Annual report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the fiscal year ended |
Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from |
(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 |
Fund |
Aggregate Market Value of the Fund’s Units Held by Non-Affiliates as of June 30, 2020 |
Number of Outstanding Units as of February 11, 2021 |
||||||
ProShares Short Euro |
$ | |||||||
ProShares Short VIX Short-Term Futures ETF |
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ProShares Ultra Bloomberg Crude Oil |
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ProShares Ultra Bloomberg Natural Gas |
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ProShares Ultra Euro |
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ProShares Ultra Gold |
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ProShares Ultra Silver |
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ProShares Ultra VIX Short-Term Futures ETF |
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ProShares Ultra Yen |
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ProShares UltraShort Australian Dollar |
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ProShares UltraShort Bloomberg Crude Oil |
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ProShares UltraShort Bloomberg Natural Gas |
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ProShares UltraShort Euro |
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ProShares UltraShort Gold |
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ProShares UltraShort Silver |
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ProShares UltraShort Yen |
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ProShares VIX Mid-Term Futures ETF |
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ProShares VIX Short-Term Futures ETF |
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273 |
Item 1. |
Business. |
Index |
Bloomberg Ticker Symbol |
|||
S&P 500 VIX Short-Term Futures Index |
SPVXSP | |||
S&P 500 VIX Mid-Term Futures Index |
SPVXMPID |
Underlying Benchmark |
Create/Redeem Cutoff* |
NAV Calculation Time |
||||||
Silver |
1:00 p.m. (Eastern Time | ) | 1:25 p.m. (Eastern Time | ) | ||||
Gold |
1:00 p.m. (Eastern Time | ) | 1:30 p.m. (Eastern Time | ) | ||||
S&P 500 VIX Short-Term Futures Index** |
2:00 p.m. (Eastern Time | ) | 4:00 p.m. (Eastern Time | ) | ||||
S&P 500 VIX Mid-Term Futures Index** |
2:00 p.m. (Eastern Time | ) | 4:00 p.m. (Eastern Time | ) | ||||
Bloomberg Commodity Balanced WTI Crude Oil Index SM |
2:00 p.m. (Eastern Time | ) | 2:30 p.m. (Eastern Time | ) | ||||
Bloomberg Natural Gas Subindex SM |
2:00 p.m. (Eastern Time | ) | 2:30 p.m. (Eastern Time | ) | ||||
Australian dollar |
3:00 p.m. (Eastern Time | ) | 4:00 p.m. (Eastern Time | ) | ||||
Euro |
3:00 p.m. (Eastern Time | ) | 4:00 p.m. (Eastern Time | ) | ||||
Yen |
3:00 p.m. (Eastern Time | ) | 4:00 p.m. (Eastern Time | ) |
* | Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the year ended December 31, 2020. |
** | Effective Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Please see Note 8 of the Notes to Financial Statements of this Form 10-K for more information. |
• | it determines that the purchase order is not in proper form; |
• | the Sponsor believes that the purchase order would have adverse tax consequences to a Fund or its shareholders; |
• | the order would be illegal; or |
• | circumstances outside the control of the Sponsor make it, for all practical purposes, not feasible to process creations of Creation Units. |
Fund |
NAV Calculation Time | |
ProShares UltraShort Silver* and ProShares Ultra Silver |
1:25 p.m. (Eastern Time) | |
ProShares UltraShort Gold* and ProShares Ultra Gold |
1:30 p.m. (Eastern Time) | |
ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil |
2:30 p.m. (Eastern Time) | |
ProShares UltraShort Bloomberg Natural Gas and ProShares Ultra Bloomberg Natural Gas |
2:30 p.m. (Eastern Time) | |
ProShares Short Euro, ProShares UltraShort Euro and ProShares Ultra Euro |
4:00 p.m. (Eastern Time) | |
ProShares UltraShort Australian Dollar |
4:00 p.m. (Eastern Time) | |
ProShares UltraShort Yen and ProShares Ultra Yen |
4:00 p.m. (Eastern Time) | |
ProShares VIX Short-Term Futures ETF*, ProShares Ultra VIX Short-Term Futures ETF* and |
||
ProShares Short VIX Short-Term Futures ETF* |
4:00 p.m. (Eastern Time) | |
ProShares VIX Mid-Term Futures ETF* |
4:00 p.m. (Eastern Time) |
* | Effective Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Please see Note 8 of the Notes to the Financial Statements of this Form 10-K for more information. |
• | initial SEC registration fees and SEC and FINRA filing fees; |
• | costs of preparing, printing (including typesetting), amending, supplementing, mailing and distributing the Trust’s Registration Statements, the exhibits thereto and the related prospectuses; |
• | the costs of qualifying, printing (including typesetting), amending, supplementing and mailing sales materials used in connection with the offering and issuance of the Shares; and |
• | accounting, auditing and legal fees (including disbursements related thereto) incurred in connection therewith. |
Item 1A. |
Risk Factors. |
• | Due to the compounding of daily returns, the Geared Funds’ returns over periods longer than a single day will likely differ in amount and possibly even direction from the Geared Fund multiple times the benchmark return for the period. |
• | Correlation risks specific to the Geared Funds may arise because the Geared Funds seek to rebalance their portfolios daily to keep daily exposure consistent with their investment objectives to achieve a high degree of daily correlation with their applicable underlying benchmarks. |
• | The use of leveraged, inverse and/or inverse leveraged positions could result in the total loss of an investor’s investment within a single day. |
• | A number of factors may have a negative impact on the price of commodities, such as oil, gold, silver and gas, and the price of Financial Instruments based on such commodities. |
• | Intraday price/performance of Geared Funds will likely differ from the Fund’s stated daily multiple times the performance of its Benchmark for such day. |
• | The Currency Funds are subject to a number of risks impacting the value of non-U.S. currencies and the value of Financial Instruments based on such currencies. For example, European financial markets and the value of the euro have experienced significant volatility, in part related to unemployment, budget deficits and economic downturns. In addition, the euro could be abandoned in the future by countries that have already adopted its use. |
• | The Precious Metals Funds do not hold gold or silver bullion. Rather, the Precious Metals Funds use Financial Instruments to gain exposure to gold and silver bullion. Using Financial Instruments to obtain exposure to gold or silver bullion may cause tracking error and subject the Precious Metals Funds to the effects of contango and backwardation. |
• | The Natural Gas Funds are linked to an index comprised of natural gas futures contracts, and are not directly linked to the “spot” price of natural gas. Natural Gas futures contracts may perform very differently from the spot price of natural gas. |
• | The Oil Funds are linked to an index comprised of crude oil futures contracts, and are not directly linked to the “spot” price of crude oil. Oil futures contracts may perform very differently from the spot price of crude oil. |
• | In April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” (the spot price for a commodity is significantly lower than the price of the futures contract in that commodity) that resulted in a negative price in the May 2020 WTI crude oil futures contract. If all or a significant portion of the futures contracts held by the Oil Funds at a future date were to reach a negative price, investors in any such Fund could lose their entire investment. |
• | The VIX Funds are benchmarked to a VIX Futures Index. They are not benchmarked to the VIX or actual realized volatility of the S&P 500. |
• | VIX futures contracts can be highly volatile and the Funds may experience sudden and large losses when buying, selling or holding such instruments. |
• | The level of the VIX has historically reverted to a long-term mean level and is subject to sudden and unexpected reversions to its mean. Accordingly, investors should not expect the VIX Funds to retain any appreciation in value over extended periods of time. |
• | There is no guarantee that a Fund will achieve its investment objective or that the returns of a Fund will correlate to the returns of its index times its stated multiple. There may be circumstances that could prevent a Fund from being operated in a manner consistent with its investment objective and principal investment strategies. |
• | The assets that the Funds invest in can be highly volatile and the Funds may experience large losses when buying, selling or holding such instruments; you can lose of your investment within a single day. |
• | Each Fund seeks to achieve its investment objective even during periods when the performance of the Fund’s benchmark is flat of when the benchmark is moving in a manner that may cause the value of the Fund to decline. |
• | The value of the Shares of the Funds relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by that Fund. Fluctuations in the price of these Financial Instruments or assets could materially adversely affect an investment in such Fund’s Shares. |
• | Margin requirements and position limits applicable to futures contracts and swaps may limit a Fund’s ability to achieve sufficient exposure and prevent a Fund from achieving its investment objective. |
• | Possible illiquid markets may cause or exacerbate losses; the large size of the positions the Funds may acquire increases these risks. |
• | The Funds may be subject to significant and sustained losses from rolling futures positions. |
• | It may not be possible to gain exposure to the benchmarks using exchange-traded Financial Instruments in the future. |
• | Fees are charged regardless of a Fund’s returns and may result in depletion of assets. |
• | For the Funds linked to a benchmark, changes implemented by the benchmark provider that affect the composition and valuation of the benchmark could adversely affect the value of Fund Shares and an investment in a Fund Shares. |
• | The particular benchmark used by a Fund may underperform other asset classes and may underperform other indices or benchmarks based upon the same underlying Reference Asset. |
• | The Funds may be subject to counterparty risks. |
• | Historical correlation trends between Fund benchmarks and other asset classes may not continue or may reverse, limiting or eliminating any potential diversification or other benefit from owning a Fund. |
• | The lack of active trading markets for any of the Shares of the Funds may result in losses on investors’ investments at the time of disposition of such Shares. |
• | A Fund may change its investment objective, benchmark or strategies and may liquidate at a time that is disadvantageous to shareholders. |
• | Investors may be adversely affected by redemption or creation orders that are subject to postponement, suspension or rejection under certain circumstances. |
• | The NAV per Share may not correspond to the market price per Share. |
• | Investors may be adversely affected by an overstatement or understatement of a Fund’s NAV due to the valuation method employed or errors in the NAV calculation. |
• | Purchases of a Fund’s creation units may be suspended if the Fund issues all of its currently remaining registered shares – this may have a negative impact on the trading price and liquidity of Fund shares |
• | Regulatory and exchange position limits or accountability levels may restrict the creation of Creation Units and have a negative impact on operation of the Trust. |
• | The number of underlying components included in a Fund’s benchmark may impact volatility, which could adversely affect an investment in the Shares. |
• | The liquidity of the Shares may also be affected by the withdrawal from participation of Authorized Participants, which could adversely affect the market price of the Shares. |
• | Shareholders that are not Authorized Participants may only purchase or sell their Shares in secondary trading markets, and the conditions associated with trading in secondary markets may adversely affect investors’ investment in the Shares. |
• | The applicable Exchange may halt trading in the Shares of a Fund which would adversely impact investors’ ability to sell Shares. |
• | Shareholders do not have the protections associated with ownership of shares in an investment company registered under the 1940 Act. |
• | Shareholders do not have the rights enjoyed by investors in certain other vehicles and may be adversely affected by a lack of statutory rights and by limited voting and distribution rights. |
• | The value of the Shares will be adversely affected if the Funds are required to indemnify Wilmington Trust Company (the “Trustee”) and/or the Sponsor. |
• | Although the Shares of the Funds are limited liability investments, certain circumstances such as bankruptcy of a Fund will increase a shareholder’s liability. |
• | Failure of the FCMs to segregate assets may increase losses in the Funds. |
• | A court could potentially conclude that the assets and liabilities of one Fund are not segregated from those of another Fund and may thereby potentially expose assets in a Fund to the liabilities of another Fund. |
• | The discontinuance of LIBOR could cause or contribute to market volatility and could affect the market value and/or liquidity of the Funds’ investments. |
• | Due to the increased use of technologies, intentional and unintentional cyber-attacks pose operational and information security risks. |
• | Trading on exchanges outside the United States is generally not subject to U.S. regulation and may result in different or diminished investor protections. |
• | Competing claims of intellectual property rights may affect the Funds and an investment in the Shares. |
• | Shareholders’ tax liability may exceed cash distributions on the Shares. |
• | The U.S. Internal Revenue Service (“IRS”) could adjust or reallocate items of income, gain, deduction, loss and credit with respect to the Shares if the IRS does not accept the assumptions or conventions utilized by the Fund. |
• | Shareholders will receive partner information tax returns on Schedule K-1, which could increase the complexity of tax returns. |
• | Shareholders of each Fund may recognize significant amounts of ordinary income and short-term capital gain. |
• | A Fund could be treated as a corporation for federal income tax purposes, which may substantially reduce the value of Shares. |
• | Changes in U.S. federal income tax law could affect an investment in the Shares. |
• | The Funds and the Sponsor are subject to extensive legal and regulatory requirements. Regulatory changes or actions, including the implementation of new legislation, may alter the operations and profitability of the Funds. |
• | Investors cannot be assured of the Sponsor’s continued services, the discontinuance of which may be detrimental to the Funds. |
• | The term “Matching VIX Fund” refers to ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF; |
• | The term “Geared VIX Fund” refers to ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF; |
• | The term “VIX Fund” refers to each Geared VIX Fund and each Matching VIX Fund; |
• | The term “Geared Fund” refers to ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares Short Euro, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen, and each Geared VIX Fund; |
• | The term “Natural Gas Fund” refers to ProShares UltraShort Bloomberg Natural Gas and ProShares Ultra Bloomberg Natural Gas ; |
• | The term “Oil Fund” refers to ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil; |
• | The term “Precious Metal Fund” refers to ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares Ultra Gold and ProShares Ultra Silver; and |
• | The term “Currency Fund” refers to ProShares Short Euro, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Euro and ProShares Ultra Yen. |
Benchmark XYZ |
Fund XYZ |
|||||||||||||||
Level |
Daily Performance |
Daily Performance |
Net Asset Value |
|||||||||||||
Start |
100.00 | $ | 100.00 | |||||||||||||
Day 1 |
97.00 | -3.00 | % | -6.00 | % | 94.00 | ||||||||||
Day 2 |
99.91 | 3.00 | % | 6.00 | % | 99.64 | ||||||||||
Day 3 |
96.91 | -3.00 | % | -6.00 | % | 93.66 | ||||||||||
Day 4 |
99.82 | 3.00 | % | 6.00 | % | 99.28 | ||||||||||
Day 5 |
96.83 | -3.00 | % | -6.00 | % | 93.32 | ||||||||||
Day 6 |
99.73 | 3.00 | % | 6.00 | % | 98.92 | ||||||||||
Day 7 |
96.74 | -3.00 | % | -6.00 | % | 92.99 | ||||||||||
|
|
|
|
|||||||||||||
Total Return |
-3.26 |
% |
-7.01 |
% |
||||||||||||
|
|
|
|
Benchmark XYZ |
Fund XYZ |
|||||||||||||||
Level |
Daily Performance |
Daily Performance |
Net Asset Value |
|||||||||||||
Start |
100.00 | $ | 100.00 | |||||||||||||
Day 1 |
103.00 | 3.00 | % | 6.00 | % | 106.00 | ||||||||||
Day 2 |
99.91 | -3.00 | % | -6.00 | % | 99.64 | ||||||||||
Day 3 |
102.91 | 3.00 | % | 6.00 | % | 105.62 | ||||||||||
Day 4 |
99.82 | -3.00 | % | -6.00 | % | 99.28 | ||||||||||
Day 5 |
102.81 | 3.00 | % | 6.00 | % | 105.24 | ||||||||||
Day 6 |
99.73 | -3.00 | % | -6.00 | % | 98.92 | ||||||||||
Day 7 |
102.72 | 3.00 | % | 6.00 | % | 104.86 | ||||||||||
|
|
|
|
|||||||||||||
Total Return |
2.72 |
% |
4.86 |
% |
||||||||||||
|
|
|
|
Index |
Identifier |
Historical Five-Year Average Volatility Rate As of December 31, 2020 |
||||||
S&P 500 VIX Short-Term Futures Index |
SPVXSP | 77.10 | % | |||||
S&P 500 VIX Mid-Term Futures Index |
SPVXMPID | 36.41 | % | |||||
Bloomberg Commodity Balanced WTI Crude Oil Index SM |
BCBCLI | 36.42 | % | |||||
Bloomberg Natural Gas Subindex SM |
BCOMNG | 42.53 | % | |||||
Bloomberg Gold Subindex SM |
BCOMGC | 14.64 | % | |||||
Bloomberg Silver Subindex SM |
BCOMSI | 27.79 | % | |||||
The US dollar price of the euro |
USDEUR | 7.05 | % | |||||
The US dollar price of the Japanese yen |
USDJPY | 8.65 | % | |||||
The US dollar price of the Australian dollar |
USDAUD | 9.52 | % |
Index Volatility |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Index Performance |
One-Half the Invers (-0.5x) One Year Index Performance |
0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | 75% | |||||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
30.0 | % | 58.1 | % | 58.0 | % | 57.5 | % | 56.8 | % | 55.8 | % | 54.5 | % | 52.9 | % | 51.0 | % | 48.9 | % | 46.6 | % | 44.0 | % | 41.2 | % | 38.1 | % | 34.9 | % | 31.6 | % | 28.0 | % | ||||||||||||||||||||||||||||||||||
-55% |
27.5 | % | 49.1 | % | 48.9 | % | 48.5 | % | 47.8 | % | 46.9 | % | 45.6 | % | 44.1 | % | 42.4 | % | 40.4 | % | 38.2 | % | 35.7 | % | 33.1 | % | 30.2 | % | 27.2 | % | 24.0 | % | 20.7 | % | ||||||||||||||||||||||||||||||||||
-50% |
25.0 | % | 41.4 | % | 41.3 | % | 40.9 | % | 40.2 | % | 39.3 | % | 38.1 | % | 36.7 | % | 35.1 | % | 33.2 | % | 31.1 | % | 28.8 | % | 26.3 | % | 23.6 | % | 20.7 | % | 17.7 | % | 14.5 | % | ||||||||||||||||||||||||||||||||||
-45% |
22.5 | % | 34.8 | % | 34.7 | % | 34.3 | % | 33.7 | % | 32.8 | % | 31.7 | % | 30.4 | % | 28.8 | % | 27.0 | % | 25.0 | % | 22.8 | % | 20.4 | % | 17.8 | % | 15.1 | % | 12.2 | % | 9.2 | % | ||||||||||||||||||||||||||||||||||
-40% |
20.0 | % | 29.1 | % | 29.0 | % | 28.6 | % | 28.0 | % | 27.2 | % | 26.1 | % | 24.8 | % | 23.3 | % | 21.6 | % | 19.7 | % | 17.5 | % | 15.3 | % | 12.8 | % | 10.2 | % | 7.4 | % | 4.5 | % | ||||||||||||||||||||||||||||||||||
-35% |
17.5 | % | 24.0 | % | 23.9 | % | 23.6 | % | 23.0 | % | 22.2 | % | 21.2 | % | 19.9 | % | 18.5 | % | 16.8 | % | 15.0 | % | 12.9 | % | 10.7 | % | 8.4 | % | 5.9 | % | 3.2 | % | 0.4 | % | ||||||||||||||||||||||||||||||||||
-30% |
15.0 | % | 19.5 | % | 19.4 | % | 19.1 | % | 18.5 | % | 17.7 | % | 16.8 | % | 15.6 | % | 14.2 | % | 12.6 | % | 10.8 | % | 8.8 | % | 6.7 | % | 4.4 | % | 2.0 | % | -0.5 | % | -3.2 | % | ||||||||||||||||||||||||||||||||||
-25% |
12.5 | % | 15.5 | % | 15.4 | % | 15.0 | % | 14.5 | % | 13.8 | % | 12.8 | % | 11.6 | % | 10.3 | % | 8.7 | % | 7.0 | % | 5.1 | % | 3.1 | % | 0.9 | % | -1.4 | % | -3.9 | % | -6.5 | % | ||||||||||||||||||||||||||||||||||
-20% |
10.0 | % | 11.8 | % | 11.7 | % | 11.4 | % | 10.9 | % | 10.1 | % | 9.2 | % | 8.1 | % | 6.8 | % | 5.3 | % | 3.6 | % | 1.8 | % | -0.2 | % | -2.3 | % | -4.6 | % | -7.0 | % | -9.5 | % | ||||||||||||||||||||||||||||||||||
-15% |
7.5 | % | 8.5 | % | 8.4 | % | 8.1 | % | 7.6 | % | 6.9 | % | 6.0 | % | 4.9 | % | 3.6 | % | 2.1 | % | 0.5 | % | -1.2 | % | -3.2 | % | -5.2 | % | -7.4 | % | -9.7 | % | -12.2 | % | ||||||||||||||||||||||||||||||||||
-10% |
5.0 | % | 5.4 | % | 5.3 | % | 5.0 | % | 4.5 | % | 3.8 | % | 3.0 | % | 1.9 | % | 0.7 | % | -0.7 | % | -2.3 | % | -4.0 | % | -5.9 | % | -7.9 | % | -10.0 | % | -12.3 | % | -14.6 | % | ||||||||||||||||||||||||||||||||||
-5% |
2.5 | % | 2.6 | % | 2.5 | % | 2.2 | % | 1.7 | % | 1.1 | % | 0.2 | % | -0.8 | % | -2.0 | % | -3.4 | % | -4.9 | % | -6.6 | % | -8.4 | % | -10.4 | % | -12.4 | % | -14.6 | % | -16.9 | % | ||||||||||||||||||||||||||||||||||
0% |
0.0 | % | 0.0 | % | -0.1 | % | -0.4 | % | -0.8 | % | -1.5 | % | -2.3 | % | -3.3 | % | -4.5 | % | -5.8 | % | -7.3 | % | -8.9 | % | -10.7 | % | -12.6 | % | -14.7 | % | -16.8 | % | -19.0 | % | ||||||||||||||||||||||||||||||||||
5% |
-2.5 | % | -2.4 | % | -2.5 | % | -2.8 | % | -3.2 | % | -3.9 | % | -4.7 | % | -5.6 | % | -6.8 | % | -8.1 | % | -9.5 | % | -11.1 | % | -12.9 | % | -14.7 | % | -16.7 | % | -18.8 | % | -21.0 | % | ||||||||||||||||||||||||||||||||||
10% |
-5.0 | % | -4.7 | % | -4.7 | % | -5.0 | % | -5.5 | % | -6.1 | % | -6.9 | % | -7.8 | % | -8.9 | % | -10.2 | % | -11.6 | % | -13.2 | % | -14.9 | % | -16.7 | % | -18.6 | % | -20.7 | % | -22.8 | % | ||||||||||||||||||||||||||||||||||
15% |
-7.5 | % | -6.7 | % | -6.8 | % | -7.1 | % | -7.5 | % | -8.1 | % | -8.9 | % | -9.8 | % | -10.9 | % | -12.2 | % | -13.6 | % | -15.1 | % | -16.7 | % | -18.5 | % | -20.4 | % | -22.4 | % | -24.5 | % | ||||||||||||||||||||||||||||||||||
20% |
-10.0 | % | -8.7 | % | -8.8 | % | -9.1 | % | -9.5 | % | -10.1 | % | -10.8 | % | -11.7 | % | -12.8 | % | -14.0 | % | -15.4 | % | -16.9 | % | -18.5 | % | -20.2 | % | -22.1 | % | -24.0 | % | -26.1 | % | ||||||||||||||||||||||||||||||||||
25% |
-12.5 | % | -10.6 | % | -10.6 | % | -10.9 | % | -11.3 | % | -11.9 | % | -12.6 | % | -13.5 | % | -14.6 | % | -15.8 | % | -17.1 | % | -18.6 | % | -20.1 | % | -21.9 | % | -23.7 | % | -25.6 | % | -27.6 | % | ||||||||||||||||||||||||||||||||||
30% |
-15.0 | % | -12.3 | % | -12.4 | % | -12.6 | % | -13.0 | % | -13.6 | % | -14.3 | % | -15.2 | % | -16.2 | % | -17.4 | % | -18.7 | % | -20.1 | % | -21.7 | % | -23.4 | % | -25.1 | % | -27.0 | % | -29.0 | % | ||||||||||||||||||||||||||||||||||
35% |
-17.5 | % | -13.9 | % | -14.0 | % | -14.3 | % | -14.7 | % | -15.2 | % | -15.9 | % | -16.8 | % | -17.8 | % | -18.9 | % | -20.2 | % | -21.6 | % | -23.2 | % | -24.8 | % | -26.5 | % | -28.4 | % | -30.3 | % | ||||||||||||||||||||||||||||||||||
40% |
-20.0 | % | -15.5 | % | -15.6 | % | -15.8 | % | -16.2 | % | -16.7 | % | -17.4 | % | -18.3 | % | -19.3 | % | -20.4 | % | -21.7 | % | -23.0 | % | -24.5 | % | -26.2 | % | -27.9 | % | -29.7 | % | -31.6 | % | ||||||||||||||||||||||||||||||||||
45% |
-22.5 | % | -17.0 | % | -17.0 | % | -17.3 | % | -17.7 | % | -18.2 | % | -18.9 | % | -19.7 | % | -20.7 | % | -21.8 | % | -23.0 | % | -24.4 | % | -25.9 | % | -27.4 | % | -29.1 | % | -30.9 | % | -32.7 | % | ||||||||||||||||||||||||||||||||||
50% |
-25.0 | % | -18.4 | % | -18.4 | % | -18.7 | % | -19.0 | % | -19.6 | % | -20.2 | % | -21.1 | % | -22.0 | % | -23.1 | % | -24.3 | % | -25.7 | % | -27.1 | % | -28.7 | % | -30.3 | % | -32.1 | % | -33.9 | % | ||||||||||||||||||||||||||||||||||
55% |
-27.5 | % | -19.7 | % | -19.8 | % | -20.0 | % | -20.4 | % | -20.9 | % | -21.5 | % | -22.3 | % | -23.3 | % | -24.4 | % | -25.6 | % | -26.9 | % | -28.3 | % | -29.8 | % | -31.4 | % | -33.2 | % | -35.0 | % | ||||||||||||||||||||||||||||||||||
60% |
-30.0 | % | -20.9 | % | -21.0 | % | -21.2 | % | -21.6 | % | -22.1 | % | -22.8 | % | -23.6 | % | -24.5 | % | -25.5 | % | -26.7 | % | -28.0 | % | -29.4 | % | -30.9 | % | -32.5 | % | -34.2 | % | -36.0 | % |
Benchmark Volatility |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance |
Inverse(-1x) of One Year Benchmark Performance |
0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
60 | % | 150.0 | % | 149.4 | % | 147.5 | % | 144.4 | % | 140.2 | % | 134.9 | % | 128.5 | % | 121.2 | % | 113.0 | % | 104.2 | % | 94.7 | % | 84.7 | % | 74.4 | % | 63.9 | % | 53.2 | % | ||||||||||||||||||||||||||||||||
-55% |
55 | % | 122.2 | % | 121.7 | % | 120.0 | % | 117.3 | % | 113.5 | % | 108.8 | % | 103.1 | % | 96.6 | % | 89.4 | % | 81.5 | % | 73.1 | % | 64.2 | % | 55.0 | % | 45.6 | % | 36.1 | % | ||||||||||||||||||||||||||||||||
-50% |
50 | % | 100.0 | % | 99.5 | % | 98.0 | % | 95.6 | % | 92.2 | % | 87.9 | % | 82.8 | % | 76.9 | % | 70.4 | % | 63.3 | % | 55.8 | % | 47.8 | % | 39.5 | % | 31.1 | % | 22.5 | % | ||||||||||||||||||||||||||||||||
-45% |
45 | % | 81.8 | % | 81.4 | % | 80.0 | % | 77.8 | % | 74.7 | % | 70.8 | % | 66.2 | % | 60.9 | % | 54.9 | % | 48.5 | % | 41.6 | % | 34.4 | % | 26.9 | % | 19.2 | % | 11.4 | % | ||||||||||||||||||||||||||||||||
-40% |
40 | % | 66.7 | % | 66.3 | % | 65.0 | % | 63.0 | % | 60.1 | % | 56.6 | % | 52.3 | % | 47.5 | % | 42.0 | % | 36.1 | % | 29.8 | % | 23.2 | % | 16.3 | % | 9.2 | % | 2.1 | % | ||||||||||||||||||||||||||||||||
-35% |
35 | % | 53.8 | % | 53.5 | % | 52.3 | % | 50.4 | % | 47.8 | % | 44.5 | % | 40.6 | % | 36.1 | % | 31.1 | % | 25.6 | % | 19.8 | % | 13.7 | % | 7.3 | % | 0.8 | % | -5.7 | % | ||||||||||||||||||||||||||||||||
-30% |
30 | % | 42.9 | % | 42.5 | % | 41.4 | % | 39.7 | % | 37.3 | % | 34.2 | % | 30.6 | % | 26.4 | % | 21.7 | % | 16.7 | % | 11.3 | % | 5.6 | % | -0.3 | % | -6.4 | % | -12.5 | % | ||||||||||||||||||||||||||||||||
-25% |
25 | % | 33.3 | % | 33.0 | % | 32.0 | % | 30.4 | % | 28.1 | % | 25.3 | % | 21.9 | % | 18.0 | % | 13.6 | % | 8.9 | % | 3.8 | % | -1.5 | % | -7.0 | % | -12.6 | % | -18.3 | % | ||||||||||||||||||||||||||||||||
-20% |
20 | % | 25.0 | % | 24.7 | % | 23.8 | % | 22.2 | % | 20.1 | % | 17.4 | % | 14.2 | % | 10.6 | % | 6.5 | % | 2.1 | % | -2.6 | % | -7.6 | % | -12.8 | % | -18.1 | % | -23.4 | % | ||||||||||||||||||||||||||||||||
-15% |
15 | % | 17.6 | % | 17.4 | % | 16.5 | % | 15.0 | % | 13.0 | % | 10.5 | % | 7.5 | % | 4.1 | % | 0.3 | % | -3.9 | % | -8.4 | % | -13.1 | % | -17.9 | % | -22.9 | % | -27.9 | % | ||||||||||||||||||||||||||||||||
-10% |
10 | % | 11.1 | % | 10.8 | % | 10.0 | % | 8.6 | % | 6.8 | % | 4.4 | % | 1.5 | % | -1.7 | % | -5.3 | % | -9.3 | % | -13.5 | % | -17.9 | % | -22.5 | % | -27.2 | % | -31.9 | % | ||||||||||||||||||||||||||||||||
-5% |
5 | % | 5.3 | % | 5.0 | % | 4.2 | % | 2.9 | % | 1.1 | % | -1.1 | % | -3.8 | % | -6.9 | % | -10.3 | % | -14.0 | % | -18.0 | % | -22.2 | % | -26.6 | % | -31.0 | % | -35.5 | % | ||||||||||||||||||||||||||||||||
0% |
0 | % | 0.0 | % | -0.2 | % | -1.0 | % | -2.2 | % | -3.9 | % | -6.1 | % | -8.6 | % | -11.5 | % | -14.8 | % | -18.3 | % | -22.1 | % | -26.1 | % | -30.2 | % | -34.5 | % | -38.7 | % | ||||||||||||||||||||||||||||||||
5% |
-5 | % | -4.8 | % | -5.0 | % | -5.7 | % | -6.9 | % | -8.5 | % | -10.5 | % | -13.0 | % | -15.7 | % | -18.8 | % | -22.2 | % | -25.8 | % | -29.6 | % | -33.6 | % | -37.6 | % | -41.7 | % | ||||||||||||||||||||||||||||||||
10% |
-10 | % | -9.1 | % | -9.3 | % | -10.0 | % | -11.1 | % | -12.7 | % | -14.6 | % | -16.9 | % | -19.6 | % | -22.5 | % | -25.8 | % | -29.2 | % | -32.8 | % | -36.6 | % | -40.4 | % | -44.3 | % | ||||||||||||||||||||||||||||||||
15% |
-15 | % | -13.0 | % | -13.3 | % | -13.9 | % | -15.0 | % | -16.5 | % | -18.3 | % | -20.5 | % | -23.1 | % | -25.9 | % | -29.0 | % | -32.3 | % | -35.7 | % | -39.3 | % | -43.0 | % | -46.7 | % | ||||||||||||||||||||||||||||||||
20% |
-20 | % | -16.7 | % | -16.9 | % | -17.5 | % | -18.5 | % | -19.9 | % | -21.7 | % | -23.8 | % | -26.3 | % | -29.0 | % | -31.9 | % | -35.1 | % | -38.4 | % | -41.9 | % | -45.4 | % | -48.9 | % | ||||||||||||||||||||||||||||||||
25% |
-25 | % | -20.0 | % | -20.2 | % | -20.8 | % | -21.8 | % | -23.1 | % | -24.8 | % | -26.9 | % | -29.2 | % | -31.8 | % | -34.7 | % | -37.7 | % | -40.9 | % | -44.2 | % | -47.6 | % | -51.0 | % | ||||||||||||||||||||||||||||||||
30% |
-30 | % | -23.1 | % | -23.3 | % | -23.8 | % | -24.8 | % | -26.1 | % | -27.7 | % | -29.7 | % | -31.9 | % | -34.5 | % | -37.2 | % | -40.1 | % | -43.2 | % | -46.3 | % | -49.6 | % | -52.9 | % | ||||||||||||||||||||||||||||||||
35% |
-35 | % | -25.9 | % | -26.1 | % | -26.7 | % | -27.6 | % | -28.8 | % | -30.4 | % | -32.3 | % | -34.5 | % | -36.9 | % | -39.5 | % | -42.3 | % | -45.3 | % | -48.3 | % | -51.5 | % | -54.6 | % | ||||||||||||||||||||||||||||||||
40% |
-40 | % | -28.6 | % | -28.7 | % | -29.3 | % | -30.2 | % | -31.4 | % | -32.9 | % | -34.7 | % | -36.8 | % | -39.1 | % | -41.7 | % | -44.4 | % | -47.2 | % | -50.2 | % | -53.2 | % | -56.2 | % | ||||||||||||||||||||||||||||||||
45% |
-45 | % | -31.0 | % | -31.2 | % | -31.7 | % | -32.6 | % | -33.7 | % | -35.2 | % | -37.0 | % | -39.0 | % | -41.2 | % | -43.7 | % | -46.3 | % | -49.0 | % | -51.9 | % | -54.8 | % | -57.7 | % | ||||||||||||||||||||||||||||||||
50% |
-50 | % | -33.3 | % | -33.5 | % | -34.0 | % | -34.8 | % | -35.9 | % | -37.4 | % | -39.1 | % | -41.0 | % | -43.2 | % | -45.6 | % | -48.1 | % | -50.7 | % | -53.5 | % | -56.3 | % | -59.2 | % | ||||||||||||||||||||||||||||||||
55% |
-55 | % | -35.5 | % | -35.6 | % | -36.1 | % | -36.9 | % | -38.0 | % | -39.4 | % | -41.0 | % | -42.9 | % | -45.0 | % | -47.3 | % | -49.8 | % | -52.3 | % | -55.0 | % | -57.7 | % | -60.5 | % | ||||||||||||||||||||||||||||||||
60% |
-60 | % | -37.5 | % | -37.7 | % | -38.1 | % | -38.9 | % | -40.0 | % | -41.3 | % | -42.9 | % | -44.7 | % | -46.7 | % | -49.0 | % | -51.3 | % | -53.8 | % | -56.4 | % | -59.0 | % | -61.7 | % |
Benchmark Volatility |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance |
Two Times Inverse(-2x) of One Year Benchmark Performance |
0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
120 | % | 525.0 | % | 520.3 | % | 506.5 | % | 484.2 | % | 454.3 | % | 418.1 | % | 377.1 | % | 332.8 | % | 286.7 | % | 240.4 | % | 195.2 | % | 152.2 | % | 112.2 | % | 76.0 | % | 43.7 | % | ||||||||||||||||||||||||||||||||
-55% |
110 | % | 393.8 | % | 390.1 | % | 379.2 | % | 361.6 | % | 338.0 | % | 309.4 | % | 277.0 | % | 242.0 | % | 205.6 | % | 169.0 | % | 133.3 | % | 99.3 | % | 67.7 | % | 39.0 | % | 13.5 | % | ||||||||||||||||||||||||||||||||
-50% |
100 | % | 300.0 | % | 297.0 | % | 288.2 | % | 273.9 | % | 254.8 | % | 231.6 | % | 205.4 | % | 177.0 | % | 147.5 | % | 117.9 | % | 88.9 | % | 61.4 | % | 35.8 | % | 12.6 | % | -8.0 | % | ||||||||||||||||||||||||||||||||
-45% |
90 | % | 230.6 | % | 228.1 | % | 220.8 | % | 209.0 | % | 193.2 | % | 174.1 | % | 152.4 | % | 128.9 | % | 104.6 | % | 80.1 | % | 56.2 | % | 33.4 | % | 12.3 | % | -6.9 | % | -24.0 | % | ||||||||||||||||||||||||||||||||
-40% |
80 | % | 177.8 | % | 175.7 | % | 169.6 | % | 159.6 | % | 146.4 | % | 130.3 | % | 112.0 | % | 92.4 | % | 71.9 | % | 51.3 | % | 31.2 | % | 12.1 | % | -5.7 | % | -21.8 | % | -36.1 | % | ||||||||||||||||||||||||||||||||
-35% |
70 | % | 136.7 | % | 134.9 | % | 129.7 | % | 121.2 | % | 109.9 | % | 96.2 | % | 80.7 | % | 63.9 | % | 46.5 | % | 28.9 | % | 11.8 | % | -4.5 | % | -19.6 | % | -33.4 | % | -45.6 | % | ||||||||||||||||||||||||||||||||
-30% |
60 | % | 104.1 | % | 102.6 | % | 98.1 | % | 90.8 | % | 81.0 | % | 69.2 | % | 55.8 | % | 41.3 | % | 26.3 | % | 11.2 | % | -3.6 | % | -17.6 | % | -30.7 | % | -42.5 | % | -53.1 | % | ||||||||||||||||||||||||||||||||
-25% |
50 | % | 77.8 | % | 76.4 | % | 72.5 | % | 66.2 | % | 57.7 | % | 47.4 | % | 35.7 | % | 23.1 | % | 10.0 | % | -3.2 | % | -16.0 | % | -28.3 | % | -39.6 | % | -49.9 | % | -59.1 | % | ||||||||||||||||||||||||||||||||
-20% |
40 | % | 56.3 | % | 55.1 | % | 51.6 | % | 46.1 | % | 38.6 | % | 29.5 | % | 19.3 | % | 8.2 | % | -3.3 | % | -14.9 | % | -26.2 | % | -36.9 | % | -46.9 | % | -56.0 | % | -64.1 | % | ||||||||||||||||||||||||||||||||
-15% |
30 | % | 38.4 | % | 37.4 | % | 34.3 | % | 29.4 | % | 22.8 | % | 14.7 | % | 5.7 | % | -4.2 | % | -14.4 | % | -24.6 | % | -34.6 | % | -44.1 | % | -53.0 | % | -61.0 | % | -68.2 | % | ||||||||||||||||||||||||||||||||
-10% |
20 | % | 23.5 | % | 22.5 | % | 19.8 | % | 15.4 | % | 9.5 | % | 2.3 | % | -5.8 | % | -14.5 | % | -23.6 | % | -32.8 | % | -41.7 | % | -50.2 | % | -58.1 | % | -65.2 | % | -71.6 | % | ||||||||||||||||||||||||||||||||
-5% |
10 | % | 10.8 | % | 10.0 | % | 7.5 | % | 3.6 | % | -1.7 | % | -8.1 | % | -15.4 | % | -23.3 | % | -31.4 | % | -39.6 | % | -47.7 | % | -55.3 | % | -62.4 | % | -68.8 | % | -74.5 | % | ||||||||||||||||||||||||||||||||
0% |
0 | % | 0.0 | % | -0.7 | % | -3.0 | % | -6.5 | % | -11.3 | % | -17.1 | % | -23.7 | % | -30.8 | % | -38.1 | % | -45.5 | % | -52.8 | % | -59.6 | % | -66.0 | % | -71.8 | % | -77.0 | % | ||||||||||||||||||||||||||||||||
5% |
-10 | % | -9.3 | % | -10.0 | % | -12.0 | % | -15.2 | % | -19.6 | % | -24.8 | % | -30.8 | % | -37.2 | % | -43.9 | % | -50.6 | % | -57.2 | % | -63.4 | % | -69.2 | % | -74.5 | % | -79.1 | % | ||||||||||||||||||||||||||||||||
10% |
-20 | % | -17.4 | % | -18.0 | % | -19.8 | % | -22.7 | % | -26.7 | % | -31.5 | % | -36.9 | % | -42.8 | % | -48.9 | % | -55.0 | % | -61.0 | % | -66.7 | % | -71.9 | % | -76.7 | % | -81.0 | % | ||||||||||||||||||||||||||||||||
15% |
-30 | % | -24.4 | % | -25.0 | % | -26.6 | % | -29.3 | % | -32.9 | % | -37.3 | % | -42.3 | % | -47.6 | % | -53.2 | % | -58.8 | % | -64.3 | % | -69.5 | % | -74.3 | % | -78.7 | % | -82.6 | % | ||||||||||||||||||||||||||||||||
20% |
-40 | % | -30.6 | % | -31.1 | % | -32.6 | % | -35.1 | % | -38.4 | % | -42.4 | % | -47.0 | % | -51.9 | % | -57.0 | % | -62.2 | % | -67.2 | % | -72.0 | % | -76.4 | % | -80.4 | % | -84.0 | % | ||||||||||||||||||||||||||||||||
25% |
-50 | % | -36.0 | % | -36.5 | % | -37.9 | % | -40.2 | % | -43.2 | % | -46.9 | % | -51.1 | % | -55.7 | % | -60.4 | % | -65.1 | % | -69.8 | % | -74.2 | % | -78.3 | % | -82.0 | % | -85.3 | % | ||||||||||||||||||||||||||||||||
30% |
-60 | % | -40.8 | % | -41.3 | % | -42.6 | % | -44.7 | % | -47.5 | % | -50.9 | % | -54.8 | % | -59.0 | % | -63.4 | % | -67.8 | % | -72.0 | % | -76.1 | % | -79.9 | % | -83.3 | % | -86.4 | % | ||||||||||||||||||||||||||||||||
35% |
-70 | % | -45.1 | % | -45.5 | % | -46.8 | % | -48.7 | % | -51.3 | % | -54.5 | % | -58.1 | % | -62.0 | % | -66.0 | % | -70.1 | % | -74.1 | % | -77.9 | % | -81.4 | % | -84.6 | % | -87.4 | % | ||||||||||||||||||||||||||||||||
40% |
-80 | % | -49.0 | % | -49.4 | % | -50.5 | % | -52.3 | % | -54.7 | % | -57.7 | % | -61.1 | % | -64.7 | % | -68.4 | % | -72.2 | % | -75.9 | % | -79.4 | % | -82.7 | % | -85.6 | % | -88.3 | % | ||||||||||||||||||||||||||||||||
45% |
-90 | % | -52.4 | % | -52.8 | % | -53.8 | % | -55.5 | % | -57.8 | % | -60.6 | % | -63.7 | % | -67.1 | % | -70.6 | % | -74.1 | % | -77.5 | % | -80.8 | % | -83.8 | % | -86.6 | % | -89.1 | % | ||||||||||||||||||||||||||||||||
50% |
-100 | % | -55.6 | % | -55.9 | % | -56.9 | % | -58.5 | % | -60.6 | % | -63.2 | % | -66.1 | % | -69.2 | % | -72.5 | % | -75.8 | % | -79.0 | % | -82.1 | % | -84.9 | % | -87.5 | % | -89.8 | % | ||||||||||||||||||||||||||||||||
55% |
-110 | % | -58.4 | % | -58.7 | % | -59.6 | % | -61.1 | % | -63.1 | % | -65.5 | % | -68.2 | % | -71.2 | % | -74.2 | % | -77.3 | % | -80.3 | % | -83.2 | % | -85.9 | % | -88.3 | % | -90.4 | % | ||||||||||||||||||||||||||||||||
60% |
-120 | % | -60.9 | % | -61.2 | % | -62.1 | % | -63.5 | % | -65.4 | % | -67.6 | % | -70.2 | % | -73.0 | % | -75.8 | % | -78.7 | % | -81.5 | % | -84.2 | % | -86.7 | % | -89.0 | % | -91.0 | % |
Index Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Index Performance |
One and One-Half Times (1.5x) One Year Index Performance |
0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | 75% | |||||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
-90.0 | % | -74.7 | % | -74.7 | % | -74.8 | % | -74.9 | % | -75.1 | % | -75.3 | % | -75.5 | % | -75.8 | % | -76.2 | % | -76.6 | % | -77.0 | % | -77.4 | % | -77.9 | % | -78.4 | % | -78.9 | % | -79.5 | % | ||||||||||||||||||||||||||||||||||
-55% |
-82.5 | % | -69.8 | % | -69.8 | % | -69.9 | % | -70.1 | % | -70.3 | % | -70.5 | % | -70.8 | % | -71.2 | % | -71.6 | % | -72.0 | % | -72.5 | % | -73.1 | % | -73.6 | % | -74.2 | % | -74.9 | % | -75.6 | % | ||||||||||||||||||||||||||||||||||
-50% |
-75.0 | % | -64.6 | % | -64.7 | % | -64.8 | % | -64.9 | % | -65.2 | % | -65.5 | % | -65.8 | % | -66.2 | % | -66.7 | % | -67.2 | % | -67.8 | % | -68.4 | % | -69.1 | % | -69.8 | % | -70.6 | % | -71.4 | % | ||||||||||||||||||||||||||||||||||
-45% |
-67.5 | % | -59.2 | % | -59.2 | % | -59.4 | % | -59.6 | % | -59.8 | % | -60.2 | % | -60.6 | % | -61.0 | % | -61.6 | % | -62.2 | % | -62.9 | % | -63.6 | % | -64.4 | % | -65.2 | % | -66.1 | % | -67.0 | % | ||||||||||||||||||||||||||||||||||
-40% |
-60.0 | % | -53.5 | % | -53.6 | % | -53.7 | % | -53.9 | % | -54.2 | % | -54.6 | % | -55.1 | % | -55.6 | % | -56.2 | % | -56.9 | % | -57.7 | % | -58.5 | % | -59.4 | % | -60.3 | % | -61.3 | % | -62.4 | % | ||||||||||||||||||||||||||||||||||
-35% |
-52.5 | % | -47.6 | % | -47.6 | % | -47.8 | % | -48.0 | % | -48.4 | % | -48.8 | % | -49.3 | % | -49.9 | % | -50.6 | % | -51.4 | % | -52.3 | % | -53.2 | % | -54.2 | % | -55.3 | % | -56.4 | % | -57.6 | % | ||||||||||||||||||||||||||||||||||
-30% |
-45.0 | % | -41.4 | % | -41.5 | % | -41.7 | % | -41.9 | % | -42.3 | % | -42.8 | % | -43.4 | % | -44.1 | % | -44.8 | % | -45.7 | % | -46.7 | % | -47.7 | % | -48.8 | % | -50.0 | % | -51.3 | % | -52.6 | % | ||||||||||||||||||||||||||||||||||
-25% |
-37.5 | % | -35.0 | % | -35.1 | % | -35.3 | % | -35.6 | % | -36.0 | % | -36.6 | % | -37.2 | % | -38.0 | % | -38.8 | % | -39.8 | % | -40.9 | % | -42.0 | % | -43.3 | % | -44.6 | % | -46.0 | % | -47.4 | % | ||||||||||||||||||||||||||||||||||
-20% |
-30.0 | % | -28.4 | % | -28.5 | % | -28.7 | % | -29.0 | % | -29.5 | % | -30.1 | % | -30.8 | % | -31.7 | % | -32.6 | % | -33.7 | % | -34.8 | % | -36.1 | % | -37.5 | % | -38.9 | % | -40.5 | % | -42.1 | % | ||||||||||||||||||||||||||||||||||
-15% |
-22.5 | % | -21.6 | % | -21.7 | % | -21.9 | % | -22.3 | % | -22.8 | % | -23.4 | % | -24.2 | % | -25.2 | % | -26.2 | % | -27.4 | % | -28.6 | % | -30.0 | % | -31.5 | % | -33.1 | % | -34.8 | % | -36.5 | % | ||||||||||||||||||||||||||||||||||
-10% |
-15.0 | % | -14.6 | % | -14.7 | % | -14.9 | % | -15.3 | % | -15.9 | % | -16.6 | % | -17.5 | % | -18.5 | % | -19.6 | % | -20.9 | % | -22.3 | % | -23.8 | % | -25.4 | % | -27.1 | % | -29.0 | % | -30.9 | % | ||||||||||||||||||||||||||||||||||
-5% |
-7.5 | % | -7.4 | % | -7.5 | % | -7.8 | % | -8.2 | % | -8.8 | % | -9.6 | % | -10.5 | % | -11.6 | % | -12.8 | % | -14.2 | % | -15.7 | % | -17.3 | % | -19.1 | % | -21.0 | % | -22.9 | % | -25.0 | % | ||||||||||||||||||||||||||||||||||
0% |
0.0 | % | 0.0 | % | -0.1 | % | -0.4 | % | -0.8 | % | -1.5 | % | -2.3 | % | -3.3 | % | -4.5 | % | -5.8 | % | -7.3 | % | -8.9 | % | -10.7 | % | -12.6 | % | -14.7 | % | -16.8 | % | -19.0 | % | ||||||||||||||||||||||||||||||||||
5% |
7.5 | % | 7.6 | % | 7.5 | % | 7.2 | % | 6.7 | % | 6.0 | % | 5.1 | % | 4.0 | % | 2.8 | % | 1.3 | % | -0.3 | % | -2.0 | % | -3.9 | % | -6.0 | % | -8.2 | % | -10.5 | % | -12.9 | % | ||||||||||||||||||||||||||||||||||
10% |
15.0 | % | 15.4 | % | 15.3 | % | 14.9 | % | 14.4 | % | 13.7 | % | 12.7 | % | 11.5 | % | 10.2 | % | 8.7 | % | 6.9 | % | 5.0 | % | 3.0 | % | 0.8 | % | -1.5 | % | -4.0 | % | -6.6 | % | ||||||||||||||||||||||||||||||||||
15% |
22.5 | % | 23.3 | % | 23.2 | % | 22.9 | % | 22.3 | % | 21.5 | % | 20.5 | % | 19.2 | % | 17.8 | % | 16.1 | % | 14.3 | % | 12.3 | % | 10.1 | % | 7.7 | % | 5.3 | % | 2.6 | % | -0.1 | % | ||||||||||||||||||||||||||||||||||
20% |
30.0 | % | 31.5 | % | 31.3 | % | 31.0 | % | 30.3 | % | 29.5 | % | 28.4 | % | 27.1 | % | 25.6 | % | 23.8 | % | 21.8 | % | 19.7 | % | 17.4 | % | 14.9 | % | 12.2 | % | 9.4 | % | 6.5 | % | ||||||||||||||||||||||||||||||||||
25% |
37.5 | % | 39.8 | % | 39.6 | % | 39.2 | % | 38.6 | % | 37.7 | % | 36.5 | % | 35.1 | % | 33.5 | % | 31.6 | % | 29.5 | % | 27.2 | % | 24.8 | % | 22.1 | % | 19.3 | % | 16.3 | % | 13.2 | % | ||||||||||||||||||||||||||||||||||
30% |
45.0 | % | 48.2 | % | 48.1 | % | 47.7 | % | 47.0 | % | 46.0 | % | 44.8 | % | 43.3 | % | 41.6 | % | 39.6 | % | 37.4 | % | 35.0 | % | 32.3 | % | 29.5 | % | 26.5 | % | 23.3 | % | 20.0 | % | ||||||||||||||||||||||||||||||||||
35% |
52.5 | % | 56.9 | % | 56.7 | % | 56.3 | % | 55.5 | % | 54.5 | % | 53.2 | % | 51.7 | % | 49.8 | % | 47.7 | % | 45.4 | % | 42.8 | % | 40.0 | % | 37.0 | % | 33.9 | % | 30.5 | % | 27.0 | % | ||||||||||||||||||||||||||||||||||
40% |
60.0 | % | 65.7 | % | 65.5 | % | 65.0 | % | 64.3 | % | 63.2 | % | 61.8 | % | 60.2 | % | 58.2 | % | 56.0 | % | 53.5 | % | 50.8 | % | 47.9 | % | 44.7 | % | 41.4 | % | 37.8 | % | 34.1 | % | ||||||||||||||||||||||||||||||||||
45% |
67.5 | % | 74.6 | % | 74.4 | % | 73.9 | % | 73.1 | % | 72.0 | % | 70.6 | % | 68.8 | % | 66.8 | % | 64.4 | % | 61.8 | % | 59.0 | % | 55.9 | % | 52.6 | % | 49.0 | % | 45.3 | % | 41.4 | % | ||||||||||||||||||||||||||||||||||
50% |
75.0 | % | 83.7 | % | 83.5 | % | 83.0 | % | 82.2 | % | 81.0 | % | 79.5 | % | 77.6 | % | 75.5 | % | 73.0 | % | 70.3 | % | 67.3 | % | 64.0 | % | 60.5 | % | 56.8 | % | 52.9 | % | 48.8 | % | ||||||||||||||||||||||||||||||||||
55% |
82.5 | % | 93.0 | % | 92.8 | % | 92.3 | % | 91.4 | % | 90.1 | % | 88.5 | % | 86.6 | % | 84.3 | % | 81.7 | % | 78.9 | % | 75.7 | % | 72.3 | % | 68.6 | % | 64.7 | % | 60.6 | % | 56.3 | % | ||||||||||||||||||||||||||||||||||
60% |
90.0 | % | 102.4 | % | 102.2 | % | 101.6 | % | 100.7 | % | 99.4 | % | 97.7 | % | 95.7 | % | 93.3 | % | 90.6 | % | 87.6 | % | 84.3 | % | 80.7 | % | 76.8 | % | 72.7 | % | 68.4 | % | 63.9 | % |
Benchmark Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance |
Two Times (2x) One Year Benchmark Performance |
0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% |
-120 | % | -84.0 | % | -84.0 | % | -84.2 | % | -84.4 | % | -84.6 | % | -85.0 | % | -85.4 | % | -85.8 | % | -86.4 | % | -86.9 | % | -87.5 | % | -88.2 | % | -88.8 | % | -89.5 | % | -90.2 | % | ||||||||||||||||||||||||||||||||
-55% |
-110 | % | -79.8 | % | -79.8 | % | -80.0 | % | -80.2 | % | -80.5 | % | -81.0 | % | -81.5 | % | -82.1 | % | -82.7 | % | -83.5 | % | -84.2 | % | -85.0 | % | -85.9 | % | -86.7 | % | -87.6 | % | ||||||||||||||||||||||||||||||||
-50% |
-100 | % | -75.0 | % | -75.1 | % | -75.2 | % | -75.6 | % | -76.0 | % | -76.5 | % | -77.2 | % | -77.9 | % | -78.7 | % | -79.6 | % | -80.5 | % | -81.5 | % | -82.6 | % | -83.6 | % | -84.7 | % | ||||||||||||||||||||||||||||||||
-45% |
-90 | % | -69.8 | % | -69.8 | % | -70.1 | % | -70.4 | % | -70.9 | % | -71.6 | % | -72.4 | % | -73.2 | % | -74.2 | % | -75.3 | % | -76.4 | % | -77.6 | % | -78.9 | % | -80.2 | % | -81.5 | % | ||||||||||||||||||||||||||||||||
-40% |
-80 | % | -64.0 | % | -64.1 | % | -64.4 | % | -64.8 | % | -65.4 | % | -66.2 | % | -67.1 | % | -68.2 | % | -69.3 | % | -70.6 | % | -72.0 | % | -73.4 | % | -74.9 | % | -76.4 | % | -77.9 | % | ||||||||||||||||||||||||||||||||
-35% |
-70 | % | -57.8 | % | -57.9 | % | -58.2 | % | -58.7 | % | -59.4 | % | -60.3 | % | -61.4 | % | -62.6 | % | -64.0 | % | -65.5 | % | -67.1 | % | -68.8 | % | -70.5 | % | -72.3 | % | -74.1 | % | ||||||||||||||||||||||||||||||||
-30% |
-60 | % | -51.0 | % | -51.1 | % | -51.5 | % | -52.1 | % | -52.9 | % | -54.0 | % | -55.2 | % | -56.6 | % | -58.2 | % | -60.0 | % | -61.8 | % | -63.8 | % | -65.8 | % | -67.9 | % | -70.0 | % | ||||||||||||||||||||||||||||||||
-25% |
-50 | % | -43.8 | % | -43.9 | % | -44.3 | % | -45.0 | % | -46.0 | % | -47.2 | % | -48.6 | % | -50.2 | % | -52.1 | % | -54.1 | % | -56.2 | % | -58.4 | % | -60.8 | % | -63.1 | % | -65.5 | % | ||||||||||||||||||||||||||||||||
-20% |
-40 | % | -36.0 | % | -36.2 | % | -36.6 | % | -37.4 | % | -38.5 | % | -39.9 | % | -41.5 | % | -43.4 | % | -45.5 | % | -47.7 | % | -50.2 | % | -52.7 | % | -55.3 | % | -58.1 | % | -60.8 | % | ||||||||||||||||||||||||||||||||
-15% |
-30 | % | -27.8 | % | -27.9 | % | -28.5 | % | -29.4 | % | -30.6 | % | -32.1 | % | -34.0 | % | -36.1 | % | -38.4 | % | -41.0 | % | -43.7 | % | -46.6 | % | -49.6 | % | -52.6 | % | -55.7 | % | ||||||||||||||||||||||||||||||||
-10% |
-20 | % | -19.0 | % | -19.2 | % | -19.8 | % | -20.8 | % | -22.2 | % | -23.9 | % | -26.0 | % | -28.3 | % | -31.0 | % | -33.8 | % | -36.9 | % | -40.1 | % | -43.5 | % | -46.9 | % | -50.4 | % | ||||||||||||||||||||||||||||||||
-5% |
-10 | % | -9.8 | % | -10.0 | % | -10.6 | % | -11.8 | % | -13.3 | % | -15.2 | % | -17.5 | % | -20.2 | % | -23.1 | % | -26.3 | % | -29.7 | % | -33.3 | % | -37.0 | % | -40.8 | % | -44.7 | % | ||||||||||||||||||||||||||||||||
0% |
0 | % | 0.0 | % | -0.2 | % | -1.0 | % | -2.2 | % | -3.9 | % | -6.1 | % | -8.6 | % | -11.5 | % | -14.8 | % | -18.3 | % | -22.1 | % | -26.1 | % | -30.2 | % | -34.5 | % | -38.7 | % | ||||||||||||||||||||||||||||||||
5% |
10 | % | 10.3 | % | 10.0 | % | 9.2 | % | 7.8 | % | 5.9 | % | 3.6 | % | 0.8 | % | -2.5 | % | -6.1 | % | -10.0 | % | -14.1 | % | -18.5 | % | -23.1 | % | -27.7 | % | -32.5 | % | ||||||||||||||||||||||||||||||||
10% |
20 | % | 21.0 | % | 20.7 | % | 19.8 | % | 18.3 | % | 16.3 | % | 13.7 | % | 10.6 | % | 7.0 | % | 3.1 | % | -1.2 | % | -5.8 | % | -10.6 | % | -15.6 | % | -20.7 | % | -25.9 | % | ||||||||||||||||||||||||||||||||
15% |
30 | % | 32.3 | % | 31.9 | % | 30.9 | % | 29.3 | % | 27.1 | % | 24.2 | % | 20.9 | % | 17.0 | % | 12.7 | % | 8.0 | % | 3.0 | % | -2.3 | % | -7.7 | % | -13.3 | % | -19.0 | % | ||||||||||||||||||||||||||||||||
20% |
40 | % | 44.0 | % | 43.6 | % | 42.6 | % | 40.8 | % | 38.4 | % | 35.3 | % | 31.6 | % | 27.4 | % | 22.7 | % | 17.6 | % | 12.1 | % | 6.4 | % | 0.5 | % | -5.6 | % | -11.8 | % | ||||||||||||||||||||||||||||||||
25% |
50 | % | 56.3 | % | 55.9 | % | 54.7 | % | 52.8 | % | 50.1 | % | 46.8 | % | 42.8 | % | 38.2 | % | 33.1 | % | 27.6 | % | 21.7 | % | 15.5 | % | 9.0 | % | 2.4 | % | -4.3 | % | ||||||||||||||||||||||||||||||||
30% |
60 | % | 69.0 | % | 68.6 | % | 67.3 | % | 65.2 | % | 62.4 | % | 58.8 | % | 54.5 | % | 49.5 | % | 44.0 | % | 38.0 | % | 31.6 | % | 24.9 | % | 17.9 | % | 10.8 | % | 3.5 | % | ||||||||||||||||||||||||||||||||
35% |
70 | % | 82.3 | % | 81.8 | % | 80.4 | % | 78.2 | % | 75.1 | % | 71.2 | % | 66.6 | % | 61.2 | % | 55.3 | % | 48.8 | % | 41.9 | % | 34.7 | % | 27.2 | % | 19.4 | % | 11.7 | % | ||||||||||||||||||||||||||||||||
40% |
80 | % | 96.0 | % | 95.5 | % | 94.0 | % | 91.6 | % | 88.3 | % | 84.1 | % | 79.1 | % | 73.4 | % | 67.0 | % | 60.1 | % | 52.6 | % | 44.8 | % | 36.7 | % | 28.5 | % | 20.1 | % | ||||||||||||||||||||||||||||||||
45% |
90 | % | 110.3 | % | 109.7 | % | 108.2 | % | 105.6 | % | 102.0 | % | 97.5 | % | 92.2 | % | 86.0 | % | 79.2 | % | 71.7 | % | 63.7 | % | 55.4 | % | 46.7 | % | 37.8 | % | 28.8 | % | ||||||||||||||||||||||||||||||||
50% |
100 | % | 125.0 | % | 124.4 | % | 122.8 | % | 120.0 | % | 116.2 | % | 111.4 | % | 105.6 | % | 99.1 | % | 91.7 | % | 83.8 | % | 75.2 | % | 66.3 | % | 57.0 | % | 47.5 | % | 37.8 | % | ||||||||||||||||||||||||||||||||
55% |
110 | % | 140.3 | % | 139.7 | % | 137.9 | % | 134.9 | % | 130.8 | % | 125.7 | % | 119.6 | % | 112.6 | % | 104.7 | % | 96.2 | % | 87.1 | % | 77.5 | % | 67.6 | % | 57.5 | % | 47.2 | % | ||||||||||||||||||||||||||||||||
60% |
120 | % | 156.0 | % | 155.4 | % | 153.5 | % | 150.3 | % | 146.0 | % | 140.5 | % | 134.0 | % | 126.5 | % | 118.1 | % | 109.1 | % | 99.4 | % | 89.2 | % | 78.6 | % | 67.8 | % | 56.8 | % |
• | Significant increases or decreases in the available supply of a physical commodity due to natural or technological factors. Natural factors would include depletion of known cost-effective sources for natural gas, silver, gold or oil or the impact of severe weather or other natural events on the ability to produce or distribute the commodity. Technological factors, such as increases in availability created by new or improved extraction, refining and processing equipment and methods or decreases caused by failure or unavailability of major refining and processing equipment (for example, shutting down or constructing natural gas processing plants), also materially influence the supply of the commodity. General economic conditions in the world or in a major region, such as population growth rates, periods of civil unrest, government austerity programs, or currency exchange rate fluctuations may affect prices of underlying commodities. |
• | In regard to the Oil Funds, the exploration and production of crude oil are uncertain processes with many risks. The cost of drilling, completing and operating wells for crude oil is often uncertain, and a number of factors can delay or prevent operations or production of crude oil, including (1) unexpected drilling conditions, (2) pressure or irregularities in formations, (3) equipment failures or repairs, (4) fires or other accidents, (5) adverse weather conditions, (6) pipeline ruptures, spills or other supply disruptions, and (7) shortages or delays in the availability of extraction or delivery equipment. |
• | Significant increases or decreases in the demand for natural gas, silver, gold or oil due to natural or technological factors. Natural factors would include such events as unusual climatological conditions impacting the demand for natural gas, silver, gold or oil. Technological factors may include such developments as substitutes or new uses for particular commodities. |
• | A significant change in the attitude of speculators and investors towards natural gas, silver, gold or oil or in the hedging activities of commodity producers. Should the speculative community take a negative or positive view towards natural gas, silver, gold or oil, or if there is an increase or decrease in the level of hedge activity of commodity producing companies, countries and/or organizations, such action could cause a change in world prices of any given commodity. |
• | Large purchases or sales of physical commodities by the official sector. Governments and large institutions have large commodities holdings or may establish major commodities positions. For example, a significant portion of the aggregate world precious metals holdings is owned by governments, central banks and related institutions. Similarly, nations with centralized or nationalized energy production organizations may control large physical quantities of certain commodities. The purchase or sale by one of these institutions in large amounts could potentially cause a change in prices for that commodity. |
• | With regard to the Oil Funds, nations with centralized or nationalized oil production and organizations such as the Organization of Petroleum Exporting Countries (OPEC) control large physical qualities of crude oil. The purchase or sale by one of these institutions in large amounts could potentially cause a change in prices for that commodity. Tension between the governments of the United States and oil exporting nations, civil unrest and sabotage, the ability of members of OPEC to agree upon and maintain oil prices and production levels, and fluctuations in the reserve capacity of crude oil could impact future oil prices. |
• | Political activity such as imposition of regulations or entry into trade treaties, as well as political disruptions caused by societal breakdown, insurrection, terrorism, sabotage and/or war may greatly influence prices of particular commodities. |
• | With regard to the Natural Gas Funds, the demand for natural gas correlates closely with general economic growth rates. The occurrence of recessions or other periods of low or negative economic growth will typically have a direct adverse impact on natural gas demand and natural gas prices. The supply and demand for natural gas may also be impacted by changes in interest rates, inflation, and other local or regional market conditions, as well as by the development of alternative energy sources. |
• | The recent proliferation of commodity-linked products and their unknown effect on the commodity markets. |
• | With regard to the Oil and Natural Gas Funds, competition from clean power companies, fluctuations in the supply and demand of alternative energy fuels, energy conservation, changes in consumer preferences regarding the use of renewable energy sources to replace fossil fuels, and tax and other government regulations can significantly affect the prices of oil and natural gas. |
• | Debt level and trade deficit of the relevant foreign countries; |
• | Inflation rates of the United States and the relevant foreign countries and investors’ expectations concerning inflation rates; |
• | Interest rates of the United States and the relevant foreign countries and investors’ expectations concerning interest rates; |
• | Investment and trading activities of mutual funds, hedge funds and other market participants; |
• | Global or regional political, economic or financial events and situations; |
• | Sovereign action to set or restrict currency conversion; |
• | Monetary policies and other related activities of central banks within the U.S. and other relevant non-U.S. markets; |
• | Overall growth and performance of the economies of the relevant countries; and |
• | Non-U.S. financial markets may be closed on a day when U.S. domestic markets are open for trading. As a result, liquidity and/or pricing may be affected by the absence of trading in a specific currency. |
• | Prevailing market prices and forward volatility levels of the U.S. stock markets, the S&P 500, the equity securities included in the S&P 500 and prevailing market prices of options on the S&P 500, the VIX, options on the VIX, the relevant VIX futures contracts, or any other financial instruments related to the S&P 500 and the VIX or VIX futures contracts; |
• | Interest rates, and investors’ expectations concerning interest rates; Inflation rates and investors’ expectations concerning inflation rates; |
• | Economic, financial, political, regulatory, geographical, judicial and other events that affect the level of the Mid-Term VIX Futures Index or the market price or forward volatility of the U.S. stock markets, the equity securities included in the S&P 500, the S&P 500, the VIX or the relevant futures or option contracts on the VIX; |
• | Supply and demand as well as hedging activities in the listed and OTC equity derivatives markets; |
• | The level of margin requirements; |
• | The position limits imposed by futures exchanges and any position or risk limits imposed by FCMs and swap counterparties; |
• | Disruptions in trading of the S&P 500, futures contracts on the S&P 500 or options on the S&P 500; and |
• | The level of contango or backwardation in the VIX futures contract market. |
• | Prevailing market prices and forward volatility levels of the U.S. stock markets, the S&P 500, the equity securities included in the S&P 500 and prevailing market prices of options on the S&P 500, the VIX, options on the VIX, the relevant VIX futures contracts, or any other financial instruments related to the S&P 500 and the VIX or VIX futures contracts; |
• | Interest rates, and investors’ expectations concerning interest rates; |
• | Inflation rates and investors’ expectations concerning inflation rates; |
• | Economic, financial, political, regulatory, geographical, biological or judicial events that affect the level of the Mid-Term VIX Index or the market price or forward volatility of the U.S. stock markets, the equity securities included in the S&P 500, the S&P 500, the VIX or the relevant futures or option contracts on the VIX; |
• | Supply and demand as well as hedging activities in the listed and OTC equity derivatives markets; |
• | Disruptions in trading of the S&P 500, futures contracts on the S&P 500 or options on the S&P 500; |
• | The level of contango or backwardation in the VIX futures contract market; |
• | The position limits imposed by FCMs; and |
• | The level of margin requirements. |
Item 1B. |
Unresolved Staff Comments. |
Item 2. |
Properties. |
Item 3. |
Legal Proceedings. |
Item 4. |
Mine Safety Disclosures. |
Item 5. |
Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities. |
a) |
The Shares of each Fund that has commenced investment operations are listed in the accompanying table. The dates the Shares of each Fund began trading, their symbols and their primary listing exchange are indicated below: |
Fund |
Commencement of Operations |
Ticker Symbol |
Name of each exchange on which registered | |||
ProShares Short Euro |
June 26, 2012 | EUFX | NYSE Arca | |||
ProShares Short VIX Short-Term Futures ETF |
October 3, 2011 | SVXY | Cboe BZX Exchange | |||
ProShares Ultra Bloomberg Crude Oil |
November 25, 2008 | UCO | NYSE Arca | |||
ProShares Ultra Bloomberg Natural Gas |
October 4, 2011 | BOIL | NYSE Arca | |||
ProShares Ultra Euro |
November 25, 2008 | ULE | NYSE Arca | |||
ProShares Ultra Gold |
December 3, 2008 | UGL | NYSE Arca | |||
ProShares Ultra Silver |
December 3, 2008 | AGQ | NYSE Arca | |||
ProShares Ultra VIX Short-Term Futures ETF |
October 3, 2011 | UVXY | Cboe BZX Exchange | |||
ProShares Ultra Yen |
November 25, 2008 | YCL | NYSE Arca | |||
ProShares UltraShort Australian Dollar |
July 17, 2012 | CROC | NYSE Arca | |||
ProShares UltraShort Bloomberg Crude Oil |
November 25, 2008 | SCO | NYSE Arca | |||
ProShares UltraShort Bloomberg Natural Gas |
October 4, 2011 | KOLD | NYSE Arca | |||
ProShares UltraShort Euro |
November 25, 2008 | EUO | NYSE Arca | |||
ProShares UltraShort Gold |
December 3, 2008 | GLL | NYSE Arca | |||
ProShares UltraShort Silver |
December 3, 2008 | ZSL | NYSE Arca | |||
ProShares UltraShort Yen |
November 25, 2008 | YCS | NYSE Arca | |||
ProShares VIX Mid-Term Futures ETF |
January 3, 2011 | VIXM | Cboe BZX Exchange | |||
ProShares VIX Short-Term Futures ETF |
January 3, 2011 | VIXY | Cboe BZX Exchange |
Fund |
Number of Holders |
|||
ProShares Short Euro |
284 | |||
ProShares Short VIX Short-Term Futures ETF |
18,230 | |||
ProShares Ultra Bloomberg Crude Oil |
190,267 | |||
ProShares Ultra Bloomberg Natural Gas |
8,893 | |||
ProShares Ultra Euro |
876 | |||
ProShares Ultra Gold |
13,996 | |||
ProShares Ultra Silver |
35,938 | |||
ProShares Ultra VIX Short-Term Futures ETF |
89,226 | |||
ProShares Ultra Yen |
256 | |||
ProShares UltraShort Australian Dollar |
352 | |||
ProShares UltraShort Bloomberg Crude Oil |
13,261 | |||
ProShares UltraShort Bloomberg Natural Gas |
2,227 | |||
ProShares UltraShort Euro |
6,020 | |||
ProShares UltraShort Gold |
2,212 | |||
ProShares UltraShort Silver |
3,079 | |||
ProShares UltraShort Yen |
1,363 | |||
ProShares VIX Mid-Term Futures ETF |
5,390 | |||
ProShares VIX Short-Term Futures ETF |
32,550 | |||
Total Trust: |
424,420 |
b) |
Not applicable. |
Title of Securities Registered |
Amount Registered as of December 31, 2020 |
Shares Sold For the Three Months Ended December 31, 2020 |
Sale Price of Shares Sold For the Three Months Ended December 31, 2020 |
Shares Sold For the Year Ended December 31, 2020 * |
Sale Price of Shares Sold For the Year Ended December 31, 2020 * |
|||||||||||||||
ProShares Short Euro |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 205,213,786 | 50,000 | $ | 2,158,158 | 50,000 | $ | 2,158,158 | ||||||||||||
ProShares Short VIX Short-Term Futures ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 3,978,471,529 | 1,200,000 | $ | 47,006,284 | 27,050,000 | $ | 961,417,953 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 3,510,785,278 | 11,150,000 | $ | 298,167,194 | 120,812,000 | $ | 3,910,951,510 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 805,639,097 | 10,850,000 | $ | 263,854,683 | 16,685,000 | $ | 457,281,516 | ||||||||||||
ProShares Ultra Euro |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 188,930,413 | 50,000 | $ | 777,870 | 250,000 | $ | 3,616,577 | ||||||||||||
ProShares Ultra Gold |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 669,108,699 | 350,000 | $ | 23,524,105 | 3,500,000 | $ | 227,961,338 | ||||||||||||
ProShares Ultra Silver |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 1,173,264,974 | 3,200,000 | $ | 142,877,572 | 13,500,000 | $ | 582,867,657 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 5,388,427,775 | 76,500,000 | $ | 1,083,367,660 | 154,050,000 | $ | 3,359,993,617 | ||||||||||||
ProShares Ultra Yen |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 201,792,144 | — | $ | — | — | $ | — | ||||||||||||
ProShares UltraPro 3x Crude Oil ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | — | ** | — | $ | — | 184,600,000 | $ | 414,019,676 | |||||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | — | ** | — | $ | — | 2,850,000 | $ | 59,484,110 | |||||||||||
ProShares UltraShort Australian Dollar |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 159,935,804 | — | $ | — | — | $ | — | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 1,365,702,348 | 10,850,000 | $ | 156,181,703 | 37,500,000 | $ | 893,616,857 |
Title of Securities Registered |
Amount Registered as of December 31, 2020 |
Shares Sold For the Three Months Ended December 31, 2020 |
Sale Price of Shares Sold For the Three Months Ended December 31, 2020 |
Shares Sold For the Year Ended December 31, 2020 * |
Sale Price of Shares Sold For the Year Ended December 31, 2020 * |
|||||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 577,760,462 | 1,850,000 | $ | 71,740,159 | 6,250,000 | $ | 270,470,683 | ||||||||||||
ProShares UltraShort Euro |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 517,682,464 | 150,000 | $ | 3,508,807 | 1,500,000 | $ | 37,753,355 | ||||||||||||
ProShares UltraShort Gold |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 246,880,625 | 550,000 | $ | 17,947,820 | 1,650,000 | $ | 56,542,664 | ||||||||||||
ProShares UltraShort Silver |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 821,006,255 | 1,600,000 | $ | 12,954,212 | 13,700,000 | $ | 135,806,096 | ||||||||||||
ProShares UltraShort Yen |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 494,648,731 | 50,000 | $ | 3,431,362 | 150,000 | $ | 11,238,107 | ||||||||||||
ProShares VIX Mid-Term Futures ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 388,788,698 | 125,000 | $ | 4,788,456 | 2,375,000 | $ | 90,654,600 | ||||||||||||
ProShares VIX Short-Term Futures ETF |
||||||||||||||||||||
Common Units of Beneficial Interest |
$ | 1,124,376,303 | 9,000,000 | $ | 141,815,008 | 26,325,000 | $ | 484,607,638 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total Trust: |
127,525,000 |
$ |
2,274,101,053 |
612,797,000 |
$ |
11,960,442,112 |
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
** | The liquidated funds’ shares were de-registered prior to March 31, 2020. |
c) |
From October 1, 2020 through December 31, 2020, the number of Shares redeemed and average price per Share for each Fund were as follows: |
Fund |
Total Number of Shares Redeemed |
Average Price Per Share |
||||||
ProShares Short Euro |
||||||||
10/01/20 to 10/31/20 |
— | $ | — | |||||
11/01/20 to 11/30/20 |
— | $ | — | |||||
12/01/20 to 12/31/20 |
— | $ | — | |||||
ProShares Short VIX Short-Term Futures ETF |
||||||||
10/01/20 to 10/31/20 |
800,000 | $ | 36.25 | |||||
11/01/20 to 11/30/20 |
— | $ | — | |||||
12/01/20 to 12/31/20 |
— | $ | — | |||||
ProShares Ultra Bloomberg Crude Oil |
||||||||
10/01/20 to 10/31/20 |
6,250,000 | $ | 28.66 | |||||
11/01/20 to 11/30/20 |
16,750,000 | $ | 28.74 | |||||
12/01/20 to 12/31/20 |
4,950,000 | $ | 34,82 | |||||
ProShares Ultra Bloomberg Natural Gas |
||||||||
10/01/20 to 10/31/20 |
1,150,000 | $ | 39.17 | |||||
11/01/20 to 11/30/20 |
1,300,000 | $ | 29.39 | |||||
12/01/20 to 12/31/20 |
3,200,000 | $ | 21.65 | |||||
ProShares Ultra Euro |
||||||||
10/01/20 to 10/31/20 |
— | $ | — | |||||
11/01/20 to 11/30/20 |
50,000 | $ | 14.99 | |||||
12/01/20 to 12/31/20 |
— | $ | — | |||||
ProShares Ultra Gold |
||||||||
10/01/20 to 10/31/20 |
— | $ | — | |||||
11/01/20 to 11/30/20 |
350,000 | $ | 65.09 | |||||
12/01/20 to 12/31/20 |
100,000 | $ | 66.39 | |||||
ProShares Ultra Silver |
||||||||
10/01/20 to 10/31/20 |
1,100,000 | $ | 45,59 | |||||
11/01/20 to 11/30/20 |
1,400,000 | $ | 43,49 | |||||
12/01/20 to 12/31/20 |
700,000 | $ | 46,83 | |||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||
10/01/20 to 10/31/20 |
10,200,000 | $ | 21.41 | |||||
11/01/20 to 11/30/20 |
200,000 | $ | 12.32 | |||||
12/01/20 to 12/31/20 |
3,850,000 | $ | 11.92 | |||||
ProShares Ultra Yen |
||||||||
10/01/20 to 10/31/20 |
— | $ | — | |||||
11/01/20 to 11/30/20 |
— | $ | — | |||||
12/01/20 to 12/31/20 |
— | $ | — | |||||
ProShares UltraShort Australian Dollar |
||||||||
10/01/20 to 10/31/20 |
— | $ | — | |||||
11/01/20 to 11/30/20 |
— | $ | — | |||||
12/01/20 to 12/31/20 |
50,000 | $ | 48.04 | |||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||
10/01/20 to 10/31/20 |
2,350,000 | $ | 17.54 | |||||
11/01/20 to 11/30/20 |
2,150,000 | $ | 15.17 | |||||
12/01/20 to 12/31/20 |
2,850,000 | $ | 12.61 | |||||
ProShares UltraShort Bloomberg Natural Gas |
||||||||
10/01/20 to 10/31/20 |
600,000 | $ | 32.47 | |||||
11/01/20 to 11/30/20 |
1,100,000 | $ | 38.10 | |||||
12/01/20 to 12/31/20 |
850,000 | $ | 50.86 |
Fund |
Total Number of Shares Redeemed |
Average Price Per Share |
||||||
ProShares UltraShort Euro |
||||||||
10/01/20 to 10/31/20 |
150,000 | $ | 24,80 | |||||
11/01/20 to 11/30/20 |
350,000 | $ | 24,10 | |||||
12/01/20 to 12/31/20 |
100,000 | $ | 22,54 | |||||
ProShares UltraShort Gold |
||||||||
10/01/20 to 10/31/20 |
350,000 | $ | 31.65 | |||||
11/01/20 to 11/30/20 |
200,000 | $ | 31.34 | |||||
12/01/20 to 12/31/20 |
200,000 | $ | 33.46 | |||||
ProShares UltraShort Silver |
||||||||
10/01/20 to 10/31/20 |
800,000 | $ | 8.93 | |||||
11/01/20 to 11/30/20 |
1,600,000 | $ | 8.54 | |||||
12/01/20 to 12/31/20 |
300,000 | $ | 8.50 | |||||
ProShares UltraShort Yen |
||||||||
10/01/20 to 10/31/20 |
— | $ | — | |||||
11/01/20 to 11/30/20 |
— | $ | — | |||||
12/01/20 to 12/31/20 |
50,000 | $ | 69,20 | |||||
ProShares VIX Mid-Term Futures ETF |
||||||||
10/01/20 to 10/31/20 |
— | $ | — | |||||
11/01/20 to 11/30/20 |
450,000 | $ | 37.12 | |||||
12/01/20 to 12/31/20 |
200,000 | $ | 36.44 | |||||
ProShares VIX Short-Term Futures ETF |
||||||||
10/01/20 to 10/31/20 |
925,000 | $ | 22.13 | |||||
11/01/20 to 11/30/20 |
— | $ | — | |||||
12/01/20 to 12/31/20 |
350,000 | $ | 14.26 |
Item 6. |
Selected Financial Data. |
PROSHARES SHORT EURO |
||||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 4,195,360 | $ | 2,289,155 | $ | 8,631,926 | $ | 8,041,728 | $ | 15,859,440 | ||||||||||
Total shareholders’ equity at end of period |
4,191,955 | 2,282,195 | 8,619,686 | 7,991,880 | 15,770,088 | |||||||||||||||
Net investment income (loss) |
(16,777 | ) | 176,251 | 44,457 | (37,627 | ) | (122,728 | ) | ||||||||||||
Net realized and unrealized gain (loss) |
(231,621 | ) | 1,002,978 | 583,349 | (1,461,940 | ) | 553,281 | |||||||||||||
Net income (loss) |
(248,398 | ) | 1,179,229 | 627,806 | (1,499,567 | ) | 430,553 | |||||||||||||
Net increase (decrease) in net asset value per share |
(3.72 | ) | 2.54 | 3.14 | (5.10 | ) | 1.28 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 410,810,068 | $ | 284,649,062 | $ | 360,341,566 | $ | 816,337,770 | $ | 228,630,598 | ||||||||||
Total shareholders’ equity at end of period |
409,371,468 | 284,437,179 | 344,596,263 | 770,163,871 | 228,075,387 | |||||||||||||||
Net investment income (loss) |
(5,269,562 | ) | 1,162,163 | (2,209,355 | ) | (5,373,544 | ) | (5,396,850 | ) | |||||||||||
Net realized and unrealized gain (loss) |
(74,517,945 | ) | 150,375,598 | (1,917,289,617 | ) | 924,694,573 | 419,316,869 | |||||||||||||
Net income (loss) |
(79,787,507 | ) | 151,537,761 | (1,919,498,972 | ) | 919,321,029 | 413,920,019 | |||||||||||||
Net increase (decrease) in net asset value per share |
(24.20 | ) | 23.26 | (466.84 | ) | 326.74 | 80.83 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 907,133,181 | $ | 310,368,837 | $ | 441,765,830 | $ | 534,325,767 | $ | 962,419,733 | ||||||||||
Total shareholders’ equity at end of period |
902,739,250 | 309,844,582 | 368,399,654 | 524,445,526 | 933,731,860 | |||||||||||||||
Net investment income (loss) |
(11,023,311 | ) | 3,864,584 | 3,022,808 | (1,379,461 | ) | (6,631,380 | ) | ||||||||||||
Net realized and unrealized gain (loss) |
(548,084,672 | ) | 253,585,147 | (139,204,737 | ) | 35,389,465 | 225,050,768 | |||||||||||||
Net income (loss) |
(559,107,983 | ) | 257,449,731 | (136,181,929 | ) | 34,010,004 | 218,419,388 | |||||||||||||
Net increase (decrease) in net asset value per share |
(472.85 | ) | 182.77 | (265.16 | ) | 8.24 | (45.49 | ) |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 181,072,788 | $ | 45,196,991 | $ | 17,951,294 | $ | 67,524,849 | $ | 44,767,860 | ||||||||||
Total shareholders’ equity at end of period |
169,800,371 | 45,160,205 | 14,617,440 | 63,268,950 | 43,203,386 | |||||||||||||||
Net investment income (loss) |
(939,900 | ) | 162,388 | 96,319 | (233,762 | ) | (384,486 | ) | ||||||||||||
Net realized and unrealized gain (loss) |
(44,174,934 | ) | (24,707,604 | ) | 3,545,801 | (36,107,690 | ) | 13,794,133 | ||||||||||||
Net income (loss) |
(45,114,834 | ) | (24,545,216 | ) | 3,642,120 | (36,341,452 | ) | 13,409,647 | ||||||||||||
Net increase (decrease) in net asset value per share |
(62.97 | ) | (168.86 | ) | (73.56 | ) | (616.03 | ) | 13.93 |
PROSHARES ULTRA EURO |
| |||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 4,741,357 | $ | 6,209,342 | $ | 7,554,617 | $ | 9,656,271 | $ | 12,500,772 | ||||||||||
Total shareholders’ equity at end of period |
4,737,350 | 6,204,424 | 7,544,569 | 9,591,516 | 11,914,585 | |||||||||||||||
Net investment income (loss) |
(27,606 | ) | 58,528 | 30,823 | (29,782 | ) | (74,522 | ) | ||||||||||||
Net realized and unrealized gain (loss) |
482,566 | (670,417 | ) | (1,269,677 | ) | 3,049,926 | (1,039,312 | ) | ||||||||||||
Net income (loss) |
454,960 | (611,889 | ) | (1,238,854 | ) | 3,020,144 | (1,113,834 | ) | ||||||||||||
Net increase (decrease) in net asset value per share |
2.00 | (1.30 | ) | (2.35 | ) | 3.42 | (1.49 | ) | ||||||||||||
PROSHARES ULTRA GOLD |
| |||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 263,747,871 | $ | 110,810,975 | $ | 87,308,381 | $ | 93,779,522 | $ | 96,632,172 | ||||||||||
Total shareholders’ equity at end of period |
263,540,473 | 110,726,032 | 83,523,294 | 93,708,748 | 92,127,200 | |||||||||||||||
Net investment income (loss) |
(1,424,530 | ) | 902,937 | 625,631 | (136,329 | ) | (650,951 | ) | ||||||||||||
Net realized and unrealized gain (loss) |
35,098,896 | 23,404,029 | (6,664,992 | ) | 19,581,562 | 3,617,098 | ||||||||||||||
Net income (loss) |
33,674,366 | 24,306,966 | (6,039,361 | ) | 19,445,233 | 2,966,147 | ||||||||||||||
Net increase (decrease) in net asset value per share |
18.36 | 12.09 | (2.76 | ) | 6.98 | 3.17 | ||||||||||||||
PROSHARES ULTRA SILVER |
| |||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 748,159,313 | $ | 239,830,381 | $ | 202,021,571 | $ | 261,786,204 | $ | 296,979,700 | ||||||||||
Total shareholders’ equity at end of period |
745,304,028 | 239,254,842 | 201,824,376 | 258,244,696 | 275,779,940 | |||||||||||||||
Net investment income (loss) |
(3,174,045 | ) | 1,856,270 | 1,469,179 | (409,752 | ) | (2,179,392 | ) | ||||||||||||
Net realized and unrealized gain (loss) |
210,297,620 | 38,597,244 | (52,558,544 | ) | 10,949,744 | 63,914,077 | ||||||||||||||
Net income (loss) |
207,123,575 | 40,453,514 | (51,089,365 | ) | 10,539,992 | 61,734,685 | ||||||||||||||
Net increase (decrease) in net asset value per share |
19.01 | 5.31 | (7.16 | ) | 0.11 | 6.38 | ||||||||||||||
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF |
| |||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 1,380,183,919 | $ | 562,277,336 | $ | 222,583,868 | $ | 394,379,433 | $ | 552,972,566 | ||||||||||
Total shareholders’ equity at end of period |
1,356,204,199 | 527,636,003 | 214,304,871 | 394,035,141 | 515,758,754 | |||||||||||||||
Net investment income (loss) |
(13,623,881 | ) | 95,052 | (3,145,671 | ) | (4,896,061 | ) | (8,936,777 | ) | |||||||||||
Net realized and unrealized gain (loss) |
(634,192,498 | ) | (690,606,892 | ) | 455,645,412 | (1,047,275,669 | ) | (1,587,220,286 | ) | |||||||||||
Net income (loss) |
(647,816,379 | ) | (690,511,840 | ) | 452,499,741 | (1,052,171,730 | ) | (1,596,157,063 | ) | |||||||||||
Net increase (decrease) in net asset value per share |
(2.00 | ) | (68.79 | ) | 29.79 | (817.96 | ) | (13,172.38 | ) |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 2,992,042 | $ | 5,595,968 | $ | 5,756,235 | $ | 2,901,405 | $ | 5,887,949 | ||||||||||
Total shareholders’ equity at end of period |
2,989,499 | 5,580,964 | 5,751,716 | 2,864,269 | 5,540,957 | |||||||||||||||
Net investment income (loss) |
(18,317 | ) | 38,514 | (983 | ) | (21,882 | ) | (45,847 | ) | |||||||||||
Net realized and unrealized gain (loss) |
172,866 | (129,576 | ) | 41,854 | 260,916 | 113,155 | ||||||||||||||
Net income (loss) |
154,549 | (91,062 | ) | 40,871 | 239,034 | 67,308 | ||||||||||||||
Net increase (decrease) in net asset value per share |
4.00 | (1.70 | ) | 0.21 | 1.89 | 0.68 | ||||||||||||||
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR |
||||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 2,234,146 | $ | 5,651,054 | $ | 11,068,693 | $ | 13,766,301 | $ | 16,658,768 | ||||||||||
Total shareholders’ equity at end of period |
2,222,639 | 5,608,612 | 11,060,333 | 13,702,102 | 16,613,473 | |||||||||||||||
Net investment income (loss) |
(36,668 | ) | 80,325 | 36,746 | (46,774 | ) | (145,652 | ) | ||||||||||||
Net realized and unrealized gain (loss) |
(947,340 | ) | 97,591 | 1,534,232 | (2,943,227 | ) | (1,183,820 | ) | ||||||||||||
Net income (loss) |
(984,008 | ) | 177,916 | 1,570,978 | (2,990,001 | ) | (1,329,472 | ) | ||||||||||||
Net increase (decrease) in net asset value per share |
(11.64 | ) | 0.79 | 9.63 | (9.71 | ) | (3.08 | ) | ||||||||||||
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL |
||||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 97,177,574 | $ | 129,574,044 | $ | 114,514,333 | $ | 257,334,914 | $ | 213,341,677 | ||||||||||
Total shareholders’ equity at end of period |
96,839,233 | 125,451,681 | 114,377,311 | 225,843,284 | 200,958,303 | |||||||||||||||
Net investment income (loss) |
(1,468,178 | ) | 709,799 | 1,038,630 | (355,651 | ) | (1,408,964 | ) | ||||||||||||
Net realized and unrealized gain (loss) |
5,461,742 | (45,316,202 | ) | 16,471,427 | (27,449,491 | ) | (90,265,381 | ) | ||||||||||||
Net income (loss) |
3,993,564 | (44,606,403 | ) | 17,510,057 | (27,805,142 | ) | (91,674,345 | ) | ||||||||||||
Net increase (decrease) in net asset value per share |
(0.58 | ) | (17.60 | ) | 5.48 | (7.39 | ) | (34.90 | ) | |||||||||||
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS |
||||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 29,147,791 | $ | 12,532,289 | $ | 22,163,554 | $ | 7,009,957 | $ | 4,042,309 | ||||||||||
Total shareholders’ equity at end of period |
24,977,745 | 12,515,603 | 17,825,441 | 6,902,743 | 4,038,794 | |||||||||||||||
Net investment income (loss) |
(549,591 | ) | 29,417 | (4,454 | ) | (54,451 | ) | (122,172 | ) | |||||||||||
Net realized and unrealized gain (loss) |
(272,189 | ) | 9,121,181 | (2,213,011 | ) | 4,146,852 | 2,578,744 | |||||||||||||
Net income (loss) |
(821,780 | ) | 9,150,598 | (2,217,465 | ) | 4,092,401 | 2,456,572 | |||||||||||||
Net increase (decrease) in net asset value per share |
9.06 | 16.92 | (17.87 | ) | 16.38 | (23.43 | ) |
PROSHARES ULTRASHORT EURO |
| |||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 54,139,942 | $ | 123,046,852 | $ | 158,275,753 | $ | 209,513,363 | $ | 356,811,359 | ||||||||||
Total shareholders’ equity at end of period |
52,953,339 | 120,581,173 | 154,120,159 | 202,548,197 | 349,392,650 | |||||||||||||||
Net investment income (loss) |
(287,014 | ) | 1,528,830 | 1,324,494 | (396,715 | ) | (2,764,657 | ) | ||||||||||||
Net realized and unrealized gain (loss) |
(9,869,401 | ) | 12,993,771 | 23,822,591 | (62,222,928 | ) | 19,174,666 | |||||||||||||
Net income (loss) |
(10,156,415 | ) | 14,522,601 | 25,147,085 | (62,619,643 | ) | 16,410,009 | |||||||||||||
Net increase (decrease) in net asset value per share |
(4.27 | ) | 2.53 | 3.06 | (5.87 | ) | 1.54 |
PROSHARES ULTRASHORT GOLD |
||||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 20,635,430 | $ | 22,262,798 | $ | 19,105,095 | $ | 33,013,345 | $ | 63,709,441 | ||||||||||
Total shareholders’ equity at end of period |
20,337,376 | 21,047,560 | 18,098,997 | 31,497,410 | 63,653,647 | |||||||||||||||
Net investment income (loss) |
(123,632 | ) | 186,714 | 171,341 | (60,865 | ) | (461,423 | ) | ||||||||||||
Net realized and unrealized gain (loss) |
(10,021,367 | ) | (5,733,559 | ) | 1,796,398 | (11,543,036 | ) | (11,000,717 | ) | |||||||||||
Net income (loss) |
(10,144,999 | ) | (5,546,845 | ) | 1,967,739 | (11,603,901 | ) | (11,462,140 | ) | |||||||||||
Net increase (decrease) in net asset value per share |
(21.59 | ) | (20.26 | ) | 2.81 | (20.86 | ) | (24.55 | ) | |||||||||||
PROSHARES ULTRASHORT SILVER |
| |||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 32,195,308 | $ | 15,813,405 | $ | 13,578,709 | $ | 19,713,505 | $ | 23,037,206 | ||||||||||
Total shareholders’ equity at end of period |
28,885,775 | 13,834,163 | 11,768,863 | 14,806,259 | 23,017,656 | |||||||||||||||
Net investment income (loss) |
(221,656 | ) | 131,913 | 112,472 | (36,600 | ) | (255,853 | ) | ||||||||||||
Net realized and unrealized gain (loss) |
(18,232,071 | ) | (4,741,974 | ) | 4,905,754 | (1,980,408 | ) | (20,928,956 | ) | |||||||||||
Net income (loss) |
(18,453,727 | ) | (4,610,061 | ) | 5,018,226 | (2,017,008 | ) | (21,184,809 | ) | |||||||||||
Net increase (decrease) in net asset value per share |
(19.83 | ) | (10.37 | ) | 5.42 | (5.60 | ) | (27.27 | ) | |||||||||||
PROSHARES ULTRASHORT YEN |
| |||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 24,282,486 | $ | 38,165,164 | $ | 59,214,608 | $ | 134,986,033 | $ | 277,139,658 | ||||||||||
Total shareholders’ equity at end of period |
23,691,070 | 38,132,320 | 55,363,675 | 131,077,453 | 276,781,747 | |||||||||||||||
Net investment income (loss) |
(129,202 | ) | 555,474 | 607,874 | (355,974 | ) | (1,609,562 | ) | ||||||||||||
Net realized and unrealized gain (loss) |
(3,281,606 | ) | 1,240,842 | (2,528,655 | ) | (23,960,625 | ) | 8,431,035 | ||||||||||||
Net income (loss) |
(3,410,808 | ) | 1,796,316 | (1,920,781 | ) | (24,316,599 | ) | 6,821,473 | ||||||||||||
Net increase (decrease) in net asset value per share |
(8.54 | ) | 2.48 | (1.04 | ) | (5.31 | ) | (7.70 | ) |
PROSHARES VIX MID-TERM FUTURES ETF |
| |||||||||||||||||||
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 73,050,286 | $ | 47,145,739 | $ | 57,571,528 | $ | 27,429,888 | $ | 47,936,506 | ||||||||||
Total shareholders’ equity at end of period |
72,075,095 | 45,986,584 | 56,299,121 | 26,347,948 | 45,818,914 | |||||||||||||||
Net investment income (loss) |
(506,172 | ) | 493,213 | 116,328 | (81,807 | ) | (294,491 | ) | ||||||||||||
Net realized and unrealized gain (loss) |
16,601,434 | (12,266,525 | ) | 10,305,853 | (26,246,741 | ) | (12,029,971 | ) | ||||||||||||
Net income (loss) |
16,095,262 | (11,773,312 | ) | 10,422,181 | (26,328,548 | ) | (12,324,462 | ) | ||||||||||||
Net increase (decrease) in net asset value per share |
15.46 | (5.38 | ) | 5.36 | (20.85 | ) | (11.82 | ) |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2016 |
||||||||||||||||
Total assets |
$ | 293,860,130 | $ | 292,836,738 | $ | 155,107,403 | $ | 141,228,210 | $ | 174,247,783 | ||||||||||
Total shareholders’ equity at end of period |
293,390,549 | 279,792,503 | 149,547,115 | 137,741,560 | 174,160,146 | |||||||||||||||
Net investment income (loss) |
(1,892,962 | ) | 2,153,399 | 366,665 | (293,186 | ) | (1,436,647 | ) | ||||||||||||
Net realized and unrealized gain (loss) |
165,111,666 | (227,121,451 | ) | 112,056,276 | (198,310,919 | ) | (194,856,158 | ) | ||||||||||||
Net income (loss) |
163,218,704 | (224,968,052 | ) | 112,422,941 | (198,604,105 | ) | (196,292,805 | ) | ||||||||||||
Net increase (decrease) in net asset value per share |
1.46 | (26.28 | ) | 15.24 | (61.52 | ) | (179.98 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 15 of Part IV in this Annual Report on Form 10-K. |
Item 7. |
Management’s Discussion and Analysis of Financial Condition and Results of Operations. |
Fund |
Interest Income Year Ended December 31, 2020 |
Interest Income Year Ended December 31, 2019 |
||||||
ProShares Short Euro |
$ | 8,193 | $ | 314,021 | ||||
ProShares Short VIX Short-Term Futures ETF |
941,584 | 5,618,666 | ||||||
ProShares Ultra Bloomberg Crude Oil |
1,930,769 | 7,627,706 | ||||||
ProShares Ultra Bloomberg Natural Gas |
206,527 | 589,183 | ||||||
ProShares Ultra Euro |
16,819 | 121,071 | ||||||
ProShares Ultra Gold |
594,847 | 1,798,692 | ||||||
ProShares Ultra Silver |
1,134,396 | 3,823,565 | ||||||
ProShares Ultra VIX Short-Term Futures ETF |
1,707,491 | 7,903,309 | ||||||
ProShares Ultra Yen |
9,427 | 78,463 | ||||||
ProShares UltraPro 3x Crude Oil ETF * |
346,326 | 2,114,130 | ||||||
ProShares UltraPro 3x Short Crude Oil ETF * |
166,789 | 562,435 | ||||||
ProShares UltraShort Australian Dollar |
20,907 | 159,039 | ||||||
ProShares UltraShort Bloomberg Crude Oil |
268,844 | 1,570,676 | ||||||
ProShares UltraShort Bloomberg Natural Gas |
59,046 | 167,939 | ||||||
ProShares UltraShort Euro |
499,520 | 2,822,207 | ||||||
ProShares UltraShort Gold |
67,722 | 380,158 | ||||||
ProShares UltraShort Silver |
52,402 | 279,294 | ||||||
ProShares UltraShort Yen |
139,822 | 1,007,112 | ||||||
ProShares VIX Mid-Term Futures ETF |
214,449 | 903,643 | ||||||
ProShares VIX Short-Term Futures ETF |
1,152,242 | 4,458,270 |
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
• | executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; |
• | limiting the outstanding amounts due from counterparties to the Funds; |
• | not posting margin directly with a counterparty; |
• | requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds; |
• | limiting the amount of margin or premium posted at a FCM; and |
• | ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for. |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 2,282,195 | $ | 8,619,686 | ||||
NAV end of period |
$ | 4,191,955 | $ | 2,282,195 | ||||
Percentage change in NAV |
83.7 | % | (73.5 | )% | ||||
Shares outstanding beginning of period |
50,000 | 200,000 | ||||||
Shares outstanding end of period |
100,000 | 50,000 | ||||||
Percentage change in shares outstanding |
100.0 | % | (75.0 | )% | ||||
Shares created |
50,000 | 300,000 | ||||||
Shares redeemed |
— | 450,000 | ||||||
Per share NAV beginning of period |
$ | 45.64 | $ | 43.10 | ||||
Per share NAV end of period |
$ | 41.92 | $ | 45.64 | ||||
Percentage change in per share NAV |
(8.2 | )% | 5.9 | % | ||||
Percentage change in benchmark |
8.9 | % | (2.1 | )% | ||||
Benchmark annualized volatility |
7.5 | % | 5.1 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (16,777 | ) | $ | 176,251 | |||
Management fee |
24,443 | 135,292 | ||||||
Brokerage commissions |
448 | 2,478 | ||||||
Non-recurring fees and expenses |
79 | — | ||||||
Net realized gain (loss) |
(200,965 | ) | 973,665 | |||||
Change in net unrealized appreciation (depreciation) |
(30,656 | ) | 29,313 | |||||
Net income (loss) |
$ | (248,398 | ) | $ | 1,179,229 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 284,437,179 | $ | 344,596,263 | ||||
NAV end of period |
$ | 409,371,468 | $ | 284,437,179 | ||||
Percentage change in NAV |
43.9 | % | (17.5 | )% | ||||
Shares outstanding beginning of period |
4,334,307 | 8,134,307 | ||||||
Shares outstanding end of period |
9,884,307 | 4,334,307 | ||||||
Percentage change in shares outstanding |
128.0 | % | (46.7 | )% | ||||
Shares created |
27,050,000 | 1,500,000 | ||||||
Shares redeemed |
21,500,000 | 5,300,000 | ||||||
Per share NAV beginning of period |
$ | 65.62 | $ | 42.36 | ||||
Per share NAV end of period |
$ | 41.42 | $ | 65.62 | ||||
Percentage change in per share NAV |
(36.9 | )% | 54.9 | % | ||||
Percentage change in benchmark |
13.2 | % | (67.8 | )% | ||||
Benchmark annualized volatility |
102.6 | % | 60.4 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (5,269,562 | ) | $ | 1,162,163 | |||
Management fee |
4,469,701 | 3,333,950 | ||||||
Brokerage commissions |
712,651 | 723,282 | ||||||
Non-recurring fees and expenses |
23,391 | 398,550 | ||||||
Net realized gain (loss) |
(72,610,082 | ) | 125,641,839 | |||||
Change in net unrealized appreciation (depreciation) |
(1,907,863 | ) | 24,733,759 | |||||
Net income (loss) |
$ | (79,787,507 | ) | $ | 151,537,761 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 309,844,582 | $ | 368,399,654 | ||||
NAV end of period |
$ | 902,739,250 | $ | 309,844,582 | ||||
Percentage change in NAV |
191.4 | % | (15.9 | )% | ||||
Shares outstanding beginning of period |
608,453 | 1,128,453 | ||||||
Shares outstanding end of period |
24,810,774 | 608,453 | ||||||
Percentage change in shares outstanding |
3,977.7 | % | (46.1 | )% | ||||
Shares created |
120,812,000 | 1,362,000 | ||||||
Shares redeemed |
96,609,679 | 1,882,000 | ||||||
Per share NAV beginning of period |
$ | 509.23 | $ | 326.46 | ||||
Per share NAV end of period |
$ | 36.38 | $ | 509.23 | ||||
Percentage change in per share NAV |
(92.9 | )% | 56.0 | % | ||||
Percentage change in benchmark |
(24.1 | )% | 34.4 | % | ||||
Benchmark annualized volatility |
80.1 | % | 33.7 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (11,023,311 | ) | $ | 3,864,584 | |||
Management fee |
9,256,478 | 3,612,580 | ||||||
Brokerage commissions |
2,144,028 | 150,542 | ||||||
Non-recurring fees and expenses |
61,679 | — | ||||||
Net realized gain (loss) |
(688,299,044 | ) | 144,188,809 | |||||
Change in net unrealized appreciation (depreciation) |
140,214,372 | 109,396,338 | ||||||
Net income (loss) |
$ | (559,107,983 | ) | $ | 257,449,731 |
* | See Note 1 of the Notes to Financial Statements in Item 15 of part IV in this Annual Report on Form 10-K regarding the reverse Share split for the ProShares Ultra Bloomberg Crude Oil. |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 45,160,205 | $ | 14,617,440 | ||||
NAV end of period |
$ | 169,800,371 | $ | 45,160,205 | ||||
Percentage change in NAV |
276.0 | % | 208.9 | % | ||||
Shares outstanding beginning of period |
537,815 | 57,815 | ||||||
Shares outstanding end of period |
8,087,527 | 537,815 | ||||||
Percentage change in shares outstanding |
1,403.8 | % | 830.2 | % | ||||
Shares created |
16,685,000 | 825,000 | ||||||
Shares redeemed |
9,135,288 | 345,000 | ||||||
Per share NAV beginning of period |
$ | 83.97 | $ | 252.83 | ||||
Per share NAV end of period |
$ | 21.00 | $ | 83.97 | ||||
Percentage change in per share NAV |
(75.0 | )% | (66.8 | )% | ||||
Percentage change in benchmark |
(42.0 | )% | (37.2 | )% | ||||
Benchmark annualized volatility |
52.7 | % | 36.1 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (939,900 | ) | $ | 162,388 | |||
Management fee |
674,810 | 297,043 | ||||||
Brokerage commissions |
377,630 | 129,752 | ||||||
Non-recurring fees and expenses |
1,545 | — | ||||||
Net realized gain (loss) |
(53,326,797 | ) | (32,380,218 | ) | ||||
Change in net unrealized appreciation (depreciation) |
9,151,863 | 7,672,614 | ||||||
Net income (loss) |
$ | (45,114,834 | ) | $ | (24,545,216 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 15 of part IV in this Annual Report on Form 10-K regarding the reverse Share split for the ProShares Ultra Bloomberg Natural Gas. |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 6,204,424 | $ | 7,544,569 | ||||
NAV end of period |
$ | 4,737,350 | $ | 6,204,424 | ||||
Percentage change in NAV |
(23.6 | )% | (17.8 | )% | ||||
Shares outstanding beginning of period |
450,000 | 500,000 | ||||||
Shares outstanding end of period |
300,000 | 450,000 | ||||||
Percentage change in shares outstanding |
(33.3 | )% | (10.0 | )% | ||||
Shares created |
250,000 | 100,000 | ||||||
Shares redeemed |
400,000 | 150,000 | ||||||
Per share NAV beginning of period |
$ | 13.79 | $ | 15.09 | ||||
Per share NAV end of period |
$ | 15.79 | $ | 13.79 | ||||
Percentage change in per share NAV |
14.5 | % | (8.6 | )% | ||||
Percentage change in benchmark |
8.9 | % | (2.1 | )% | ||||
Benchmark annualized volatility |
7.5 | % | 5.1 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (27,606 | ) | $ | 58,528 | |||
Management fee |
44,302 | 62,543 | ||||||
Non-recurring fees and expenses |
123 | — | ||||||
Net realized gain (loss) |
504,035 | (722,691 | ) | |||||
Change in net unrealized appreciation (depreciation) |
(21,469 | ) | 52,274 | |||||
Net income (loss) |
$ | 454,960 | $ | (611,889 | ) |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 110,726,032 | $ | 83,523,294 | ||||
NAV end of period |
$ | 263,540,473 | $ | 110,726,032 | ||||
Percentage change in NAV |
138.0 | % | 32.6 | % | ||||
Shares outstanding beginning of period |
2,250,000 | 2,250,000 | ||||||
Shares outstanding end of period |
3,900,000 | 2,250,000 | ||||||
Percentage change in shares outstanding |
73.3 | % | — | % | ||||
Shares created |
3,500,000 | 900,000 | ||||||
Shares redeemed |
1,850,000 | 900,000 | ||||||
Per share NAV beginning of period |
$ | 49.21 | $ | 37.12 | ||||
Per share NAV end of period |
$ | 67.57 | $ | 49.21 | ||||
Percentage change in per share NAV |
37.3 | % | 32.6 | % | ||||
Percentage change in benchmark |
20.9 | % | 18.0 | % | ||||
Benchmark annualized volatility |
21.5 | % | 11.5 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (1,424,530 | ) | $ | 902,937 | |||
Management fee |
1,916,092 | 884,410 | ||||||
Brokerage commissions |
39,462 | 11,345 | ||||||
Non-recurring fees and expenses |
4,754 | — | ||||||
Net realized gain (loss) |
35,452,046 | 19,588,339 | ||||||
Change in net unrealized appreciation (depreciation) |
(353,150 | ) | 3,815,690 | |||||
Net income (loss) |
$ | 33,674,366 | $ | 24,306,966 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 239,254,842 | $ | 201,824,376 | ||||
NAV end of period |
$ | 745,304,028 | $ | 239,254,842 | ||||
Percentage change in NAV |
211.5 | % | 18.5 | % | ||||
Shares outstanding beginning of period |
7,546,526 | 7,646,526 | ||||||
Shares outstanding end of period |
14,696,526 | 7,546,526 | ||||||
Percentage change in shares outstanding |
94.7 | % | (1.3 | )% | ||||
Shares created |
13,500,000 | 2,300,000 | ||||||
Shares redeemed |
6,350,000 | 2,400,000 | ||||||
Per share NAV beginning of period |
$ | 31.70 | $ | 26.39 | ||||
Per share NAV end of period |
$ | 50.71 | $ | 31.70 | ||||
Percentage change in per share NAV |
60.0 | % | 20.1 | % | ||||
Percentage change in benchmark |
42.5 | % | 13.9 | % | ||||
Benchmark annualized volatility |
46.1 | % | 19.6 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (3,174,045 | ) | $ | 1,856,270 | |||
Management fee |
3,944,697 | 1,928,478 | ||||||
Brokerage commissions |
141,650 | 38,814 | ||||||
Non-recurring fees and expenses |
6,303 | — | ||||||
Net realized gain (loss) |
147,215,471 | 34,374,143 | ||||||
Change in net unrealized appreciation (depreciation) |
63,082,149 | 4,223,101 | ||||||
Net income (loss) |
$ | 207,123,575 | $ | 40,453,514 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 527,636,003 | $ | 214,304,871 | ||||
NAV end of period |
$ | 1,356,204,199 | $ | 527,636,003 | ||||
Percentage change in NAV |
157.0 | % | 146.2 | % | ||||
Shares outstanding beginning of period |
41,630,912 | 2,630,912 | ||||||
Shares outstanding end of period |
127,130,912 | 41,630,912 | ||||||
Percentage change in shares outstanding |
205.4 | % | 1,482.4 | % | ||||
Shares created |
154,050,000 | 83,750,000 | ||||||
Shares redeemed |
68,550,000 | 44,750,000 | ||||||
Per share NAV beginning of period |
$ | 12.67 | $ | 81.46 | ||||
Per share NAV end of period |
$ | 10.67 | $ | 12.67 | ||||
Percentage change in per share NAV |
(15.8 | )% | (84.4 | )% | ||||
Percentage change in benchmark |
13.2 | % | (67.8 | )% | ||||
Benchmark annualized volatility |
102.6 | % | 60.4 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (13,623,881 | ) | $ | 95,052 | |||
Management fee |
8,835,385 | 4,819,171 | ||||||
Brokerage commissions |
3,620,606 | 2,936,813 | ||||||
Non-recurring fees and expenses |
15,297 | 27,508 | ||||||
Net realized gain (loss) |
(632,242,038 | ) | (612,840,041 | ) | ||||
Change in net unrealized appreciation (depreciation) |
(1,950,460 | ) | (77,766,851 | ) | ||||
Net income (loss) |
$ | (647,816,379 | ) | $ | (690,511,840 | ) |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 5,580,964 | $ | 5,751,716 | ||||
NAV end of period |
$ | 2,989,499 | $ | 5,580,964 | ||||
Percentage change in NAV |
(46.4 | )% | (3.0 | )% | ||||
Shares outstanding beginning of period |
99,970 | 99,970 | ||||||
Shares outstanding end of period |
49,970 | 99,970 | ||||||
Percentage change in shares outstanding |
(50.0 | )% | — | % | ||||
Shares created |
— | 200,000 | ||||||
Shares redeemed |
50,000 | 200,000 | ||||||
Per share NAV beginning of period |
$ | 55.83 | $ | 57.53 | ||||
Per share NAV end of period |
$ | 59.83 | $ | 55.83 | ||||
Percentage change in per share NAV |
7.2 | % | (3.0 | )% | ||||
Percentage change in benchmark |
5.2 | % | 0.9 | % | ||||
Benchmark annualized volatility |
9.3 | % | 5.7 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (18,317 | ) | $ | 38,514 | |||
Management fee |
27,655 | 39,949 | ||||||
Non-recurring fees and expenses |
89 | — | ||||||
Net realized gain (loss) |
95,324 | 57,990 | ||||||
Change in net unrealized appreciation (depreciation) |
77,542 | (187,566 | ) | |||||
Net income (loss) |
$ | 154,549 | $ | (91,062 | ) |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 5,608,612 | $ | 11,060,333 | ||||
NAV end of period |
$ | 2,222,639 | $ | 5,608,612 | ||||
Percentage change in NAV |
(60.4 | )% | (49.3 | )% | ||||
Shares outstanding beginning of period |
100,000 | 200,000 | ||||||
Shares outstanding end of period |
50,000 | 100,000 | ||||||
Percentage change in shares outstanding |
(50.0 | )% | (50.0 | )% | ||||
Shares created |
— | 50,000 | ||||||
Shares redeemed |
50,000 | 150,000 | ||||||
Per share NAV beginning of period |
$ | 56.09 | $ | 55.30 | ||||
Per share NAV end of period |
$ | 44.45 | $ | 56.09 | ||||
Percentage change in per share NAV |
(20.8 | )% | 1.4 | % | ||||
Percentage change in benchmark |
9.9 | % | (0.4 | )% | ||||
Benchmark annualized volatility |
12.1 | % | 6.9 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (36,668 | ) | $ | 80,325 | |||
Management fee |
52,950 | 72,858 | ||||||
Brokerage commissions |
4,429 | 5,856 | ||||||
Non-recurring fees and expenses |
196 | — | ||||||
Net realized gain (loss) |
(1,032,184 | ) | 833,199 | |||||
Change in net unrealized appreciation (depreciation) |
84,844 | (735,608 | ) | |||||
Net income (loss) |
$ | (984,008 | ) | $ | 177,916 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 125,451,681 | $ | 114,377,311 | ||||
NAV end of period |
$ | 96,839,233 | $ | 125,451,681 | ||||
Percentage change in NAV |
(22.8 | )% | 9.7 | % | ||||
Shares outstanding beginning of period |
10,289,884 | 3,839,884 | ||||||
Shares outstanding end of period |
8,339,884 | 10,289,884 | ||||||
Percentage change in shares outstanding |
(19.0 | )% | 168.0 | % | ||||
Shares created |
37,500,000 | 25,950,000 | ||||||
Shares redeemed |
39,450,000 | 19,500,000 | ||||||
Per share NAV beginning of period |
$ | 12.19 | $ | 29.79 | ||||
Per share NAV end of period |
$ | 11.61 | $ | 12.19 | ||||
Percentage change in per share NAV |
(4.8 | )% | (59.1 | )% | ||||
Percentage change in benchmark |
(24.1 | )% | 34.4 | % | ||||
Benchmark annualized volatility |
80.1 | % | 33.7 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (1,468,178 | ) | $ | 709,799 | |||
Management fee |
1,021,787 | 769,401 | ||||||
Brokerage commissions |
548,380 | 91,476 | ||||||
Non-recurring fees and expenses |
5,243 | — | ||||||
Net realized gain (loss) |
12,949,097 | (14,247,456 | ) | |||||
Change in net unrealized appreciation (depreciation) |
(7,487,355 | ) | (31,068,746 | ) | ||||
Net income (loss) |
$ | 3,993,564 | $ | (44,606,403 | ) |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 12,515,603 | $ | 17,825,441 | ||||
NAV end of period |
$ | 24,977,745 | $ | 12,515,603 | ||||
Percentage change in NAV |
99.6 | % | (29.8 | )% | ||||
Shares outstanding beginning of period |
324,832 | 824,832 | ||||||
Shares outstanding end of period |
524,832 | 324,832 | ||||||
Percentage change in shares outstanding |
61.6 | % | (60.6 | )% | ||||
Shares created |
6,250,000 | 1,200,000 | ||||||
Shares redeemed |
6,050,000 | 1,700,000 | ||||||
Per share NAV beginning of period |
$ | 38.53 | $ | 21.61 | ||||
Per share NAV end of period |
$ | 47.59 | $ | 38.53 | ||||
Percentage change in per share NAV |
23.5 | % | 78.3 | % | ||||
Percentage change in benchmark |
(42.0 | )% | (37.2 | )% | ||||
Benchmark annualized volatility |
52.7 | % | 36.1 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (549,591 | ) | $ | 29,417 | |||
Management fee |
308,058 | 83,978 | ||||||
Brokerage commissions |
250,422 | 54,544 | ||||||
Non-recurring fees and expenses |
485 | — | ||||||
Net realized gain (loss) |
20,854 | 19,286,567 | ||||||
Change in net unrealized appreciation (depreciation) |
(293,043 | ) | (10,165,386 | ) | ||||
Net income (loss) |
$ | (821,780 | ) | $ | 9,150,598 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 120,581,173 | $ | 154,120,159 | ||||
NAV end of period |
$ | 52,953,339 | $ | 120,581,173 | ||||
Percentage change in NAV |
(56.1 | )% | (21.8 | )% | ||||
Shares outstanding beginning of period |
4,500,000 | 6,350,000 | ||||||
Shares outstanding end of period |
2,350,000 | 4,500,000 | ||||||
Percentage change in shares outstanding |
(47.8 | )% | (29.1 | )% | ||||
Shares created |
1,500,000 | 1,050,000 | ||||||
Shares redeemed |
3,650,000 | 2,900,000 | ||||||
Per share NAV beginning of period |
$ | 26.80 | $ | 24.27 | ||||
Per share NAV end of period |
$ | 22.53 | $ | 26.80 | ||||
Percentage change in per share NAV |
(15.9 | )% | 10.4 | % | ||||
Percentage change in benchmark |
8.9 | % | (2.1 | )% | ||||
Benchmark annualized volatility |
7.5 | % | 5.1 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (287,014 | ) | $ | 1,528,830 | |||
Management fee |
783,692 | 1,293,377 | ||||||
Non-recurring fees and expenses |
2,842 | — | ||||||
Net realized gain (loss) |
(10,979,339 | ) | 13,747,208 | |||||
Change in net unrealized appreciation (depreciation) |
1,109,938 | (753,437 | ) | |||||
Net income (loss) |
$ | (10,156,415 | ) | $ | 14,522,601 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 21,047,560 | $ | 18,098,997 | ||||
NAV end of period |
$ | 20,337,376 | $ | 21,047,560 | ||||
Percentage change in NAV |
(3.4 | )% | 16.3 | % | ||||
Shares outstanding beginning of period |
396,977 | 246,978 | ||||||
Shares outstanding end of period |
646,977 | 396,977 | ||||||
Percentage change in shares outstanding |
63.0 | % | 60.7 | % | ||||
Shares created |
1,650,000 | 600,000 | ||||||
Shares redeemed |
1,400,000 | 450,001 | ||||||
Per share NAV beginning of period |
$ | 53.02 | $ | 73.28 | ||||
Per share NAV end of period |
$ | 31.43 | $ | 53.02 | ||||
Percentage change in per share NAV |
(40.7 | )% | (27.6 | )% | ||||
Percentage change in benchmark |
20.9 | % | 18.0 | % | ||||
Benchmark annualized volatility |
21.5 | % | 11.5 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (123,632 | ) | $ | 186,714 | |||
Management fee |
177,762 | 188,089 | ||||||
Brokerage commissions |
7,882 | 5,355 | ||||||
Non-recurring fees and expenses |
580 | — | ||||||
Net realized gain (loss) |
(11,119,478 | ) | (5,192,568 | ) | ||||
Change in net unrealized appreciation (depreciation) |
1,098,111 | (540,991 | ) | |||||
Net income (loss) |
$ | (10,144,999 | ) | $ | (5,546,845 | ) |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 13,834,163 | $ | 11,768,863 | ||||
NAV end of period |
$ | 28,885,775 | $ | 13,834,163 | ||||
Percentage change in NAV |
108.8 | % | 17.5 | % | ||||
Shares outstanding beginning of period |
516,976 | 316,976 | ||||||
Shares outstanding end of period |
4,166,976 | 516,976 | ||||||
Percentage change in shares outstanding |
706.0 | % | 63.1 | % | ||||
Shares created |
13,700,000 | 1,000,000 | ||||||
Shares redeemed |
10,050,000 | 800,000 | ||||||
Per share NAV beginning of period |
$ | 26.76 | $ | 37.13 | ||||
Per share NAV end of period |
$ | 6.93 | $ | 26.76 | ||||
Percentage change in per share NAV |
(74.1 | )% | (27.9 | )% | ||||
Percentage change in benchmark |
42.5 | % | 13.9 | % | ||||
Benchmark annualized volatility |
46.1 | % | 19.6 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (221,656 | ) | $ | 131,913 | |||
Management fee |
237,140 | 139,668 | ||||||
Brokerage commissions |
22,323 | 7,713 | ||||||
Non-recurring fees and expenses |
454 | — | ||||||
Net realized gain (loss) |
(16,849,815 | ) | (4,544,543 | ) | ||||
Change in net unrealized appreciation (depreciation) |
(1,382,256 | ) | (197,432 | ) | ||||
Net income (loss) |
$ | (18,453,727 | ) | $ | (4,610,062 | ) |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 38,132,320 | $ | 55,363,675 | ||||
NAV end of period |
$ | 23,691,070 | $ | 38,132,320 | ||||
Percentage change in NAV |
(37.9 | )% | (31.1 | )% | ||||
Shares outstanding beginning of period |
499,290 | 749,290 | ||||||
Shares outstanding end of period |
349,290 | 499,290 | ||||||
Percentage change in shares outstanding |
(30.0 | )% | (33.4 | )% | ||||
Shares created |
150,000 | 450,000 | ||||||
Shares redeemed |
300,000 | 700,000 | ||||||
Per share NAV beginning of period |
$ | 76.37 | $ | 73.89 | ||||
Per share NAV end of period |
$ | 67.83 | $ | 76.37 | ||||
Percentage change in per share NAV |
(11.2 | )% | 3.4 | % | ||||
Percentage change in benchmark |
5.2 | % | 0.9 | % | ||||
Benchmark annualized volatility |
9.3 | % | 5.7 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (129,202 | ) | $ | 555,474 | |||
Management fee |
268,213 | 451,638 | ||||||
Non-recurring fees and expenses |
811 | — | ||||||
Net realized gain (loss) |
(2,619,441 | ) | (1,979,679 | ) | ||||
Change in net unrealized appreciation (depreciation) |
(662,165 | ) | 3,220,521 | |||||
Net income (loss) |
$ | (3,410,808 | ) | $ | 1,796,316 |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 45,986,584 | $ | 56,299,121 | ||||
NAV end of period |
$ | 72,075,095 | $ | 45,986,584 | ||||
Percentage change in NAV |
56.7 | % | (18.3 | )% | ||||
Shares outstanding beginning of period |
2,162,403 | 2,112,403 | ||||||
Shares outstanding end of period |
1,962,403 | 2,162,403 | ||||||
Percentage change in shares outstanding |
(9.2 | )% | 2.4 | % | ||||
Shares created |
2,375,000 | 1,400,000 | ||||||
Shares redeemed |
2,575,000 | 1,350,000 | ||||||
Per share NAV beginning of period |
$ | 21.27 | $ | 26.65 | ||||
Per share NAV end of period |
$ | 36.73 | $ | 21.27 | ||||
Percentage change in per share NAV |
72.7 | % | (20.2 | )% | ||||
Percentage change in benchmark |
74.7 | % | (19.3 | )% | ||||
Benchmark annualized volatility |
56.3 | % | 25.3 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (506,172 | ) | $ | 493,213 | |||
Management fee |
579,606 | 380,474 | ||||||
Brokerage commissions |
65,093 | 29,956 | ||||||
Net realized gain (loss) |
15,454,616 | (6,228,644 | ) | |||||
Change in net unrealized appreciation (depreciation) |
1,146,818 | (6,037,881 | ) | |||||
Net income (loss) |
$ | 16,095,262 | $ | (11,773,312 | ) |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
NAV beginning of period |
$ | 279,792,503 | $ | 149,547,115 | ||||
NAV end of period |
$ | 293,390,549 | $ | 279,792,503 | ||||
Percentage change in NAV |
4.9 | % | 87.1 | % | ||||
Shares outstanding beginning of period |
22,751,317 | 3,876,317 | ||||||
Shares outstanding end of period |
21,326,317 | 22,751,317 | ||||||
Percentage change in shares outstanding |
(6.3 | )% | 486.9 | % | ||||
Shares created |
26,325,000 | 30,800,000 | ||||||
Shares redeemed |
27,750,000 | 11,925,000 | ||||||
Per share NAV beginning of period |
$ | 12.30 | $ | 38.58 | ||||
Per share NAV end of period |
$ | 13.76 | $ | 12.30 | ||||
Percentage change in per share NAV |
11.9 | % | (68.1 | )% | ||||
Percentage change in benchmark |
13.2 | % | (67.8 | )% | ||||
Benchmark annualized volatility |
102.6 | % | 60.4 | % |
Year Ended December 31, 2020 |
Year Ended December 31, 2019 |
|||||||
Net investment income (loss) |
$ | (1,892,962 | ) | $ | 2,153,399 | |||
Management fee |
2,193,275 | 2,038,850 | ||||||
Brokerage commissions |
376,682 | 253,057 | ||||||
Net realized gain (loss) |
156,087,060 | (194,350,788 | ) | |||||
Change in net unrealized appreciation (depreciation) |
9,024,606 | (32,770,663 | ) | |||||
Net income (loss) |
$ | 163,218,704 | $ | (224,968,052 | ) |
Item 7A. |
Quantitative and Qualitative Disclosures About Market Risk. |
Futures Positions as of December 31, 2020 |
||||||||||||||||||||
Long or |
Valuation |
Contract |
Notional Amount |
|||||||||||||||||
Contract |
Short |
Expiration |
Contracts |
Price |
Multiplier |
at Value |
||||||||||||||
Euro Fx Currency Futures (CME) |
Short | March 2021 | 27 | $ | 1.22 | 125,000 | $ | (4,133,025 | ) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Euro Fx Currency Futures (CME) |
Short | March 2020 | 16 | $ | 1.13 | 125,000 | $ | (2,256,400 | ) |
Futures Positions as of December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX Futures (Cboe) |
Short | January 2021 | 4,169 | $ | 23.68 | 1,000 | $ | (98,701,075 | ) | |||||||||||
VIX Futures (Cboe) |
Short | February 2021 | 4,161 | 25.58 | 1,000 | (106,417,575 | ) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX Futures (Cboe) |
Short | January 2020 | 5,442 | $ | 14.63 | 1,000 | $ | (79,589,250 | ) | |||||||||||
VIX Futures (Cboe) |
Short | February 2020 | 3,764 | 16.63 | 1,000 | (62,576,500 | ) |
Futures Positions as of December 31, 2020 |
||||||||||||||||||||
Long or |
Valuation |
Contract |
Notional Amount |
|||||||||||||||||
Contract |
Short |
Expiration |
Contracts |
Price |
Multiplier |
at Value |
||||||||||||||
WTI Crude Oil (NYMEX) |
Long | March 2021 | 10,134 | $ | 48.63 | 1,000 | $ | 492,816,420 | ||||||||||||
WTI Crude Oil (NYMEX) |
Long | June 2021 | 9,783 | 48.63 | 1,000 | 475,747,290 | ||||||||||||||
WTI Crude Oil (NYMEX) |
Long | December 2021 | 9,650 | 47.68 | 1,000 | 460,112,000 |
Swap Agreements as of December 31, 2020 |
||||||||||||
Long or |
Notional Amount |
|||||||||||
Reference Index |
Counterparty |
Short |
Index Close |
at Value |
||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index |
Goldman Sachs International | Long | $ | 40.2599 | $ | 28,462,300 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index |
Morgan Stanley & Co. International PLC | Long | 40.2599 | 226,338,741 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index |
Societe Generale | Long | 40.2599 | 34,593,561 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index |
UBS AG | Long | 40.2599 | 87,117,995 |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
WTI Crude Oil (NYMEX) |
Long | March 2020 | 554 | $ | 60.77 | 1,000 | $ | 33,666,580 |
Swap Agreements as of December 31, 2019 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg WTI Crude Oil Subindex |
Citibank, N.A. | Long | $ | 90.3776 | $ | 172,174,920 | ||||||
Bloomberg WTI Crude Oil Subindex |
Goldman Sachs International | Long | 90.3776 | 120,411,487 | ||||||||
Bloomberg WTI Crude Oil Subindex |
Royal Bank of Canada | Long | 90.3776 | 115,540,626 | ||||||||
Bloomberg WTI Crude Oil Subindex |
Societe Generale | Long | 90.3776 | 64,308,537 | ||||||||
Bloomberg WTI Crude Oil Subindex |
UBS AG | Long | 90.3776 | 113,574,303 |
Futures Positions as of December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Natural Gas (NYMEX) |
Long | March 2021 | 13,444 | $ | 2.53 | 10,000 | $ | 339,595,440 |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Natural Gas (NYMEX) |
Long | March 2020 | 4,185 | $ | 2.16 | 10,000 | $ | 90,312,300 |
Foreign Currency Forward Contracts as of December 31, 2020 |
||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Euro |
Goldman Sachs International | Long | 01/15/21 | 2,210,921 | 1.2116 | $ | 2,678,721 | |||||||||||||
Euro |
UBS AG | Long | 01/15/21 | 5,664,502 | 1.2103 | 6,855,677 | ||||||||||||||
Euro |
UBS AG | Short | 01/15/21 | (122,000 | ) | 1.2190 | (148,713 | ) |
Foreign Currency Forward Contracts as of December 31, 2019 |
||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Euro |
Goldman Sachs International | Long | 01/10/20 | 5,436,377 | 1.1121 | $ | 6,045,958 | |||||||||||||
Euro |
UBS AG | Long | 01/10/20 | 5,589,416 | 1.1123 | 6,217,058 |
Futures Positions as of December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Gold Futures (COMEX) |
Long | February 2021 | 995 | $ | 1,895.10 | 100 | $ | 188,562,450 |
Swap Agreements as of December 31, 2020 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Gold Subindex |
Citibank, N.A. | Long | $ | 210.3915 | $ | 116,501,753 | ||||||
Bloomberg Gold Subindex |
Goldman Sachs International | Long | 210.3915 | 100,676,400 | ||||||||
Bloomberg Gold Subindex |
UBS AG | Long | 210.3915 | 121,192,569 |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Gold Futures (COMEX) |
Long | February 2020 | 438 | $ | 1,523.10 | 100 | $ | 66,711,780 |
Swap Agreements as of December 31, 2019 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Gold Subindex |
Citibank, N.A. | Long | $ | 174.6300 | $ | 60,437,683 | ||||||
Bloomberg Gold Subindex |
Goldman Sachs International | Long | 174.6300 | 44,172,192 | ||||||||
Bloomberg Gold Subindex |
UBS AG | Long | 174.6300 | 50,125,199 |
Futures Positions as of December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Silver Futures (COMEX) |
Long | March 2021 | 3,971 | $ | 26.41 | 5,000 | $ | 524,410,259 |
Swap Agreements as of December 31, 2020 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Silver Subindex |
Citibank, N.A. | Long | $ | 241.4130 | $ | 294,747,134 | ||||||
Bloomberg Silver Subindex |
Goldman Sachs International | Long | 241.4130 | 211,716,341 | ||||||||
Bloomberg Silver Subindex |
Morgan Stanley & Co. International PLC | Long | 241.4130 | 239,421,584 | ||||||||
Bloomberg Silver Subindex |
UBS AG | Long | 241.4130 | 220,234,368 |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Silver Futures (COMEX) |
Long | March 2020 | 1,316 | $ | 17.92 | 5,000 | $ | 117,920,180 |
Swap Agreements as of December 31, 2019 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Silver Subindex |
Citibank, N.A. | Long | $ | 170.1072 | $ | 152,640,569 | ||||||
Bloomberg Silver Subindex |
Goldman Sachs International | Long | 170.1072 | 83,225,484 | ||||||||
Bloomberg Silver Subindex |
UBS AG | Long | 170.1072 | 124,680,616 |
Futures Positions as of December 31, 2020 |
||||||||||||||||||||
Long or |
Valuation |
Contract |
Notional Amount |
|||||||||||||||||
Contract |
Short |
Expiration |
Contracts |
Price |
Multiplier |
at Value |
||||||||||||||
VIX Futures (Cboe) |
Long | January 2021 | 40,738 | $ | 23.68 | 1,000 | $ | 964,472,150 | ||||||||||||
VIX Futures (Cboe) |
Long | February 2021 | 40,764 | 25.58 | 1,000 | 1,042,539,300 |
Swap Agreements as of December 31, 2020 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index |
Goldman Sachs & Co. | Long | $ | 16.7951 | $ | 25,901,097 |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX Futures (Cboe) |
Long | January 2020 | 29,402 | $ | 14.63 | 1,000 | $ | 430,004,250 | ||||||||||||
VIX Futures (Cboe) |
Long | February 2020 | 20,358 | 16.63 | 1,000 | 338,451,750 |
Swap Agreements as of December 31, 2019 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index |
Goldman Sachs & Co. | Long | $ | 14.9650 | $ | 23,078,793 |
Foreign Currency Forward Contracts as of December 31, 2020 |
||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||
Yen |
Goldman Sachs International | Long | 01/15/21 | 332,532,517 | 0.009583 | $ | 3,186,670 | |||||||||||
Yen |
UBS AG | Long | 01/15/21 | 287,552,756 | 0.009571 | 2,752,288 | ||||||||||||
Yen |
UBS AG | Short | 01/15/21 | (2,700,000 | ) | 0.009631 | (26,004 | ) |
Foreign Currency Forward Contracts as of December 31, 2019 |
||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||
Yen |
Goldman Sachs International | Long | 01/10/20 | 325,804,302 | 0.009213 | $ | 3,001,477 | |||||||||||
Yen |
UBS AG | Long | 01/10/20 | 888,782,738 | 0.009214 | 8,189,206 | ||||||||||||
Yen |
UBS AG | Short | 01/10/20 | (6,892,531 | ) | 0.009164 | (63,163 | ) |
Futures Positions as of December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Australian Dollar Fx Currency Futures (CME) |
Short | March 2021 | 57 | $ | 77.14 | 1,000 | $ | (4,389,000 | ) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Australian Dollar Fx Currency Futures (CME) |
Short | March 2020 | 160 | $ | 70.31 | 1,000 | $ | (11,260,800 | ) |
Futures Positions as of December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
WTI Crude Oil (NYMEX) |
Short | March 2021 | 1,373 | $ | 48.63 | 1,000 | $ | (66,768,990 | ) | |||||||||||
WTI Crude Oil (NYMEX) |
Short | June 2021 | 1,326 | 48.63 | 1,000 | (64,483,380 | ) | |||||||||||||
WTI Crude Oil (NYMEX) |
Short | December 2021 | 1,309 | 47.68 | 1,000 | (62,413,120 | ) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
WTI Crude Oil (NYMEX) |
Short | March 2020 | 1,864 | $ | 60.77 | 1,000 | $ | (113,275,280 | ) |
Swap Agreements as of December 31, 2019 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg WTI Crude Oil Subindex |
Citibank, N.A. | Short | $ | 90.3776 | $ | (39,727,981 | ) | |||||
Bloomberg WTI Crude Oil Subindex |
Goldman Sachs International | Short | 90.3776 | (37,407,865 | ) | |||||||
Bloomberg WTI Crude Oil Subindex |
Royal Bank of Canada | Short | 90.3776 | (31,487,418 | ) | |||||||
Bloomberg WTI Crude Oil Subindex |
Societe Generale | Short | 90.3776 | (9,213,127 | ) | |||||||
Bloomberg WTI Crude Oil Subindex |
UBS AG | Short | 90.3776 | (19,757,339 | ) |
Futures Positions as of December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Natural Gas (NYMEX) |
Short | March 2021 | 1,978 | $ | 2.53 | 10,000 | $ | (49,964,280 | ) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Natural Gas (NYMEX) |
Short | March 2020 | 1,160 | $ | 2.16 | 10,000 | $ | (25,032,800 | ) |
Foreign Currency Forward Contracts as of December 31, 2020 |
||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Euro |
UBS AG | Long | 01/15/21 | 13,080,000 | 1.2215 | $ | 15,977,611 | |||||||||||||
Euro |
Goldman Sachs International | Short | 01/15/21 | (37,401,263 | ) | 1.2116 | (45,314,846 | ) | ||||||||||||
Euro |
UBS AG | Short | 01/15/21 | (62,356,199 | ) | 1.2099 | (75,442,991 | ) |
Foreign Currency Forward Contracts as of December 31, 2019 |
||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Euro |
UBS AG | Long | 01/10/20 | 19,396,955 | 1.1162 | $ | 21,651,280 | |||||||||||||
Euro |
Goldman Sachs International | Short | 01/10/20 | (112,762,143 | ) | 1.1121 | (125,406,162 | ) | ||||||||||||
Euro |
UBS AG | Short | 01/10/20 | (122,358,446 | ) | 1.1121 | (136,077,171 | ) |
Futures Positions as of December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Gold Futures (COMEX) |
Short | February 2021 | 123 | $ | 1,895.10 | 100 | $ | (23,309,730 | ) |
Swap Agreements as of December 31, 2020 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Gold Subindex |
Citibank, N.A. | Short | $ | 210.3915 | $ | (5,159,914 | ) | |||||
Bloomberg Gold Subindex |
Goldman Sachs International | Short | 210.3915 | (5,337,170 | ) | |||||||
Bloomberg Gold Subindex |
UBS AG | Short | 210.3915 | (6,832,076 | ) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Gold Futures (COMEX) |
Short | February 2020 | 76 | $ | 1,523.10 | 100 | $ | (11,575,560 | ) |
Swap Agreements as of December 31, 2019 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Gold Subindex |
Citibank, N.A. | Short | $ | 174.6300 | $ | (13,940,590 | ) | |||||
Bloomberg Gold Subindex |
Goldman Sachs International | Short | 174.6300 | (6,884,579 | ) | |||||||
Bloomberg Gold Subindex |
UBS AG | Short | 174.6300 | (9,756,431 | ) |
Futures Positions as of December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Silver Futures (COMEX) |
Short | March 2021 | 89 | $ | 26.41 | 5,000 | $ | (11,753,339 | ) |
Swap Agreements as of December 31, 2020 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Silver Subindex |
Citibank, N.A. | Short | $ | 241.4130 | $ | (19,685,715 | ) | |||||
Bloomberg Silver Subindex |
Goldman Sachs International | Short | 241.4130 | (15,107,629 | ) | |||||||
Bloomberg Silver Subindex |
Morgan Stanley & Co. International PLC | Short | 241.4130 | (3,402,233 | ) | |||||||
Bloomberg Silver Subindex |
UBS AG | Short | 241.4130 | (7,837,258 | ) |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Silver Futures (COMEX) |
Short | March 2020 | 27 | $ | 17.92 | 5,000 | $ | (2,419,335 | ) |
Swap Agreements as of December 31, 2019 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Silver Subindex |
Citibank, N.A. | Short | $ | 170.1072 | $ | (9,595,700 | ) | |||||
Bloomberg Silver Subindex |
Goldman Sachs International | Short | 170.1072 | (4,926,137 | ) | |||||||
Bloomberg Silver Subindex |
UBS AG | Short | 170.1072 | (10,687,683 | ) |
Foreign Currency Forward Contracts as of December 31, 2020 |
||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||
Yen |
UBS AG | Long | 01/15/21 | 315,800,000 | 0.009664 | $ | 3,051,852 | |||||||||||
Yen |
Goldman Sachs International | Short | 01/15/21 | (2,009,085,165 | ) | 0.009583 | (19,253,129 | ) | ||||||||||
Yen |
UBS AG | Short | 01/15/21 | (3,196,558,875 | ) | 0.009572 | (30,597,154 | ) |
Foreign Currency Forward Contracts as of December 31, 2019 |
||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||
Yen |
UBS AG | Long | 01/10/20 | 1,025,624,482 | 0.009170 | $ | 9,404,720 | |||||||||||
Yen |
Goldman Sachs International | Short | 01/10/20 | (4,448,656,033 | ) | 0.009213 | (40,983,307 | ) | ||||||||||
Yen |
UBS AG | Short | 01/10/20 | (4,893,578,348 | ) | 0.009211 | (45,072,829 | ) |
Futures Positions as of December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX Futures (Cboe) |
Long | April 2021 | 463 | $ | 25.95 | 1,000 | $ | 12,014,850 | ||||||||||||
VIX Futures (Cboe) |
Long | May 2021 | 926 | 25.93 | 1,000 | 24,006,550 | ||||||||||||||
VIX Futures (Cboe) |
Long | June 2021 | 926 | 25.93 | 1,000 | 24,006,550 | ||||||||||||||
VIX Futures (Cboe) |
Long | July 2021 | 463 | 26.00 | 1,000 | 12,038,000 |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX Futures (Cboe) |
Long | April 2020 | 511 | $ | 17.43 | 1,000 | $ | 8,904,175 | ||||||||||||
VIX Futures (Cboe) |
Long | May 2020 | 865 | 17.58 | 1,000 | 15,202,375 | ||||||||||||||
VIX Futures (Cboe) |
Long | June 2020 | 865 | 17.88 | 1,000 | 15,461,875 | ||||||||||||||
VIX Futures (Cboe) |
Long | July 2020 | 354 | 18.13 | 1,000 | 6,416,250 |
Futures Positions as of December 31, 2020 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX Futures (Cboe) |
Long | January 2021 | 5,948 | $ | 23.68 | 1,000 | $ | 140,818,900 | ||||||||||||
VIX Futures (Cboe) |
Long | February 2021 | 5,953 | 25.58 | 1,000 | 152,247,975 |
Futures Positions as of December 31, 2019 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX Futures (Cboe) |
Long | January 2020 | 10,706 | $ | 14.63 | 1,000 | $ | 156,575,250 | ||||||||||||
VIX Futures (Cboe) |
Long | February 2020 | 7,415 | 16.63 | 1,000 | 123,274,375 |
Item 8. |
Financial Statements and Supplementary Data. |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | 1,992 | $ | (5,552 | ) | $ | (5,267 | ) | $ | (7,950 | ) | $ | (16,777 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 48,656 | $ | (40,824 | ) | $ | (92,556 | ) | $ | (146,897 | ) | $ | (231,621 | ) | ||||||
Net income (loss) |
$ | 50,648 | $ | (46,376 | ) | $ | (97,823 | ) | $ | (154,847 | ) | $ | (248,398 | ) | ||||||
Net increase (decrease) in net asset value per share |
$ | 1.02 | $ | (0.93 | ) | $ | (1.96 | ) | $ | (1.85 | ) | $ | (3.72 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 37,625 | $ | 71,866 | $ | 60,251 | $ | 6,509 | $ | 176,251 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 350,977 | $ | (157,901 | ) | $ | 963,281 | $ | (153,379 | ) | $ | 1,002,978 | ||||||||
Net income (loss) |
$ | 388,602 | $ | (86,035 | ) | $ | 1,023,532 | $ | (146,870 | ) | $ | 1,179,229 | ||||||||
Net increase (decrease) in net asset value per share |
$ | 1.33 | $ | (0.18 | ) | $ | 2.38 | $ | (0.99 | ) | $ | 2.54 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | (355,596 | ) | $ | (2,142,980 | ) | $ | (1,544,734 | ) | $ | (1,226,252 | ) | $ | (5,269,562 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (223,244,946 | ) | $ | 32,313,676 | $ | 59,129,906 | $ | 57,283,419 | $ | (74,517,945 | ) | ||||||||
Net income (loss) |
$ | (223,600,542 | ) | $ | 30,170,696 | $ | 57,585,172 | $ | 56,057,167 | $ | (79,787,507 | ) | ||||||||
Net increase (decrease) in net asset value per share |
$ | (34.60 | ) | $ | 0.38 | $ | 3.97 | $ | 6.05 | $ | (24.20 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 45,436 | $ | 725,505 | $ | 366,033 | $ | 25,189 | $ | 1,162,163 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 81,676,814 | $ | 15,996,074 | $ | (4,250,833 | ) | $ | 56,953,543 | $ | 150,375,598 | |||||||||
Net income (loss) |
$ | 81,722,250 | $ | 16,721,579 | $ | (3,884,800 | ) | $ | 56,978,732 | $ | 151,537,761 | |||||||||
Net increase (decrease) in net asset value per share |
$ | 9.95 | $ | 2.20 | $ | (0.58 | ) | $ | 11.69 | $ | 23.26 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | 404,884 | $ | (3,994,835 | ) | $ | (4,420,342 | ) | $ | (3,013,018 | ) | $ | (11,023,311 | ) | ||||||
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|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (827,975,458 | ) | $ | (10,241,862 | ) | $ | 53,323,977 | $ | 236,808,671 | $ | (548,084,672 | ) | |||||||
Net income (loss) |
$ | (827,570,574 | ) | $ | (14,236,697 | ) | $ | 48,903,635 | $ | 233,795,653 | $ | (559,107,983 | ) | |||||||
Net increase (decrease) in net asset value per share |
$ | (469.08 | ) | $ | (11.56 | ) | $ | 0.15 | $ | 7.64 | $ | (472.85 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 1,095,944 | $ | 1,231,167 | $ | 964,368 | $ | 573,105 | $ | 3,864,584 | ||||||||||
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|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 219,922,437 | $ | (11,746,328 | ) | $ | (44,341,886 | ) | $ | 89,750,924 | $ | 253,585,147 | ||||||||
Net income (loss) |
$ | 221,018,381 | $ | (10,515,161 | ) | $ | (43,377,518 | ) | $ | 90,324,029 | $ | 257,449,731 | ||||||||
Net increase (decrease) in net asset value per share |
$ | 211.57 | $ | (47.34 | ) | $ | (88.80 | ) | $ | 107.34 | $ | 182.77 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | (2,351 | ) | $ | (121,296 | ) | $ | (323,543 | ) | $ | (492,710 | ) | $ | (939,900 | ) | |||||
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|
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|
|
|
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|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (27,255,588 | ) | $ | (11,257,966 | ) | $ | 36,401,329 | $ | (42,062,709 | ) | $ | (44,174,934 | ) | ||||||
Net income (loss) |
$ | (27,257,939 | ) | $ | (11,379,262 | ) | $ | 36,077,786 | $ | (42,555,419 | ) | $ | (45,114,834 | ) | ||||||
Net increase (decrease) in net asset value per share |
$ | (42.15 | ) | $ | (13.51 | ) | $ | 6.05 | $ | (13.36 | ) | $ | (62.97 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 44,045 | $ | 49,884 | $ | 64,345 | $ | 4,114 | $ | 162,388 | ||||||||||
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|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (2,956,899 | ) | $ | (8,646,662 | ) | $ | 1,504,321 | $ | (14,608,364 | ) | $ | (24,707,604 | ) | ||||||
Net income (loss) |
$ | (2,912,854 | ) | $ | (8,596,778 | ) | $ | 1,568,666 | $ | (14,604,250 | ) | $ | (24,545,216 | ) | ||||||
Net increase (decrease) in net asset value per share |
$ | (49.55 | ) | $ | (64.75 | ) | $ | (9.80 | ) | $ | (44.76 | ) | $ | (168.86 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | 3,247 | $ | (8,702 | ) | $ | (12,155 | ) | $ | (9,996 | ) | $ | (27,606 | ) | ||||||
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|
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|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (274,810 | ) | $ | 78,773 | $ | 357,397 | $ | 321,206 | $ | 482,566 | |||||||||
Net income (loss) |
$ | (271,563 | ) | $ | 70,071 | $ | 345,242 | $ | 311,210 | $ | 454,960 | |||||||||
Net increase (decrease) in net asset value per share |
$ | (0.63 | ) | $ | 0.40 | $ | 1.10 | $ | 1.13 | $ | 2.00 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 20,829 | $ | 18,923 | $ | 12,333 | $ | 6,443 | $ | 58,528 | ||||||||||
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|
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|
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|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (452,758 | ) | $ | 75,978 | $ | (546,620 | ) | $ | 252,983 | $ | (670,417 | ) | |||||||
Net income (loss) |
$ | (431,929 | ) | $ | 94,901 | $ | (534,287 | ) | $ | 259,426 | $ | (611,889 | ) | |||||||
Net increase (decrease) in net asset value per share |
$ | (0.80 | ) | $ | 0.21 | $ | (1.33 | ) | $ | 0.62 | $ | (1.30 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | 108,908 | $ | (279,921 | ) | $ | (617,991 | ) | $ | (635,526 | ) | $ | (1,424,530 | ) | ||||||
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|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 2,400,696 | $ | 30,258,340 | $ | 7,687,705 | $ | (5,247,845 | ) | $ | 35,098,896 | |||||||||
Net income (loss) |
$ | 2,509,604 | $ | 29,978,419 | $ | 7,069,714 | $ | (5,883,371 | ) | $ | 33,674,366 | |||||||||
Net increase (decrease) in net asset value per share |
$ | 3.23 | $ | 12.54 | $ | 3.88 | $ | (1.29 | ) | $ | 18.36 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 212,786 | $ | 228,086 | $ | 254,636 | $ | 207,429 | $ | 902,937 | ||||||||||
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|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 279,826 | $ | 12,185,406 | $ | 4,937,206 | $ | 6,001,591 | $ | 23,404,029 | ||||||||||
Net income (loss) |
$ | 492,612 | $ | 12,413,492 | $ | 5,191,842 | $ | 6,209,020 | $ | 24,306,966 | ||||||||||
Net increase (decrease) in net asset value per share |
$ | 0.20 | $ | 6.46 | $ | 2.75 | $ | 2.68 | $ | 12.09 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | 276,832 | $ | (335,243 | ) | $ | (1,497,215 | ) | $ | (1,618,419 | ) | $ | (3,174,045 | ) | ||||||
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|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (88,759,485 | ) | $ | 80,688,373 | $ | 90,925,025 | $ | 127,443,707 | $ | 210,297,620 | |||||||||
Net income (loss) |
$ | (88,482,653 | ) | $ | 80,353,130 | $ | 89,427,810 | $ | 125,825,288 | $ | 207,123,575 | |||||||||
Net increase (decrease) in net asset value per share |
$ | (13.28 | ) | $ | 11.14 | $ | 12.69 | $ | 8.46 | $ | 19.01 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 445,559 | $ | 512,068 | $ | 489,406 | $ | 409,237 | $ | 1,856,270 | ||||||||||
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|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (13,588,404 | ) | $ | 485,637 | $ | 33,071,129 | $ | 18,628,882 | $ | 38,597,244 | |||||||||
Net income (loss) |
$ | (13,142,845 | ) | $ | 997,705 | $ | 33,560,535 | $ | 19,038,119 | $ | 40,453,514 | |||||||||
Net increase (decrease) in net asset value per share |
$ | (1.87 | ) | $ | 0.10 | $ | 4.59 | $ | 2.49 | $ | 5.31 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | (729,265 | ) | $ | (2,085,756 | ) | $ | (5,136,994 | ) | $ | (5,671,866 | ) | $ | (13,623,881 | ) | |||||
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|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 902,602,146 | $ | (233,381,670 | ) | $ | (544,234,723 | ) | $ | (759,178,251 | ) | $ | (634,192,498 | ) | ||||||
Net income (loss) |
$ | 901,872,881 | $ | (235,467,426 | ) | $ | (549,371,717 | ) | $ | (764,850,117 | ) | $ | (647,816,379 | ) | ||||||
Net increase (decrease) in net asset value per share |
$ | 45.85 | $ | (25.59 | ) | $ | (12.78 | ) | $ | (9.48 | ) | $ | (2.00 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | (150,629 | ) | $ | 507,125 | $ | 128,125 | $ | (389,569 | ) | $ | 95,052 | ||||||||
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|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (234,281,324 | ) | $ | (94,539,260 | ) | $ | (10,108,464 | ) | $ | (351,677,844 | ) | $ | (690,606,892 | ) | |||||
Net income (loss) |
$ | (234,431,953 | ) | $ | (94,032,135 | ) | $ | (9,980,339 | ) | $ | (352,067,413 | ) | $ | (690,511,840 | ) | |||||
Net increase (decrease) in net asset value per share |
$ | (42.46 | ) | $ | (8.63 | ) | $ | (4.99 | ) | $ | (12.71 | ) | $ | (68.79 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | 1,626 | $ | (6,539 | ) | $ | (6,720 | ) | $ | (6,684 | ) | $ | (18,317 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (27,796 | ) | $ | (37,886 | ) | $ | 125,045 | $ | 113,503 | $ | 172,866 | ||||||||
Net income (loss) |
$ | (26,170 | ) | $ | (44,425 | ) | $ | 118,325 | $ | 106,819 | $ | 154,549 | ||||||||
Net increase (decrease) in net asset value per share |
$ | 0.38 | $ | (0.89 | ) | $ | 2.37 | $ | 2.14 | $ | 4.00 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 14,571 | $ | 9,668 | $ | 8,446 | $ | 5,829 | $ | 38,514 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (189,904 | ) | $ | 154,832 | $ | (38,615 | ) | $ | (55,889 | ) | $ | (129,576 | ) | ||||||
Net income (loss) |
$ | (175,333 | ) | $ | 164,500 | $ | (30,169 | ) | $ | (50,060 | ) | $ | (91,062 | ) | ||||||
Net increase (decrease) in net asset value per share |
$ | (1.88 | ) | $ | 2.44 | $ | (1.03 | ) | $ | (1.23 | ) | $ | (1.70 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | 3,425 | $ | (16,185 | ) | $ | (13,294 | ) | $ | (10,614 | ) | $ | (36,668 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 1,618,330 | $ | (1,600,140 | ) | $ | (427,080 | ) | $ | (538,450 | ) | $ | (947,340 | ) | ||||||
Net income (loss) |
$ | 1,621,755 | $ | (1,616,325 | ) | $ | (440,374 | ) | $ | (549,064 | ) | $ | (984,008 | ) | ||||||
Net increase (decrease) in net asset value per share |
$ | 16.21 | $ | (16.16 | ) | $ | (4.40 | ) | $ | (7.29 | ) | $ | (11.64 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 25,789 | $ | 25,895 | $ | 19,953 | $ | 8,688 | $ | 80,325 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (314,459 | ) | $ | 175,523 | $ | 663,547 | $ | (427,020 | ) | $ | 97,591 | ||||||||
Net income (loss) |
$ | (288,670 | ) | $ | 201,418 | $ | 683,500 | $ | (418,332 | ) | $ | 177,916 | ||||||||
Net increase (decrease) in net asset value per share |
$ | (0.88 | ) | $ | 1.34 | $ | 4.75 | $ | (4.42 | ) | $ | 0.79 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | (30,713 | ) | $ | (782,726 | ) | $ | (342,320 | ) | $ | (312,419 | ) | $ | (1,468,178 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 128,255,359 | $ | (82,149,072 | ) | $ | (10,448,715 | ) | $ | (30,195,830 | ) | $ | 5,461,742 | |||||||
Net income (loss) |
$ | 128,224,646 | $ | (82,931,798 | ) | $ | (10,791,035 | ) | $ | (30,508,249 | ) | $ | 3,993,564 | |||||||
Net increase (decrease) in net asset value per share |
$ | 36.88 | $ | (30.77 | ) | $ | (1.68 | ) | $ | (5.01 | ) | $ | (0.58 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 185,815 | $ | 215,797 | $ | 200,283 | $ | 107,904 | $ | 709,799 | ||||||||||
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|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (42,073,393 | ) | $ | 7,580,828 | $ | 10,965,855 | $ | (21,789,492 | ) | $ | (45,316,202 | ) | |||||||
Net income (loss) |
$ | (41,887,578 | ) | $ | 7,796,625 | $ | 11,166,138 | $ | (21,681,588 | ) | $ | (44,606,403 | ) | |||||||
Net increase (decrease) in net asset value per share |
$ | (12.90 | ) | $ | (0.03 | ) | $ | (0.46 | ) | $ | (4.21 | ) | $ | (17.60 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | (22,279 | ) | $ | (87,047 | ) | $ | (249,586 | ) | $ | (190,679 | ) | $ | (549,591 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 8,961,788 | $ | 2,461,452 | $ | (22,480,855 | ) | $ | 10,785,426 | $ | (272,189 | ) | ||||||||
Net income (loss) |
$ | 8,939,509 | $ | 2,374,405 | $ | (22,730,441 | ) | $ | 10,594,747 | $ | (821,780 | ) | ||||||||
Net increase (decrease) in net asset value per share |
$ | 24.85 | $ | 3.83 | $ | (28.89 | ) | $ | 9.27 | $ | 9.06 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 19,484 | $ | 11,719 | $ | 4,656 | $ | (6,442 | ) | $ | 29,417 | |||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 1,002,714 | $ | 2,903,656 | $ | 723,285 | $ | 4,491,526 | $ | 9,121,181 | ||||||||||
Net income (loss) |
$ | 1,022,198 | $ | 2,915,375 | $ | 727,941 | $ | 4,485,084 | $ | 9,150,598 | ||||||||||
Net increase (decrease) in net asset value per share |
$ | 1.04 | $ | 8.10 | $ | (1.33 | ) | $ | 9.11 | $ | 16.92 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | 136,215 | $ | (145,604 | ) | $ | (144,828 | ) | $ | (132,797 | ) | $ | (287,014 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 4,237,534 | $ | (3,555,551 | ) | $ | (5,985,376 | ) | $ | (4,566,008 | ) | $ | (9,869,401 | ) | ||||||
Net income (loss) |
$ | 4,373,749 | $ | (3,701,155 | ) | $ | (6,130,204 | ) | $ | (4,698,805 | ) | $ | (10,156,415 | ) | ||||||
Net increase (decrease) in net asset value per share |
$ | 1.02 | $ | (1.09 | ) | $ | (2.24 | ) | $ | (1.96 | ) | $ | (4.27 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 434,473 | $ | 471,256 | $ | 371,679 | $ | 251,422 | $ | 1,528,830 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 7,754,055 | $ | (1,896,379 | ) | $ | 12,977,337 | $ | (5,841,242 | ) | $ | 12,993,771 | ||||||||
Net income (loss) |
$ | 8,188,528 | $ | (1,425,123 | ) | $ | 13,349,016 | $ | (5,589,820 | ) | $ | 14,522,601 | ||||||||
Net increase (decrease) in net asset value per share |
$ | 1.40 | $ | (0.28 | ) | $ | 2.63 | $ | (1.22 | ) | $ | 2.53 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | 15,678 | $ | (41,386 | ) | $ | (47,471 | ) | $ | (50,453 | ) | $ | (123,632 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (3,253,908 | ) | $ | (4,728,202 | ) | $ | (1,332,476 | ) | $ | (706,781 | ) | $ | (10,021,367 | ) | |||||
Net income (loss) |
$ | (3,238,230 | ) | $ | (4,769,588 | ) | $ | (1,379,947 | ) | $ | (757,234 | ) | $ | (10,144,999 | ) | |||||
Net increase (decrease) in net asset value per share |
$ | (7.00 | ) | $ | (10.56 | ) | $ | (3.42 | ) | $ | (0.61 | ) | $ | (21.59 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 47,471 | $ | 52,582 | $ | 53,681 | $ | 32,980 | $ | 186,714 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (290,878 | ) | $ | (3,257,747 | ) | $ | (767,290 | ) | $ | (1,417,644 | ) | $ | (5,733,559 | ) | |||||
Net income (loss) |
$ | (243,407 | ) | $ | (3,205,165 | ) | $ | (713,609 | ) | $ | (1,384,664 | ) | $ | (5,546,845 | ) | |||||
Net increase (decrease) in net asset value per share |
$ | (0.86 | ) | $ | (11.28 | ) | $ | (4.58 | ) | $ | (3.54 | ) | $ | (20.26 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | 3,419 | $ | (30,713 | ) | $ | (94,990 | ) | $ | (99,372 | ) | $ | (221,656 | ) | ||||||
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|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 5,032,696 | $ | (6,631,810 | ) | $ | (4,767,086 | ) | $ | (11,865,871 | ) | $ | (18,232,071 | ) | ||||||
Net income (loss) |
$ | 5,036,115 | $ | (6,662,523 | ) | $ | (4,862,076 | ) | $ | (11,965,243 | ) | $ | (18,453,727 | ) | ||||||
Net increase (decrease) in net asset value per share |
$ | 9.78 | $ | (16.92 | ) | $ | (9.93 | ) | $ | (2.76 | ) | $ | (19.83 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 31,554 | $ | 42,177 | $ | 40,671 | $ | 17,511 | $ | 131,913 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 745,325 | $ | (596,758 | ) | $ | (2,836,930 | ) | $ | (2,053,612 | ) | $ | (4,741,975 | ) | ||||||
Net income (loss) |
$ | 776,879 | $ | (554,581 | ) | $ | (2,796,259 | ) | $ | (2,036,100 | ) | $ | (4,610,061 | ) | ||||||
Net increase (decrease) in net asset value per share |
$ | 2.05 | $ | (0.96 | ) | $ | (8.35 | ) | $ | (3.11 | ) | $ | (10.37 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | 41,746 | $ | (59,287 | ) | $ | (55,870 | ) | $ | (55,791 | ) | $ | (129,202 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (1,203,589 | ) | $ | 177,209 | $ | (1,250,130 | ) | $ | (1,005,096 | ) | $ | (3,281,606 | ) | ||||||
Net income (loss) |
$ | (1,161,843 | ) | $ | 117,922 | $ | (1,306,000 | ) | $ | (1,060,887 | ) | $ | (3,410,808 | ) | ||||||
Net increase (decrease) in net asset value per share |
$ | (2.27 | ) | $ | 0.50 | $ | (3.65 | ) | $ | (3.12 | ) | $ | (8.54 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 167,574 | $ | 175,443 | $ | 137,637 | $ | 74,820 | $ | 555,474 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 2,090,200 | $ | (2,316,880 | ) | $ | 605,022 | $ | 862,500 | $ | 1,240,842 | |||||||||
Net income (loss) |
$ | 2,257,774 | $ | (2,141,437 | ) | $ | 742,659 | $ | 937,320 | $ | 1,796,316 | |||||||||
Net increase (decrease) in net asset value per share |
$ | 2.58 | $ | (3.01 | ) | $ | 1.27 | $ | 1.64 | $ | 2.48 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | 47,920 | $ | (133,713 | ) | $ | (204,460 | ) | $ | (215,919 | ) | $ | (506,172 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 23,739,395 | $ | 882,882 | $ | 2,507,925 | $ | (10,528,768 | ) | $ | 16,601,434 | |||||||||
Net income (loss) |
$ | 23,787,315 | $ | 749,169 | $ | 2,303,465 | $ | (10,744,687 | ) | $ | 16,095,262 | |||||||||
Net increase (decrease) in net asset value per share |
$ | 17.47 | $ | 1.66 | $ | 0.59 | $ | (4.26 | ) | $ | 15.46 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 149,266 | $ | 133,606 | $ | 129,497 | $ | 80,844 | $ | 493,213 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (10,628,469 | ) | $ | (852,138 | ) | $ | 4,127,635 | $ | (4,913,553 | ) | $ | (12,266,525 | ) | ||||||
Net income (loss) |
$ | (10,479,203 | ) | $ | (718,532 | ) | $ | 4,257,132 | $ | (4,832,709 | ) | $ | (11,773,312 | ) | ||||||
Net increase (decrease) in net asset value per share |
$ | (5.01 | ) | $ | (0.22 | ) | $ | 2.08 | $ | (2.23 | ) | $ | (5.38 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 |
|||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) |
$ | 144,025 | $ | (443,622 | ) | $ | (758,225 | ) | $ | (835,140 | ) | $ | (1,892,962 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | 393,640,032 | $ | (52,714,687 | ) | $ | (74,563,669 | ) | $ | (101,250,010 | ) | $ | 165,111,666 | |||||||
Net income (loss) |
$ | 393,784,057 | $ | (53,158,309 | ) | $ | (75,321,894 | ) | $ | (102,085,150 | ) | $ | 163,218,704 | |||||||
Net increase (decrease) in net asset value per share |
$ | 25.66 | $ | (10.03 | ) | $ | (7.40 | ) | $ | (6.77 | ) | $ | 1.46 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) |
$ | 476,702 | $ | 724,602 | $ | 615,421 | $ | 336,674 | $ | 2,153,399 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net realized and unrealized gain (loss) |
$ | (76,190,815 | ) | $ | (23,082,821 | ) | $ | (2,496,651 | ) | $ | (125,351,164 | ) | $ | (227,121,451 | ) | |||||
Net income (loss) |
$ | (75,714,113 | ) | $ | (22,358,219 | ) | $ | (1,881,230 | ) | $ | (125,014,490 | ) | $ | (224,968,052 | ) | |||||
Net increase (decrease) in net asset value per share |
$ | (14.50 | ) | $ | (3.22 | ) | $ | (1.67 | ) | $ | (6.89 | ) | $ | (26.28 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 15 of Part IV in this Annual Report on Form 10-K. |
Item 9. |
Changes in and Disagreements With Accountants on Accounting and Financial Disclosure. |
Item 9A. |
Controls and Procedures. |
Item 9B. |
Other Information. |
Item 10. |
Directors, Executive Officers and Corporate Governance. |
• | selects the Funds’ service providers; |
• | negotiates various agreements and fees; |
• | performs such other services as the Sponsor believes that the Trust may require from time to time; |
• | selects the FCM and Financial Instrument counterparties; |
• | manages each Fund’s portfolio of other assets, including cash equivalents; and |
• | manages the Funds with a view toward achieving the Funds’ investment objectives. |
Name |
Position | |
Michael L. Sapir | Chief Executive Officer and Principal of the Sponsor | |
Louis M. Mayberg | Principal of the Sponsor | |
William E. Seale | Principal of the Sponsor | |
Sapir Family Trust | Principal of the Sponsor | |
Northstar Trust | Principal of the Sponsor | |
Timothy N. Coakley | Chief Financial Officer and Principal of the Sponsor | |
Edward J. Karpowicz | Principal Financial Officer of the Trust and Principal of the Sponsor | |
Todd B. Johnson* | Principal Executive Officer of the Trust and Chief Investment Officer and Principal of the Sponsor | |
Hratch Najarian | Director, Portfolio Management and Principal of the Sponsor | |
Alexander Ilyasov | Senior Portfolio Manager of the Sponsor | |
James Linneman |
Principal and Portfolio Manager of the Sponsor | |
Benjamin McAbee | Principal and Portfolio Manager of the Sponsor | |
Victor M. Frye | Principal of the Sponsor |
* | Denotes principal of the Sponsor who supervises persons who participate in making trading decisions for the Funds. |
Item 11. |
Executive Compensation. |
Fund |
Amount |
|||
ProShares Short Euro |
$ | 24,443 | ||
ProShares Short VIX Short-Term Futures ETF |
4,469,701 | |||
ProShares Ultra Bloomberg Crude Oil |
9,256,478 | |||
ProShares Ultra Bloomberg Natural Gas |
674,810 | |||
ProShares Ultra Euro |
44,302 | |||
ProShares Ultra Gold |
1,916,092 | |||
ProShares Ultra Silver |
3,944,697 | |||
ProShares Ultra VIX Short-Term Futures ETF |
8,835,385 | |||
ProShares Ultra Yen |
27,655 | |||
ProShares UltraPro 3x Crude Oil ETF* |
283,787 | |||
ProShares UltraPro 3x Short Crude Oil ETF* |
117,259 | |||
ProShares UltraShort Australian Dollar |
52,950 | |||
ProShares UltraShort Bloomberg Crude Oil |
1,021,787 | |||
ProShares UltraShort Bloomberg Natural Gas |
308,058 | |||
ProShares UltraShort Euro |
783,692 | |||
ProShares UltraShort Gold |
177,762 | |||
ProShares UltraShort Silver |
237,140 | |||
ProShares UltraShort Yen |
268,213 | |||
ProShares VIX Mid-Term Futures ETF |
579,606 | |||
ProShares VIX Short-Term Futures ETF |
2,193,275 |
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
Item 12. |
Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters. |
Item 13. |
Certain Relationships and Related Transactions, and Director Independence. |
Item 14. |
Principal Accounting Fees and Services. |
(1) | to (4). Fees for services performed by PricewaterhouseCoopers LLP (“PwC”) for the years ended December 31, 2020 and 2019 were as follows: |
Year Ended |
Year Ended |
|||||||
December 31, 2020 |
December 31, 2019 |
|||||||
Audit Fees |
$ | 711,260 | $ | 730,400 | ||||
Audit-Related Fees |
57,000 | — | ||||||
Tax Fees |
3,164,300 | 3,158,000 | ||||||
All Other Fees |
— | — | ||||||
|
|
|
|
|||||
Total Trust: |
$ |
3,932,560 |
$ |
3,888,400 |
||||
|
|
|
|
(5) | The Sponsor approved all of the services provided by PwC described above. The Sponsor pre-approves all audit and allowed non-audit services of the Trust’s independent registered public accounting firm, including all engagement fees and terms. |
Item 15. |
Exhibits and Financial Statement Schedules. |
(1) | Incorporated by reference to the Trust’s Registration Statement, filed on October 18, 2007. |
(2) | Incorporated by reference to the Trust’s Registration Statement, filed on August 15, 2008. |
(3) | Incorporated by reference to the Trust’s Registration Statement, filed on September 18, 2008. |
(4) | Incorporated by reference to the Trust’s Registration Statement, filed on November 17, 2008. |
(5) | Incorporated by reference to the Trust’s Registration Statement, filed on October 22, 2008. |
(6) | Filed herewith. |
Item 16. |
Form 10-K Summary. |
Documents |
Page |
|||
121 | ||||
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity and Statements of Cash Flows: |
||||
123 | ||||
129 | ||||
135 | ||||
141 | ||||
147 | ||||
153 | ||||
159 | ||||
165 | ||||
171 | ||||
177 | ||||
183 | ||||
189 | ||||
195 | ||||
201 | ||||
207 | ||||
213 | ||||
219 | ||||
225 | ||||
231 | ||||
235 |
ProShares Short Euro (a) |
ProShares UltraShort Australian Dollar (a) | |
ProShares Short VIX Short-Term Futures ETF (a) |
ProShares UltraShort Bloomberg Crude Oil (a) | |
ProShares Ultra Bloomberg Crude Oil (a) |
ProShares UltraShort Bloomberg Natural Gas (a) | |
ProShares Ultra Bloomberg Natural Gas (a) |
ProShares UltraShort Euro (a) | |
ProShares Ultra Euro (a) |
ProShares UltraShort Gold (a) | |
ProShares Ultra Gold (a) |
ProShares UltraShort Silver (a) | |
ProShares Ultra Silver (a) |
ProShares UltraShort Yen (a) | |
ProShares Ultra VIX Short-Term Futures ETF (a) |
ProShares VIX Mid-Term Futures ETF (a) | |
ProShares Ultra Yen (a) |
ProShares VIX Short-Term Futures ETF (a) | |
| ||
ProShares Trust II (“combined”) (b) |
(a) | Statements of financial condition, including the schedules of investments, as of December 31, 2020 and 2019, and the related statements of operations, of changes in shareholders’ equity and of cash flows for each of the three years in the period ended December 31, 2020 |
(b) | Combined statements of financial condition as of December 31, 2020 and 2019, and the related combined statements of operations, of changes in shareholders’ equity and of cash flows for each of the three years in the period ended December 31, 2020 |
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ – and $ |
$ | — |
$ | |||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
— | |||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
— |
|||||||
Payable to Sponsor |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Euro Fx Currency Futures - CME, expires March 2021 |
$ | $ | ( |
) |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Euro Fx Currency Futures - CME, expires March 2020 |
$ | $ | ( |
) |
^^ | |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | ( |
) | $ | $ | |||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of – shares, respectively |
— | |||||||||||
Redemption of – , – shares, respectively |
— |
( |
) | — | ||||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of – shares, respectively |
( |
) | — | |||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | $ | |||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
— | ( |
) | ( |
) | |||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
— | ( |
) | — | ||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | — | — | ||||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ( |
) | ( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
||||||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
— | |||||||||||
Payment on shares redeemed |
— | ( |
) | — | ||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | — | |||||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
( |
) | ||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
— | |||||||
Brokerage commissions and fees payable |
— | |||||||
Payable to Sponsor |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires January 2021 |
$ | $ | ||||||||||
VIX Futures - Cboe, expires February 2021 |
||||||||||||
|
|
|||||||||||
$ | ||||||||||||
|
|
^^ | |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires January 2020 |
$ | $ | ||||||||||
VIX Futures - Cboe, expires February 2020 |
( |
) | ||||||||||
|
|
|||||||||||
$ | ||||||||||||
|
|
^^ | |
† | All or partial amount pledged as collateral for futures contracts. |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Brokerage fees |
||||||||||||
Non-recurring fees and expenses |
— | |||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | ||||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | ( |
) | ||||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||||||
Increase (Decrease) in brokerage commissions and fees payable |
— | — | ||||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ||||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
( |
) | ( |
) | ||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Unrealized appreciation on swap agreements |
||||||||
Receivable on open futures contracts |
— | |||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable on open futures contracts |
— | |||||||
Payable to Sponsor |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding (Note 1) |
||||||||
|
|
|
|
|||||
Net asset value per share (Note 1) |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 1) (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Futures Contracts Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires March 2021 |
$ | $ | ||||||||||
WTI Crude Oil - NYMEX, expires June 2021 |
||||||||||||
WTI Crude Oil - NYMEX, expires December 2021 |
||||||||||||
|
|
|||||||||||
$ | ||||||||||||
|
|
Total Return Swap Agreements ^ |
||||||||||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index |
% | $ | $ | |||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index |
||||||||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index |
||||||||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
$ | |||||||||||||||
|
|
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
* | Reflects the floating financing rate, as of December 31, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
|
||||||||
† |
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Futures Contracts Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires March 2020 |
$ | $ |
Total Return Swap Agreements ^ |
||||||||||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex |
% | $ | $ | |||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex |
||||||||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex |
||||||||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex |
||||||||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
$ | |||||||||||||||
|
|
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
* | Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Brokerage fees |
— | — | ||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Swap agreements |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Swap agreements |
( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | ( |
) | ||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ||||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | ||||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ( |
) | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
( |
) | ||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable to Sponsor |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding (Note 1) |
||||||||
|
|
|
|
|||||
Net asset value per share (Note 1) |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 1) (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural Gas - NYMEX, expires March 2021 |
$ | $ |
^^ | |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
||||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural Gas - NYMEX, expires March 2020 |
$ | $ | ( |
) |
^^ | |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Brokerage fees |
— | — | ||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | ||||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | ( |
) | ||||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase (Decrease) in payable on futures contracts |
— | ( |
) | |||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
( |
) | ||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ – and $ |
$ | — |
$ | |||||
Cash |
||||||||
Segregated cash balances with brokers for foreign currency forward contracts |
||||||||
Unrealized appreciation on foreign currency forward contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on foreign currency forward contracts |
— | |||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Euro with Goldman Sachs International |
$ | $ | ||||||||||||||
Euro with UBS AG |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
|||||||||||||||
Contracts to Sell |
||||||||||||||||
Euro with UBS AG |
( |
) | $ | ( |
) | $ | ( |
) | ||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
||||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Euro with Goldman Sachs International |
$ | $ | ||||||||||||||
Euro with UBS AG |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
^ | The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | $ | ( |
) | $ | ( |
) | |||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | $ | ( |
) | $ | ( |
) | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
— | — | ( |
) | ||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ||||||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
( |
) | ||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
— | |||||||
Unrealized appreciation on swap agreements |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable to Sponsor |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold Futures - COMEX, expires February 2021 |
$ | $ |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex |
% | $ | $ | |||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex |
||||||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
* | Reflects the floating financing rate, as of December 31, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
|
||||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold Futures - COMEX, expires February 2020 |
$ | $ |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex |
% | $ | $ | |||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex |
||||||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
* | Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Brokerage fees |
— | — | ||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Swap agreements |
— | |||||||||||
Forward agreements |
— | ( |
) | |||||||||
Short-term U.S. government and agency obligations |
— | ( |
) | |||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
||||||||||||
Swap agreements |
( |
) | — | |||||||||
Forward agreements |
— | ( |
) | |||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | $ | $ | ( |
) | |||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | $ | $ | ( |
) | |||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
— | ( |
) | |||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | ||||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase (Decrease) in payable on futures contracts |
— | ( |
) | |||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
( |
) | ||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
— | |||||||
Unrealized appreciation on swap agreements |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
||||||||
Payable to Sponsor |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
† |
||||||||
† |
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver Futures - COMEX, expires March 2021 |
$ | $ |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex |
% | $ | $ | |||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex |
||||||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex |
||||||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
$ | |||||||||||||||
|
|
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
* | Reflects the floating financing rate, as of December 31, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
|
||||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver Futures - COMEX, expires March 2020 |
$ | $ |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex |
% | $ | $ | |||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex |
||||||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
$ | |||||||||||||||
|
|
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
* | Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Brokerage fees |
— | |||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Swap agreements |
( |
) | — | |||||||||
Forward agreements |
— | ( |
) | |||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
||||||||||||
Swap agreements |
— | |||||||||||
Forward agreements |
— | ( |
) | |||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | $ | $ | ( |
) | |||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | $ | $ | ( |
) | |||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized g a in (loss) on investments |
( |
) | ( |
) | ||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease (Increase) in receivable on futures contracts |
— | — | ||||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase (Decrease) in payable on futures contracts |
||||||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
||||||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
||||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Receivable from capital shares sold |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and fees payable |
— | |||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on swap agreements |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
due |
||||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires January 2021 |
$ | $ | ( |
) | ||||||||
VIX Futures - Cboe, expires February 2021 |
( |
) | ||||||||||
|
|
|||||||||||
$ | ( |
) | ||||||||||
|
|
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index |
% | $ | $ | ( |
) | |||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
|
|
† |
All or partial amount pledged as collateral for futures contracts. |
^ |
The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
* | Reflects the floating financing rate, as of December 31, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
† |
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires January 2020 |
$ | $ | ( |
) | ||||||||
VIX Futures - Cboe, expires February 2020 |
( |
) | ||||||||||
|
|
|||||||||||
$ | ( |
) | ||||||||||
|
|
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index |
% | $ | $ | ( |
) | |||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
|
|
† | All or partial amount pledged as collateral for futures contracts. |
^ | The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
* | Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Brokerage fees |
— | |||||||||||
Non-recurring fees and expenses |
— | |||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||
Swap agreements |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
— |
( |
) | |||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||
Swap agreements |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
— |
( |
) | |||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | ||||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase (Decrease) in brokerage commissions and fees payable |
— | — | ||||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ||||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
||||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $ |
$ | — |
$ | |||||
Cash |
||||||||
Segregated cash balances with brokers for foreign currency forward contracts |
||||||||
Unrealized appreciation on foreign currency forward contracts |
— | |||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on foreign currency forward contracts |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Yen with Goldman Sachs International |
$ | $ | ||||||||||||||
Yen with UBS AG |
||||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
|||||||||||||||
Contracts to Sell |
||||||||||||||||
Yen with UBS AG |
( |
) | $ | ( |
) | $ | ( |
) | ||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Yen with Goldman Sachs International |
$ | $ | ( |
) | ||||||||||||
Yen with UBS AG |
( |
) | ||||||||||||||
|
|
|||||||||||||||
$ | ( |
) | ||||||||||||||
|
|
|||||||||||||||
Contracts to Sell |
||||||||||||||||
Yen with UBS AG |
( |
) | $ | ( |
) | $ | ( |
) | ||||||||
|
|
|||||||||||||||
$ | ( |
) | ||||||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
^ | The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Foreign currency forward contracts |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
— | ( |
) | — | ||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Foreign currency forward contracts |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | $ | ( |
) | $ | |||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of –, |
— | |||||||||||
Redemption of |
( |
) | ( |
) | — | |||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||
Net realized gain (loss) |
( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | $ | ( |
) | $ | |||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
— | — | ||||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
— | — | ||||||||||
Payment on shares redeemed |
( |
) | ( |
) | — | |||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | — | |||||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
( |
) | ||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $ |
$ | — | $ | |||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
||||||||
Payable to Sponsor |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Australian Dollar Fx Currency Futures - CME, expires March 2021 |
$ | $ | ( |
) |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
||||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Australian Dollar Fx Currency Futures - CME, expires March 2020 |
$ | $ | ( |
) |
^^ | |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
— | ( |
) | |||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | ( |
) | $ | $ | |||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of –, |
— | |||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | $ | |||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
— | ( |
) | |||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease (Increase) in receivable on futures contracts |
— | ( |
) | |||||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ( |
) | ||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ( |
) | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
— | |||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
( |
) | ||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $ |
$ | — |
$ | |||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Receivable from capital shares sold |
— |
|||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
— | |||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on swap agreements |
— |
|||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires March 2021 |
$ | $ | ( |
) | ||||||||
WTI Crude Oil - NYMEX, expires June 2021 |
( |
) | ||||||||||
WTI Crude Oil - NYMEX, expires December 2021 |
( |
) | ||||||||||
|
|
|||||||||||
$ | ( |
) | ||||||||||
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
† |
||||||||
|
||||||||
† |
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires March 2020 |
$ | $ | ( |
) |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex |
% | $ | ( |
) | $ | ( |
) | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex |
( |
) | ( |
) | ||||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex |
( |
) | ( |
) | ||||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex |
( |
) | ( |
) | ||||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex |
( |
) | ( |
) | ||||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
* | Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Brokerage fees |
— | — | ||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||
Swap agreements |
( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||
Swap agreements |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | $ | ( |
) | $ | |||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | $ | ( |
) | $ | |||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | ( |
) | ||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | ( |
) | ||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ( |
) | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
||||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable on open futures contracts |
||||||||
Payable to Sponsor |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural Gas - NYMEX, expires March 2021 |
$ | $ |
^^ | |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural Gas - NYMEX, expires March 2020 |
$ | $ |
^^ | |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Brokerage fees |
— | — | ||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | — | — | ||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ( |
) | ||||||||
Net realized gain (loss) |
( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
— | — | ||||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ||||||||||
Decrease (Increase) in receivable on futures contracts |
— |
( |
) | |||||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ||||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
( |
) | ||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for foreign currency forward contracts |
— | |||||||
Unrealized appreciation on foreign currency forward contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on foreign currency forward contracts |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Euro with UBS AG |
$ | $ | ||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
|||||||||||||||
Contracts to Sell |
||||||||||||||||
Euro with Goldman Sachs International |
( |
) | $ | ( |
) | $ | ( |
) | ||||||||
Euro with UBS AG |
( |
) | ( |
) | ( |
) | ||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
|
|
† | All or partial amount pledged as collateral for foreign currency forward contracts. |
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
† |
||||||||
|
||||||||
† |
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Euro with UBS AG |
$ | $ | ||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
|||||||||||||||
Contracts to Sell |
||||||||||||||||
Euro with Goldman Sachs International |
( |
) | $ | ( |
) | $ | ( |
) | ||||||||
Euro with UBS AG |
( |
) | ( |
) | ( |
) | ||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
$( |
|||||||||||||||
|
|
† | All or partial amount pledged as collateral for foreign currency forward contracts. |
^ | The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Foreign currency forward contracts |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Foreign currency forward contracts |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | ( |
) | $ | $ | |||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | $ | |||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | ||||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
||||||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
( |
) | ||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $ |
$ | — | $ | |||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Receivable on open futures contracts |
— | |||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on swap agreements |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold Futures - COMEX, expires February 2021 |
$ | $ | ( |
) |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex |
% | $ | ( |
) | $ | ( |
) | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex |
( |
) | ( |
) | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex |
( |
) | ( |
) | ||||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
* | Reflects the floating financing rate, as of December 31, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
† |
||||||||
|
||||||||
† |
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold Futures - COMEX, expires February 2020 |
$ | $ | ( |
) |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex |
% | $ | ( |
) | $ | ( |
) | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex |
( |
) | ( |
) | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex |
( |
) | ( |
) | ||||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
* | Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Brokerage fees |
— | — | ||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||
Swap agreements |
( |
) | ( |
) | — | |||||||
Forward agreements |
— |
( |
) | |||||||||
Short-term U.S. government and agency obligations |
— |
|||||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||
Swap agreements |
( |
) | — | |||||||||
Forward agreements |
— |
|||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
— |
( |
) | ( |
) | |||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | ( |
) | ||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ( |
) | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
( |
) | ||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $ |
$ | — |
$ | |||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on swap agreements |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver Futures - COMEX, expires March 2021 |
$ | $ | ( |
) |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex |
% | $ | ( |
) | $ | ( |
) | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex |
( |
) | ( |
) | ||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex |
( |
) | ( |
) | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex |
( |
) | ( |
) | ||||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
* | Reflects the floating financing rate, as of December 31, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
† |
||||||||
† |
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver Futures - COMEX, expires March 2020 |
$ | $ | ( |
) |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex |
% | $ | ( |
) | $ | ( |
) | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex |
( |
) | ( |
) | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex |
( |
) | ( |
) | ||||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
|
|
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
* | Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Brokerage fees |
— | — | ||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||
Swap agreements |
( |
) | ( |
) | — | |||||||
Forward agreements |
— |
( |
) | |||||||||
Short-term U.S. government and agency obligations |
— |
( |
) | |||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||
Swap agreements |
( |
) | ( |
) | — | |||||||
Forward agreements |
— |
( |
) | |||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
— |
( |
) | |||||||||
Change in unrealized appreciation (depreciation) on investments |
||||||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | ( |
) | — | |||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase (Decrease) in payable on futures contracts |
||||||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
( |
) | ||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $ |
$ | — |
$ | |||||
Cash |
||||||||
Segregated cash balances with brokers for foreign currency forward contracts |
— | |||||||
Unrealized appreciation on foreign currency forward contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on foreign currency forward contracts |
— | |||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Foreign Currency Forward Contracts ^ |
||||||||||||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Yen with UBS AG |
$ | $ | ||||||||||||||
|
|
|||||||||||||||
|
Total Unrealized Appreciation |
|
$ | |||||||||||||
|
|
|||||||||||||||
Contracts to Sell |
||||||||||||||||
Yen with Goldman Sachs International |
( |
) | $ | ( |
) | $ | ( |
) | ||||||||
Yen with UBS AG |
( |
) | ( |
) | ( |
) | ||||||||||
|
|
|||||||||||||||
|
Total Unrealized Depreciation |
|
$ | ( |
) | |||||||||||
|
|
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
† |
||||||||
|
||||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Foreign Currency Forward Contracts ^ |
||||||||||||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Yen with UBS AG |
$ | $ | ||||||||||||||
|
|
|||||||||||||||
$ | ||||||||||||||||
|
|
|||||||||||||||
Contracts to Sell |
||||||||||||||||
Yen with Goldman Sachs International |
( |
) | $ | ( |
) | $ | ||||||||||
Yen with UBS AG |
( |
) | ( |
) | ||||||||||||
|
|
|||||||||||||||
$ | ||||||||||||||||
|
|
|||||||||||||||
|
Total Unrealized Appreciation |
|
$ | |||||||||||||
|
|
† | All or partial amount pledged as collateral for foreign currency forward contracts. |
^ | The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Non-recurring fees and expenses |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
— | ( |
) | |||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
— |
( |
) | |||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ||||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
||||||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
( |
) | ||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
— | |||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable on open futures contracts |
— | |||||||
Brokerage commissions and fees payable |
— | |||||||
Payable to Sponsor |
||||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Futures Contracts Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires April 2021 |
$ | $ | ( |
) | ||||||||
VIX Futures - Cboe, expires May 2021 |
( |
) | ||||||||||
VIX Futures - Cboe, expires June 2021 |
||||||||||||
VIX Futures - Cboe, expires July 2021 |
( |
) | ||||||||||
|
|
|||||||||||
$ | ( |
) | ||||||||||
|
|
^^ | |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
† |
||||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires April 2020 |
$ | $ | ( |
) | ||||||||
VIX Futures - Cboe, expires May 2020 |
( |
) | ||||||||||
VIX Futures - Cboe, expires June 2020 |
( |
) | ||||||||||
VIX Futures - Cboe, expires July 2020 |
||||||||||||
|
|
|||||||||||
$ | ( |
) | ||||||||||
|
|
† | All or partial amount pledged as collateral for futures contracts. |
^^ | |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Brokerage fees |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | $ | ( |
) | $ | |||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of ( |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | $ | ( |
) | $ | |||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
— | ( |
) | — | ||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ||||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | — | |||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase (Decrease) in brokerage commissions and fees payable |
— | — | ||||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
||||||||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
( |
) | ( |
) | ||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and fees payable |
— | |||||||
Payable to Sponsor |
||||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires January 2021 |
$ | $ | ( |
) | ||||||||
VIX Futures - Cboe, expires February 2021 |
( |
) | ||||||||||
|
|
|||||||||||
$ | ( |
) | ||||||||||
|
|
^^ | |
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
† |
||||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires January 2020 |
$ | $ | ( |
) | ||||||||
VIX Futures - Cboe, expires February 2020 |
( |
) | ||||||||||
|
|
|||||||||||
$ | ( |
) | ||||||||||
|
|
† | All or partial amount pledged as collateral for futures contracts. |
^^ | |
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Brokerage fees |
||||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
— | ( |
) | |||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | $ | ( |
) | $ | |||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | $ | ( |
) | $ | |||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
— | ( |
) | |||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | ||||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Increase (Decrease) in payable to Sponsor |
||||||||||||
Increase (Decrease) in brokerage commissions and fees payable |
— | — | ||||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
||||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
December 31, 2020 |
December 31, 2019 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for foreign currency forward contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Unrealized appreciation on swap agreements |
||||||||
Unrealized appreciation on foreign currency forward contracts |
||||||||
Receivable from capital shares sold |
||||||||
Securities sold receivable |
— | |||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and fees payable |
— | |||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on swap agreements |
||||||||
Unrealized depreciation on foreign currency forward contracts |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding (Note 1) |
||||||||
|
|
|
|
Year Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Investment Income |
||||||||||||
Interest |
$ | $ | $ | |||||||||
Expenses |
||||||||||||
Management fee |
||||||||||||
Brokerage commissions |
||||||||||||
Brokerage fees |
||||||||||||
Offering costs |
— | — | ||||||||||
Limitation by Sponsor |
— | — | ( |
) | ||||||||
Non-recurring fees and expenses |
— | |||||||||||
|
|
|
|
|
|
|||||||
Total expenses |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||
Net realized gain (loss) on |
||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||
Swap agreements |
( |
) | ( |
) | ||||||||
Options |
( |
) | — | — | ||||||||
Forward agreements |
— | ( |
) | |||||||||
Foreign currency forward contracts |
( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||
Futures contracts |
( |
) | ||||||||||
Swap agreements |
( |
) | ||||||||||
Forward agreements |
— | ( |
) | |||||||||
Foreign currency forward contracts |
||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | |||
|
|
|
|
|
|
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
Years Ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
|||||||
Addition of |
||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net addition (redemption) of |
||||||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||
|
|
|
|
|
|
|||||||
Net income (loss) |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Shareholders’ equity, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
Year ended December 31, |
||||||||||||
2020 |
2019 |
2018 |
||||||||||
Cash flow from operating activities |
||||||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Proceeds from sales or maturities of short-term U.S government and agency obligations |
||||||||||||
Net amortization and accretion on short-term U.S government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||
Net realized gain (loss) on investments |
( |
) | ( |
) | ||||||||
Change in unrealized appreciation (depreciation) on investments |
( |
) | ( |
) | ||||||||
Decrease (Increase) in securities sold receivable |
( |
) | — | |||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | ( |
) | ( |
) | ||||||
Decrease (Increase) in receivable in Limitation by Sponsor |
— | — | ||||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||||||
Amortization of offering costs |
— | — | ||||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||||||
Increase (Decrease) in brokerage commissions and fees payable |
— | — | ||||||||||
Increase (Decrease) in payable on futures contracts |
( |
) | ||||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
— | — | ||||||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|||||||
Cash flow from financing activities |
||||||||||||
Proceeds from addition of shares |
||||||||||||
Payment on shares redeemed |
( |
) | ( |
) | ( |
) | ||||||
|
|
|
|
|
|
|||||||
Net cash provided by (used in) financing activities |
||||||||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in cash |
||||||||||||
Cash, beginning of period |
||||||||||||
|
|
|
|
|
|
|||||||
Cash, end of period |
$ | $ | $ | |||||||||
|
|
|
|
|
|
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
Fund |
Execution Date (Prior to Opening of Trading) |
Type of Split |
Date Trading Resumed at Post- Split Price |
|||||
ProShares Ultra Bloomberg Natural Gas |
||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
||||||||
ProShares Short VIX Short-Term Futures ETF* |
||||||||
ProShares Ultra VIX Short-Term Futures ETF* |
||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||
ProShares Ultra Bloomberg Natural Gas |
* | On December 16, 2020 , each VIX Fund transferred its listing from the NYSE Arca to the Cboe BZX Exchange. Please see Note 8 in these Notes to Financial Statements for more information. |
Fund |
Create/Redeem Cut-off* |
NAV Calculation Time |
NAV Calculation Date |
|||||
Ultra Silver , UltraShort Silver |
||||||||
Ultra Gold , UltraShort Gold |
||||||||
Ultra Bloomberg Crude Oil, |
||||||||
Ultra Bloomberg Natural Gas , |
||||||||
UltraShort Bloomberg Crude Oil , |
||||||||
Ultra Short Bloomberg Natural Gas |
||||||||
Short Euro, |
||||||||
Ultra Euro, |
||||||||
Ultra Yen , |
||||||||
UltraShort Australian Dollar, |
||||||||
Ultra Short Euro, |
||||||||
Ultra Short Yen |
||||||||
Short VIX Short-Term Futures ETF, |
||||||||
Ultra VIX Short-Term Futures ETF, |
||||||||
VIX Mid-Term Futures ETF , |
||||||||
VIX Short -Term Futures ETF |
* | Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the twelve months ended December 31, 2020. |
** | On Monday, October 26, 2020, each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Please see Note 8 in these Notes to Financial Statements for more information. |
Level I - Quoted Prices |
Level II - Other Significant Observable Inputs |
|||||||||||||||||||
Fund |
Short-Term U.S. Government and Agencies |
Futures Contracts * |
Foreign Currency Forward Contracts |
Swap Agreements |
Total |
|||||||||||||||
ProShares Short Euro |
$ | — |
$ | ( |
) | $ | — |
$ | — |
$ | ( |
) | ||||||||
ProShares Short VIX Short-Term Futures ETF |
— |
— |
||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil |
— |
|||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas |
— |
— |
||||||||||||||||||
ProShares Ultra Euro |
— |
— |
— |
|||||||||||||||||
ProShares Ultra Gold |
— |
|||||||||||||||||||
ProShares Ultra Silver |
— |
|||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
( |
) | — |
( |
) | |||||||||||||||
ProShares Ultra Yen |
— |
— |
— |
|||||||||||||||||
ProShares UltraShort Australian Dollar |
— |
( |
) | — |
— |
( |
) | |||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
— |
( |
) | — |
— |
( |
) | |||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
— |
— |
||||||||||||||||||
ProShares UltraShort Euro |
— |
( |
) | — |
||||||||||||||||
ProShares UltraShort Gold |
— |
( |
) | — |
( |
) | ( |
) | ||||||||||||
ProShares UltraShort Silver |
— |
( |
) | — |
( |
) | ( |
) | ||||||||||||
ProShares UltraShort Yen |
— |
— |
( |
) | — |
( |
) | |||||||||||||
ProShares VIX Mid-Term Futures ETF |
( |
) | — |
— |
||||||||||||||||
ProShares VIX Short-Term Futures ETF |
( |
) | — |
— |
||||||||||||||||
Total Trust |
$ |
$ |
$ |
( |
) |
$ |
$ |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Level I - Quoted Prices |
Level II - Other Significant Observable Inputs |
|||||||||||||||||||
Fund |
Short-Term U.S. Government and Agencies |
Futures Contracts * |
Foreign Currency Forward Contracts |
Swap Agreements |
Total |
|||||||||||||||
ProShares Short Euro |
$ | $ | ( |
) | $ | — | $ | — | $ | |||||||||||
ProShares Short VIX Short-Term Futures ETF |
— | — | ||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil |
— | |||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | — | — | ||||||||||||||||
ProShares Ultra Euro |
— | — | ||||||||||||||||||
ProShares Ultra Gold |
— | |||||||||||||||||||
ProShares Ultra Silver |
— | |||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
( |
) | — | ( |
) | |||||||||||||||
ProShares Ultra Yen |
— | ( |
) | — | ||||||||||||||||
ProShares UltraPro 3x Crude Oil ETF |
— | — | ||||||||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
( |
) | — | — | ||||||||||||||||
ProShares UltraShort Australian Dollar |
( |
) | — | — | ||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
( |
) | — | ( |
) | |||||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
— | — | ||||||||||||||||||
ProShares UltraShort Euro |
— | ( |
) | — | ||||||||||||||||
ProShares UltraShort Gold |
( |
) | — | ( |
) | |||||||||||||||
ProShares UltraShort Silver |
( |
) | — | ( |
) | |||||||||||||||
ProShares UltraShort Yen |
— | — | ||||||||||||||||||
ProShares VIX Mid-Term Futures ETF |
( |
) | — | — | ||||||||||||||||
ProShares VIX Short-Term Futures ETF |
( |
) | — | — | ||||||||||||||||
Total Trust |
$ |
$ |
( |
) |
$ |
( |
) |
$ |
$ |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Fair Value of Derivative Instruments as of December 31, 2020 |
||||||||||||||
Asset Derivatives |
Liability Derivatives |
|||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Fund |
Statements of Financial Condition Location |
Unrealized Appreciation |
Statements of Financial Condition Location |
Unrealized Depreciation |
|||||||||
VIX Futures Contracts |
Receivables on open futures contracts, unrealized appreciation on swap agreements | Payable on open futures contracts, unrealized depreciation on swap agreements | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | * |
$ | — | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | * | ||||||||||||
ProShares VIX Mid-Term Futures ETF |
* |
* | ||||||||||||
ProShares VIX Short-Term Futures ETF | — | * | ||||||||||||
Commodities Contracts |
Receivables on open futures contracts and/or unrealized appreciation on swap agreements | Payable on open futures contracts and/or unrealized depreciation on swap agreements | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | * |
— | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | * |
— | ||||||||||||
ProShares Ultra Gold | * |
— | ||||||||||||
ProShares Ultra Silver | * |
— | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | — | * | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | * |
— | ||||||||||||
ProShares UltraShort Gold | — | * | ||||||||||||
ProShares UltraShort Silver | — | * | ||||||||||||
Foreign Exchange Contracts |
Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts | ||||||||||||
ProShares Short Euro | — | * | ||||||||||||
ProShares Ultra Euro | ||||||||||||||
ProShares Ultra Yen | ||||||||||||||
ProShares UltraShort Australian Dollar | — | * | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||
ProShares UltraShort Yen | ||||||||||||||
|
|
|
|
|||||||||||
Total Trust |
$ |
* |
$ |
* |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Fair Value of Derivative Instruments as of December 31, 2019 |
||||||||||||||
Asset Derivatives |
Liability Derivatives |
|||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Fund |
Statements of Financial Condition Location |
Unrealized Appreciation |
Statements of Financial Condition Location |
Unrealized Depreciation |
|||||||||
VIX Futures Contracts |
Receivables on open futures contracts, unrealized appreciation on swap agreements | Payable on open futures contracts, unrealized depreciation on swap agreements | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | * |
$ | * | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | * | ||||||||||||
ProShares VIX Mid-Term Futures ETF |
* |
* | ||||||||||||
ProShares VIX Short-Term Futures ETF | — | * | ||||||||||||
Commodities Contracts |
Receivables on open futures contracts and/or unrealized appreciation on swap agreements | Payable on open futures contracts and/or unrealized depreciation on swap agreements | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | * |
— | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | — | * | ||||||||||||
ProShares Ultra Gold | * |
— | ||||||||||||
ProShares UltraPro 3x Crude Oil ETF | * |
— | ||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF | — | * | ||||||||||||
ProShares Ultra Silver | * |
— | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | — | * | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | * |
— | ||||||||||||
ProShares UltraShort Gold | — | * | ||||||||||||
ProShares UltraShort Silver | — | * | ||||||||||||
Foreign Exchange Contracts |
Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts | ||||||||||||
ProShares Short Euro | — | * | ||||||||||||
ProShares Ultra Euro | — | |||||||||||||
ProShares Ultra Yen | — | |||||||||||||
ProShares UltraShort Australian Dollar | — | * | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||
ProShares UltraShort Yen | — | |||||||||||||
|
|
|
|
|||||||||||
Total Trust |
$ |
* |
$ |
* |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
The Effect of Derivative Instruments on the Statement of Operations For the year ended December 31, 2020 |
||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Location of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX Futures Contracts |
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements |
|||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | ( |
) | $ | ( |
) | ||||||
ProShares Ultra VIX Short-Term Futures ETF |
( |
) | ( |
) | ||||||||
ProShares VIX Mid-Term Futures ETF |
||||||||||||
ProShares VIX Short-Term Futures ETF |
||||||||||||
Commodities Contracts |
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements |
|||||||||||
ProShares Ultra Bloomberg Crude Oil |
( |
) | ||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares Ultra Gold |
( |
) | ||||||||||
ProShares Ultra Silver |
||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
( |
) | ||||||||||
ProShares UltraShort Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares UltraShort Gold |
( |
) | ||||||||||
ProShares UltraShort Silver |
( |
) | ( |
) | ||||||||
Foreign Exchange Contracts |
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts |
|||||||||||
ProShares Short Euro |
( |
) | ( |
) | ||||||||
ProShares Ultra Euro |
( |
) | ||||||||||
ProShares Ultra Yen |
||||||||||||
ProShares UltraShort Australian Dollar |
( |
) | ||||||||||
ProShares UltraShort Euro |
( |
) | ||||||||||
ProShares UltraShort Yen |
( |
) | ( |
) | ||||||||
|
|
|
|
|||||||||
Total Trust |
$ |
( |
) |
$ |
The Effect of Derivative Instruments on the Statement of Operations For the year ended December 31, 2019 |
||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Location of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX Futures Contracts |
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements |
|||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | $ | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
( |
) | ( |
) | ||||||||
ProShares VIX Mid-Term Futures ETF |
( |
) | ( |
) | ||||||||
ProShares VIX Short-Term Futures ETF |
( |
) | ( |
) | ||||||||
Commodities Contracts |
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements |
|||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares Ultra Gold |
||||||||||||
ProShares Ultra Silver |
||||||||||||
ProShares UltraPro 3x Crude Oil ETF |
||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
( |
) | ( |
) | ||||||||
ProShares UltraShort Bloomberg Crude Oil |
( |
) | ( |
) | ||||||||
ProShares UltraShort Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares UltraShort Gold |
( |
) | ( |
) | ||||||||
ProShares UltraShort Silver |
( |
) | ( |
) | ||||||||
Foreign Exchange Contracts |
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts |
|||||||||||
ProShares Short Euro |
||||||||||||
ProShares Ultra Euro |
( |
) | ||||||||||
ProShares Ultra Yen |
( |
) | ||||||||||
ProShares UltraShort Australian Dollar |
( |
) | ||||||||||
ProShares UltraShort Euro |
( |
) | ||||||||||
ProShares UltraShort Yen |
( |
) | ||||||||||
|
|
|
|
|||||||||
Total Trust |
$ |
( |
) |
$ |
The Effect of Derivative Instruments on the Statement of Operations For the year ended December 31, 2018 |
||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Location of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX Futures Contracts |
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements |
|||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | ( |
) | $ | ( |
) | ||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||
ProShares VIX Mid-Term Futures ETF |
||||||||||||
ProShares VIX Short-Term Futures ETF |
||||||||||||
Commodities Contracts |
Net realized gain (loss) on futures contracts, swap and/or forward agreements/ changes in unrealized appreciation (depreciation) on futures contracts, swap and/or forward agreements |
|||||||||||
ProShares Ultra Bloomberg Crude Oil |
( |
) | ||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares Ultra Gold |
( |
) | ||||||||||
ProShares Ultra Silver |
( |
) | ||||||||||
ProShares UltraPro 3x Crude Oil ETF |
( |
) | ( |
) | ||||||||
ProShares UltraPro 3x Short Crude Oil ETF |
||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
( |
) | ||||||||||
ProShares UltraShort Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares UltraShort Gold |
||||||||||||
ProShares UltraShort Silver |
( |
) | ||||||||||
Foreign Exchange Contracts |
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts |
|||||||||||
ProShares Short Euro |
||||||||||||
ProShares Ultra Euro |
( |
) | ( |
) | ||||||||
ProShares Ultra Yen |
( |
) | ||||||||||
ProShares UltraShort Australian Dollar |
||||||||||||
ProShares UltraShort Euro |
||||||||||||
ProShares UltraShort Yen |
( |
) | ||||||||||
|
|
|
|
|||||||||
Total Trust |
$ |
( |
) |
$ |
( |
) |
Fair Values of Derivative Instruments as of December 31, 2020 |
||||||||||||||||||||||||
Assets |
Liabilities |
|||||||||||||||||||||||
Fund |
Gross Amounts of Recognized Assets presented in the Statements of Financial Condition |
Gross Amounts Offset in the Statements of Financial Condition |
Net Amounts of Assets presented in the Statements of Financial Condition |
Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition |
Gross Amounts Offset in the Statements of Financial Condition |
Net Amounts of Liabilities presented in the Statements of Financial Condition |
||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap agreements |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
ProShares Ultra Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares Ultra Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020 |
||||||||||||||||
Fund |
Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition |
Financial Instruments for the Benefit of (the Funds) / the Counterparties |
Cash Collateral for the Benefit of (the Funds) / the Counterparties |
Net Amount |
||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||||||
Goldman Sachs International |
$ | $ | ( |
) | $ | $ | ||||||||||
Morgan Stanley & Co. International PLC |
( |
) | ||||||||||||||
Societe Generale |
( |
) | ||||||||||||||
UBS AG |
( |
) | ( |
) | ||||||||||||
ProShares Ultra Euro |
||||||||||||||||
Goldman Sachs International |
||||||||||||||||
UBS AG |
||||||||||||||||
ProShares Ultra Gold |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
||||||||||||||||
ProShares Ultra Silver |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
Morgan Stanley & Co. International PLC |
( |
) | ||||||||||||||
UBS AG |
( |
) | ( |
) | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||||||
Goldman Sachs & Co. |
( |
) | ||||||||||||||
ProShares Ultra Yen |
||||||||||||||||
Goldman Sachs International |
||||||||||||||||
UBS AG |
||||||||||||||||
ProShares UltraShort Euro |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Gold |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Silver |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
Morgan Stanley & Co. International PLC |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Yen |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) |
Fair Values of Derivative Instruments as of December 31, 2019 |
||||||||||||||||||||||||
Assets |
Liabilities |
|||||||||||||||||||||||
Gross |
Gross |
|||||||||||||||||||||||
Amounts of |
Amounts of |
|||||||||||||||||||||||
Recognized |
Gross |
Net Amounts of |
Recognized |
Gross |
Net Amounts of |
|||||||||||||||||||
Assets |
Amounts |
Assets |
Liabilities |
Amounts |
Liabilities |
|||||||||||||||||||
presented in |
Offset in the |
presented in |
presented in |
Offset in the |
presented in |
|||||||||||||||||||
the Statements |
the Statements |
the Statements |
the Statements |
Statements |
the Statements |
|||||||||||||||||||
of Financial |
of Financial |
of Financial |
of Financial |
of Financial |
of Financial |
|||||||||||||||||||
Condition |
Condition |
Condition |
Condition |
Condition |
Condition |
|||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap agreements |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
ProShares Ultra Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares Ultra Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2019 |
||||||||||||||||
Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition |
Financial Instruments for the Benefit of (the Funds) / the Counterparties |
Cash Collateral for the Benefit of (the Funds) / the Counterparties |
Net Amount |
|||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||||||
Citibank, N.A. |
$ | $ | — | $ | ( |
) | $ | — | ||||||||
Goldman Sachs International |
( |
) | — | — | ||||||||||||
Royal Bank of Canada |
— | ( |
) | — | ||||||||||||
Societe Generale |
( |
) | — | — | ||||||||||||
UBS AG |
( |
) | — | — | ||||||||||||
ProShares Ultra Euro |
||||||||||||||||
Goldman Sachs International |
— | — | ||||||||||||||
UBS AG |
— | — | ||||||||||||||
ProShares Ultra Gold |
||||||||||||||||
Citibank, N.A. |
— | ( |
) | |||||||||||||
Goldman Sachs International |
( |
) | — | |||||||||||||
UBS AG |
( |
) | — | |||||||||||||
ProShares Ultra Silver |
||||||||||||||||
Citibank, N.A. |
— | ( |
) | — | ||||||||||||
Goldman Sachs International |
( |
) | — | — | ||||||||||||
UBS AG |
( |
) | — | — | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||||||
Goldman Sachs & Co. |
( |
) | — | — | ||||||||||||
ProShares Ultra Yen |
||||||||||||||||
Goldman Sachs International |
( |
) | — | — | ||||||||||||
UBS AG |
( |
) | — | — | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||||||||||
Citibank, N.A. |
( |
) | — | — | ||||||||||||
Goldman Sachs International |
( |
) | — | — | ||||||||||||
Royal Bank of Canada |
( |
) | — | — | ||||||||||||
Societe Generale |
( |
) | — | — | ||||||||||||
UBS AG |
( |
) | — | — | ||||||||||||
ProShares UltraShort Euro |
||||||||||||||||
Goldman Sachs International |
( |
) | — | — | ||||||||||||
UBS AG |
( |
) | — | — | ||||||||||||
ProShares UltraShort Gold |
||||||||||||||||
Citibank, N.A. |
( |
) | — | — | ||||||||||||
Goldman Sachs International |
( |
) | — | — | ||||||||||||
UBS AG |
( |
) | — | — | ||||||||||||
ProShares UltraShort Silver |
||||||||||||||||
Citibank, N.A. |
( |
) | — | — | ||||||||||||
Goldman Sachs International |
( |
) | — | — | ||||||||||||
UBS AG |
( |
) | — | — | ||||||||||||
ProShares UltraShort Yen |
||||||||||||||||
Goldman Sachs International |
( |
) | — | — | ||||||||||||
UBS AG |
( |
) | — | — |
Year Ended |
Year Ended |
Year Ended |
||||||||||
Fund |
December 31, 2020 |
December 31, 2019 |
December 31, 2018 |
|||||||||
ProShares Short Euro |
$ | $ | — | $ | — | |||||||
ProShares Short VIX Short-Term Futures ETF |
||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||
ProShares Ultra Bloomberg Natural Gas |
||||||||||||
ProShares Ultra Euro |
— | — | ||||||||||
ProShares Ultra Gold |
||||||||||||
ProShares Ultra Silver |
||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||
ProShares Ultra Yen |
— | — | ||||||||||
ProShares UltraPro 3x Crude Oil ETF* |
||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF* |
||||||||||||
ProShares UltraShort Australian Dollar |
— | — | ||||||||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
||||||||||||
ProShares UltraShort Euro |
— | — | ||||||||||
ProShares UltraShort Gold |
||||||||||||
ProShares UltraShort Silver |
— | — | ||||||||||
ProShares UltraShort Yen |
— | — | ||||||||||
ProShares VIX Mid-Term Futures ETF |
||||||||||||
ProShares VIX Short-Term Futures ETF |
||||||||||||
|
|
|
|
|
|
|||||||
Total Trust |
$ |
$ |
$ |
* |
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
For the Year Ended December 31, 2020 |
||||||||||||||||||||||||
Per Share Operating Performance |
Short Euro |
Short VIX Short-Term Futures ETF |
Ultra Bloomberg Crude Oil * |
Ultra Bloomberg Natural Gas * |
Ultra Euro |
Ultra Gold |
||||||||||||||||||
Net asset value, at December 31, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net asset value, at December 31, 2020 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2020 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | % | ||||||||||||||
Total Return, at market value |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | % | ||||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% |
* | See Note 1 of these Notes to Financial Statements. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^^ | Expense ratio, excluding non-recurring fees and expense, is |
For the Year Ended December 31, 2020 |
||||||||||||||||||||||||
Per Share Operating Performance |
Ultra Silver |
Ultra VIX Short-Term Futures ETF |
Ultra Yen |
UltraShort Australian Dollar |
||||||||||||||||||||
Net asset value, at December 31, 2019 |
$ | $ | $ | $ | ||||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ||||||||||||||||||||
Net asset value, at December 31, 2020 |
$ | $ | $ | $ | ||||||||||||||||||||
Market value per share, at December 31, 2019 † |
$ | $ | $ | $ | ||||||||||||||||||||
Market value per share, at December 31, 2020 † |
$ | $ | $ | $ | ||||||||||||||||||||
Total Return, at net asset value |
% | ( |
)% | % | ( |
)% | ||||||||||||||||||
Total Return, at market value |
% | ( |
)% | % | ( |
)% | ||||||||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | ||||||||||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | ||||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% |
# |
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† |
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^^ | Expense ratio, excluding non-recurring fees and expense, is |
For the Year Ended December 31, 2020 |
||||||||||||||||||||||||
Per Share Operating Performance |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas |
UltraShort Euro |
UltraShort Gold |
UltraShort Silver |
UltraShort Yen |
||||||||||||||||||
Net asset value, at December 31, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||
Net asset value, at December 31, 2020 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2020 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value |
( |
)% | % | ( |
)% | ( |
)% | ( |
)% | ( |
)% | |||||||||||||
Total Return, at market value |
( |
)% | % | ( |
)% | ( |
)% | ( |
)% | ( |
)% | |||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^^ | Expense ratio, excluding non-recurring fees and expense, is |
For the Year Ended December 31, 2020 |
||||||||
Per Share Operating Performance |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||
Net asset value, at December 31, 2019 |
$ | $ | ||||||
Net investment income (loss) |
( |
) | ( |
) | ||||
Net realized and unrealized gain (loss)# |
||||||||
Change in net asset value from operations |
||||||||
Net asset value, at December 31, 2020 |
$ | $ | ||||||
Market value per share, at December 31, 2019 † |
$ | $ | ||||||
Market value per share, at December 31, 2020 † |
$ | $ | ||||||
Total Return, at net asset value |
% | % | ||||||
Total Return, at market value |
% | % | ||||||
Ratios to Average Net Assets |
||||||||
Expense ratio |
% | % | ||||||
Expense ratio, excluding brokerage commissions and fees |
% | % | ||||||
Net investment income gain (loss) |
( |
)% | ( |
)% |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
For the Year Ended December 31, 2019 |
||||||||||||||||||||||||
Per Share Operating Performance |
Short Euro |
Short VIX Short-Term Futures ETF |
Ultra Bloomberg Crude Oil * |
Ultra Bloomberg Natural Gas * |
Ultra Euro |
Ultra Gold |
||||||||||||||||||
Net asset value, at December 31, 2018 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
||||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ||||||||||||||||||||
Net asset value, at December 31, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2018 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value |
% | % | % | ( |
)% | ( |
)% | % | ||||||||||||||||
Total Return, at market value |
% | % | % | ( |
)% | ( |
)% | % | ||||||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio |
% | %^^ | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^^ | Expense ratio, excluding non-recurring fees and expense is |
For the Year Ended December 31, 2019 |
||||||||||||||||||||||||
Per Share Operating Performance |
Ultra Silver |
Ultra VIX Short-Term Futures ETF |
Ultra Yen |
UltraPro 3x Crude Oil ETF |
UltraPro 3x Short Crude Oil ETF |
UltraShort Australian Dollar |
||||||||||||||||||
Net asset value, at December 31, 2018 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
||||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Net asset value, at December 31, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2018 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value |
% | ( |
)% | ( |
)% | % | ( |
)% | % | |||||||||||||||
Total Return, at market value |
% | ( |
)% | ( |
)% | % | ( |
)% | % | |||||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio |
% | %^^ | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^^ | Expense ratio, excluding non-recurring fees and expense is |
For the Year Ended December 31, 2019 |
||||||||||||||||||||||||
Per Share Operating Performance |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas |
UltraShort Euro |
UltraShort Gold |
UltraShort Silver |
UltraShort Yen |
||||||||||||||||||
Net asset value, at December 31, 2018 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
||||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Net asset value, at December 31, 2019 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2018 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2019 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value |
( |
)% | % | % | ( |
)% | ( |
)% | % | |||||||||||||||
Total Return, at market value |
( |
)% | % | % | ( |
)% | ( |
)% | % | |||||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
For the Year Ended December 31, 2019 |
||||||||
Per Share Operating Performance |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||
Net asset value, at December 31, 2018 |
$ | $ | ||||||
Net investment income (loss) |
||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||
Change in net asset value from operations |
( |
) | ( |
) | ||||
Net asset value, at December 31, 2019 |
$ | $ | ||||||
Market value per share, at December 31, 2018 † |
$ | $ | ||||||
Market value per share, at December 31, 2019 † |
$ | $ | ||||||
Total Return, at net asset value |
( |
)% | ( |
)% | ||||
Total Return, at market value |
( |
)% | ( |
)% | ||||
Ratios to Average Net Assets |
||||||||
Expense ratio |
% | % | ||||||
Expense ratio, excluding brokerage commissions and fees |
% | % | ||||||
Net investment income gain (loss) |
% | % |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
For the Year Ended December 31, 2018 |
||||||||||||||||||||||||
Per Share Operating Performance |
Short Euro |
Short VIX Short-Term Futures ETF |
Ultra Bloomberg Crude Oil * |
Ultra Bloomberg Natural Gas * |
Ultra Euro |
Ultra Gold |
||||||||||||||||||
Net asset value, at December 31, 2017 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||
Net asset value, at December 31, 2018 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2017 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2018 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value |
% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | |||||||||||||
Total Return, at market value |
% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | |||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | ( |
)% | % | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
For the Year Ended December 31, 2018 |
||||||||||||||||||||||||
Per Share Operating Performance |
Ultra Silver |
Ultra VIX Short-Term Futures ETF |
Ultra Yen |
UltraPro 3x Crude Oil ETF |
UltraPro 3x Short Crude Oil ETF* |
UltraShort Australian Dollar |
||||||||||||||||||
Net asset value, at December 31, 2017 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ||||||||||||||||||||
Net asset value, at December 31, 2018 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2017 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2018 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value |
( |
)% | % | % | ( |
)% | % | % | ||||||||||||||||
Total Return, at market value |
( |
)% | % | % | ( |
)% | % | % | ||||||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | % |
* | See Note 1 of these Notes to Financial Statements. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
For the Year Ended December 31, 2018 |
||||||||||||||||||||||||
Per Share Operating Performance |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas |
UltraShort Euro |
UltraShort Gold |
UltraShort Silver |
UltraShort Yen |
||||||||||||||||||
Net asset value, at December 31, 2017 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ||||||||||||||||||||
Net asset value, at December 31, 2018 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2017 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2018 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value |
% | ( |
)% | % | % | % | ( |
)% | ||||||||||||||||
Total Return, at market value |
% | ( |
)% | % | % | % | ( |
)% | ||||||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Expense ratio |
% | % | % | % | % | % | ||||||||||||||||||
Expense ratio, excluding brokerage commissions and fees |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | ( |
)% | % | % | % | % |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
Per Share Operating Performance |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||
Net asset value, at December 31, 2017 |
$ | $ | ||||||
Net investment income (loss) |
||||||||
Net realized and unrealized gain (loss)# |
||||||||
Change in net asset value from operations |
||||||||
Net asset value, at December 31, 2018 |
$ | $ | ||||||
Market value per share, at December 31, 2017 † |
$ | $ | ||||||
Market value per share, at December 31, 2018 † |
$ | $ | ||||||
Total Return, at net asset value |
% | % | ||||||
Total Return, at market value |
% | % | ||||||
Ratios to Average Net Assets |
||||||||
Expense ratio |
% | % | ||||||
Expense ratio, excluding brokerage commissions and fees |
% | % | ||||||
Net investment income gain (loss) |
% | % |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
• | By the close of business on Tuesday, June 30, 2020, ProShares Ultra Bloomberg Crude Oil and ProShares UltraShort Bloomberg Crude Oil (the “Oil Funds”), had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020. |
• | In addition, by the close of business on Wednesday, July 1, 2020, each Oil Fund had transitioned the remaining portion of its exposure to the September 2020 WTI crude oil futures contract into exposure to the November 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the November 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Wednesday, July 1, 2020. |
PROSHARES TRUST II | ||
/s/ Todd Johnson | ||
By: |
Todd Johnson | |
Principal Executive Officer | ||
Date: |
February 19, 2021 | |
/s/ Edward Karpowicz | ||
By: |
Edward Karpowicz | |
Principal Financial and Accounting Officer | ||
Date: |
February 19, 2021 |