |
3,485,288 | 230,000 | ||||||
Per share NAV beginning of period |
$ | 83.97 | $ | 252.83 | ||||
Per share NAV end of period |
$ | 34.36 | $ | 128.73 | ||||
Percentage change in per share NAV |
(59.1 | )% | (49.1 | )% | ||||
Percentage change in benchmark |
(28.5 | )% | (24.2 | )% | ||||
Benchmark annualized volatility |
53.5 | % | 35.2 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (447,190 | ) | $ | 158,274 | |||
Management fee |
378,784 | 196,929 | ||||||
Brokerage commission |
214,255 | 76,585 | ||||||
Non-recurring fees and expenses |
1,129 | — | ||||||
Net realized gain (loss) |
2,226,367 | (23,104,631 | ) | |||||
Change in net unrealized appreciation (depreciation) |
(4,338,592 | ) | 13,005,391 | |||||
Net Income (loss) |
$ | (2,559,415 | ) | $ | (9,940,966 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas. |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 6,204,424 | $ | 7,544,569 | ||||
NAV end of period |
$ | 4,397,675 | $ | 5,266,883 | ||||
Percentage change in NAV |
(29.1 | )% | (30.2 | )% | ||||
Shares outstanding beginning of period |
450,000 | 500,000 | ||||||
Shares outstanding end of period |
300,000 | 400,000 | ||||||
Percentage change in shares outstanding |
(33.3 | )% | (20.0 | )% | ||||
Shares created |
200,000 | 50,000 | ||||||
Shares redeemed |
350,000 | 150,000 | ||||||
Per share NAV beginning of period |
$ | 13.79 | $ | 15.09 | ||||
Per share NAV end of period |
$ | 14.66 | $ | 13.17 | ||||
Percentage change in per share NAV |
6.3 | % | (12.7 | )% | ||||
Percentage change in benchmark |
4.5 | % | (4.9 | )% | ||||
Benchmark annualized volatility |
7.9 | % | 5.4 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (17,610 | ) | $ | 52,085 | |||
Management fee |
33,852 | 48,425 | ||||||
Non-recurring fees and expenses |
108 | — | ||||||
Net realized gain (loss) |
369,811 | (756,187 | ) | |||||
Change in net unrealized appreciation (depreciation) |
(208,451 | ) | (167,213 | ) | ||||
Net Income (loss) |
$ | 143,750 | $ | (871,315 | ) |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 110,726,032 | $ | 83,523,294 | ||||
NAV end of period |
$ | 275,450,606 | $ | 109,353,860 | ||||
Percentage change in NAV |
148.8 | % | 30.9 | % | ||||
Shares outstanding beginning of period |
2,250,000 | 2,250,000 | ||||||
Shares outstanding end of period |
4,000,000 | 2,350,000 | ||||||
Percentage change in shares outstanding |
77.8 | % | 4.4 | % | ||||
Shares created |
3,150,000 | 850,000 | ||||||
Shares redeemed |
1,400,000 | 750,000 | ||||||
Per share NAV beginning of period |
$ | 49.21 | $ | 37.12 | ||||
Per share NAV end of period |
$ | 68.86 | $ | 46.53 | ||||
Percentage change in per share NAV |
39.9 | % | 25.4 | % | ||||
Percentage change in benchmark |
21.4 | % | 14.2 | % | ||||
Benchmark annualized volatility |
22.6 | % | 12.0 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (789,004 | ) | $ | 695,508 | |||
Management fee |
1,269,866 | 630,646 | ||||||
Brokerage commission |
28,599 | 7,625 | ||||||
Non-recurring fees and expenses |
3,751 | — | ||||||
Net realized gain (loss) |
51,605,680 | 24,305,967 | ||||||
Change in net unrealized appreciation (depreciation) |
(11,258,939 | ) | (6,903,529 | ) | ||||
Net Income (loss) |
$ | 39,557,737 | $ | 18,097,946 |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 239,254,842 | $ | 201,824,376 | ||||
NAV end of period |
$ | 620,883,156 | $ | 216,058,743 | ||||
Percentage change in NAV |
159.5 | % | 7.1 | % | ||||
Shares outstanding beginning of period |
7,546,526 | 7,646,526 | ||||||
Shares outstanding end of period |
14,696,526 | 7,396,526 | ||||||
Percentage change in shares outstanding |
94.7 | % | (3.3 | )% | ||||
Shares created |
10,300,000 | 2,050,000 | ||||||
Shares redeemed |
3,150,000 | 2,300,000 | ||||||
Per share NAV beginning of period |
$ | 31.70 | $ | 26.39 | ||||
Per share NAV end of period |
$ | 42.25 | $ | 29.21 | ||||
Percentage change in per share NAV |
33.3 | % | 10.7 | % | ||||
Percentage change in benchmark |
27.4 | % | 8.5 | % | ||||
Benchmark annualized volatility |
48.6 | % | 20.5 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (1,555,626 | ) | $ | 1,447,033 | |||
Management fee |
2,369,293 | 1,393,382 | ||||||
Brokerage commission |
99,986 | 27,422 | ||||||
Non-recurring fees and expenses |
3,943 | — | ||||||
Net realized gain (loss) |
297,927,456 | 74,520,200 | ||||||
Change in net unrealized appreciation (depreciation) |
(215,073,543 | ) | (54,551,838 | ) | ||||
Net Income (loss) |
$ | 81,298,287 | $ | 21,415,395 |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 527,636,003 | $ | 214,304,871 | ||||
NAV end of period |
$ | 1,307,611,521 | $ | 597,106,050 | ||||
Percentage change in NAV |
147.8 | % | 178.6 | % | ||||
Shares outstanding beginning of period |
41,630,912 | 2,630,912 | ||||||
Shares outstanding end of period |
64,880,912 | 23,530,912 | ||||||
Percentage change in shares outstanding |
55.8 | % | 794.4 | % | ||||
Shares created |
77,550,000 | 55,850,000 | ||||||
Shares redeemed |
54,300,000 | 34,950,000 | ||||||
Per share NAV beginning of period |
$ | 12.67 | $ | 81.46 | ||||
Per share NAV end of period |
$ | 20.15 | $ | 25.38 | ||||
Percentage change in per share NAV |
59.0 | % | (68.8 | )% | ||||
Percentage change in benchmark |
68.5 | % | (49.9 | )% | ||||
Benchmark annualized volatility |
112.9 | % | 63.5 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (7,952,015 | ) | $ | 484,621 | |||
Management fee |
5,646,893 | 3,488,439 | ||||||
Brokerage commission |
2,282,095 | 2,119,082 | ||||||
Non-recurring fees and expenses |
10,480 | 27,508 | ||||||
Net realized gain (loss) |
58,666,590 | (305,515,258 | ) | |||||
Change in net unrealized appreciation (depreciation) |
66,319,163 | (33,413,790 | ) | |||||
Net Income (loss) |
$ | 117,033,738 | $ | (338,444,427 | ) |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 5,580,964 | $ | 5,751,716 | ||||
NAV end of period |
$ | 2,882,680 | $ | 2,851,387 | ||||
Percentage change in NAV |
(48.3 | )% | (50.4 | )% | ||||
Shares outstanding beginning of period |
99,970 | 99,970 | ||||||
Shares outstanding end of period |
49,970 | 49,970 | ||||||
Percentage change in shares outstanding |
(50.0 | )% | (50.0 | )% | ||||
Shares created |
— | 100,000 | ||||||
Shares redeemed |
50,000 | 150,000 | ||||||
Per share NAV beginning of period |
$ | 55.83 | $ | 57.53 | ||||
Per share NAV end of period |
$ | 57.69 | $ | 57.06 | ||||
Percentage change in per share NAV |
3.3 | % | (0.8 | )% | ||||
Percentage change in benchmark |
3.0 | % | 1.4 | % | ||||
Benchmark annualized volatility |
10.2 | % | 6.1 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (11,633 | ) | $ | 32,685 | |||
Management fee |
20,655 | 29,970 | ||||||
Non-recurring fees and expenses |
78 | — | ||||||
Net realized gain (loss) |
11,333 | 131,562 | ||||||
Change in net unrealized appreciation (depreciation) |
48,030 | (205,249 | ) | |||||
Net Income (loss) |
$ | 47,730 | $ | (41,002 | ) |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 5,608,612 | $ | 11,060,333 | ||||
NAV end of period |
$ | 5,173,668 | $ | 9,075,799 | ||||
Percentage change in NAV |
(7.8 | )% | (17.9 | )% | ||||
Shares outstanding beginning of period |
100,000 | 200,000 | ||||||
Shares outstanding end of period |
100,000 | 150,000 | ||||||
Percentage change in shares outstanding |
— | % | (25.0 | )% | ||||
Shares created |
— | 50,000 | ||||||
Shares redeemed |
— | 100,000 | ||||||
Per share NAV beginning of period |
$ | 56.09 | $ | 55.30 | ||||
Per share NAV end of period |
$ | 51.74 | $ | 60.51 | ||||
Percentage change in per share NAV |
(7.8 | )% | 9.4 | % | ||||
Percentage change in benchmark |
2.1 | % | (4.2 | )% | ||||
Benchmark annualized volatility |
13.0 | % | 7.2 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (26,054 | ) | $ | 71,637 | |||
Management fee |
42,496 | 57,983 | ||||||
Brokerage commission |
3,766 | 4,610 | ||||||
Non-recurring fees and expenses |
177 | — | ||||||
Net realized gain (loss) |
(799,054 | ) | 825,235 | |||||
Change in net unrealized appreciation (depreciation) |
390,164 | (300,624 | ) | |||||
Net Income (loss) |
$ | (434,944 | ) | $ | 596,248 |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 125,451,681 | $ | 114,377,311 | ||||
NAV end of period |
$ | 80,418,166 | $ | 92,471,273 | ||||
Percentage change in NAV |
(35.9 | )% | (19.2 | )% | ||||
Shares outstanding beginning of period |
10,289,884 | 3,839,884 | ||||||
Shares outstanding end of period |
4,839,884 | 5,639,884 | ||||||
Percentage change in shares outstanding |
(53.0 | )% | 46.9 | % | ||||
Shares created |
26,650,000 | 16,700,000 | ||||||
Shares redeemed |
32,100,000 | 14,900,000 | ||||||
Per share NAV beginning of period |
$ | 12.19 | $ | 29.79 | ||||
Per share NAV end of period |
$ | 16.62 | $ | 16.40 | ||||
Percentage change in per share NAV |
36.3 | % | (44.9 | )% | ||||
Percentage change in benchmark |
(33.6 | )% | 18.1 | % | ||||
Benchmark annualized volatility |
90.6 | % | 36.4 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (1,155,759 | ) | $ | 601,895 | |||
Management fee |
789,307 | 549,398 | ||||||
Brokerage commission |
488,442 | 54,060 | ||||||
Non-recurring fees and expenses |
4,892 | — | ||||||
Net realized gain (loss) |
28,429,826 | (11,264,117 | ) | |||||
Change in net unrealized appreciation (depreciation) |
7,227,746 | (12,262,593 | ) | |||||
Net Income (loss) |
$ | 34,501,813 | $ | (22,924,815 | ) |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 12,515,603 | $ | 17,825,441 | ||||
NAV end of period |
$ | 46,937,986 | $ | 8,086,224 | ||||
Percentage change in NAV |
275.0 | % | (54.6 | )% | ||||
Shares outstanding beginning of period |
324,832 | 824,832 | ||||||
Shares outstanding end of period |
1,224,832 | 274,832 | ||||||
Percentage change in shares outstanding |
277.1 | % | (66.7 | )% | ||||
Shares created |
4,400,000 | 800,000 | ||||||
Shares redeemed |
3,500,000 | 1,350,000 | ||||||
Per share NAV beginning of period |
$ | 38.53 | $ | 21.61 | ||||
Per share NAV end of period |
$ | 38.32 | $ | 29.42 | ||||
Percentage change in per share NAV |
(0.5 | )% | 36.1 | % | ||||
Percentage change in benchmark |
(28.5 | )% | (24.2 | )% | ||||
Benchmark annualized volatility |
53.5 | % | 35.2 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (358,912 | ) | $ | 35,859 | |||
Management fee |
207,544 | 61,451 | ||||||
Brokerage commission |
177,159 | 36,500 | ||||||
Non-recurring fees and expenses |
345 | — | ||||||
Net realized gain (loss) |
(20,587,724 | ) | 14,701,140 | |||||
Change in net unrealized appreciation (depreciation) |
9,530,109 | (10,071,485 | ) | |||||
Net Income (loss) |
$ | (11,416,527 | ) | $ | 4,665,514 |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 120,581,173 | $ | 154,120,159 | ||||
NAV end of period |
$ | 68,577,533 | $ | 135,920,188 | ||||
Percentage change in NAV |
(43.1 | )% | (11.8 | )% | ||||
Shares outstanding beginning of period |
4,500,000 | 6,350,000 | ||||||
Shares outstanding end of period |
2,800,000 | 4,850,000 | ||||||
Percentage change in shares outstanding |
(37.8 | )% | (23.6 | )% | ||||
Shares created |
1,350,000 | 450,000 | ||||||
Shares redeemed |
3,050,000 | 1,950,000 | ||||||
Per share NAV beginning of period |
$ | 26.80 | $ | 24.27 | ||||
Per share NAV end of period |
$ | 24.49 | $ | 28.02 | ||||
Percentage change in per share NAV |
(8.6 | )% | 15.5 | % | ||||
Percentage change in benchmark |
4.5 | % | (4.9 | )% | ||||
Benchmark annualized volatility |
7.9 | % | 5.4 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (154,217 | ) | $ | 1,277,408 | |||
Management fee |
638,218 | 991,761 | ||||||
Non-recurring fees and expenses |
2,622 | — | ||||||
Net realized gain (loss) |
(8,749,752 | ) | 14,642,452 | |||||
Change in net unrealized appreciation (depreciation) |
3,446,359 | 4,192,561 | ||||||
Net Income (loss) |
$ | (5,457,610 | ) | $ | 20,112,421 |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 21,047,560 | $ | 18,098,997 | ||||
NAV end of period |
$ | 27,139,981 | $ | 22,453,523 | ||||
Percentage change in NAV |
28.9 | % | 24.1 | % | ||||
Shares outstanding beginning of period |
396,977 | 246,978 | ||||||
Shares outstanding end of period |
846,977 | 396,977 | ||||||
Percentage change in shares outstanding |
113.4 | % | 60.7 | % | ||||
Shares created |
1,100,000 | 550,000 | ||||||
Shares redeemed |
650,000 | 400,001 | ||||||
Per share NAV beginning of period |
$ | 53.02 | $ | 73.28 | ||||
Per share NAV end of period |
$ | 32.04 | $ | 56.56 | ||||
Percentage change in per share NAV |
(39.6 | )% | (22.8 | )% | ||||
Percentage change in benchmark |
3.6 | % | 14.2 | % | ||||
Benchmark annualized volatility |
22.6 | % | 12.0 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (73,179 | ) | $ | 153,734 | |||
Management fee |
129,451 | 137,269 | ||||||
Brokerage commission |
5,743 | 4,025 | ||||||
Non-recurring fees and expenses |
499 | — | ||||||
Net realized gain (loss) |
(12,041,690 | ) | (6,541,972 | ) | ||||
Change in net unrealized appreciation (depreciation) |
2,727,104 | 2,226,057 | ||||||
Net Income (loss) |
$ | (9,387,765 | ) | $ | (4,162,181 | ) |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 13,834,163 | $ | 11,768,863 | ||||
NAV end of period |
$ | 51,055,675 | $ | 15,441,093 | ||||
Percentage change in NAV |
269.1 | % | 31.2 | % | ||||
Shares outstanding beginning of period |
516,976 | 316,976 | ||||||
Shares outstanding end of period |
5,266,976 | 516,976 | ||||||
Percentage change in shares outstanding |
918.8 | % | 63.1 | % | ||||
Shares created |
12,100,000 | 850,000 | ||||||
Shares redeemed |
7,350,000 | 650,000 | ||||||
Per share NAV beginning of period |
$ | 26.76 | $ | 37.13 | ||||
Per share NAV end of period |
$ | 9.69 | $ | 29.87 | ||||
Percentage change in per share NAV |
(63.8 | )% | (19.6 | )% | ||||
Percentage change in benchmark |
27.4 | % | 8.5 | % | ||||
Benchmark annualized volatility |
48.6 | % | 20.5 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (122,284 | ) | $ | 114,402 | |||
Management fee |
147,262 | 109,073 | ||||||
Brokerage commission |
16,460 | 6,070 | ||||||
Non-recurring fees and expenses |
321 | — | ||||||
Net realized gain (loss) |
(18,932,319 | ) | (6,438,122 | ) | ||||
Change in net unrealized appreciation (depreciation) |
12,566,119 | 3,749,759 | ||||||
Net Income (loss) |
$ | (6,488,484 | ) | $ | (2,573,961 | ) |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 38,132,320 | $ | 55,363,675 | ||||
NAV end of period |
$ | 24,780,763 | $ | 41,046,700 | ||||
Percentage change in NAV |
(35.0 | )% | (25.9 | )% | ||||
Shares outstanding beginning of period |
499,290 | 749,290 | ||||||
Shares outstanding end of period |
349,290 | 549,290 | ||||||
Percentage change in shares outstanding |
(30.0 | )% | (26.7 | )% | ||||
Shares created |
100,000 | 450,000 | ||||||
Shares redeemed |
250,000 | 650,000 | ||||||
Per share NAV beginning of period |
$ | 76.37 | $ | 73.89 | ||||
Per share NAV end of period |
$ | 70.95 | $ | 74.73 | ||||
Percentage change in per share NAV |
(7.1 | )% | 1.1 | % | ||||
Percentage change in benchmark |
3.0 | % | 1.4 | % | ||||
Benchmark annualized volatility |
10.2 | % | 6.1 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (73,411 | ) | $ | 480,654 | |||
Management fee |
209,105 | 352,973 | ||||||
Non-recurring fees and expenses |
717 | — | ||||||
Net realized gain (loss) |
(1,847,423 | ) | (3,122,442 | ) | ||||
Change in net unrealized appreciation (depreciation) |
(429,087 | ) | 3,500,784 | |||||
Net Income (loss) |
$ | (2,349,921 | ) | $ | 858,996 |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 45,986,584 | $ | 56,299,121 | ||||
NAV end of period |
$ | 101,957,520 | $ | 44,933,064 | ||||
Percentage change in NAV |
121.7 | % | (20.2 | )% | ||||
Shares outstanding beginning of period |
2,162,403 | 2,112,403 | ||||||
Shares outstanding end of period |
2,487,403 | 1,912,403 | ||||||
Percentage change in shares outstanding |
15.0 | % | (9.5 | )% | ||||
Shares created |
2,250,000 | 1,125,000 | ||||||
Shares redeemed |
1,925,000 | 1,325,000 | ||||||
Per share NAV beginning of period |
$ | 21.27 | $ | 26.65 | ||||
Per share NAV end of period |
$ | 40.99 | $ | 23.50 | ||||
Percentage change in per share NAV |
92.8 | % | (11.8 | )% | ||||
Percentage change in benchmark |
94.3 | % | (11.1 | )% | ||||
Benchmark annualized volatility |
63.0 | % | 26.5 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (290,253 | ) | $ | 412,369 | |||
Management fee |
391,147 | 279,430 | ||||||
Brokerage commission |
51,973 | 25,466 | ||||||
Net realized gain (loss) |
21,708,785 | (5,577,665 | ) | |||||
Change in net unrealized appreciation (depreciation) |
5,421,417 | (1,775,307 | ) | |||||
Net Income (loss) |
$ | 26,839,949 | $ | (6,940,603 | ) |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
NAV beginning of period |
$ | 279,792,503 | $ | 149,547,115 | ||||
NAV end of period |
$ | 279,272,297 | $ | 299,409,882 | ||||
Percentage change in NAV |
(0.2 | )% | 100.2 | % | ||||
Shares outstanding beginning of period |
22,751,317 | 3,876,317 | ||||||
Shares outstanding end of period |
13,601,317 | 15,601,317 | ||||||
Percentage change in shares outstanding |
(40.2 | )% | 302.5 | % | ||||
Shares created |
17,325,000 | 21,000,000 | ||||||
Shares redeemed |
26,475,000 | 9,275,000 | ||||||
Per share NAV beginning of period |
$ | 12.30 | $ | 38.58 | ||||
Per share NAV end of period |
$ | 20.53 | $ | 19.19 | ||||
Percentage change in per share NAV |
67.0 | % | (50.3 | )% | ||||
Percentage change in benchmark |
68.5 | % | (49.9 | )% | ||||
Benchmark annualized volatility |
112.9 | % | 63.5 | % |
Nine Months Ended September 30, 2020 |
Nine Months Ended September 30, 2019 |
|||||||
Net investment income (loss) |
$ | (1,057,822 | ) | $ | 1,816,725 | |||
Management fee |
1,584,861 | 1,409,677 | ||||||
Brokerage commission |
311,826 | 179,790 | ||||||
Net realized gain (loss) |
249,771,936 | (82,115,151 | ) | |||||
Change in net unrealized appreciation (depreciation) |
16,589,740 | (19,655,136 | ) | |||||
Net Income (loss) |
$ | 265,303,854 | $ | (99,953,562 | ) |
Item 3. |
Quantitative and Qualitative Disclosures About Market Risk. |
Futures Positions as of September 30, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Euro Fx Currency Futures (CME) |
Short | December 2020 | 15 | $ | 1.17 | 125,000 | $ | (2,200,406 | ) |
Futures Positions as of September 30, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Euro Fx Currency Futures (CME) |
Short | December 2019 | 135 | $ | 1.10 | 125,000 | $ | (18,499,219 | ) |
Futures Positions as of September 30, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX Futures (Cboe) |
Short | October 2020 | 2,972 | $ | 30.38 | 1,000 | $ | (90,274,500 | ) | |||||||||||
VIX Futures (Cboe) |
Short | November 2020 | 2,335 | 32.88 | 1,000 | (76,763,125 | ) |
Futures Positions as of September 30, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX Futures (Cboe) |
Short | October 2019 | 5,281 | $ | 17.13 | 1,000 | $ | (90,437,125 | ) | |||||||||||
VIX Futures (Cboe) |
Short | November 2019 | 4,321 | 18.28 | 1,000 | (78,966,275 | ) |
Futures Positions as of September 30, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
WTI Crude Oil (NYMEX) |
Long | December 2020 | 19,296 | $ | 40.47 | 1,000 | $ | 780,909,120 | ||||||||||||
WTI Crude Oil (NYMEX) |
Long | June 2021 | 18,635 | 42.28 | 1,000 | 787,887,800 | ||||||||||||||
WTI Crude Oil (NYMEX) |
Long | December 2021 | 18,385 | 43.12 | 1,000 | 792,761,200 |
Swap Agreements as of September 30, 2020 |
||||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Subindex |
Societe Generale | Long | $ | 35.2114 | $ | 30,255,607 |
Futures Positions as of September 30, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
WTI Crude Oil (NYMEX) |
Long | November 2019 | 1,604 | $ | 54.07 | 1,000 | $ | 86,728,280 |
Swap Agreements as of September 30, 2019 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg WTI Crude Oil Subindex |
Citibank, N.A. | Long | $ | 79.7080 | $ | 152,283,160 | ||||||||
Bloomberg WTI Crude Oil Subindex |
Goldman Sachs International | Long | 79.7080 | 107,443,164 | ||||||||||
Bloomberg WTI Crude Oil Subindex |
Royal Bank of Canada | Long | 79.7080 | 104,526,285 | ||||||||||
Bloomberg WTI Crude Oil Subindex |
Societe Generale | Long | 79.7080 | 56,716,541 | ||||||||||
Bloomberg WTI Crude Oil Subindex |
UBS AG | Long | 79.7080 | 106,240,027 |
Futures Positions as of September 30, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Natural Gas (NYMEX) |
Long | November 2020 | 7,854 | $ | 2.53 | 10,000 | $ | 198,470,580 |
Futures Positions as of September 30, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Natural Gas (NYMEX) |
Long | November 2019 | 2,130 | $ | 2.33 | 10,000 | $ | 49,629,000 |
Foreign Currency Forward Contracts as of September 30, 2020 |
||||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||||
Euro |
Goldman Sachs International | Long | 10/09/20 | 3,440,921 | 1.1835 | $ | 4,072,330 | |||||||||||||||
Euro |
UBS AG | Long | 10/09/20 | 6,830,302 | 1.1845 | 8,090,716 | ||||||||||||||||
Euro |
UBS AG | Short | 10/09/20 | (2,760,000 | ) | 1.1801 | (3,257,049 | ) |
Foreign Currency Forward Contracts as of September 30, 2019 |
||||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||||
Euro |
Goldman Sachs International | Long | 10/04/19 | 5,436,377 | 1.1015 | $ | 5,988,277 | |||||||||||||||
Euro |
UBS AG | Long | 10/04/19 | 4,424,633 | 1.1013 | 4,872,767 | ||||||||||||||||
Euro |
UBS AG | Short | 10/04/19 | (154,921 | ) | 1.0989 | (170,246 | ) |
Futures Positions as of September 30, 2020 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
Gold Futures (COMEX) |
Long | December 2020 | 1,114 | $ | 1,895.50 | 100 | $ | 211,158,700 |
Swap Agreements as of September 30, 2020 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg Gold Subindex |
Citibank, N.A. | Long | $ | 211.1862 | $ | 116,941,808 | ||||||||
Bloomberg Gold Subindex |
Goldman Sachs International | Long | 211.1862 | 101,056,679 | ||||||||||
Bloomberg Gold Subindex |
UBS AG | Long | 211.1862 | 121,650,344 |
Futures Positions as of September 30, 2019 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
Gold Futures (COMEX) |
Long | December 2019 | 464 | $ | 1,472.90 | 100 | $ | 68,342,560 |
Swap Agreements as of September 30, 2019 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg Gold Subindex |
Citibank, N.A. | Long | $ | 169.6744 | $ | 58,722,600 | ||||||||
Bloomberg Gold Subindex |
Goldman Sachs International | Long | 169.6744 | 42,918,686 | ||||||||||
Bloomberg Gold Subindex |
UBS AG | Long | 169.6744 | 48,702,760 |
Futures Positions as of September 30, 2020 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
Silver Futures (COMEX) |
Long | December 2020 | 3,288 | $ | 23.49 | 5,000 | $ | 386,241,359 |
Swap Agreements as of September 30, 2020 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg Silver Subindex |
Citibank, N.A. | Long | $ | 215.9803 | $ | 257,181,535 | ||||||||
Bloomberg Silver Subindex |
Goldman Sachs International | Long | 215.9803 | 223,086,085 | ||||||||||
Bloomberg Silver Subindex |
Morgan Stanley & Co. International PLC |
Long | 215.9803 | 205,360,117 | ||||||||||
Bloomberg Silver Subindex |
UBS AG | Long | 215.9803 | 169,907,857 |
Futures Positions as of September 30, 2019 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
Silver Futures (COMEX) |
Long | December 2019 | 935 | $ | 17.00 | 5,000 | $ | 79,465,650 |
Swap Agreements as of September 30, 2019 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg Silver Subindex |
Citibank, N.A. | Long | $ | 162.7366 | $ | 148,647,493 | ||||||||
Bloomberg Silver Subindex |
Goldman Sachs International | Long | 162.7366 | 84,687,175 | ||||||||||
Bloomberg Silver Subindex |
UBS AG | Long | 162.7366 | 119,278,311 |
Futures Positions as of September 30, 2020 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
VIX Futures (Cboe) |
Long | October 2020 | 34,258 | $ | 30.38 | 1,000 | $ | 1,040,586,750 | ||||||||||||||
VIX Futures (Cboe) |
Long | November 2020 | 26,919 | 32.88 | 1,000 | 884,962,125 |
Swap Agreements as of September 30, 2020 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index |
Goldman Sachs & Co. | Long | $ | 25.0468 | $ | 38,626,764 |
Futures Positions as of September 30, 2019 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
VIX Futures (Cboe) |
Long | October 2019 | 26,799 | $ | 17.13 | 1,000 | $ | 458,932,875 | ||||||||||||||
VIX Futures (Cboe) |
Long | November 2019 | 21,928 | 18.28 | 1,000 | 400,734,200 |
Swap Agreements as of September 30, 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 | $ | 23.3316 | $ | 35,981,673 |
Foreign Currency Forward Contracts as of September 30, 2020 |
||||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||||
Yen |
Goldman Sachs International | Long | 10/09/20 | 332,532,517 | 0.009418 | $ | 3,131,929 | |||||||||||||||
Yen |
UBS AG | Long | 10/09/20 | 278,602,756 | 0.009425 | 2,625,726 | ||||||||||||||||
Yen |
UBS AG | Short | 10/09/20 | (2,680,000 | ) | 0.009488 | (25,429 | ) |
Foreign Currency Forward Contracts as of September 30, 2019 |
||||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||||
Yen |
Goldman Sachs International | Long | 10/04/19 | 325,804,302 | 0.009294 | $ | 3,027,949 | |||||||||||||||
Yen |
UBS AG | Long | 10/04/19 | 303,292,846 | 0.009297 | 2,819,631 | ||||||||||||||||
Yen |
UBS AG | Short | 10/04/19 | (10,295,792 | ) | 0.009267 | (95,409 | ) |
Futures Positions as of September 30, 2020 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
Australian Dollar Fx Currency Futures (CME) |
Short | December 2020 | 145 | $ | 71.63 | 1,000 | $ | (10,386,350 | ) |
Futures Positions as of September 30, 2019 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
Australian Dollar Fx Currency Futures (CME) |
Short | December 2019 | 268 | $ | 67.66 | 1,000 | $ | (18,138,240 | ) |
Futures Positions as of September 30, 2020 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
WTI Crude Oil (NYMEX) |
Short | December 2020 | 1,314 | $ | 40.47 | 1,000 | $ | (53,177,580 | ) | |||||||||||||
WTI Crude Oil (NYMEX) |
Short | June 2021 | 1,269 | 42.28 | 1,000 | (53,653,320 | ) | |||||||||||||||
WTI Crude Oil (NYMEX) |
Short | December 2021 | 1,252 | 43.12 | 1,000 | (53,986,240 | ) |
Futures Positions as of September 30, 2019 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
WTI Crude Oil (NYMEX) |
Short | November 2019 | 630 | $ | 54.07 | 1,000 | $ | (34,064,100 | ) |
Swap Agreements as of September 30, 2019 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg WTI Crude Oil Subindex |
Citibank, N.A. | Short | $ | 79.7080 | $ | (53,195,027 | ) | |||||||
Bloomberg WTI Crude Oil Subindex |
Goldman Sachs International | Short | 79.7080 | (29,730,396 | ) | |||||||||
Bloomberg WTI Crude Oil Subindex |
Royal Bank of Canada | Short | 79.7080 | (27,375,112 | ) | |||||||||
Bloomberg WTI Crude Oil Subindex |
Societe Generale | Short | 79.7080 | (8,125,464 | ) | |||||||||
Bloomberg WTI Crude Oil Subindex |
UBS AG | Short | 79.7080 | (32,567,716 | ) |
Futures Positions as of September 30, 2020 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
Natural Gas (NYMEX) |
Short | November 2020 | 3,715 | $ | 2.53 | 10,000 | $ | (93,878,050 | ) |
Futures Positions as of September 30, 2019 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
Natural Gas (NYMEX) |
Short | November 2019 | 694 | $ | 2.33 | 10,000 | $ | (16,170,200 | ) |
Foreign Currency Forward Contracts as of September 30, 2020 |
||||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||||
Euro |
Goldman Sachs International | Long | 10/09/20 | 3,698,000 | 1.1727 | $ | 4,336,534 | |||||||||||||||
Euro |
UBS AG | Long | 10/09/20 | 6,700,000 | 1.1787 | 7,897,485 | ||||||||||||||||
Euro |
Goldman Sachs International | Short | 10/09/20 | (41,689,263 | ) | 1.1835 | (49,339,242 | ) | ||||||||||||||
Euro |
UBS AG | Short | 10/09/20 | (85,627,199 | ) | 1.1818 | (101,193,803 | ) |
Foreign Currency Forward Contracts as of September 30, 2019 |
||||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||||
Euro |
UBS AG | Long | 10/04/19 | 9,230,205 | 1.1077 | $ | 10,224,496 | |||||||||||||||
Euro |
Goldman Sachs International | Short | 10/04/19 | (115,700,269 | ) | 1.1015 | (127,446,161 | ) | ||||||||||||||
Euro |
UBS AG | Short | 10/04/19 | (142,819,935 | ) | 1.1008 | (157,218,004 | ) |
Futures Positions as of September 30, 2020 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
Gold Futures (COMEX) |
Short | December 2020 | 111 | $ | 1,895.50 | 100 | $ | (21,040,050 | ) |
Swap Agreements as of September 30, 2020 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg Gold Subindex |
Citibank, N.A. | Short | $ | 211.1862 | $ | (10,138,690 | ) | |||||||
Bloomberg Gold Subindex |
Goldman Sachs International | Short | 211.1862 | (8,325,763 | ) | |||||||||
Bloomberg Gold Subindex |
UBS AG | Short | 211.1862 | (14,773,987 | ) |
Futures Positions as of September 30, 2019 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
Gold Futures (COMEX) |
Short | December 2019 | 131 | $ | 1,472.90 | 100 | $ | (19,294,990 | ) |
Swap Agreements as of September 30, 2019 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg Gold Subindex |
Citibank, N.A. | Short | $ | 169.6744 | $ | (13,544,988 | ) | |||||||
Bloomberg Gold Subindex |
Goldman Sachs International | Short | 169.6744 | (6,689,210 | ) | |||||||||
Bloomberg Gold Subindex |
UBS AG | Short | 169.6744 | (5,438,600 | ) |
Futures Positions as of September 30, 2020 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
Silver Futures (COMEX) |
Short | December 2020 | 296 | $ | 23.49 | 5,000 | $ | (34,771,120 | ) |
Swap Agreements as of September 30, 2020 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg Silver Subindex |
Citibank, N.A. | Short | $ | 215.9803 | $ | (26,820,589 | ) | |||||||
Bloomberg Silver Subindex |
Goldman Sachs International | Short | 215.9803 | (22,073,190 | ) | |||||||||
Bloomberg Silver Subindex |
Morgan Stanley & Co. International PLC |
Short | 215.9803 | (4,366,690 | ) | |||||||||
Bloomberg Silver Subindex |
UBS AG | Short | 215.9803 | (14,081,291 | ) |
Futures Positions as of September 30, 2019 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
Silver Futures (COMEX) |
Short | December 2019 | 172 | $ | 17.00 | 5,000 | $ | (14,618,280 | ) |
Swap Agreements as of September 30, 2019 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg Silver Subindex |
Citibank, N.A. | Short | $ | 162.7366 | $ | (5,463,022 | ) | |||||||
Bloomberg Silver Subindex |
Goldman Sachs International | Short | 162.7366 | (5,692,366 | ) | |||||||||
Bloomberg Silver Subindex |
UBS AG | Short | 162.7366 | (5,063,730 | ) |
Foreign Currency Forward Contracts as of September 30, 2020 |
||||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||||
Yen |
Goldman Sachs International | Long | 10/09/20 | 23,643,000 | 0.009483 | $ | 224,207 | |||||||||||||||
Yen |
UBS AG | Long | 10/09/20 | 223,810,000 | 0.009506 | 2,127,624 | ||||||||||||||||
Yen |
Goldman Sachs International | Short | 10/09/20 | (2,032,728,165 | ) | 0.009418 | (19,145,073 | ) | ||||||||||||||
Yen |
UBS AG | Short | 10/09/20 | (3,439,162,875 | ) | 0.009426 | (32,416,476 | ) |
Foreign Currency Forward Contracts as of September 30, 2019 |
||||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||||
Yen |
UBS AG | Long | 10/04/19 | 313,469,141 | 0.009314 | $ | 2,919,786 | |||||||||||||||
Yen |
Goldman Sachs International | Short | 10/04/19 | (4,504,005,190 | ) | 0.009294 | (41,859,172 | ) | ||||||||||||||
Yen |
UBS AG | Short | 10/04/19 | (4,679,302,619 | ) | 0.009293 | (43,484,070 | ) |
Futures Positions as of September 30, 2020 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
VIX Futures (Cboe) |
Long | January 2021 | 652 | $ | 29.88 | 1,000 | $ | 19,478,500 | ||||||||||||||
VIX Futures (Cboe) |
Long | February 2021 | 1,165 | 29.40 | 1,000 | 34,251,000 | ||||||||||||||||
VIX Futures (Cboe) |
Long | March 2021 | 1,165 | 28.93 | 1,000 | 33,697,625 | ||||||||||||||||
VIX Futures (Cboe) |
Long | April 2021 | 512 | 28.38 | 1,000 | 14,528,000 |
Futures Positions as of September 30, 2019 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
VIX Futures (Cboe) |
Long | January 2020 | 432 | $ | 18.83 | 1,000 | $ | 8,132,400 | ||||||||||||||
VIX Futures (Cboe) |
Long | February 2020 | 786 | 19.08 | 1,000 | 14,992,950 | ||||||||||||||||
VIX Futures (Cboe) |
Long | March 2020 | 786 | 19.08 | 1,000 | 14,992,950 | ||||||||||||||||
VIX Futures (Cboe) |
Long | April 2020 | 354 | 19.23 | 1,000 | 6,805,650 |
Futures Positions as of September 30, 2020 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
VIX Futures (Cboe) |
Long | October 2020 | 4,979 | $ | 30.38 | 1,000 | $ | 151,237,125 | ||||||||||||||
VIX Futures (Cboe) |
Long | November 2020 | 3,912 | 32.88 | 1,000 | 128,607,000 |
Futures Positions as of September 30, 2019 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
VIX Futures (Cboe) |
Long | October 2019 | 9,333 | $ | 17.13 | 1,000 | $ | 159,827,625 | ||||||||||||||
VIX Futures (Cboe) |
Long | November 2019 | 7,636 | 18.28 | 1,000 | 139,547,900 |
Item 4. |
Controls and Procedures. |
Item 1. |
Legal Proceedings. |
Item 1A. |
Risk Factors. |
Item 2. |
Unregistered Sales of Equity Securities and Use of Proceeds. |
Title of Securities Registered |
Amount Registered as of September 30, 2020 |
Shares Sold For the Three Months Ended September 30, 2020 |
Sale Price of Shares Sold For the Three Months Ended September 30, 2020 |
Shares Sold For the Nine Months Ended September 30, 2020 ** |
Sale Price of Shares Sold For the Nine Months Ended September 30, 2020 ** |
|||||||||||||||
ProShares Short Euro |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 205,213,786 | — | $ | — | — | $ | — | ||||||||||||
ProShares Short VIX Short-Term Futures ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 3,978,471,529 | — | $ | — | 25,850,000 | $ | 914,411,669 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 3,143,142,520 | 21,500,000 | $ | 659,253,641 | 109,662,000 | $ | 3,612,784,316 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 803,276,043 | 4,350,000 | $ | 139,174,605 | 5,835,000 | $ | 193,426,833 | ||||||||||||
ProShares Ultra Euro |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 187,459,743 | 100,000 | $ | 1,470,669 | 200,000 | $ | 2,838,707 | ||||||||||||
ProShares Ultra Gold |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 661,608,941 | 1,700,000 | $ | 120,448,172 | 3,150,000 | $ | 204,437,233 | ||||||||||||
ProShares Ultra Silver |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 1,143,829,159 | 8,050,000 | $ | 383,530,355 | 10,300,000 | $ | 439,990,085 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 5,048,274,293 | 42,800,000 | $ | 1,066,976,088 | 77,550,000 | $ | 2,276,625,957 | ||||||||||||
ProShares Ultra Yen |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 201,792,144 | — | $ | — | — | $ | — | ||||||||||||
ProShares UltraPro 3x Crude Oil ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | — | * |
$ | — | $ | — | 184,600,000 | $ | 414,019,676 | ||||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | — | * |
$ | — | $ | — | 2,850,000 | $ | 59,484,110 | ||||||||||
ProShares UltraShort Australian Dollar |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 159,935,804 | — | $ | — | — | $ | — |
Title of Securities Registered |
Amount Registered as of September 30, 2020 |
Shares Sold For the Three Months Ended September 30, 2020 |
Sale Price of Shares Sold For the Three Months Ended September 30, 2020 |
Shares Sold For the Nine Months Ended September 30, 2020 ** |
Sale Price of Shares Sold For the Nine Months Ended September 30, 2020 ** |
|||||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 1,352,453,752 | 4,300,000 | $ | 69,006,205 | 26,650,000 | $ | 737,435,154 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 492,269,188 | 3,200,000 | $ | 130,455,301 | 4,400,000 | $ | 198,730,524 | ||||||||||||
ProShares UltraShort Euro |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 498,427,546 | 1,000,000 | $ | 24,186,298 | 1,350,000 | $ | 34,244,548 | ||||||||||||
ProShares UltraShort Gold |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 239,195,660 | 750,000 | $ | 23,162,997 | 1,100,000 | $ | 38,594,844 | ||||||||||||
ProShares UltraShort Silver |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 749,520,872 | 11,300,000 | $ | 102,544,682 | 12,100,000 | $ | 122,851,884 | ||||||||||||
ProShares UltraShort Yen |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 494,648,731 | — | $ | — | 100,000 | $ | 7,806,745 | ||||||||||||
ProShares VIX Mid-Term Futures ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 357,349,234 | 1,150,000 | $ | 45,600,053 | 2,250,000 | $ | 85,866,144 | ||||||||||||
ProShares VIX Short-Term Futures ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 1,022,176,263 | 6,650,000 | $ | 156,332,956 | 17,325,000 | $ | 342,792,630 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total Trust: |
106,850,000 |
$ |
2,922,142,022 |
485,272,000 |
$ |
9,686,341,059 |
* |
The liquidated funds’ shares were de-registered prior to March 31, 2020. |
** |
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
Item 3. |
Defaults Upon Senior Securities. |
Item 4. |
Mine Safety Disclosures. |
Item 5. |
Other Information. |
Item 6. |
Exhibits. |
(1) | Filed herewith. |
PROSHARES TRUST II |
/s/ Todd Johnson |
By: Todd Johnson |
Principal Executive Officer |
Date: November 9, 2020 |
/s/ Edward Karpowicz |
By: Edward Karpowicz |
Principal Financial and Accounting Officer |
Date: November 9, 2020 |