☒
|
Annual report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the fiscal year ended December 31, 2019.
|
☐
|
Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period
from
to
.
|
Delaware
|
87-6284802
|
|
(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 |
||
ProShares Short Euro
|
EUFX
|
NYSE Arca
|
||
ProShares Short VIX Short-Term Futures ETF
|
SVXY
|
NYSE Arca
|
||
ProShares Ultra Bloomberg Crude Oil
|
UCO
|
NYSE Arca
|
||
ProShares Ultra Bloomberg Natural Gas
|
BOIL
|
NYSE Arca
|
||
ProShares Ultra Euro
|
ULE
|
NYSE Arca
|
||
ProShares Ultra Gold
|
UGL
|
NYSE Arca
|
||
ProShares Ultra Silver
|
AGQ
|
NYSE Arca
|
||
ProShares Ultra VIX Short-Term Futures ETF
|
UVXY
|
NYSE Arca
|
||
ProShares Ultra Yen
|
YCL
|
NYSE Arca
|
||
ProShares UltraPro 3x Crude Oil ETF
|
OILU
|
NYSE Arca
|
||
ProShares UltraPro 3x Short Crude Oil ETF
|
OILD
|
NYSE Arca
|
||
ProShares UltraShort Australian Dollar
|
CROC
|
NYSE Arca
|
||
ProShares UltraShort Bloomberg Crude Oil
|
SCO
|
NYSE Arca
|
||
ProShares UltraShort Bloomberg Natural Gas
|
KOLD
|
NYSE Arca
|
||
ProShares UltraShort Euro
|
EUO
|
NYSE Arca
|
||
ProShares UltraShort Gold
|
GLL
|
NYSE Arca
|
||
ProShares UltraShort Silver
|
ZSL
|
NYSE Arca
|
||
ProShares UltraShort Yen
|
YCS
|
NYSE Arca
|
||
ProShares VIX Mid-Term Futures ETF
|
VIXM
|
NYSE Arca
|
||
ProShares VIX Short-Term Futures ETF
|
VIXY
|
NYSE Arca
|
Large Accelerated Filer
|
☒
|
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, 2019 |
|
Number of Outstanding Units
as of February 21, 2020 |
|
||||
ProShares Short Euro
|
$ | 22,130,000 |
50,000
|
|||||
ProShares Short VIX Short-Term Futures ETF
|
333,148,618 |
3,584,307
|
||||||
ProShares Ultra Bloomberg Crude Oil
|
375,992,644 |
29,311,317
|
||||||
ProShares Ultra Bloomberg Natural Gas
|
33,799,848 |
7,528,150
|
||||||
ProShares Ultra Euro
|
5,804,000 |
400,000
|
||||||
ProShares Ultra Gold
|
85,410,000 |
2,200,000
|
||||||
ProShares Ultra Silver
|
178,626,866 |
7,296,526
|
||||||
ProShares Ultra VIX Short-Term Futures ETF
|
548,899,419 |
40,380,912
|
||||||
ProShares Ultra Yen
|
5,807,257 |
49,970
|
||||||
ProShares UltraPro 3x Crude Oil ETF
|
112,200,000 |
15,500,000
|
||||||
ProShares UltraPro 3x Short Crude Oil ETF
|
15,715,094 |
1,724,906
|
||||||
ProShares UltraShort Australian Dollar
|
8,364,000 |
100,000
|
||||||
ProShares UltraShort Bloomberg Crude Oil
|
69,162,814 |
3,539,884
|
||||||
ProShares UltraShort Bloomberg Natural Gas
|
3,817,363 |
174,832
|
||||||
ProShares UltraShort Euro
|
134,302,000 |
3,950,000
|
||||||
ProShares UltraShort Gold
|
18,145,295 |
346,977
|
||||||
ProShares UltraShort Silver
|
14,011,144 |
466,976
|
||||||
ProShares UltraShort Yen
|
47,696,843 |
499,290
|
||||||
ProShares VIX
Mid-Term
Futures ETF
|
38,120,777 |
2,262,403
|
||||||
ProShares VIX Short-Term Futures ETF
|
246,663,184 |
26,001,317
|
|
|
Page
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3
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24
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61
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61
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61
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61
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62
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67
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73
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98
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115
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122
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122
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123
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124
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127
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127
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127
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127
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129
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129
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130
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295
|
|
Item 1.
|
Business.
|
Index
|
Bloomberg Ticker Symbol
|
|
S&P 500 VIX Short-Term Futures Index
|
SPVXSP
|
|
S&P 500 VIX
Mid-Term
Futures Index
|
SPVXMPID
|
Underlying Benchmark
|
Create/Redeem Cutoff
|
NAV Calculation Time
|
||
Silver
|
1:00 p.m. (Eastern Time)
|
1:25 p.m. (Eastern Time)
|
||
Gold
|
1:00 p.m. (Eastern Time)
|
1:30 p.m. (Eastern Time)
|
||
S&P 500 VIX Short-Term Futures Index
|
2:00 p.m. (Eastern Time)
|
4:15 p.m. (Eastern Time)
|
||
S&P 500 VIX
Mid-Term
Futures Index
|
2:00 p.m. (Eastern Time)
|
4:15 p.m. (Eastern Time)
|
||
Bloomberg WTI Crude Oil Subindex
SM
|
2:00 p.m. (Eastern Time)
|
2:30 p.m. (Eastern Time)
|
||
Bloomberg Natural Gas Subindex
SM
|
2:00 p.m. (Eastern Time)
|
2:30 p.m. (Eastern Time)
|
||
Australian dollar
|
3:00 p.m. (Eastern Time)
|
4:00 p.m. (Eastern Time)
|
||
Euro
|
3:00 p.m. (Eastern Time)
|
4:00 p.m. (Eastern Time)
|
||
Yen
|
3:00 p.m. (Eastern Time)
|
4:00 p.m. (Eastern Time)
|
• | it determines that the purchase order is not in proper form; |
• | the Sponsor believes that the purchase order would have adverse tax consequences to a Fund or its shareholders; |
• | the order would be illegal; or |
• | circumstances outside the control of the Sponsor make it, for all practical purposes, not feasible to process creations of Creation Units. |
Fund
|
NAV Calculation Time
|
|
||
ProShares UltraShort Silver and ProShares Ultra Silver
|
1:25 p.m. (Eastern Time)
|
* | ||
ProShares UltraShort Gold and ProShares Ultra Gold
|
1:30 p.m. (Eastern Time)
|
* | ||
ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil
|
2:30 p.m. (Eastern Time)
|
|||
ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF
|
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
|
4:15 p.m. (Eastern Time)
|
|||
ProShares VIX
Mid-Term
Futures ETF
|
4:15 p.m. (Eastern Time)
|
* | For silver and gold, this time may vary due to differences in when daylight savings time is effective between London and New York. The actual times equate to noon London time for silver and 3:00 p.m. London time for gold. |
• | initial SEC registration fees and SEC and FINRA filing fees; |
• | costs of preparing, printing (including typesetting), amending, supplementing, mailing and distributing the Trust’s Registration Statements, the exhibits thereto and the related prospectuses; |
• | the costs of qualifying, printing (including typesetting), amending, supplementing and mailing sales materials used in connection with the offering and issuance of the Shares; and |
• | accounting, auditing and legal fees (including disbursements related thereto) incurred in connection therewith. |
• |
The term “Matching VIX Fund” refers to ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF;
|
• |
The term “Geared VIX Fund” refers to ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF;
|
• |
The term “VIX Fund” refers to each Geared VIX Fund and each Matching VIX Fund;
|
• |
The term “Geared Fund” refers to ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro Short 3x Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares Short Euro, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen, and each Geared VIX Fund;
|
• |
The term “Natural Gas Fund” refers to ProShares UltraShort Bloomberg Natural Gas and ProShares Ultra Bloomberg Natural Gas ;
|
• |
The term “Oil Fund” refers to ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, ProShares UltraPro 3x Short Crude Oil ETF, and ProShares Ultra Bloomberg Crude Oil;
|
• |
The term “Precious Metal Fund” refers to ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares Ultra Gold and ProShares Ultra Silver; and
|
• |
The term “Currency Fund” refers to ProShares Short Euro, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Euro and ProShares Ultra Yen.
|
|
Benchmark XYZ
|
Fund XYZ
|
||||||||||||||
|
Level
|
|
Daily
Performance |
|
Daily
Performance |
|
Net Asset
Value |
|
||||||||
Start
|
100.00
|
|
|
$ |
100.00
|
|||||||||||
Day 1
|
97.00
|
-3.00
|
% |
-6.00
|
% |
94.00
|
||||||||||
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, 2019 |
|
||||
S&P 500 VIX Short-Term Futures Index
|
SPVXSP
|
79.27
|
% | |||||
S&P 500 VIX
Mid-Term
Futures Index
|
SPVXMPID
|
32.42
|
% | |||||
Bloomberg WTI Crude Oil Subindex
SM
|
BCOMCL
|
36.72
|
% | |||||
Bloomberg Natural Gas Subindex
SM
|
BCOMNG
|
39.81
|
% | |||||
Bloomberg Gold Subindex
SM
|
BCOMGC
|
12.86
|
% | |||||
Bloomberg Silver Subindex
SM
|
BCOMSI
|
22.00
|
% | |||||
The US dollar price of the euro
|
USDEUR
|
8.23
|
% | |||||
The US dollar price of the Japanese yen
|
USDJPY
|
8.46
|
% | |||||
The US dollar price of the Australian dollar
|
USDAUD
|
9.37
|
% |
|
|
Index Volatility
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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
|
% |
|
|
Benchmark Volatility
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year
Benchmark
Performance
|
Three Times
Inverse
(-3x)
One
Year Benchmark
Performance |
0%
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
35%
|
40%
|
45%
|
50%
|
55%
|
60%
|
65%
|
70%
|
||||||||||||||||||||||||||||||||||||||||||||||||
-60%
|
180
|
% |
1462.5
|
% |
1439.2
|
% |
1371.5
|
% |
1265.2
|
% |
1129.1
|
% |
973.9
|
% |
810.5
|
% |
649.2
|
% |
498.3
|
% |
363.6
|
% |
248.6
|
% |
154.4
|
% |
80.2
|
% |
23.8
|
% |
-17.4
|
% | ||||||||||||||||||||||||||||||||
-55%
|
165
|
% |
997.4
|
% |
981.1
|
% |
933.5
|
% |
858.8
|
% |
763.2
|
% |
654.2
|
% |
539.5
|
% |
426.2
|
% |
320.2
|
% |
225.6
|
% |
144.9
|
% |
78.7
|
% |
26.6
|
% |
-13.0
|
% |
-42.0
|
% | ||||||||||||||||||||||||||||||||
-50%
|
150
|
% |
700.0
|
% |
688.1
|
% |
653.4
|
% |
599.0
|
% |
529.3
|
% |
449.8
|
% |
366.2
|
% |
283.6
|
% |
206.3
|
% |
137.4
|
% |
78.5
|
% |
30.3
|
% |
-7.7
|
% |
-36.6
|
% |
-57.7
|
% | ||||||||||||||||||||||||||||||||
-45%
|
135
|
% |
501.1
|
% |
492.1
|
% |
466.0
|
% |
425.1
|
% |
372.8
|
% |
313.1
|
% |
250.3
|
% |
188.2
|
% |
130.1
|
% |
78.3
|
% |
34.1
|
% |
-2.1
|
% |
-30.7
|
% |
-52.4
|
% |
-68.2
|
% | ||||||||||||||||||||||||||||||||
-40%
|
120
|
% |
363.0
|
% |
356.1
|
% |
336.0
|
% |
304.5
|
% |
264.2
|
% |
218.2
|
% |
169.8
|
% |
122.0
|
% |
77.3
|
% |
37.4
|
% |
3.3
|
% |
-24.6
|
% |
-46.6
|
% |
-63.3
|
% |
-75.5
|
% | ||||||||||||||||||||||||||||||||
-35%
|
105
|
% |
264.1
|
% |
258.7
|
% |
242.9
|
% |
218.1
|
% |
186.4
|
% |
150.3
|
% |
112.2
|
% |
74.6
|
% |
39.4
|
% |
8.0
|
% |
-18.8
|
% |
-40.7
|
% |
-58.0
|
% |
-71.1
|
% |
-80.7
|
% | ||||||||||||||||||||||||||||||||
-30%
|
90
|
% |
191.5
|
% |
187.2
|
% |
174.6
|
% |
154.7
|
% |
129.3
|
% |
100.4
|
% |
69.9
|
% |
39.8
|
% |
11.6
|
% |
-13.5
|
% |
-34.9
|
% |
-52.5
|
% |
-66.4
|
% |
-76.9
|
% |
-84.6
|
% | ||||||||||||||||||||||||||||||||
-25%
|
75
|
% |
137.0
|
% |
133.5
|
% |
123.2
|
% |
107.1
|
% |
86.5
|
% |
62.9
|
% |
38.1
|
% |
13.7
|
% |
-9.2
|
% |
-29.7
|
% |
-47.1
|
% |
-61.4
|
% |
-72.7
|
% |
-81.2
|
% |
-87.5
|
% | ||||||||||||||||||||||||||||||||
-20%
|
60
|
% |
95.3
|
% |
92.4
|
% |
83.9
|
% |
70.6
|
% |
53.6
|
% |
34.2
|
% |
13.8
|
% |
-6.3
|
% |
-25.2
|
% |
-42.0
|
% |
-56.4
|
% |
-68.2
|
% |
-77.5
|
% |
-84.5
|
% |
-89.7
|
% | ||||||||||||||||||||||||||||||||
-15%
|
45
|
% |
62.8
|
% |
60.4
|
% |
53.4
|
% |
42.3
|
% |
28.1
|
% |
11.9
|
% |
-5.1
|
% |
-21.9
|
% |
-37.7
|
% |
-51.7
|
% |
-63.7
|
% |
-73.5
|
% |
-81.2
|
% |
-87.1
|
% |
-91.4
|
% | ||||||||||||||||||||||||||||||||
-10%
|
30
|
% |
37.2
|
% |
35.1
|
% |
29.2
|
% |
19.9
|
% |
7.9
|
% |
-5.7
|
% |
-20.1
|
% |
-34.2
|
% |
-47.5
|
% |
-59.3
|
% |
-69.4
|
% |
-77.7
|
% |
-84.2
|
% |
-89.1
|
% |
-92.7
|
% | ||||||||||||||||||||||||||||||||
-5%
|
15
|
% |
16.6
|
% |
14.9
|
% |
9.8
|
% |
1.9
|
% |
-8.3
|
% |
-19.8
|
% |
-32.0
|
% |
-44.1
|
% |
-55.3
|
% |
-65.4
|
% |
-74.0
|
% |
-81.0
|
% |
-86.5
|
% |
-90.8
|
% |
-93.8
|
% | ||||||||||||||||||||||||||||||||
0%
|
0
|
% |
0.0
|
% |
-1.5
|
% |
-5.8
|
% |
-12.6
|
% |
-21.3
|
% |
-31.3
|
% |
-41.7
|
% |
-52.0
|
% |
-61.7
|
% |
-70.3
|
% |
-77.7
|
% |
-83.7
|
% |
-88.5
|
% |
-92.1
|
% |
-94.7
|
% | ||||||||||||||||||||||||||||||||
5%
|
-15
|
% |
-13.6
|
% |
-14.9
|
% |
-18.6
|
% |
-24.5
|
% |
-32.0
|
% |
-40.6
|
% |
-49.7
|
% |
-58.6
|
% |
-66.9
|
% |
-74.4
|
% |
-80.7
|
% |
-85.9
|
% |
-90.0
|
% |
-93.2
|
% |
-95.4
|
% | ||||||||||||||||||||||||||||||||
10%
|
-30
|
% |
-24.9
|
% |
-26.0
|
% |
-29.2
|
% |
-34.4
|
% |
-40.9
|
% |
-48.4
|
% |
-56.2
|
% |
-64.0
|
% |
-71.2
|
% |
-77.7
|
% |
-83.2
|
% |
-87.8
|
% |
-91.3
|
% |
-94.0
|
% |
-96.0
|
% | ||||||||||||||||||||||||||||||||
15%
|
-45
|
% |
-34.2
|
% |
-35.2
|
% |
-38.1
|
% |
-42.6
|
% |
-48.3
|
% |
-54.8
|
% |
-61.7
|
% |
-68.5
|
% |
-74.8
|
% |
-80.5
|
% |
-85.3
|
% |
-89.3
|
% |
-92.4
|
% |
-94.8
|
% |
-96.5
|
% | ||||||||||||||||||||||||||||||||
20%
|
-60
|
% |
-42.1
|
% |
-43.0
|
% |
-45.5
|
% |
-49.4
|
% |
-54.5
|
% |
-60.2
|
% |
-66.3
|
% |
-72.3
|
% |
-77.8
|
% |
-82.8
|
% |
-87.1
|
% |
-90.6
|
% |
-93.3
|
% |
-95.4
|
% |
-96.9
|
% | ||||||||||||||||||||||||||||||||
25%
|
-75
|
% |
-48.8
|
% |
-49.6
|
% |
-51.8
|
% |
-55.3
|
% |
-59.7
|
% |
-64.8
|
% |
-70.2
|
% |
-75.4
|
% |
-80.4
|
% |
-84.8
|
% |
-88.6
|
% |
-91.7
|
% |
-94.1
|
% |
-95.9
|
% |
-97.3
|
% | ||||||||||||||||||||||||||||||||
30%
|
-90
|
% |
-54.5
|
% |
-55.2
|
% |
-57.1
|
% |
-60.2
|
% |
-64.2
|
% |
-68.7
|
% |
-73.5
|
% |
-78.2
|
% |
-82.6
|
% |
-86.5
|
% |
-89.8
|
% |
-92.6
|
% |
-94.8
|
% |
-96.4
|
% |
-97.6
|
% | ||||||||||||||||||||||||||||||||
35%
|
-105
|
% |
-59.4
|
% |
-60.0
|
% |
-61.7
|
% |
-64.5
|
% |
-68.0
|
% |
-72.1
|
% |
-76.3
|
% |
-80.5
|
% |
-84.4
|
% |
-87.9
|
% |
-90.9
|
% |
-93.4
|
% |
-95.3
|
% |
-96.8
|
% |
-97.9
|
% | ||||||||||||||||||||||||||||||||
40%
|
-120
|
% |
-63.6
|
% |
-64.1
|
% |
-65.7
|
% |
-68.2
|
% |
-71.3
|
% |
-75.0
|
% |
-78.8
|
% |
-82.5
|
% |
-86.0
|
% |
-89.2
|
% |
-91.9
|
% |
-94.1
|
% |
-95.8
|
% |
-97.1
|
% |
-98.1
|
% | ||||||||||||||||||||||||||||||||
45%
|
-135
|
% |
-67.2
|
% |
-67.7
|
% |
-69.1
|
% |
-71.3
|
% |
-74.2
|
% |
-77.5
|
% |
-80.9
|
% |
-84.3
|
% |
-87.4
|
% |
-90.3
|
% |
-92.7
|
% |
-94.7
|
% |
-96.2
|
% |
-97.4
|
% |
-98.3
|
% | ||||||||||||||||||||||||||||||||
50%
|
-150
|
% |
-70.4
|
% |
-70.8
|
% |
-72.1
|
% |
-74.1
|
% |
-76.7
|
% |
-79.6
|
% |
-82.7
|
% |
-85.8
|
% |
-88.7
|
% |
-91.2
|
% |
-93.4
|
% |
-95.2
|
% |
-96.6
|
% |
-97.7
|
% |
-98.4
|
% | ||||||||||||||||||||||||||||||||
55%
|
-165
|
% |
-73.1
|
% |
-73.5
|
% |
-74.7
|
% |
-76.5
|
% |
-78.9
|
% |
-81.5
|
% |
-84.4
|
% |
-87.1
|
% |
-89.7
|
% |
-92.0
|
% |
-94.0
|
% |
-95.6
|
% |
-96.9
|
% |
-97.9
|
% |
-98.6
|
% | ||||||||||||||||||||||||||||||||
60%
|
-180
|
% |
-75.6
|
% |
-75.9
|
% |
-77.0
|
% |
-78.7
|
% |
-80.8
|
% |
-83.2
|
% |
-85.8
|
% |
-88.3
|
% |
-90.7
|
% |
-92.8
|
% |
-94.6
|
% |
-96.0
|
% |
-97.2
|
% |
-98.1
|
% |
-98.7
|
% |
|
|
Index Volatility
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year
Index
Performance
|
One and
One-Half Times (1.5x) One Year Index Performance |
0%
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
35%
|
40%
|
45%
|
50%
|
55%
|
60%
|
65%
|
70%
|
75%
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
-60%
|
-90.0
|
% |
-74.7
|
% |
-74.7
|
% |
-74.8
|
% |
-74.9
|
% |
-75.1
|
% |
-75.3
|
% |
-75.5
|
% |
-75.8
|
% |
-76.2
|
% |
-76.6
|
% |
-77.0
|
% |
-77.4
|
% |
-77.9
|
% |
-78.4
|
% |
-78.9
|
% |
-79.5
|
% | ||||||||||||||||||||||||||||||||||
-55%
|
-82.5
|
% |
-69.8
|
% |
-69.8
|
% |
-69.9
|
% |
-70.1
|
% |
-70.3
|
% |
-70.5
|
% |
-70.8
|
% |
-71.2
|
% |
-71.6
|
% |
-72.0
|
% |
-72.5
|
% |
-73.1
|
% |
-73.6
|
% |
-74.2
|
% |
-74.9
|
% |
-75.6
|
% | ||||||||||||||||||||||||||||||||||
-50%
|
-75.0
|
% |
-64.6
|
% |
-64.7
|
% |
-64.8
|
% |
-64.9
|
% |
-65.2
|
% |
-65.5
|
% |
-65.8
|
% |
-66.2
|
% |
-66.7
|
% |
-67.2
|
% |
-67.8
|
% |
-68.4
|
% |
-69.1
|
% |
-69.8
|
% |
-70.6
|
% |
-71.4
|
% | ||||||||||||||||||||||||||||||||||
-45%
|
-67.5
|
% |
-59.2
|
% |
-59.2
|
% |
-59.4
|
% |
-59.6
|
% |
-59.8
|
% |
-60.2
|
% |
-60.6
|
% |
-61.0
|
% |
-61.6
|
% |
-62.2
|
% |
-62.9
|
% |
-63.6
|
% |
-64.4
|
% |
-65.2
|
% |
-66.1
|
% |
-67.0
|
% | ||||||||||||||||||||||||||||||||||
-40%
|
-60.0
|
% |
-53.5
|
% |
-53.6
|
% |
-53.7
|
% |
-53.9
|
% |
-54.2
|
% |
-54.6
|
% |
-55.1
|
% |
-55.6
|
% |
-56.2
|
% |
-56.9
|
% |
-57.7
|
% |
-58.5
|
% |
-59.4
|
% |
-60.3
|
% |
-61.3
|
% |
-62.4
|
% | ||||||||||||||||||||||||||||||||||
-35%
|
-52.5
|
% |
-47.6
|
% |
-47.6
|
% |
-47.8
|
% |
-48.0
|
% |
-48.4
|
% |
-48.8
|
% |
-49.3
|
% |
-49.9
|
% |
-50.6
|
% |
-51.4
|
% |
-52.3
|
% |
-53.2
|
% |
-54.2
|
% |
-55.3
|
% |
-56.4
|
% |
-57.6
|
% | ||||||||||||||||||||||||||||||||||
-30%
|
-45.0
|
% |
-41.4
|
% |
-41.5
|
% |
-41.7
|
% |
-41.9
|
% |
-42.3
|
% |
-42.8
|
% |
-43.4
|
% |
-44.1
|
% |
-44.8
|
% |
-45.7
|
% |
-46.7
|
% |
-47.7
|
% |
-48.8
|
% |
-50.0
|
% |
-51.3
|
% |
-52.6
|
% | ||||||||||||||||||||||||||||||||||
-25%
|
-37.5
|
% |
-35.0
|
% |
-35.1
|
% |
-35.3
|
% |
-35.6
|
% |
-36.0
|
% |
-36.6
|
% |
-37.2
|
% |
-38.0
|
% |
-38.8
|
% |
-39.8
|
% |
-40.9
|
% |
-42.0
|
% |
-43.3
|
% |
-44.6
|
% |
-46.0
|
% |
-47.4
|
% | ||||||||||||||||||||||||||||||||||
-20%
|
-30.0
|
% |
-28.4
|
% |
-28.5
|
% |
-28.7
|
% |
-29.0
|
% |
-29.5
|
% |
-30.1
|
% |
-30.8
|
% |
-31.7
|
% |
-32.6
|
% |
-33.7
|
% |
-34.8
|
% |
-36.1
|
% |
-37.5
|
% |
-38.9
|
% |
-40.5
|
% |
-42.1
|
% | ||||||||||||||||||||||||||||||||||
-15%
|
-22.5
|
% |
-21.6
|
% |
-21.7
|
% |
-21.9
|
% |
-22.3
|
% |
-22.8
|
% |
-23.4
|
% |
-24.2
|
% |
-25.2
|
% |
-26.2
|
% |
-27.4
|
% |
-28.6
|
% |
-30.0
|
% |
-31.5
|
% |
-33.1
|
% |
-34.8
|
% |
-36.5
|
% | ||||||||||||||||||||||||||||||||||
-10%
|
-15.0
|
% |
-14.6
|
% |
-14.7
|
% |
-14.9
|
% |
-15.3
|
% |
-15.9
|
% |
-16.6
|
% |
-17.5
|
% |
-18.5
|
% |
-19.6
|
% |
-20.9
|
% |
-22.3
|
% |
-23.8
|
% |
-25.4
|
% |
-27.1
|
% |
-29.0
|
% |
-30.9
|
% | ||||||||||||||||||||||||||||||||||
-5%
|
-7.5
|
% |
-7.4
|
% |
-7.5
|
% |
-7.8
|
% |
-8.2
|
% |
-8.8
|
% |
-9.6
|
% |
-10.5
|
% |
-11.6
|
% |
-12.8
|
% |
-14.2
|
% |
-15.7
|
% |
-17.3
|
% |
-19.1
|
% |
-21.0
|
% |
-22.9
|
% |
-25.0
|
% | ||||||||||||||||||||||||||||||||||
0%
|
0.0
|
% |
0.0
|
% |
-0.1
|
% |
-0.4
|
% |
-0.8
|
% |
-1.5
|
% |
-2.3
|
% |
-3.3
|
% |
-4.5
|
% |
-5.8
|
% |
-7.3
|
% |
-8.9
|
% |
-10.7
|
% |
-12.6
|
% |
-14.7
|
% |
-16.8
|
% |
-19.0
|
% | ||||||||||||||||||||||||||||||||||
5%
|
7.5
|
% |
7.6
|
% |
7.5
|
% |
7.2
|
% |
6.7
|
% |
6.0
|
% |
5.1
|
% |
4.0
|
% |
2.8
|
% |
1.3
|
% |
-0.3
|
% |
-2.0
|
% |
-3.9
|
% |
-6.0
|
% |
-8.2
|
% |
-10.5
|
% |
-12.9
|
% | ||||||||||||||||||||||||||||||||||
10%
|
15.0
|
% |
15.4
|
% |
15.3
|
% |
14.9
|
% |
14.4
|
% |
13.7
|
% |
12.7
|
% |
11.5
|
% |
10.2
|
% |
8.7
|
% |
6.9
|
% |
5.0
|
% |
3.0
|
% |
0.8
|
% |
-1.5
|
% |
-4.0
|
% |
-6.6
|
% | ||||||||||||||||||||||||||||||||||
15%
|
22.5
|
% |
23.3
|
% |
23.2
|
% |
22.9
|
% |
22.3
|
% |
21.5
|
% |
20.5
|
% |
19.2
|
% |
17.8
|
% |
16.1
|
% |
14.3
|
% |
12.3
|
% |
10.1
|
% |
7.7
|
% |
5.3
|
% |
2.6
|
% |
-0.1
|
% | ||||||||||||||||||||||||||||||||||
20%
|
30.0
|
% |
31.5
|
% |
31.3
|
% |
31.0
|
% |
30.3
|
% |
29.5
|
% |
28.4
|
% |
27.1
|
% |
25.6
|
% |
23.8
|
% |
21.8
|
% |
19.7
|
% |
17.4
|
% |
14.9
|
% |
12.2
|
% |
9.4
|
% |
6.5
|
% | ||||||||||||||||||||||||||||||||||
25%
|
37.5
|
% |
39.8
|
% |
39.6
|
% |
39.2
|
% |
38.6
|
% |
37.7
|
% |
36.5
|
% |
35.1
|
% |
33.5
|
% |
31.6
|
% |
29.5
|
% |
27.2
|
% |
24.8
|
% |
22.1
|
% |
19.3
|
% |
16.3
|
% |
13.2
|
% | ||||||||||||||||||||||||||||||||||
30%
|
45.0
|
% |
48.2
|
% |
48.1
|
% |
47.7
|
% |
47.0
|
% |
46.0
|
% |
44.8
|
% |
43.3
|
% |
41.6
|
% |
39.6
|
% |
37.4
|
% |
35.0
|
% |
32.3
|
% |
29.5
|
% |
26.5
|
% |
23.3
|
% |
20.0
|
% | ||||||||||||||||||||||||||||||||||
35%
|
52.5
|
% |
56.9
|
% |
56.7
|
% |
56.3
|
% |
55.5
|
% |
54.5
|
% |
53.2
|
% |
51.7
|
% |
49.8
|
% |
47.7
|
% |
45.4
|
% |
42.8
|
% |
40.0
|
% |
37.0
|
% |
33.9
|
% |
30.5
|
% |
27.0
|
% | ||||||||||||||||||||||||||||||||||
40%
|
60.0
|
% |
65.7
|
% |
65.5
|
% |
65.0
|
% |
64.3
|
% |
63.2
|
% |
61.8
|
% |
60.2
|
% |
58.2
|
% |
56.0
|
% |
53.5
|
% |
50.8
|
% |
47.9
|
% |
44.7
|
% |
41.4
|
% |
37.8
|
% |
34.1
|
% | ||||||||||||||||||||||||||||||||||
45%
|
67.5
|
% |
74.6
|
% |
74.4
|
% |
73.9
|
% |
73.1
|
% |
72.0
|
% |
70.6
|
% |
68.8
|
% |
66.8
|
% |
64.4
|
% |
61.8
|
% |
59.0
|
% |
55.9
|
% |
52.6
|
% |
49.0
|
% |
45.3
|
% |
41.4
|
% | ||||||||||||||||||||||||||||||||||
50%
|
75.0
|
% |
83.7
|
% |
83.5
|
% |
83.0
|
% |
82.2
|
% |
81.0
|
% |
79.5
|
% |
77.6
|
% |
75.5
|
% |
73.0
|
% |
70.3
|
% |
67.3
|
% |
64.0
|
% |
60.5
|
% |
56.8
|
% |
52.9
|
% |
48.8
|
% | ||||||||||||||||||||||||||||||||||
55%
|
82.5
|
% |
93.0
|
% |
92.8
|
% |
92.3
|
% |
91.4
|
% |
90.1
|
% |
88.5
|
% |
86.6
|
% |
84.3
|
% |
81.7
|
% |
78.9
|
% |
75.7
|
% |
72.3
|
% |
68.6
|
% |
64.7
|
% |
60.6
|
% |
56.3
|
% | ||||||||||||||||||||||||||||||||||
60%
|
90.0
|
% |
102.4
|
% |
102.2
|
% |
101.6
|
% |
100.7
|
% |
99.4
|
% |
97.7
|
% |
95.7
|
% |
93.3
|
% |
90.6
|
% |
87.6
|
% |
84.3
|
% |
80.7
|
% |
76.8
|
% |
72.7
|
% |
68.4
|
% |
63.9
|
% |
|
|
Benchmark Volatility
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year
Benchmark
Performance
|
Two Times
(2x) One
Year
Benchmark
Performance
|
0%
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
35%
|
40%
|
45%
|
50%
|
55%
|
60%
|
65%
|
70%
|
||||||||||||||||||||||||||||||||||||||||||||||||
-60%
|
-120
|
% |
-84.0
|
% |
-84.0
|
% |
-84.2
|
% |
-84.4
|
% |
-84.6
|
% |
-85.0
|
% |
-85.4
|
% |
-85.8
|
% |
-86.4
|
% |
-86.9
|
% |
-87.5
|
% |
-88.2
|
% |
-88.8
|
% |
-89.5
|
% |
-90.2
|
% | ||||||||||||||||||||||||||||||||
-55%
|
-110
|
% |
-79.8
|
% |
-79.8
|
% |
-80.0
|
% |
-80.2
|
% |
-80.5
|
% |
-81.0
|
% |
-81.5
|
% |
-82.1
|
% |
-82.7
|
% |
-83.5
|
% |
-84.2
|
% |
-85.0
|
% |
-85.9
|
% |
-86.7
|
% |
-87.6
|
% | ||||||||||||||||||||||||||||||||
-50%
|
-100
|
% |
-75.0
|
% |
-75.1
|
% |
-75.2
|
% |
-75.6
|
% |
-76.0
|
% |
-76.5
|
% |
-77.2
|
% |
-77.9
|
% |
-78.7
|
% |
-79.6
|
% |
-80.5
|
% |
-81.5
|
% |
-82.6
|
% |
-83.6
|
% |
-84.7
|
% | ||||||||||||||||||||||||||||||||
-45%
|
-90
|
% |
-69.8
|
% |
-69.8
|
% |
-70.1
|
% |
-70.4
|
% |
-70.9
|
% |
-71.6
|
% |
-72.4
|
% |
-73.2
|
% |
-74.2
|
% |
-75.3
|
% |
-76.4
|
% |
-77.6
|
% |
-78.9
|
% |
-80.2
|
% |
-81.5
|
% | ||||||||||||||||||||||||||||||||
-40%
|
-80
|
% |
-64.0
|
% |
-64.1
|
% |
-64.4
|
% |
-64.8
|
% |
-65.4
|
% |
-66.2
|
% |
-67.1
|
% |
-68.2
|
% |
-69.3
|
% |
-70.6
|
% |
-72.0
|
% |
-73.4
|
% |
-74.9
|
% |
-76.4
|
% |
-77.9
|
% | ||||||||||||||||||||||||||||||||
-35%
|
-70
|
% |
-57.8
|
% |
-57.9
|
% |
-58.2
|
% |
-58.7
|
% |
-59.4
|
% |
-60.3
|
% |
-61.4
|
% |
-62.6
|
% |
-64.0
|
% |
-65.5
|
% |
-67.1
|
% |
-68.8
|
% |
-70.5
|
% |
-72.3
|
% |
-74.1
|
% | ||||||||||||||||||||||||||||||||
-30%
|
-60
|
% |
-51.0
|
% |
-51.1
|
% |
-51.5
|
% |
-52.1
|
% |
-52.9
|
% |
-54.0
|
% |
-55.2
|
% |
-56.6
|
% |
-58.2
|
% |
-60.0
|
% |
-61.8
|
% |
-63.8
|
% |
-65.8
|
% |
-67.9
|
% |
-70.0
|
% | ||||||||||||||||||||||||||||||||
-25%
|
-50
|
% |
-43.8
|
% |
-43.9
|
% |
-44.3
|
% |
-45.0
|
% |
-46.0
|
% |
-47.2
|
% |
-48.6
|
% |
-50.2
|
% |
-52.1
|
% |
-54.1
|
% |
-56.2
|
% |
-58.4
|
% |
-60.8
|
% |
-63.1
|
% |
-65.5
|
% | ||||||||||||||||||||||||||||||||
-20%
|
-40
|
% |
-36.0
|
% |
-36.2
|
% |
-36.6
|
% |
-37.4
|
% |
-38.5
|
% |
-39.9
|
% |
-41.5
|
% |
-43.4
|
% |
-45.5
|
% |
-47.7
|
% |
-50.2
|
% |
-52.7
|
% |
-55.3
|
% |
-58.1
|
% |
-60.8
|
% | ||||||||||||||||||||||||||||||||
-15%
|
-30
|
% |
-27.8
|
% |
-27.9
|
% |
-28.5
|
% |
-29.4
|
% |
-30.6
|
% |
-32.1
|
% |
-34.0
|
% |
-36.1
|
% |
-38.4
|
% |
-41.0
|
% |
-43.7
|
% |
-46.6
|
% |
-49.6
|
% |
-52.6
|
% |
-55.7
|
% | ||||||||||||||||||||||||||||||||
-10%
|
-20
|
% |
-19.0
|
% |
-19.2
|
% |
-19.8
|
% |
-20.8
|
% |
-22.2
|
% |
-23.9
|
% |
-26.0
|
% |
-28.3
|
% |
-31.0
|
% |
-33.8
|
% |
-36.9
|
% |
-40.1
|
% |
-43.5
|
% |
-46.9
|
% |
-50.4
|
% | ||||||||||||||||||||||||||||||||
-5%
|
-10
|
% |
-9.8
|
% |
-10.0
|
% |
-10.6
|
% |
-11.8
|
% |
-13.3
|
% |
-15.2
|
% |
-17.5
|
% |
-20.2
|
% |
-23.1
|
% |
-26.3
|
% |
-29.7
|
% |
-33.3
|
% |
-37.0
|
% |
-40.8
|
% |
-44.7
|
% | ||||||||||||||||||||||||||||||||
0%
|
0
|
% |
0.0
|
% |
-0.2
|
% |
-1.0
|
% |
-2.2
|
% |
-3.9
|
% |
-6.1
|
% |
-8.6
|
% |
-11.5
|
% |
-14.8
|
% |
-18.3
|
% |
-22.1
|
% |
-26.1
|
% |
-30.2
|
% |
-34.5
|
% |
-38.7
|
% | ||||||||||||||||||||||||||||||||
5%
|
10
|
% |
10.3
|
% |
10.0
|
% |
9.2
|
% |
7.8
|
% |
5.9
|
% |
3.6
|
% |
0.8
|
% |
-2.5
|
% |
-6.1
|
% |
-10.0
|
% |
-14.1
|
% |
-18.5
|
% |
-23.1
|
% |
-27.7
|
% |
-32.5
|
% | ||||||||||||||||||||||||||||||||
10%
|
20
|
% |
21.0
|
% |
20.7
|
% |
19.8
|
% |
18.3
|
% |
16.3
|
% |
13.7
|
% |
10.6
|
% |
7.0
|
% |
3.1
|
% |
-1.2
|
% |
-5.8
|
% |
-10.6
|
% |
-15.6
|
% |
-20.7
|
% |
-25.9
|
% | ||||||||||||||||||||||||||||||||
15%
|
30
|
% |
32.3
|
% |
31.9
|
% |
30.9
|
% |
29.3
|
% |
27.1
|
% |
24.2
|
% |
20.9
|
% |
17.0
|
% |
12.7
|
% |
8.0
|
% |
3.0
|
% |
-2.3
|
% |
-7.7
|
% |
-13.3
|
% |
-19.0
|
% | ||||||||||||||||||||||||||||||||
20%
|
40
|
% |
44.0
|
% |
43.6
|
% |
42.6
|
% |
40.8
|
% |
38.4
|
% |
35.3
|
% |
31.6
|
% |
27.4
|
% |
22.7
|
% |
17.6
|
% |
12.1
|
% |
6.4
|
% |
0.5
|
% |
-5.6
|
% |
-11.8
|
% | ||||||||||||||||||||||||||||||||
25%
|
50
|
% |
56.3
|
% |
55.9
|
% |
54.7
|
% |
52.8
|
% |
50.1
|
% |
46.8
|
% |
42.8
|
% |
38.2
|
% |
33.1
|
% |
27.6
|
% |
21.7
|
% |
15.5
|
% |
9.0
|
% |
2.4
|
% |
-4.3
|
% | ||||||||||||||||||||||||||||||||
30%
|
60
|
% |
69.0
|
% |
68.6
|
% |
67.3
|
% |
65.2
|
% |
62.4
|
% |
58.8
|
% |
54.5
|
% |
49.5
|
% |
44.0
|
% |
38.0
|
% |
31.6
|
% |
24.9
|
% |
17.9
|
% |
10.8
|
% |
3.5
|
% | ||||||||||||||||||||||||||||||||
35%
|
70
|
% |
82.3
|
% |
81.8
|
% |
80.4
|
% |
78.2
|
% |
75.1
|
% |
71.2
|
% |
66.6
|
% |
61.2
|
% |
55.3
|
% |
48.8
|
% |
41.9
|
% |
34.7
|
% |
27.2
|
% |
19.4
|
% |
11.7
|
% | ||||||||||||||||||||||||||||||||
40%
|
80
|
% |
96.0
|
% |
95.5
|
% |
94.0
|
% |
91.6
|
% |
88.3
|
% |
84.1
|
% |
79.1
|
% |
73.4
|
% |
67.0
|
% |
60.1
|
% |
52.6
|
% |
44.8
|
% |
36.7
|
% |
28.5
|
% |
20.1
|
% | ||||||||||||||||||||||||||||||||
45%
|
90
|
% |
110.3
|
% |
109.7
|
% |
108.2
|
% |
105.6
|
% |
102.0
|
% |
97.5
|
% |
92.2
|
% |
86.0
|
% |
79.2
|
% |
71.7
|
% |
63.7
|
% |
55.4
|
% |
46.7
|
% |
37.8
|
% |
28.8
|
% | ||||||||||||||||||||||||||||||||
50%
|
100
|
% |
125.0
|
% |
124.4
|
% |
122.8
|
% |
120.0
|
% |
116.2
|
% |
111.4
|
% |
105.6
|
% |
99.1
|
% |
91.7
|
% |
83.8
|
% |
75.2
|
% |
66.3
|
% |
57.0
|
% |
47.5
|
% |
37.8
|
% | ||||||||||||||||||||||||||||||||
55%
|
110
|
% |
140.3
|
% |
139.7
|
% |
137.9
|
% |
134.9
|
% |
130.8
|
% |
125.7
|
% |
119.6
|
% |
112.6
|
% |
104.7
|
% |
96.2
|
% |
87.1
|
% |
77.5
|
% |
67.6
|
% |
57.5
|
% |
47.2
|
% | ||||||||||||||||||||||||||||||||
60%
|
120
|
% |
156.0
|
% |
155.4
|
% |
153.5
|
% |
150.3
|
% |
146.0
|
% |
140.5
|
% |
134.0
|
% |
126.5
|
% |
118.1
|
% |
109.1
|
% |
99.4
|
% |
89.2
|
% |
78.6
|
% |
67.8
|
% |
56.8
|
% |
|
|
Benchmark Volatility
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year
Benchmark
Performance
|
Three Times
(3x) One Year Benchmark Performance |
0%
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
35%
|
40%
|
45%
|
50%
|
55%
|
60%
|
65%
|
70%
|
||||||||||||||||||||||||||||||||||||||||||||||||
-60%
|
-180
|
% |
-93.6
|
% |
-93.6
|
% |
-93.8
|
% |
-94.0
|
% |
-94.3
|
% |
-94.7
|
% |
-95.1
|
% |
-95.6
|
% |
-96.0
|
% |
-96.5
|
% |
-97.0
|
% |
-97.4
|
% |
-97.8
|
% |
-98.2
|
% |
-98.5
|
% | ||||||||||||||||||||||||||||||||
-55%
|
-165
|
% |
-90.9
|
% |
-91.0
|
% |
-91.2
|
% |
-91.5
|
% |
-91.9
|
% |
-92.4
|
% |
-93.0
|
% |
-93.7
|
% |
-94.4
|
% |
-95.0
|
% |
-95.7
|
% |
-96.3
|
% |
-96.9
|
% |
-97.4
|
% |
-97.9
|
% | ||||||||||||||||||||||||||||||||
-50%
|
-150
|
% |
-87.5
|
% |
-87.6
|
% |
-87.9
|
% |
-88.3
|
% |
-88.9
|
% |
-89.6
|
% |
-90.5
|
% |
-91.3
|
% |
-92.3
|
% |
-93.2
|
% |
-94.1
|
% |
-95.0
|
% |
-95.8
|
% |
-96.5
|
% |
-97.1
|
% | ||||||||||||||||||||||||||||||||
-45%
|
-135
|
% |
-83.4
|
% |
-83.5
|
% |
-83.9
|
% |
-84.4
|
% |
-85.2
|
% |
-86.2
|
% |
-87.3
|
% |
-88.5
|
% |
-89.7
|
% |
-90.9
|
% |
-92.1
|
% |
-93.3
|
% |
-94.3
|
% |
-95.3
|
% |
-96.2
|
% | ||||||||||||||||||||||||||||||||
-40%
|
-120
|
% |
-78.4
|
% |
-78.6
|
% |
-79.0
|
% |
-79.8
|
% |
-80.8
|
% |
-82.1
|
% |
-83.5
|
% |
-85.0
|
% |
-86.6
|
% |
-88.2
|
% |
-89.8
|
% |
-91.3
|
% |
-92.7
|
% |
-93.9
|
% |
-95.0
|
% | ||||||||||||||||||||||||||||||||
-35%
|
-105
|
% |
-72.5
|
% |
-72.7
|
% |
-73.3
|
% |
-74.3
|
% |
-75.6
|
% |
-77.2
|
% |
-79.0
|
% |
-81.0
|
% |
-83.0
|
% |
-85.0
|
% |
-87.0
|
% |
-88.9
|
% |
-90.7
|
% |
-92.3
|
% |
-93.7
|
% | ||||||||||||||||||||||||||||||||
-30%
|
-90
|
% |
-65.7
|
% |
-66.0
|
% |
-66.7
|
% |
-67.9
|
% |
-69.6
|
% |
-71.6
|
% |
-73.8
|
% |
-76.2
|
% |
-78.8
|
% |
-81.3
|
% |
-83.8
|
% |
-86.2
|
% |
-88.4
|
% |
-90.3
|
% |
-92.1
|
% | ||||||||||||||||||||||||||||||||
-25%
|
-75
|
% |
-57.8
|
% |
-58.1
|
% |
-59.1
|
% |
-60.6
|
% |
-62.6
|
% |
-65.0
|
% |
-67.8
|
% |
-70.8
|
% |
-73.9
|
% |
-77.0
|
% |
-80.1
|
% |
-83.0
|
% |
-85.7
|
% |
-88.1
|
% |
-90.3
|
% | ||||||||||||||||||||||||||||||||
-20%
|
-60
|
% |
-48.8
|
% |
-49.2
|
% |
-50.3
|
% |
-52.1
|
% |
-54.6
|
% |
-57.6
|
% |
-60.9
|
% |
-64.5
|
% |
-68.3
|
% |
-72.1
|
% |
-75.8
|
% |
-79.3
|
% |
-82.6
|
% |
-85.6
|
% |
-88.2
|
% | ||||||||||||||||||||||||||||||||
-15%
|
-45
|
% |
-38.6
|
% |
-39.0
|
% |
-40.4
|
% |
-42.6
|
% |
-45.5
|
% |
-49.1
|
% |
-53.1
|
% |
-57.5
|
% |
-62.0
|
% |
-66.5
|
% |
-71.0
|
% |
-75.2
|
% |
-79.1
|
% |
-82.7
|
% |
-85.9
|
% | ||||||||||||||||||||||||||||||||
-10%
|
-30
|
% |
-27.1
|
% |
-27.6
|
% |
-29.3
|
% |
-31.9
|
% |
-35.3
|
% |
-39.6
|
% |
-44.3
|
% |
-49.5
|
% |
-54.9
|
% |
-60.3
|
% |
-65.6
|
% |
-70.6
|
% |
-75.2
|
% |
-79.5
|
% |
-83.2
|
% | ||||||||||||||||||||||||||||||||
-5%
|
-15
|
% |
-14.3
|
% |
-14.9
|
% |
-16.8
|
% |
-19.9
|
% |
-24.0
|
% |
-28.9
|
% |
-34.5
|
% |
-40.6
|
% |
-46.9
|
% |
-53.3
|
% |
-59.5
|
% |
-65.4
|
% |
-70.9
|
% |
-75.9
|
% |
-80.3
|
% | ||||||||||||||||||||||||||||||||
0%
|
0
|
% |
0.0
|
% |
-0.7
|
% |
-3.0
|
% |
-6.5
|
% |
-11.3
|
% |
-17.1
|
% |
-23.7
|
% |
-30.8
|
% |
-38.1
|
% |
-45.5
|
% |
-52.8
|
% |
-59.6
|
% |
-66.0
|
% |
-71.8
|
% |
-77.0
|
% | ||||||||||||||||||||||||||||||||
5%
|
15
|
% |
15.8
|
% |
14.9
|
% |
12.3
|
% |
8.2
|
% |
2.7
|
% |
-4.0
|
% |
-11.6
|
% |
-19.8
|
% |
-28.4
|
% |
-36.9
|
% |
-45.3
|
% |
-53.3
|
% |
-60.7
|
% |
-67.4
|
% |
-73.4
|
% | ||||||||||||||||||||||||||||||||
10%
|
30
|
% |
33.1
|
% |
32.1
|
% |
29.2
|
% |
24.4
|
% |
18.0
|
% |
10.3
|
% |
1.6
|
% |
-7.8
|
% |
-17.6
|
% |
-27.5
|
% |
-37.1
|
% |
-46.3
|
% |
-54.8
|
% |
-62.5
|
% |
-69.4
|
% | ||||||||||||||||||||||||||||||||
15%
|
45
|
% |
52.1
|
% |
51.0
|
% |
47.6
|
% |
42.2
|
% |
34.9
|
% |
26.1
|
% |
16.1
|
% |
5.3
|
% |
-5.9
|
% |
-17.2
|
% |
-28.2
|
% |
-38.6
|
% |
-48.4
|
% |
-57.2
|
% |
-65.0
|
% | ||||||||||||||||||||||||||||||||
20%
|
60
|
% |
72.8
|
% |
71.5
|
% |
67.7
|
% |
61.5
|
% |
53.3
|
% |
43.3
|
% |
31.9
|
% |
19.7
|
% |
6.9
|
% |
-5.9
|
% |
-18.4
|
% |
-30.3
|
% |
-41.3
|
% |
-51.4
|
% |
-60.3
|
% | ||||||||||||||||||||||||||||||||
25%
|
75
|
% |
95.3
|
% |
93.9
|
% |
89.5
|
% |
82.6
|
% |
73.2
|
% |
61.9
|
% |
49.1
|
% |
35.2
|
% |
20.9
|
% |
6.4
|
% |
-7.7
|
% |
-21.2
|
% |
-33.7
|
% |
-45.0
|
% |
-55.1
|
% | ||||||||||||||||||||||||||||||||
30%
|
90
|
% |
119.7
|
% |
118.1
|
% |
113.2
|
% |
105.4
|
% |
94.9
|
% |
82.1
|
% |
67.7
|
% |
52.1
|
% |
35.9
|
% |
19.7
|
% |
3.8
|
% |
-11.3
|
% |
-25.4
|
% |
-38.1
|
% |
-49.5
|
% | ||||||||||||||||||||||||||||||||
35%
|
105
|
% |
146.0
|
% |
144.2
|
% |
138.8
|
% |
130.0
|
% |
118.2
|
% |
104.0
|
% |
87.8
|
% |
70.4
|
% |
52.2
|
% |
34.0
|
% |
16.2
|
% |
-0.7
|
% |
-16.4
|
% |
-30.7
|
% |
-43.4
|
% | ||||||||||||||||||||||||||||||||
40%
|
120
|
% |
174.4
|
% |
172.3
|
% |
166.3
|
% |
156.5
|
% |
143.4
|
% |
127.5
|
% |
109.5
|
% |
90.0
|
% |
69.8
|
% |
49.5
|
% |
29.6
|
% |
10.7
|
% |
-6.8
|
% |
-22.7
|
% |
-36.9
|
% | ||||||||||||||||||||||||||||||||
45%
|
135
|
% |
204.9
|
% |
202.6
|
% |
195.9
|
% |
185.0
|
% |
170.4
|
% |
152.7
|
% |
132.7
|
% |
111.1
|
% |
88.6
|
% |
66.1
|
% |
44.0
|
% |
23.0
|
% |
3.5
|
% |
-14.2
|
% |
-29.9
|
% | ||||||||||||||||||||||||||||||||
50%
|
150
|
% |
237.5
|
% |
235.0
|
% |
227.5
|
% |
215.5
|
% |
199.3
|
% |
179.8
|
% |
157.6
|
% |
133.7
|
% |
108.8
|
% |
83.8
|
% |
59.4
|
% |
36.2
|
% |
14.6
|
% |
-5.0
|
% |
-22.4
|
% | ||||||||||||||||||||||||||||||||
55%
|
165
|
% |
272.4
|
% |
269.6
|
% |
261.4
|
% |
248.1
|
% |
230.3
|
% |
208.7
|
% |
184.3
|
% |
157.9
|
% |
130.4
|
% |
102.8
|
% |
75.9
|
% |
50.3
|
% |
26.5
|
% |
4.8
|
% |
-14.4
|
% | ||||||||||||||||||||||||||||||||
60%
|
180
|
% |
309.6
|
% |
306.5
|
% |
297.5
|
% |
282.9
|
% |
263.3
|
% |
239.6
|
% |
212.7
|
% |
183.6
|
% |
153.5
|
% |
123.1
|
% |
93.5
|
% |
65.3
|
% |
39.1
|
% |
15.3
|
% |
-5.8
|
% |
• | Significant increases or decreases in the available supply of a physical commodity due to natural or technological factors. Natural factors would include depletion of known cost-effective sources for natural gas, silver, gold or oil or the impact of severe weather or other natural events on the ability to produce or distribute the commodity. Technological factors, such as increases in availability created by new or improved extraction, refining and processing equipment and methods or decreases caused by failure or unavailability of major refining and processing equipment (for example, shutting down or constructing natural gas processing plants), also materially influence the supply of the commodity. General economic conditions in the world or in a major region, such as population growth rates, periods of civil unrest, government austerity programs, or currency exchange rate fluctuations may affect prices of underlying commodities. |
• | In regard to the Oil Funds, the exploration and production of crude oil are uncertain processes with many risks. The cost of drilling, completing and operating wells for crude oil is often uncertain, and a number of factors can delay or prevent operations or production of crude oil, including (1) unexpected drilling conditions, (2) pressure or irregularities in formations, (3) equipment failures or repairs, (4) fires or other accidents, (5) adverse weather conditions, (6) pipeline ruptures, spills or other supply disruptions, and (7) shortages or delays in the availability of extraction or delivery equipment. |
• | Significant increases or decreases in the demand for natural gas, silver, gold or oil due to natural or technological factors. Natural factors would include such events as unusual climatological conditions impacting the demand for natural gas, silver, gold or oil. Technological factors may include such developments as substitutes or new uses for particular commodities. |
• | A significant change in the attitude of speculators and investors towards natural gas, silver, gold or oil or in the hedging activities of commodity producers. Should the speculative community take a negative or positive view towards natural gas, silver, gold or oil, or if there is an increase or decrease in the level of hedge activity of commodity producing companies, countries and/or organizations, such action could cause a change in world prices of any given commodity. |
• | Large purchases or sales of physical commodities by the official sector. Governments and large institutions have large commodities holdings or may establish major commodities positions. For example, a significant portion of the aggregate world precious metals holdings is owned by governments, central banks and related institutions. Similarly, nations with centralized or nationalized energy production organizations may control large physical quantities of certain commodities. The purchase or sale by one of these institutions in large amounts could potentially cause a change in prices for that commodity. |
• | With regard to the Oil Funds, nations with centralized or nationalized oil production and organizations such as the Organization of Petroleum Exporting Countries (OPEC) control large physical qualities of crude oil. The purchase or sale by one of these institutions in large amounts could potentially cause a change in prices for that commodity. Tension between the governments of the United States and oil exporting nations, civil unrest and sabotage, the ability of members of OPEC to agree upon and maintain oil prices and production levels, and fluctuations in the reserve capacity of crude oil could impact future oil prices. |
• | Political activity such as imposition of regulations or entry into trade treaties, as well as political disruptions caused by societal breakdown, insurrection, terrorism, sabotage and/or war may greatly influence prices of particular commodities. |
• | With regard to the Natural Gas Funds, the demand for natural gas correlates closely with general economic growth rates. The occurrence of recessions or other periods of low or negative economic growth will typically have a direct adverse impact on natural gas demand and natural gas prices. The supply and demand for natural gas may also be impacted by changes in interest rates, inflation, and other local or regional market conditions, as well as by the development of alternative energy sources. |
• | The recent proliferation of commodity-linked products and their unknown effect on the commodity markets. |
• | With regard to the Oil and Natural Gas Funds, competition from clean power companies, fluctuations in the supply and demand of alternative energy fuels, energy conservation, changes in consumer preferences regarding the use of renewable energy sources to replace fossil fuels, and tax and other government regulations can significantly affect the prices of oil and natural gas. |
• | Debt level and trade deficit of the relevant foreign countries; |
• | Inflation rates of the United States and the relevant foreign countries and investors’ expectations concerning inflation rates; |
• | Interest rates of the United States and the relevant foreign countries and investors’ expectations concerning interest rates; |
• | Investment and trading activities of mutual funds, hedge funds and other market participants; |
• | Global or regional political, economic or financial events and situations; |
• | Sovereign action to set or restrict currency conversion; |
• |
Monetary policies and other related activities of central banks within the U.S. and other relevant
non-U.S.
markets;
|
• | Overall growth and performance of the economies of the relevant countries; and |
• |
Non-U.S.
financial markets may be closed on a day when U.S. domestic markets are open for trading. As a result, liquidity and/or pricing may be affected by the absence of trading in a specific currency.
|
• | Prevailing market prices and forward volatility levels of the U.S. stock markets, the S&P 500, the equity securities included in the S&P 500 and prevailing market prices of options on the S&P 500, the VIX, options on the VIX, the relevant VIX futures contracts, or any other financial instruments related to the S&P 500 and the VIX or VIX futures contracts; |
• | Interest rates, and investors’ expectations concerning interest rates; |
• | Inflation rates and investors’ expectations concerning inflation rates; |
• |
Economic, financial, political, regulatory, geographical, judicial and other events that affect the level of the
Mid-Term
VIX Futures Index or the market price or forward volatility of the U.S. stock markets, the equity securities included in the S&P 500, the S&P 500, the VIX or the relevant futures or option contracts on the VIX;
|
• | Supply and demand as well as hedging activities in the listed and OTC equity derivatives markets; |
• | The level of margin requirements; |
• | The position limits imposed by futures exchanges and any position or risk limits imposed by FCMs and swap counterparties; |
• | Disruptions in trading of the S&P 500, futures contracts on the S&P 500 or options on the S&P 500; and |
• | The level of contango or backwardation in the VIX futures contract market. |
• | Prevailing market prices and forward volatility levels of the U.S. stock markets, the S&P 500, the equity securities included in the S&P 500 and prevailing market prices of options on the S&P 500, the VIX, options on the VIX, the relevant VIX futures contracts, or any other financial instruments related to the S&P 500 and the VIX or VIX futures contracts; |
• | Interest rates, and investors’ expectations concerning interest rates; |
• | Inflation rates and investors’ expectations concerning inflation rates; |
• | Economic, financial, political, regulatory, geographical, biological or judicial events that affect the level of the Mid-Term VIX Index or the market price or forward volatility of the U.S. stock markets, the equity securities included in the S&P 500, the S&P 500, the VIX or the relevant futures or option contracts on the VIX; |
• | Supply and demand as well as hedging activities in the listed and OTC equity derivatives markets; |
• | Disruptions in trading of the S&P 500, futures contracts on the S&P 500 or options on the S&P 500; |
• | The level of contango or backwardation in the VIX futures contract market; |
• | The position limits imposed by FCMs; and |
• | The level of margin requirements. |
Item 5.
|
Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.
|
a)
|
The Shares of each Fund that has commenced investment operations are listed on the NYSE Arca. The dates the Shares of each Fund began trading on the NYSE Arca and their symbols are indicated below: |
Fund
|
Commencement of Operations
|
Ticker Symbol
|
||
ProShares Short Euro
|
June 26, 2012
|
EUFX
|
||
ProShares Short VIX Short-Term Futures ETF
|
October 3, 2011
|
SVXY
|
||
ProShares Ultra Bloomberg Crude Oil
|
November 25, 2008
|
UCO
|
||
ProShares Ultra Bloomberg Natural Gas
|
October 4, 2011
|
BOIL
|
||
ProShares Ultra Euro
|
November 25, 2008
|
ULE
|
||
ProShares Ultra Gold
|
December 3, 2008
|
UGL
|
||
ProShares Ultra Silver
|
December 3, 2008
|
AGQ
|
||
ProShares Ultra VIX Short-Term Futures ETF
|
October 3, 2011
|
UVXY
|
||
ProShares Ultra Yen
|
November 25, 2008
|
YCL
|
||
ProShares UltraPro 3x Crude Oil ETF
|
March 24, 2017
|
OILU
|
||
ProShares UltraPro 3x Short Crude Oil ETF
|
March 24, 2017
|
OILD
|
||
ProShares UltraShort Australian Dollar
|
July 17, 2012
|
CROC
|
||
ProShares UltraShort Bloomberg Crude Oil
|
November 25, 2008
|
SCO
|
||
ProShares UltraShort Bloomberg Natural Gas
|
October 4, 2011
|
KOLD
|
||
ProShares UltraShort Euro
|
November 25, 2008
|
EUO
|
||
ProShares UltraShort Gold
|
December 3, 2008
|
GLL
|
||
ProShares UltraShort Silver
|
December 3, 2008
|
ZSL
|
||
ProShares UltraShort Yen
|
November 25, 2008
|
YCS
|
||
ProShares VIX
Mid-Term
Futures ETF
|
January 3, 2011
|
VIXM
|
||
ProShares VIX Short-Term Futures ETF
|
January 3, 2011
|
VIXY
|
Fund
|
Number of Holders
|
|
||
ProShares Short Euro
|
262
|
|||
ProShares Short VIX Short-Term Futures ETF
|
11,794
|
|||
ProShares Ultra Bloomberg Crude Oil
|
27,384
|
|||
ProShares Ultra Bloomberg Natural Gas
|
3,935
|
|||
ProShares Ultra Euro
|
796
|
|||
ProShares Ultra Gold
|
5,703
|
|||
ProShares Ultra Silver
|
19,106
|
|||
ProShares Ultra VIX Short-Term Futures ETF
|
40,762
|
|||
ProShares Ultra Yen
|
220
|
|||
ProShares UltraPro 3x Crude Oil ETF
|
4,101
|
|||
ProShares UltraPro 3x Short Crude Oil ETF
|
2,521
|
|||
ProShares UltraShort Australian Dollar
|
195
|
|||
ProShares UltraShort Bloomberg Crude Oil
|
5,571
|
|||
ProShares UltraShort Bloomberg Natural Gas
|
981
|
|||
ProShares UltraShort Euro
|
5,387
|
|||
ProShares UltraShort Gold
|
1,476
|
|||
ProShares UltraShort Silver
|
1,496
|
|||
ProShares UltraShort Yen
|
1,701
|
|||
ProShares VIX
Mid-Term
Futures ETF
|
3,124
|
|||
ProShares VIX Short-Term Futures ETF
|
15,912
|
|||
Total Trust:
|
|
152,427
|
|
b)
|
Not applicable. |
Title of Securities
Registered
|
Amount Registered as of
December 31, 2019 |
|
Shares Sold For the
Three Months Ended December 31, 2019 |
|
Sale Price of Shares
Sold For the Three Months Ended December 31, 2019 |
|
Shares Sold For the
Year Ended December 31, 2019 |
|
Sale Price of Shares Sold
For the Year Ended December 31, 2019 |
|
||||||||||
ProShares Short Euro
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
140,213,786
|
—
|
$ |
—
|
300,000
|
$ |
13,205,150
|
||||||||||||
ProShares Short VIX Short-Term Futures ETF
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
8,945,616,566
|
350,000
|
$ |
22,279,185
|
1,500,000
|
$ |
84,372,594
|
||||||||||||
ProShares Ultra Bloomberg Crude Oil
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
3,767,599,303
|
8,400,000
|
$ |
132,246,531
|
34,050,000
|
$ |
569,843,253
|
||||||||||||
ProShares Ultra Bloomberg Natural Gas
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
353,205,850
|
4,600,000
|
$ |
50,401,495
|
8,250,000
|
$ |
115,544,309
|
||||||||||||
ProShares Ultra Euro
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
90,976,566
|
50,000
|
$ |
678,115
|
100,000
|
$ |
1,422,682
|
||||||||||||
ProShares Ultra Gold
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
246,598,845
|
50,000
|
$ |
2,448,525
|
900,000
|
$ |
38,466,355
|
||||||||||||
ProShares Ultra Silver
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
1,200,576,548
|
250,000
|
$ |
7,276,965
|
2,300,000
|
$ |
62,741,459
|
||||||||||||
ProShares Ultra VIX Short-Term Futures ETF
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
6,661,218,948
|
27,900,000
|
$ |
504,882,722
|
83,750,000
|
$ |
2,454,259,697
|
||||||||||||
ProShares Ultra Yen
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
132,956,903
|
100,000
|
$ |
5,563,743
|
200,000
|
$ |
11,322,305
|
Title of Securities
Registered
|
Amount Registered as of
December 31, 2019 |
|
Shares Sold For the
Three Months Ended December 31, 2019 |
|
Sale Price of Shares
Sold For the Three Months Ended December 31, 2019 |
|
Shares Sold For the
Year Ended December 31, 2019 |
|
Sale Price of Shares Sold
For the Year Ended December 31, 2019 |
|
||||||||||
ProShares UltraPro 3x Crude Oil ETF
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
829,485,301
|
6,050,000
|
$ |
91,792,208
|
15,150,000
|
$ |
251,308,636
|
||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
908,565,729
|
10,850,000
|
$ |
145,081,783
|
20,600,000
|
$ |
304,935,397
|
||||||||||||
ProShares UltraShort Australian Dollar
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
162,940,781
|
—
|
$ |
—
|
50,000
|
$ |
3,004,977
|
||||||||||||
ProShares UltraShort Bloomberg Crude Oil
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
1,353,775,887
|
9,250,000
|
$ |
126,711,618
|
25,950,000
|
$ |
397,696,425
|
||||||||||||
ProShares UltraShort Bloomberg Natural Gas
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
663,864,980
|
400,000
|
$ |
11,096,468
|
1,200,000
|
$ |
30,089,484
|
||||||||||||
ProShares UltraShort Euro
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
1,857,267,878
|
600,000
|
$ |
16,398,643
|
1,050,000
|
$ |
27,861,560
|
||||||||||||
ProShares UltraShort Gold
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
197,613,808
|
50,000
|
$ |
2,867,682
|
600,000
|
$ |
39,522,691
|
||||||||||||
ProShares UltraShort Silver
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
887,571,447
|
150,000
|
$ |
4,694,420
|
1,000,000
|
$ |
35,269,175
|
||||||||||||
ProShares UltraShort Yen
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
906,315,192
|
—
|
$ |
—
|
450,000
|
$ |
34,403,213
|
||||||||||||
ProShares VIX
Mid-Term
Futures ETF
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
471,970,126
|
275,000
|
$ |
6,458,915
|
1,400,000
|
$ |
31,405,087
|
||||||||||||
ProShares VIX Short-Term Futures ETF
|
|
|
|
|
|
|||||||||||||||
Common Units of Beneficial Interest
|
$ |
1,157,471,315
|
9,800,000
|
$ |
150,212,946
|
30,800,000
|
$ |
623,530,990
|
||||||||||||
Total Trust:
|
|
|
79,125,000
|
|
$
|
1,281,091,964
|
|
|
229,600,000
|
|
$
|
5,130,205,439
|
|
c)
|
From October 1, 2019 through December 31, 2019, the number of Shares redeemed and average price per Share for each Fund were as follows: |
Fund
|
Total Number of Shares
Redeemed |
|
Average Price Per Share
|
|
||||
ProShares Short Euro
|
|
|
||||||
10/01/19 to 10/31/19
|
350,000
|
$ |
46.31
|
|||||
11/01/19 to 11/30/19
|
—
|
$ |
—
|
|||||
12/01/19 to 12/31/19
|
—
|
$ |
—
|
|||||
ProShares Short VIX Short-Term Futures ETF
|
|
|
||||||
10/01/19 to 10/31/19
|
1,450,000
|
$ |
57.00
|
|||||
11/01/19 to 11/30/19
|
850,000
|
$ |
59.90
|
|||||
12/01/19 to 12/31/19
|
—
|
$ |
—
|
|||||
ProShares Ultra Bloomberg Crude Oil
|
|
|
||||||
10/01/19 to 10/31/19
|
5,400,000
|
$ |
16.82
|
|||||
11/01/19 to 11/30/19
|
3,350,000
|
$ |
18.06
|
|||||
12/01/19 to 12/31/19
|
3,550,000
|
$ |
19.52
|
|||||
ProShares Ultra Bloomberg Natural Gas
|
|
|
||||||
10/01/19 to 10/31/19
|
350,000
|
$ |
13.47
|
|||||
11/01/19 to 11/30/19
|
550,000
|
$ |
14.99
|
|||||
12/01/19 to 12/31/19
|
250,000
|
$ |
9.88
|
|||||
ProShares Ultra Euro
|
|
|
||||||
10/01/19 to 10/31/19
|
—
|
$ |
—
|
|||||
11/01/19 to 11/30/19
|
—
|
$ |
—
|
|||||
12/01/19 to 12/31/19
|
—
|
$ |
—
|
|||||
ProShares Ultra Gold
|
|
|
||||||
10/01/19 to 10/31/19
|
150,000
|
$ |
48.29
|
|||||
11/01/19 to 11/30/19
|
—
|
$ |
—
|
|||||
12/01/19 to 12/31/19
|
—
|
$ |
—
|
|||||
ProShares Ultra Silver
|
|
|
||||||
10/01/19 to 10/31/19
|
100,000
|
$ |
31.19
|
|||||
11/01/19 to 11/30/19
|
—
|
$ |
—
|
|||||
12/01/19 to 12/31/19
|
—
|
$ |
—
|
|||||
ProShares Ultra VIX Short-Term Futures ETF
|
|
|
||||||
10/01/19 to 10/31/19
|
5,400,000
|
$ |
28.50
|
|||||
11/01/19 to 11/30/19
|
—
|
$ |
—
|
|||||
12/01/19 to 12/31/19
|
4,400,000
|
$ |
17.38
|
|||||
ProShares Ultra Yen
|
|
|
||||||
10/01/19 to 10/31/19
|
—
|
$ |
—
|
|||||
11/01/19 to 11/30/19
|
50,000
|
$ |
55.68
|
|||||
12/01/19 to 12/31/19
|
—
|
$ |
—
|
|||||
ProShares UltraPro 3x Crude Oil ETF
|
|
|
||||||
10/01/19 to 10/31/19
|
3,600,000
|
$ |
16.34
|
|||||
11/01/19 to 11/30/19
|
2,750,000
|
$ |
18.28
|
|||||
12/01/19 to 12/31/19
|
2,050,000
|
$ |
20.15
|
|||||
ProShares UltraPro 3x Short Crude Oil ETF
|
|
|
||||||
10/01/19 to 10/31/19
|
2,750,000
|
$ |
17.87
|
|||||
11/01/19 to 11/30/19
|
1,650,000
|
$ |
13.61
|
|||||
12/01/19 to 12/31/19
|
1,750,000
|
$ |
12.94
|
Item 6.
|
Selected Financial Data.
|
Item 7.
|
Management’s Discussion and Analysis of Financial Condition and Results of Operations.
|
Fund
|
Interest Income
Year Ended December 31, 2019 |
|
Interest Income
Year Ended December 31, 2018 |
|
||||
ProShares Short Euro
|
$ |
314,021
|
$ |
123,954
|
||||
ProShares Short VIX Short-Term Futures ETF
|
5,618,666
|
5,721,966
|
||||||
ProShares Ultra Bloomberg Crude Oil
|
7,627,706
|
7,041,517
|
||||||
ProShares Ultra Bloomberg Natural Gas
|
589,183
|
489,924
|
||||||
ProShares Ultra Euro
|
121,071
|
112,904
|
||||||
ProShares Ultra Gold
|
1,798,692
|
1,437,347
|
||||||
ProShares Ultra Silver
|
3,823,565
|
3,490,072
|
||||||
ProShares Ultra VIX Short-Term Futures ETF
|
7,903,309
|
3,853,146
|
||||||
ProShares Ultra Yen
|
78,463
|
26,930
|
||||||
ProShares UltraPro 3x Crude Oil ETF*
|
2,114,130
|
351,928
|
||||||
ProShares UltraPro 3x Short Crude Oil ETF*
|
562,435
|
190,658
|
||||||
ProShares UltraShort Australian Dollar
|
159,039
|
119,098
|
||||||
ProShares UltraShort Bloomberg Crude Oil
|
1,570,676
|
2,758,399
|
||||||
ProShares UltraShort Bloomberg Natural Gas
|
167,939
|
121,027
|
||||||
ProShares UltraShort Euro
|
2,822,207
|
3,045,321
|
||||||
ProShares UltraShort Gold
|
380,158
|
423,926
|
||||||
ProShares UltraShort Silver
|
279,294
|
309,090
|
||||||
ProShares UltraShort Yen
|
1,007,112
|
1,399,342
|
||||||
ProShares VIX
Mid-Term
Futures ETF
|
903,643
|
368,351
|
||||||
ProShares VIX Short-Term Futures ETF
|
4,458,270
|
1,594,294
|
• | executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; |
• | limiting the outstanding amounts due from counterparties to the Funds; |
• | not posting margin directly with a counterparty; |
• | requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds; |
• | limiting the amount of margin or premium posted at a FCM; and |
• | ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for. |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
8,619,686
|
$ |
7,991,880
|
||||
NAV end of period
|
$ |
2,282,195
|
$ |
8,619,686
|
||||
Percentage change in NAV
|
(73.5
|
)% |
7.9
|
% | ||||
Shares outstanding beginning of period
|
200,000
|
200,000
|
||||||
Shares outstanding end of period
|
50,000
|
200,000
|
||||||
Percentage change in shares outstanding
|
(75.0
|
)% |
—
|
|||||
Shares created
|
300,000
|
—
|
||||||
Shares redeemed
|
450,000
|
—
|
||||||
Per share NAV beginning of period
|
$ |
43.10
|
$ |
39.96
|
||||
Per share NAV end of period
|
$ |
45.64
|
$ |
43.10
|
||||
Percentage change in per share NAV
|
5.9
|
% |
7.9
|
% | ||||
Percentage change in benchmark
|
(2.1
|
)% |
(4.5
|
)% | ||||
Benchmark annualized volatility
|
5.1
|
% |
7.2
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
176,251
|
$ |
44,457
|
||||
Management fee
|
135,292
|
78,253
|
||||||
Brokerage commissions
|
2,478
|
1,244
|
||||||
Net realized gain (loss)
|
973,665
|
459,984
|
||||||
Change in net unrealized appreciation (depreciation)
|
29,313
|
123,365
|
||||||
Net income (loss)
|
$ |
1,179,229
|
$ |
627,806
|
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
344,596,263
|
$ |
770,163,871
|
||||
NAV end of period
|
$ |
284,437,179
|
$ |
344,596,263
|
||||
Percentage change in NAV
|
(17.5
|
)% |
(55.3
|
)% | ||||
Shares outstanding beginning of period
|
8,134,307
|
1,512,500
|
||||||
Shares outstanding end of period
|
4,334,307
|
8,134,307
|
||||||
Percentage change in shares outstanding
|
(46.7
|
)% |
437.8
|
% | ||||
Shares created
|
1,500,000
|
19,000,000
|
||||||
Shares redeemed
|
5,300,000
|
12,378,193
|
||||||
Per share NAV beginning of period
|
$ |
42.36
|
$ |
509.20
|
||||
Per share NAV end of period
|
$ |
65.62
|
$ |
42.36
|
||||
Percentage change in per share NAV
|
54.9
|
% |
(91.7
|
)% | ||||
Percentage change in benchmark
|
(67.8
|
)% |
68.1
|
% | ||||
Benchmark annualized volatility
|
60.4
|
% |
118.0
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
1,162,163
|
$ |
(2,209,355
|
) | |||
Management fee
|
3,333,950
|
5,617,477
|
||||||
Brokerage commissions
|
723,282
|
2,162,086
|
||||||
Non-recurring
fees and expenses
|
398,550
|
—
|
||||||
Net realized gain (loss)
|
125,641,839
|
(1,885,823,832
|
) | |||||
Change in net unrealized appreciation (depreciation)
|
24,733,759
|
(31,465,785
|
) | |||||
Net income (loss)
|
$ |
151,537,761
|
$ |
(1,919,498,972
|
) |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
368,399,654
|
$ |
524,445,526
|
||||
NAV end of period
|
$ |
309,844,582
|
$ |
368,399,654
|
||||
Percentage change in NAV
|
(15.9
|
)% |
(29.8
|
)% | ||||
Shares outstanding beginning of period
|
28,211,317
|
22,161,317
|
||||||
Shares outstanding end of period
|
15,211,317
|
28,211,317
|
||||||
Percentage change in shares outstanding
|
(46.1
|
)% |
27.3
|
% | ||||
Shares created
|
34,050,000
|
24,600,000
|
||||||
Shares redeemed
|
47,050,000
|
18,550,000
|
||||||
Per share NAV beginning of period
|
$ |
13.06
|
$ |
23.66
|
||||
Per share NAV end of period
|
$ |
20.37
|
$ |
13.06
|
||||
Percentage change in per share NAV
|
56.0
|
% |
(44.8
|
)% | ||||
Percentage change in benchmark
|
34.4
|
% |
(20.5
|
)% | ||||
Benchmark annualized volatility
|
33.7
|
% |
31.1
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
3,864,584
|
$ |
3,022,808
|
||||
Management fee
|
3,612,580
|
3,918,014
|
||||||
Brokerage commissions
|
150,542
|
100,695
|
||||||
Net realized gain (loss)
|
144,188,809
|
21,754,687
|
||||||
Change in net unrealized appreciation (depreciation)
|
109,396,338
|
(160,959,424
|
) | |||||
Net income (loss)
|
$ |
257,449,731
|
$ |
(136,181,929
|
) |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
14,617,440
|
$ |
63,268,950
|
||||
NAV end of period
|
$ |
45,160,205
|
$ |
14,617,440
|
||||
Percentage change in NAV
|
208.9
|
% |
(76.9
|
)% | ||||
Shares outstanding beginning of period
|
578,150
|
1,938,434
|
||||||
Shares outstanding end of period
|
5,378,150
|
578,150
|
||||||
Percentage change in shares outstanding
|
830.2
|
% |
(70.2
|
)% | ||||
Shares created
|
8,250,000
|
1,600,000
|
||||||
Shares redeemed
|
3,450,000
|
2,960,284
|
||||||
Per share NAV beginning of period
|
$ |
25.28
|
$ |
32.64
|
||||
Per share NAV end of period
|
$ |
8.40
|
$ |
25.28
|
||||
Percentage change in per share NAV
|
(66.8
|
)% |
(22.5
|
)% | ||||
Percentage change in benchmark
|
(37.2
|
)% |
(0.1
|
)% | ||||
Benchmark annualized volatility
|
36.1
|
% |
45.8
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
162,388
|
$ |
96,319
|
||||
Management fee
|
297,043
|
305,706
|
||||||
Brokerage commissions
|
129,752
|
87,899
|
||||||
Net realized gain (loss)
|
(32,380,218
|
) |
21,092,833
|
|||||
Change in net unrealized appreciation (depreciation)
|
7,672,614
|
(17,547,032
|
) | |||||
Net income (loss)
|
$ |
(24,545,216
|
) | $ |
3,642,120
|
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
7,544,569
|
$ |
9,591,516
|
||||
NAV end of period
|
$ |
6,204,424
|
$ |
7,544,569
|
||||
Percentage change in NAV
|
(17.8
|
)% |
(21.3
|
)% | ||||
Shares outstanding beginning of period
|
500,000
|
550,000
|
||||||
Shares outstanding end of period
|
450,000
|
500,000
|
||||||
Percentage change in shares outstanding
|
(10.0
|
)% |
(9.1
|
)% | ||||
Shares created
|
100,000
|
150,000
|
||||||
Shares redeemed
|
150,000
|
200,000
|
||||||
Per share NAV beginning of period
|
$ |
15.09
|
$ |
17.44
|
||||
Per share NAV end of period
|
$ |
13.79
|
$ |
15.09
|
||||
Percentage change in per share NAV
|
(8.6
|
)% |
(13.5
|
)% | ||||
Percentage change in benchmark
|
(2.1
|
)% |
(4.5
|
)% | ||||
Benchmark annualized volatility
|
5.1
|
% |
7.2
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
58,528
|
$ |
30,823
|
||||
Management fee
|
62,543
|
82,081
|
||||||
Net realized gain (loss)
|
(722,691
|
) |
(1,063,816
|
) | ||||
Change in net unrealized appreciation (depreciation)
|
52,274
|
(205,861
|
) | |||||
Net income (loss)
|
$ |
(611,889
|
) | $ |
(1,238,854
|
) |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
83,523,294
|
$ |
93,708,748
|
||||
NAV end of period
|
$ |
110,726,032
|
$ |
83,523,294
|
||||
Percentage change in NAV
|
32.6
|
% |
(10.9
|
)% | ||||
Shares outstanding beginning of period
|
2,250,000
|
2,350,000
|
||||||
Shares outstanding end of period
|
2,250,000
|
2,250,000
|
||||||
Percentage change in shares outstanding
|
—
|
(4.3
|
)% | |||||
Shares created
|
900,000
|
550,000
|
||||||
Shares redeemed
|
900,000
|
650,000
|
||||||
Per share NAV beginning of period
|
$ |
37.12
|
$ |
39.88
|
||||
Per share NAV end of period
|
$ |
49.21
|
$ |
37.12
|
||||
Percentage change in per share NAV
|
32.6
|
% |
(6.9
|
)% | ||||
Percentage change in benchmark
|
18.0
|
% |
(0.9
|
)% | ||||
Benchmark annualized volatility
|
11.5
|
% |
9.0
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
902,937
|
$ |
625,631
|
||||
Management fee
|
884,410
|
811,581
|
||||||
Brokerage commissions
|
11,345
|
135
|
||||||
Net realized gain (loss)
|
19,588,339
|
(7,345,178
|
) | |||||
Change in net unrealized appreciation (depreciation)
|
3,815,690
|
680,186
|
||||||
Net income (loss)
|
$ |
24,306,966
|
$ |
(6,039,361
|
) |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
201,824,376
|
$ |
258,244,696
|
||||
NAV end of period
|
$ |
239,254,842
|
$ |
201,824,376
|
||||
Percentage change in NAV
|
18.5
|
% |
(21.8
|
)% | ||||
Shares outstanding beginning of period
|
7,646,526
|
7,696,526
|
||||||
Shares outstanding end of period
|
7,546,526
|
7,646,526
|
||||||
Percentage change in shares outstanding
|
(1.3
|
)% |
(0.6
|
)% | ||||
Shares created
|
2,300,000
|
2,100,000
|
||||||
Shares redeemed
|
2,400,000
|
2,150,000
|
||||||
Per share NAV beginning of period
|
$ |
26.39
|
$ |
33.55
|
||||
Per share NAV end of period
|
$ |
31.70
|
$ |
26.39
|
||||
Percentage change in per share NAV
|
20.1
|
% |
(21.3
|
)% | ||||
Percentage change in benchmark
|
13.9
|
% |
(8.3
|
)% | ||||
Benchmark annualized volatility
|
19.6
|
% |
13.8
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
1,856,270
|
$ |
1,469,179
|
||||
Management fee
|
1,928,478
|
2,020,586
|
||||||
Brokerage commissions
|
38,814
|
307
|
||||||
Net realized gain (loss)
|
34,374,143
|
(57,489,729
|
) | |||||
Change in net unrealized appreciation (depreciation)
|
4,223,101
|
4,931,185
|
||||||
Net income (loss)
|
$ |
40,453,514
|
$ |
(51,089,365
|
) |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
214,304,871
|
$ |
394,035,141
|
||||
NAV end of period
|
$ |
527,636,003
|
$ |
214,304,871
|
||||
Percentage change in NAV
|
146.2
|
% |
(45.6
|
)% | ||||
Shares outstanding beginning of period
|
2,630,912
|
7,625,448
|
||||||
Shares outstanding end of period
|
41,630,912
|
2,630,912
|
||||||
Percentage change in shares outstanding
|
1,482.4
|
% |
(65.5
|
)% | ||||
Shares created
|
83,750,000
|
38,280,000
|
||||||
Shares redeemed
|
44,750,000
|
43,274,536
|
||||||
Per share NAV beginning of period
|
$ |
81.46
|
$ |
51.67
|
||||
Per share NAV end of period
|
$ |
12.67
|
$ |
81.46
|
||||
Percentage change in per share NAV
|
(84.4
|
)% |
57.7
|
% | ||||
Percentage change in benchmark
|
(67.8
|
)% |
68.1
|
% | ||||
Benchmark annualized volatility
|
60.4
|
% |
118.0
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
95,052
|
$ |
(3,145,671
|
) | |||
Management fee
|
4,819,171
|
3,966,185
|
||||||
Brokerage commissions
|
2,936,813
|
3,032,632
|
||||||
Non-recurring
fees and expenses
|
27,508
|
—
|
||||||
Net realized gain (loss)
|
(612,840,041
|
) |
389,993,011
|
|||||
Change in net unrealized appreciation (depreciation)
|
(77,766,851
|
) |
65,652,401
|
|||||
Net income (loss)
|
$ |
(690,511,840
|
) | $ |
452,499,741
|
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
5,751,716
|
$ |
2,864,269
|
||||
NAV end of period
|
$ |
5,580,964
|
$ |
5,751,716
|
||||
Percentage change in NAV
|
(3.0
|
)% |
100.8
|
% | ||||
Shares outstanding beginning of period
|
99,970
|
49,970
|
||||||
Shares outstanding end of period
|
99,970
|
99,970
|
||||||
Percentage change in shares outstanding
|
—
|
100.1
|
% | |||||
Shares created
|
200,000
|
50,000
|
||||||
Shares redeemed
|
200,000
|
—
|
||||||
Per share NAV beginning of period
|
$ |
57.53
|
$ |
57.32
|
||||
Per share NAV end of period
|
$ |
55.83
|
$ |
57.53
|
||||
Percentage change in per share NAV
|
(3.0
|
)% |
0.4
|
% | ||||
Percentage change in benchmark
|
0.9
|
% |
2.8
|
% | ||||
Benchmark annualized volatility
|
5.7
|
% |
6.6
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
38,514
|
$ |
(983
|
) | |||
Management fee
|
39,949
|
27,913
|
||||||
Net realized gain (loss)
|
57,990
|
(170,364
|
) | |||||
Change in net unrealized appreciation (depreciation)
|
(187,566
|
) |
212,218
|
|||||
Net income (loss)
|
$ |
(91,062
|
) | $ |
40,871
|
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
87,667,042
|
$ |
11,335,483
|
||||
NAV end of period
|
$ |
70,859,329
|
$ |
87,667,042
|
||||
Percentage change in NAV
|
(19.2
|
)% |
673.4
|
% | ||||
Shares outstanding beginning of period
|
6,700,000
|
300,008
|
||||||
Shares outstanding end of period
|
3,300,000
|
6,700,000
|
||||||
Percentage change in shares outstanding
|
(50.7
|
)% |
2,133.3
|
% | ||||
Shares created
|
15,150,000
|
7,250,000
|
||||||
Shares redeemed
|
18,550,000
|
850,008
|
||||||
Per share NAV beginning of period
|
$ |
13.08
|
$ |
37.78
|
||||
Per share NAV end of period
|
$ |
21.47
|
$ |
13.08
|
||||
Percentage change in per share NAV
|
64.1
|
% |
(65.4
|
)% | ||||
Percentage change in benchmark
|
34.4
|
% |
(20.5
|
)% | ||||
Benchmark annualized volatility
|
33.7
|
% |
31.1
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
730,081
|
$ |
(38,284
|
) | |||
Management fee
|
1,049,564
|
277,762
|
||||||
Brokerage commissions
|
334,485
|
86,561
|
||||||
Offering costs
|
—
|
52,846
|
||||||
Limitation by Sponsor
|
—
|
(26,957
|
) | |||||
Net realized gain (loss)
|
69,178,251
|
(37,435,672
|
) | |||||
Change in net unrealized appreciation (depreciation)
|
30,719,431
|
(24,868,483
|
) | |||||
Net income (loss)
|
$ |
100,627,763
|
$ |
(62,342,439
|
) |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
18,665,099
|
$ |
21,161,176
|
||||
NAV end of period
|
$ |
91,389,147
|
$ |
18,665,099
|
||||
Percentage change in NAV
|
389.6
|
% |
(11.8
|
)% | ||||
Shares outstanding beginning of period
|
374,906
|
500,002
|
||||||
Shares outstanding end of period
|
8,574,906
|
374,906
|
||||||
Percentage change in shares outstanding
|
2,187.2
|
% |
(25.0
|
)% | ||||
Shares created
|
20,600,000
|
2,637,500
|
||||||
Shares redeemed
|
12,400,000
|
2,762,596
|
||||||
Per share NAV beginning of period
|
$ |
49.79
|
$ |
42.32
|
||||
Per share NAV end of period
|
$ |
10.66
|
$ |
49.79
|
||||
Percentage change in per share NAV
|
(78.6
|
)% |
17.7
|
% | ||||
Percentage change in benchmark
|
34.4
|
% |
(20.5
|
)% | ||||
Benchmark annualized volatility
|
33.7
|
% |
31.1
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
103,397
|
$ |
(108,691
|
) | |||
Management fee
|
312,430
|
176,390
|
||||||
Brokerage commissions
|
146,608
|
70,338
|
||||||
Offering costs
|
—
|
52,797
|
||||||
Limitation by Sponsor
|
—
|
(176
|
) | |||||
Net realized gain (loss)
|
(2,404,520
|
) |
7,377,281
|
|||||
Change in net unrealized appreciation (depreciation)
|
(15,374,595
|
) |
10,007,630
|
|||||
Net income (loss)
|
$ |
(17,675,718
|
) | $ |
17,276,220
|
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
11,060,333
|
$ |
13,702,102
|
||||
NAV end of period
|
$ |
5,608,612
|
$ |
11,060,333
|
||||
Percentage change in NAV
|
(49.3
|
)% |
(19.3
|
)% | ||||
Shares outstanding beginning of period
|
200,000
|
300,000
|
||||||
Shares outstanding end of period
|
100,000
|
200,000
|
||||||
Percentage change in shares outstanding
|
(50.0
|
)% |
(33.3
|
)% | ||||
Shares created
|
50,000
|
100,000
|
||||||
Shares redeemed
|
150,000
|
200,000
|
||||||
Per share NAV beginning of period
|
$ |
55.30
|
$ |
45.67
|
||||
Per share NAV end of period
|
$ |
56.09
|
$ |
55.30
|
||||
Percentage change in per share NAV
|
1.4
|
% |
21.1
|
% | ||||
Percentage change in benchmark
|
(0.4
|
)% |
(9.7
|
)% | ||||
Benchmark annualized volatility
|
6.9
|
% |
8.7
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
80,325
|
$ |
36,746
|
||||
Management fee
|
72,858
|
75,944
|
||||||
Brokerage commissions
|
5,856
|
6,408
|
||||||
Net realized gain (loss)
|
833,199
|
128,204
|
||||||
Change in net unrealized appreciation (depreciation)
|
(735,608
|
) |
1,406,028
|
|||||
Net income (loss)
|
$ |
177,916
|
$ |
1,570,978
|
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
114,377,311
|
$ |
225,843,284
|
||||
NAV end of period
|
$ |
125,451,681
|
$ |
114,377,311
|
||||
Percentage change in NAV
|
9.7
|
% |
(49.4
|
)% | ||||
Shares outstanding beginning of period
|
3,839,884
|
9,289,884
|
||||||
Shares outstanding end of period
|
10,289,884
|
3,839,884
|
||||||
Percentage change in shares outstanding
|
168.0
|
% |
(58.7
|
)% | ||||
Shares created
|
25,950,000
|
13,300,000
|
||||||
Shares redeemed
|
19,500,000
|
18,750,000
|
||||||
Per share NAV beginning of period
|
$ |
29.79
|
$ |
24.31
|
||||
Per share NAV end of period
|
$ |
12.19
|
$ |
29.79
|
||||
Percentage change in per share NAV
|
(59.1
|
)% |
22.5
|
% | ||||
Percentage change in benchmark
|
34.4
|
% |
(20.5
|
)% | ||||
Benchmark annualized volatility
|
33.7
|
% |
31.1
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
709,799
|
$ |
1,038,630
|
||||
Management fee
|
769,401
|
1,663,576
|
||||||
Brokerage commissions
|
91,476
|
56,193
|
||||||
Net realized gain (loss)
|
(14,247,456
|
) |
(42,039,983
|
) | ||||
Change in net unrealized appreciation (depreciation)
|
(31,068,746
|
) |
58,511,410
|
|||||
Net income (loss)
|
$ |
(44,606,403
|
) | $ |
17,510,057
|
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
17,825,441
|
$ |
6,902,743
|
||||
NAV end of period
|
$ |
12,515,603
|
$ |
17,825,441
|
||||
Percentage change in NAV
|
(29.8
|
)% |
158.2
|
% | ||||
Shares outstanding beginning of period
|
824,832
|
174,832
|
||||||
Shares outstanding end of period
|
324,832
|
824,832
|
||||||
Percentage change in shares outstanding
|
(60.6
|
)% |
371.8
|
% | ||||
Shares created
|
1,200,000
|
2,500,000
|
||||||
Shares redeemed
|
1,700,000
|
1,850,000
|
||||||
Per share NAV beginning of period
|
$ |
21.61
|
$ |
39.48
|
||||
Per share NAV end of period
|
$ |
38.53
|
$ |
21.61
|
||||
Percentage change in per share NAV
|
78.3
|
% |
(45.3
|
)% | ||||
Percentage change in benchmark
|
(37.2
|
)% |
(0.1
|
)% | ||||
Benchmark annualized volatility
|
36.1
|
% |
45.8
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
29,417
|
$ |
(4,454
|
) | |||
Management fee
|
83,978
|
84,418
|
||||||
Brokerage commissions
|
54,544
|
41,063
|
||||||
Net realized gain (loss)
|
19,286,567
|
(14,147,964
|
) | |||||
Change in net unrealized appreciation (depreciation)
|
(10,165,386
|
) |
11,934,953
|
|||||
Net income (loss)
|
$ |
9,150,598
|
$ |
(2,217,465
|
) |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
154,120,159
|
$ |
202,548,197
|
||||
NAV end of period
|
$ |
120,581,173
|
$ |
154,120,159
|
||||
Percentage change in NAV
|
(21.8
|
)% |
(23.9
|
)% | ||||
Shares outstanding beginning of period
|
6,350,000
|
9,550,000
|
||||||
Shares outstanding end of period
|
4,500,000
|
6,350,000
|
||||||
Percentage change in shares outstanding
|
(29.1
|
)% |
(33.5
|
)% | ||||
Shares created
|
1,050,000
|
1,700,000
|
||||||
Shares redeemed
|
2,900,000
|
4,900,000
|
||||||
Per share NAV beginning of period
|
$ |
24.27
|
$ |
21.21
|
||||
Per share NAV end of period
|
$ |
26.80
|
$ |
24.27
|
||||
Percentage change in per share NAV
|
10.4
|
% |
14.4
|
% | ||||
Percentage change in benchmark
|
(2.1
|
)% |
(4.5
|
)% | ||||
Benchmark annualized volatility
|
5.1
|
% |
7.2
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
1,528,830
|
$ |
1,324,494
|
||||
Management fee
|
1,293,377
|
1,720,827
|
||||||
Net realized gain (loss)
|
13,747,208
|
18,953,236
|
||||||
Change in net unrealized appreciation (depreciation)
|
(753,437
|
) |
4,869,355
|
|||||
Net income (loss)
|
$ |
14,522,601
|
$ |
25,147,085
|
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
18,098,997
|
$ |
31,497,410
|
||||
NAV end of period
|
$ |
21,047,560
|
$ |
18,098,997
|
||||
Percentage change in NAV
|
16.3
|
% |
(42.5
|
)% | ||||
Shares outstanding beginning of period
|
246,978
|
446,978
|
||||||
Shares outstanding end of period
|
396,977
|
246,978
|
||||||
Percentage change in shares outstanding
|
60.7
|
% |
(44.7
|
)% | ||||
Shares created
|
600,000
|
250,000
|
||||||
Shares redeemed
|
450,001
|
450,000
|
||||||
Per share NAV beginning of period
|
$ |
73.28
|
$ |
70.47
|
||||
Per share NAV end of period
|
$ |
53.02
|
$ |
73.28
|
||||
Percentage change in per share NAV
|
(27.6
|
)% |
4.0
|
% | ||||
Percentage change in benchmark
|
18.0
|
% |
(0.9
|
)% | ||||
Benchmark annualized volatility
|
11.5
|
% |
9.0
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
186,714
|
$ |
171,341
|
||||
Management fee
|
188,089
|
252,524
|
||||||
Brokerage commissions
|
5,355
|
61
|
||||||
Net realized gain (loss)
|
(5,192,568
|
) |
1,323,731
|
|||||
Change in net unrealized appreciation (depreciation)
|
(540,991
|
) |
472,667
|
|||||
Net income (loss)
|
$ |
(5,546,845
|
) | $ |
1,967,739
|
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
11,768,863
|
$ |
14,806,259
|
||||
NAV end of period
|
$ |
13,834,163
|
$ |
11,768,863
|
||||
Percentage change in NAV
|
17.5
|
% |
(20.5
|
)% | ||||
Shares outstanding beginning of period
|
316,976
|
466,976
|
||||||
Shares outstanding end of period
|
516,976
|
316,976
|
||||||
Percentage change in shares outstanding
|
63.1
|
% |
(32.1
|
)% | ||||
Shares created
|
1,000,000
|
800,000
|
||||||
Shares redeemed
|
800,000
|
950,000
|
||||||
Per share NAV beginning of period
|
$ |
37.13
|
$ |
31.71
|
||||
Per share NAV end of period
|
$ |
26.76
|
$ |
37.13
|
||||
Percentage change in per share NAV
|
(27.9
|
)% |
17.1
|
% | ||||
Percentage change in benchmark
|
13.9
|
% |
(8.3
|
)% | ||||
Benchmark annualized volatility
|
19.6
|
% |
13.8
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
131,913
|
$ |
112,472
|
||||
Management fee
|
139,668
|
196,546
|
||||||
Brokerage commissions
|
7,713
|
72
|
||||||
Net realized gain (loss)
|
(4,544,543
|
) |
5,022,945
|
|||||
Change in net unrealized appreciation (depreciation)
|
(197,432
|
) |
(117,191
|
) | ||||
Net income (loss)
|
$ |
(4,610,062
|
) | $ |
5,018,226
|
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
55,363,675
|
$ |
131,077,453
|
||||
NAV end of period
|
$ |
38,132,320
|
$ |
55,363,675
|
||||
Percentage change in NAV
|
(31.1
|
)% |
(57.8
|
)% | ||||
Shares outstanding beginning of period
|
749,290
|
1,749,290
|
||||||
Shares outstanding end of period
|
499,290
|
749,290
|
||||||
Percentage change in shares outstanding
|
(33.4
|
)% |
(57.2
|
)% | ||||
Shares created
|
450,000
|
100,000
|
||||||
Shares redeemed
|
700,000
|
1,100,000
|
||||||
Per share NAV beginning of period
|
$ |
73.89
|
$ |
74.93
|
||||
Per share NAV end of period
|
$ |
76.37
|
$ |
73.89
|
||||
Percentage change in per share NAV
|
3.4
|
% |
(1.4
|
)% | ||||
Percentage change in benchmark
|
0.9
|
% |
2.8
|
% | ||||
Benchmark annualized volatility
|
5.7
|
% |
6.6
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
555,474
|
$ |
607,874
|
||||
Management fee
|
451,638
|
791,468
|
||||||
Net realized gain (loss)
|
(1,979,679
|
) |
2,111,630
|
|||||
Change in net unrealized appreciation (depreciation)
|
3,220,521
|
(4,640,285
|
) | |||||
Net income (loss)
|
$ |
1,796,316
|
$ |
(1,920,781
|
) |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
56,299,121
|
$ |
26,347,948
|
||||
NAV end of period
|
$ |
45,986,584
|
$ |
56,299,121
|
||||
Percentage change in NAV
|
(18.3
|
)% |
113.7
|
% | ||||
Shares outstanding beginning of period
|
2,112,403
|
1,237,403
|
||||||
Shares outstanding end of period
|
2,162,403
|
2,112,403
|
||||||
Percentage change in shares outstanding
|
2.4
|
% |
70.7
|
% | ||||
Shares created
|
1,400,000
|
2,325,000
|
||||||
Shares redeemed
|
1,350,000
|
1,450,000
|
||||||
Per share NAV beginning of period
|
$ |
26.65
|
$ |
21.29
|
||||
Per share NAV end of period
|
$ |
21.27
|
$ |
26.65
|
||||
Percentage change in per share NAV
|
(20.2
|
)% |
25.2
|
% | ||||
Percentage change in benchmark
|
(19.3
|
)% |
27.2
|
% | ||||
Benchmark annualized volatility
|
25.3
|
% |
39.8
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
493,213
|
$ |
116,328
|
||||
Management fee
|
380,474
|
221,717
|
||||||
Brokerage commissions
|
29,956
|
30,306
|
||||||
Net realized gain (loss)
|
(6,228,644
|
) |
4,332,654
|
|||||
Change in net unrealized appreciation (depreciation)
|
(6,037,881
|
) |
5,973,199
|
|||||
Net income (loss)
|
$ |
(11,773,312
|
) | $ |
10,422,181
|
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
NAV beginning of period
|
$ |
149,547,115
|
$ |
137,741,560
|
||||
NAV end of period
|
$ |
279,792,503
|
$ |
149,547,115
|
||||
Percentage change in NAV
|
87.1
|
% |
8.6
|
% | ||||
Shares outstanding beginning of period
|
3,876,317
|
5,901,317
|
||||||
Shares outstanding end of period
|
22,751,317
|
3,876,317
|
||||||
Percentage change in shares outstanding
|
486.9
|
% |
(34.3
|
)% | ||||
Shares created
|
30,800,000
|
8,275,000
|
||||||
Shares redeemed
|
11,925,000
|
10,300,000
|
||||||
Per share NAV beginning of period
|
$ |
38.58
|
$ |
23.34
|
||||
Per share NAV end of period
|
$ |
12.30
|
$ |
38.58
|
||||
Percentage change in per share NAV
|
(68.1
|
)% |
65.3
|
% | ||||
Percentage change in benchmark
|
(67.8
|
)% |
68.1
|
% | ||||
Benchmark annualized volatility
|
60.4
|
% |
118.0
|
% |
|
Year Ended
December 31, 2019
|
|
Year Ended
December 31, 2018
|
|
||||
Net investment income (loss)
|
$ |
2,153,399
|
$ |
366,665
|
||||
Management fee
|
2,038,850
|
1,046,876
|
||||||
Brokerage commissions
|
253,057
|
176,459
|
||||||
Net realized gain (loss)
|
(194,350,788
|
) |
89,901,119
|
|||||
Change in net unrealized appreciation (depreciation)
|
(32,770,663
|
) |
22,155,157
|
|||||
Net income (loss)
|
$ |
(224,968,052
|
) | $ |
112,422,941
|
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value |
|
||||||||||||
Euro Fx Currency Futures (CME)
|
Short
|
March 2020
|
16
|
$ |
1.13
|
125,000
|
$ |
(2,256,400
|
) | |||||||||||||||
Futures Positions as of December 31, 2018
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional
Amount at
Value
|
|
||||||||||||
Euro Fx Currency Futures (CME)
|
Short
|
March 2019
|
60
|
$ |
1.15
|
125,000
|
$ |
(8,641,875
|
) |
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value
|
|
||||||||||||
VIX Futures (Cboe)
|
Short
|
January 2020
|
5,442
|
$ |
14.63
|
1,000
|
$ |
(79,589,250
|
) | |||||||||||||||
VIX Futures (Cboe)
|
Short
|
February 2020
|
3,764
|
16.63
|
1,000
|
(62,576,500
|
) | |||||||||||||||||
Futures Positions as of December 31, 2018
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional
Amount at
Value
|
|
||||||||||||
VIX Futures (Cboe)
|
Short
|
January 2019
|
4,103
|
$ |
24.18
|
1,000
|
$ |
(99,190,025
|
) | |||||||||||||||
VIX Futures (Cboe)
|
Short
|
February 2019
|
3,282
|
22.28
|
1,000
|
(73,106,550
|
) |
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value |
|
||||||||||||
WTI Crude Oil (NYMEX)
|
Long
|
March 2020
|
554
|
$ |
60.77
|
1,000
|
$ |
33,666,580
|
Swap Agreements as of December 31, 2019
|
||||||||||||||
Reference Index
|
Counterparty
|
Long or
Short |
|
Index Close
|
|
Notional Amount
at Value |
|
|||||||
Bloomberg WTI Crude Oil Subindex
|
Citibank, N.A.
|
Long
|
$ |
90.3776
|
$ |
172,174,920
|
||||||||
Bloomberg WTI Crude Oil Subindex
|
Goldman Sachs International
|
Long
|
90.3776
|
120,411,487
|
||||||||||
Bloomberg WTI Crude Oil Subindex
|
Royal Bank of Canada
|
Long
|
90.3776
|
115,540,626
|
||||||||||
Bloomberg WTI Crude Oil Subindex
|
Societe Generale
|
Long
|
90.3776
|
64,308,537
|
||||||||||
Bloomberg WTI Crude Oil Subindex
|
UBS AG
|
Long
|
90.3776
|
113,574,303
|
Futures Positions as of December 31, 2018
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier
|
|
Notional
Amount at Value |
|
||||||||||||
WTI Crude Oil (NYMEX)
|
Long
|
March 2019
|
3,121
|
$ |
45.72
|
1,000
|
$ |
142,692,120
|
Swap Agreements as of December 31, 2018
|
||||||||||||||
Reference Index
|
Counterparty
|
Long or
Short |
|
Index
Close |
|
Notional
Amount at Value |
|
|||||||
Bloomberg WTI Crude Oil Subindex
|
Citibank N.A.
|
Long
|
$ |
68.6586
|
$ |
192,061,821
|
||||||||
Bloomberg WTI Crude Oil Subindex
|
Goldman Sachs International
|
Long
|
68.6586
|
112,179,333
|
||||||||||
Bloomberg WTI Crude Oil Subindex
|
Royal Bank of Canada
|
Long
|
68.6586
|
113,997,533
|
||||||||||
Bloomberg WTI Crude Oil Subindex
|
Societe Generale
|
Long
|
68.6586
|
38,382,074
|
||||||||||
Bloomberg WTI Crude Oil Subindex
|
UBS AG
|
Long
|
68.6586
|
137,242,162
|
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value |
|
||||||||||||
Natural Gas (NYMEX)
|
Long
|
March 2020
|
4,185
|
$ |
2.16
|
10,000
|
$ |
90,312,300
|
||||||||||||||||
Futures Positions as of December 31, 2018
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional
Amount at
Value
|
|
||||||||||||
Natural Gas (NYMEX)
|
Long
|
March 2019
|
1,025
|
$ |
2.85
|
10,000
|
$ |
29,222,750
|
Foreign Currency Forward Contracts as of December 31, 2019
|
||||||||||||||||||||||
Reference
Currency
|
Counterparty
|
Long or
Short |
|
Settlement
Date |
|
Local Currency
|
|
Forward Rate
|
|
Market Value
USD |
|
|||||||||||
Euro
|
Goldman Sachs International
|
Long
|
01/10/20
|
5,436,377
|
1.1121
|
$ |
6,045,958
|
|||||||||||||||
Euro
|
UBS AG
|
Long
|
01/10/20
|
5,589,416
|
1.1123
|
6,217,058
|
||||||||||||||||
Foreign Currency Forward Contracts as of December 31, 2018
|
||||||||||||||||||||||
Reference
Currency
|
Counterparty
|
Long or
Short |
|
Settlement
Date |
|
Local Currency
|
|
Forward
Rate
|
|
Market Value
USD |
|
|||||||||||
Euro
|
Goldman Sachs International
|
Long
|
01/11/19
|
7,046,525
|
1.1425
|
$ |
8,050,889
|
|||||||||||||||
Euro
|
UBS AG
|
Long
|
01/11/19
|
6,507,700
|
1.1414
|
7,427,758
|
||||||||||||||||
Euro
|
Goldman Sachs International
|
Short
|
01/11/19
|
(206,300
|
) |
1.1363
|
(234,428
|
) | ||||||||||||||
Euro
|
UBS AG
|
Short
|
01/11/19
|
(203,200
|
) |
1.1371
|
(231,052
|
) |
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value |
|
||||||||||||
Gold Futures (COMEX)
|
Long
|
February 2020
|
438
|
$ |
1,523.10
|
100
|
$ |
66,711,780
|
Swap Agreements as of December 31, 2019
|
||||||||||||||
Reference Index
|
Counterparty
|
Long or
Short |
|
Index Close
|
|
Notional Amount
at Value |
|
|||||||
Bloomberg Gold Subindex
|
Citibank, N.A.
|
Long
|
$ |
174.6300
|
$ |
60,437,683
|
||||||||
Bloomberg Gold Subindex
|
Goldman Sachs International
|
Long
|
174.6300
|
44,172,192
|
||||||||||
Bloomberg Gold Subindex
|
UBS AG
|
Long
|
174.6300
|
50,125,199
|
Futures Positions as of December 31, 2018
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional
Amount at
Value |
|
||||||||||||
Gold Futures (COMEX)
|
Long
|
February 2019
|
47
|
$ |
1,282.70
|
100
|
$ |
6,022,110
|
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value |
|
||||||||||||
Silver Futures (COMEX)
|
Long
|
March 2020
|
1,316
|
$ |
17.92
|
5,000
|
$ |
117,920,180
|
Swap Agreements as of December 31, 2019
|
||||||||||||||
Reference Index
|
Counterparty
|
Long or
Short |
|
Index Close
|
|
Notional Amount
at Value |
|
|||||||
Bloomberg Silver Subindex
|
Citibank, N.A.
|
Long
|
$ |
170.1072
|
$ |
152,640,569
|
||||||||
Bloomberg Silver Subindex
|
Goldman Sachs International
|
Long
|
170.1072
|
83,225,484
|
||||||||||
Bloomberg Silver Subindex
|
UBS AG
|
Long
|
170.1072
|
124,680,616
|
Futures Positions as of December 31, 2018
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional
Amount at Value |
|
||||||||||||
Silver Futures (COMEX)
|
Long
|
March 2019
|
129
|
$ |
15.55
|
5,000
|
$ |
10,023,300
|
Reference Index
|
Counterparty
|
Long or
Short |
|
Valuation
Price |
|
Notional
Amount at Value |
|
|||||||
0.999 Fine Troy Ounce Silver
|
Citibank N.A.
|
Long
|
$ |
15.4734
|
$ |
146,687,832
|
||||||||
0.999 Fine Troy Ounce Silver
|
Goldman Sachs International
|
Long
|
15.4746
|
124,892,402
|
||||||||||
0.999 Fine Troy Ounce Silver
|
Societe Generale
|
Long
|
15.4732
|
1,547,320
|
||||||||||
0.999 Fine Troy Ounce Silver
|
UBS AG
|
Long
|
15.4747
|
120,486,014
|
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value |
|
||||||||||||
VIX Futures (Cboe)
|
Long
|
January 2020
|
29,402
|
$ |
14.63
|
1,000
|
$ |
430,004,250
|
||||||||||||||||
VIX Futures (Cboe)
|
Long
|
February 2020
|
20,358
|
16.63
|
1,000
|
338,451,750
|
Swap Agreements as of December 31, 2019
|
||||||||||||||
Reference Index
|
Counterparty
|
Long or
Short |
|
Index Close
|
|
Notional Amount
at Value |
|
|||||||
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
|
Goldman Sachs & Co.
|
Long
|
$ |
14.9650
|
$ |
23,078,793
|
Futures Positions as of December 31, 2018
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional
Amount at Value |
|
||||||||||||
VIX Futures (Cboe)
|
Long
|
January 2019
|
5,932
|
$ |
24.18
|
1,000
|
$ |
143,406,100
|
||||||||||||||||
VIX Futures (Cboe)
|
Long
|
February 2019
|
4,746
|
22.28
|
1,000
|
105,717,150
|
Swap Agreements as of December 31, 2018
|
||||||||||||||
Reference Index
|
Counterparty
|
Long or
Short |
|
Index Close
|
|
Notional Amount
at Value |
|
|||||||
iPath S&P 500 VIX Short-Term Futures ETN IOPV
|
Goldman Sachs International
|
Long
|
$ |
46.8826
|
$ |
72,301,516
|
Foreign Currency Forward Contracts as of December 31, 2019
|
||||||||||||||||||||||
Reference
Currency
|
Counterparty
|
Long or
Short |
|
Settlement
Date |
|
Local Currency
|
|
Forward Rate
|
|
Market Value
USD |
|
|||||||||||
Yen
|
Goldman Sachs International
|
Long
|
01/10/20
|
325,804,302
|
0.009213
|
$ |
3,001,477
|
|||||||||||||||
Yen
|
UBS AG
|
Long
|
01/10/20
|
888,782,738
|
0.009214
|
8,189,206
|
||||||||||||||||
Yen
|
UBS AG
|
Short
|
01/10/20
|
(6,892,531
|
) |
0.009164
|
(63,163
|
) |
Foreign Currency Forward Contracts as of December 31, 2018
|
||||||||||||||||||||||
Reference
Currency
|
Counterparty
|
Long or
Short |
|
Settlement
Date |
|
Local Currency
|
|
Forward
Rate |
|
Market Value
USD |
|
|||||||||||
Yen
|
Goldman Sachs International
|
Long
|
01/11/19
|
314,867,300
|
0.008893
|
$ |
2,800,074
|
|||||||||||||||
Yen
|
UBS AG
|
Long
|
01/11/19
|
955,546,600
|
0.009017
|
8,615,742
|
||||||||||||||||
Yen
|
UBS AG
|
Short
|
01/11/19
|
(10,055,200
|
) |
0.008921
|
(89,698
|
) |
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value |
|
||||||||||||
WTI Crude Oil (NYMEX)
|
Long
|
March 2020
|
3,498
|
$ |
60.77
|
1,000
|
$ |
212,573,460
|
||||||||||||||||
Futures Positions as of December 31, 2018
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional
Amount at
Value
|
|
||||||||||||
WTI Crude Oil (NYMEX)
|
Long
|
March 2019
|
5,751
|
$ |
45.72
|
1,000
|
$ |
262,935,720
|
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value |
|
||||||||||||
WTI Crude Oil (NYMEX)
|
Short
|
March 2020
|
4,511
|
$ |
60.77
|
1,000
|
$ |
(274,133,470
|
) |
Futures Positions as of December 31, 2018
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional
Amount at Value |
|
||||||||||||
WTI Crude Oil (NYMEX)
|
Short
|
March 2019
|
1,225
|
$ |
45.72
|
1,000
|
$ |
(56,007,000
|
) |
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value |
|
||||||||||||
Australian Dollar Fx Currency Futures (CME)
|
Short
|
March 2020
|
160
|
$ |
70.31
|
1,000
|
$ |
(11,260,800
|
) |
Futures Positions as of December 31, 2018
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional
Amount at Value |
|
||||||||||||
Australian Dollar Fx Currency Futures (CME)
|
Short
|
March 2019
|
315
|
$ |
70.54
|
1,000
|
$ |
(22,313,800
|
) |
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value |
|
||||||||||||
WTI Crude Oil (NYMEX)
|
Short
|
March 2020
|
1,864
|
$ |
60.77
|
1,000
|
$ |
(113,275,280
|
) |
Swap Agreements as of December 31, 2019
|
||||||||||||||
Reference Index
|
Counterparty
|
Long or
Short |
|
Index Close
|
|
Notional Amount
at Value |
|
|||||||
Bloomberg WTI Crude Oil Subindex
|
Citibank, N.A.
|
Short
|
$ |
90.3776
|
$ |
(39,727,981
|
) | |||||||
Bloomberg WTI Crude Oil Subindex
|
Goldman Sachs International
|
Short
|
90.3776
|
(37,407,865
|
) | |||||||||
Bloomberg WTI Crude Oil Subindex
|
Royal Bank of Canada
|
Short
|
90.3776
|
(31,487,418
|
) | |||||||||
Bloomberg WTI Crude Oil Subindex
|
Societe Generale
|
Short
|
90.3776
|
(9,213,127
|
) | |||||||||
Bloomberg WTI Crude Oil Subindex
|
UBS AG
|
Short
|
90.3776
|
(19,757,339
|
) |
Reference Index
|
Counterparty
|
Long or
Short |
|
Index
Close
|
|
Notional
Amount at
Value
|
||||||||||||
Bloomberg WTI Crude Oil Subindex
|
Citibank N.A.
|
Short
|
$ |
68.6586
|
$ |
|
(67,986,223
|
) | ||||||||||
Bloomberg WTI Crude Oil Subindex
|
Goldman Sachs International
|
Short
|
68.6586
|
|
(43,744,157
|
) | ||||||||||||
Bloomberg WTI Crude Oil Subindex
|
Royal Bank of Canada
|
Short
|
68.6586
|
|
(31,327,722
|
) | ||||||||||||
Bloomberg WTI Crude Oil Subindex
|
Societe Generale
|
Short
|
68.6586
|
|
(13,980,566
|
) | ||||||||||||
Bloomberg WTI Crude Oil Subindex
|
UBS AG
|
Short
|
68.6586
|
(42,493,832
|
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value |
|
||||||||||||
Natural Gas (NYMEX)
|
Short
|
March 2020
|
1,160
|
$ |
2.16
|
10,000
|
$ |
(25,032,800
|
) |
Futures Positions as of December 31, 2018
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional
Amount at Value |
|
||||||||||||
Natural Gas (NYMEX)
|
Short
|
March 2019
|
1,250
|
$ |
2.85
|
10,000
|
$ |
(35,637,500
|
) |
Foreign Currency Forward Contracts as of December 31, 2019
|
||||||||||||||||||||||
Reference
Currency
|
Counterparty
|
Long or
Short |
|
Settlement
Date |
|
Local Currency
|
|
Forward Rate
|
|
Market Value
USD |
|
|||||||||||
Euro
|
UBS AG
|
Long
|
01/10/20
|
19,396,955
|
1.1162
|
$ |
21,651,280
|
|||||||||||||||
Euro
|
Goldman Sachs International
|
Short
|
01/10/20
|
(112,762,143
|
) |
1.1121
|
(125,406,162
|
) | ||||||||||||||
Euro
|
UBS AG
|
Short
|
01/10/20
|
(122,358,446
|
) |
1.1121
|
(136,077,171
|
) | ||||||||||||||
Foreign Currency Forward Contracts as of December 31, 2018
|
||||||||||||||||||||||
Reference
Currency
|
Counterparty
|
Long or
Short |
|
Settlement
Date |
|
Local Currency
|
|
Forward
Rate
|
|
Market Value
USD |
|
|||||||||||
Euro
|
Goldman Sachs International
|
Long
|
01/11/19
|
11,497,100
|
1.1418
|
$ |
13,127,174
|
|||||||||||||||
Euro
|
UBS AG
|
Long
|
01/11/19
|
33,071,100
|
1.1451
|
37,868,488
|
||||||||||||||||
Euro
|
Goldman Sachs International
|
Short
|
01/11/19
|
(152,127,525
|
) |
1.1422
|
(173,757,198
|
) | ||||||||||||||
Euro
|
UBS AG
|
Short
|
01/11/19
|
(161,054,700
|
) |
1.1407
|
(183,722,475
|
) |
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value |
|
||||||||||||
Gold Futures (COMEX)
|
Short
|
February 2020
|
76
|
$ |
1,523.10
|
100
|
$ |
(11,575,560
|
) |
Swap Agreements as of December 31, 2019
|
||||||||||||||||
Reference Index
|
Counterparty
|
|
Long or
Short |
|
Index Close
|
|
Notional Amount
at Value |
|
||||||||
Bloomberg Gold Subindex
|
Citibank, N.A.
|
Short
|
$ |
174.6300
|
$ |
(13,940,590
|
) | |||||||||
Bloomberg Gold Subindex
|
Goldman Sachs International
|
Short
|
174.6300
|
(6,884,579
|
) | |||||||||||
Bloomberg Gold Subindex
|
UBS AG
|
Short
|
174.6300
|
(9,756,431
|
) |
Futures Positions as of December 31, 2018
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional
Amount at Value |
|
||||||||||||
Gold Futures (COMEX)
|
Short
|
February 2019
|
10
|
$ |
1,282.70
|
100
|
$ |
(1,281,300
|
) |
Forward Agreements as of December 31, 2018
|
||||||||||||||||
Reference Index
|
Counterparty
|
|
Long or
Short |
|
Valuation
Price |
|
Notional
Amount at Value |
|
||||||||
0.995 Fine Troy Ounce Gold
|
Citibank N.A
|
Short
|
$ |
1,279.65
|
$ |
(14,332,080
|
) | |||||||||
0.995 Fine Troy Ounce Gold
|
Goldman Sachs International
|
Short
|
1,279.71
|
(9,723,237
|
) | |||||||||||
0.995 Fine Troy Ounce Gold
|
Societe Generale
|
Short
|
1,279.64
|
(1,279,640
|
) | |||||||||||
0.995 Fine Troy Ounce Gold
|
UBS AG
|
Short
|
1,279.62
|
(9,533,169
|
) |
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value |
|
||||||||||||
Silver Futures (COMEX)
|
Short
|
March 2020
|
27
|
$ |
17.92
|
5,000
|
$ |
(2,419,335
|
) |
Swap Agreements as of December 31, 2019
|
||||||||||||||||
Reference Index
|
Counterparty
|
|
Long or
Short |
|
Index Close
|
|
Notional Amount
at Value |
|
||||||||
Bloomberg Silver Subindex
|
Citibank, N.A.
|
Short
|
$ |
170.1072
|
$ |
(9,595,700
|
) | |||||||||
Bloomberg Silver Subindex
|
Goldman Sachs International
|
Short
|
170.1072
|
(4,926,137
|
) | |||||||||||
Bloomberg Silver Subindex
|
UBS AG
|
Short
|
170.1072
|
(10,687,683
|
) |
Futures Positions as of December 31, 2018
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional
Amount at Value |
|
||||||||||||
Silver Futures (COMEX)
|
Short
|
March 2019
|
11
|
$ |
15.55
|
5,000
|
$ |
(854,700
|
) |
Forward Agreements as of December 31, 2018
|
||||||||||||||||
Reference Index
|
Counterparty
|
|
Long or
Short |
|
Valuation
Price |
|
Notional
Amount at Value |
|
||||||||
0.999 Fine Troy Ounce Silver
|
Citibank N.A.
|
Short
|
$ |
15.4734
|
$ |
(6,173,887
|
) | |||||||||
0.999 Fine Troy Ounce Silver
|
Goldman Sachs International
|
Short
|
15.4746
|
(8,658,038
|
) | |||||||||||
0.999 Fine Troy Ounce Silver
|
Societe Generale
|
Short
|
15.4732
|
(1,547,320
|
) | |||||||||||
0.999 Fine Troy Ounce Silver
|
UBS AG
|
Short
|
15.4747
|
(6,298,203
|
) |
Foreign Currency Forward Contracts as of December 31, 2019
|
||||||||||||||||||||||||
Reference
Currency
|
Counterparty
|
|
Long or
Short |
|
Settlement
Date |
|
Local Currency
|
|
Forward Rate
|
|
Market Value
USD |
|
||||||||||||
Yen
|
UBS AG
|
Long
|
01/10/20
|
1,025,624,482
|
0.009170
|
$ |
9,404,720
|
|||||||||||||||||
Yen
|
Goldman Sachs International
|
Short
|
01/10/20
|
(4,448,656,033
|
) |
0.009213
|
(40,983,307
|
) | ||||||||||||||||
Yen
|
UBS AG
|
Short
|
01/10/20
|
(4,893,578,348
|
) |
0.009211
|
(45,072,829
|
) |
Foreign Currency Forward Contracts as of December 31, 2018
|
||||||||||||||||||||||||
|
Counterparty
|
|
Long or
Short |
|
Settlement
Date |
|
Yen
|
|
Forward Rate
|
|
Market Value
USD |
|
||||||||||||
Yen
|
Goldman Sachs International
|
Long
|
01/11/19
|
1,459,634,700
|
0.008901
|
$ |
12,991,545
|
|||||||||||||||||
Yen
|
UBS AG
|
Long
|
01/11/19
|
2,446,453,800
|
0.008985
|
21,980,969
|
||||||||||||||||||
Yen
|
Goldman Sachs International
|
Short
|
01/11/19
|
(7,490,711,300
|
) |
0.008893
|
(66,611,796
|
) | ||||||||||||||||
Yen
|
UBS AG
|
Short
|
01/11/19
|
(8,547,990,500
|
) |
0.008888
|
(75,970,705
|
) |
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value |
|
||||||||||||
VIX Futures (Cboe)
|
Long
|
April 2020
|
511
|
$ |
17.43
|
1,000
|
$ |
8,904,175
|
||||||||||||||||
VIX Futures (Cboe)
|
Long
|
May 2020
|
865
|
17.58
|
1,000
|
15,202,375
|
||||||||||||||||||
VIX Futures (Cboe)
|
Long
|
June 2020
|
865
|
17.88
|
1,000
|
15,461,875
|
||||||||||||||||||
VIX Futures (Cboe)
|
Long
|
July 2020
|
354
|
18.13
|
1,000
|
6,416,250
|
Futures Positions as of December 31, 2018
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional
Amount at
Value |
|
||||||||||||
VIX Futures (Cboe)
|
Long
|
April 2019
|
503
|
$ |
20.98
|
1,000
|
$ |
10,550,425
|
||||||||||||||||
VIX Futures (Cboe)
|
Long
|
May 2019
|
906
|
20.75
|
1,000
|
18,799,500
|
||||||||||||||||||
VIX Futures (Cboe)
|
Long
|
June 2019
|
906
|
20.55
|
1,000
|
18,618,300
|
||||||||||||||||||
VIX Futures (Cboe)
|
Long
|
July 2019
|
403
|
20.68
|
1,000
|
8,332,025
|
Futures Positions as of December 31, 2019
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional Amount
at Value |
|
||||||||||||
VIX Futures (Cboe)
|
Long
|
January 2020
|
10,706
|
$ |
14.63
|
1,000
|
$ |
156,575,250
|
||||||||||||||||
VIX Futures (Cboe)
|
Long
|
February 2020
|
7,415
|
16.63
|
1,000
|
123,274,375
|
Futures Positions as of December 31, 2018
|
||||||||||||||||||||||||
Contract
|
Long or
Short |
|
Expiration
|
|
Contracts
|
|
Valuation
Price |
|
Contract
Multiplier |
|
Notional
Amount at
Value |
|
||||||||||||
VIX Futures (Cboe)
|
Long
|
January 2019
|
3,561
|
$ |
24.18
|
1,000
|
$ |
86,087,175
|
||||||||||||||||
VIX Futures (Cboe)
|
Long
|
February 2019
|
2,849
|
22.28
|
1,000
|
63,461,475
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
37,625
|
$ |
71,866
|
$ |
60,251
|
$ |
6,509
|
$ |
176,251
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
350,977
|
$ |
(157,901
|
) | $ |
963,281
|
$ |
(153,379
|
) | $ |
1,002,978
|
||||||||
Net income (loss)
|
$ |
388,602
|
$ |
(86,035
|
) | $ |
1,023,532
|
$ |
(146,870
|
) | $ |
1,179,229
|
||||||||
Net increase (decrease) in net asset value per share
|
$ |
1.33
|
$ |
(0.18
|
) | $ |
2.38
|
$ |
(0.99
|
) | $ |
2.54
|
||||||||
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
934
|
$ |
7,908
|
$ |
11,261
|
$ |
24,354
|
$ |
44,457
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(142,252
|
) | $ |
460,859
|
$ |
87,653
|
$ |
177,089
|
$ |
583,349
|
|||||||||
Net income (loss)
|
$ |
(141,318
|
) | $ |
468,767
|
$ |
98,914
|
$ |
201,443
|
$ |
627,806
|
|||||||||
Net increase (decrease) in net asset value per share
|
$ |
(0.71
|
) | $ |
2.35
|
$ |
0.49
|
$ |
1.01
|
$ |
3.14
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
45,436
|
$ |
725,505
|
$ |
366,033
|
$ |
25,189
|
$ |
1,162,163
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
81,676,814
|
$ |
15,996,074
|
$ |
(4,250,833
|
) | $ |
56,953,543
|
$ |
150,375,598
|
|||||||||
Net income (loss)
|
$ |
81,722,250
|
$ |
16,721,579
|
$ |
(3,884,800
|
) | $ |
56,978,732
|
$ |
151,537,761
|
|||||||||
Net increase (decrease) in net asset value per share
|
$ |
9.95
|
$ |
2.20
|
$ |
(0.58
|
) | $ |
11.69
|
$ |
23.26
|
|||||||||
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
(1,750,599
|
) | $ |
(645,154
|
) | $ |
(101,161
|
) | $ |
287,559
|
$ |
(2,209,355
|
) | ||||||
Net realized and unrealized gain (loss)
|
$ |
(1,937,523,391
|
) | $ |
70,228,943
|
$ |
71,756,231
|
$ |
(121,751,400
|
) | $ |
(1,917,289,617
|
) | |||||||
Net income (loss)
|
$ |
(1,939,273,990
|
) | $ |
69,583,789
|
$ |
71,655,070
|
$ |
(121,463,841
|
) | $ |
(1,919,498,972
|
) | |||||||
Net increase (decrease) in net asset value per share
|
$ |
(462.82
|
) | $ |
4.72
|
$ |
8.00
|
$ |
(16.74
|
) | $ |
(466.84
|
) |
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
1,095,944
|
$ |
1,231,167
|
$ |
964,368
|
$ |
573,105
|
$ |
3,864,584
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
219,922,437
|
$ |
(11,746,328
|
) | $ |
(44,341,886
|
) | $ |
89,750,924
|
$ |
253,585,147
|
||||||||
Net income (loss)
|
$ |
221,018,381
|
$ |
(10,515,161
|
) | $ |
(43,377,518
|
) | $ |
90,324,029
|
$ |
257,449,731
|
||||||||
Net increase (decrease) in net asset value per share
|
$ |
8.46
|
$ |
(1.89
|
) | $ |
(3.55
|
) | $ |
4.29
|
$ |
7.31
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
334,994
|
$ |
650,229
|
$ |
907,471
|
$ |
1,130,114
|
$ |
3,022,808
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
74,009,930
|
$ |
103,315,781
|
$ |
17,868,429
|
$ |
(334,398,877
|
) | $ |
(139,204,737
|
) | ||||||||
Net income (loss)
|
$ |
74,344,924
|
$ |
103,966,010
|
$ |
18,775,900
|
$ |
(333,268,763
|
) | $ |
(136,181,929
|
) | ||||||||
Net increase (decrease) in net asset value per share
|
$ |
3.82
|
$ |
6.85
|
$ |
1.43
|
$ |
(22.70
|
) | $ |
(10.60
|
) |
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
44,045
|
$ |
49,884
|
$ |
64,345
|
$ |
4,114
|
$ |
162,388
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(2,956,899
|
) | $ |
(8,646,662
|
) | $ |
1,504,321
|
$ |
(14,608,364
|
) | $ |
(24,707,604
|
) | ||||||
Net income (loss)
|
$ |
(2,912,854
|
) | $ |
(8,596,778
|
) | $ |
1,568,666
|
$ |
(14,604,250
|
) | $ |
(24,545,216
|
) | ||||||
Net increase (decrease) in net asset value per share
|
$ |
(4.95
|
) | $ |
(6.48
|
) | $ |
(0.98
|
) | $ |
(4.47
|
) | $ |
(16.88
|
) | |||||
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
7,455
|
$ |
21,771
|
$ |
30,444
|
$ |
36,649
|
$ |
96,319
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(3,836,207
|
) | $ |
1,576,734
|
$ |
1,494,408
|
$ |
4,310,866
|
$ |
3,545,801
|
|||||||||
Net income (loss)
|
$ |
(3,828,752
|
) | $ |
1,598,505
|
$ |
1,524,852
|
$ |
4,347,515
|
$ |
3,642,120
|
|||||||||
Net increase (decrease) in net asset value per share
|
$ |
(5.16
|
) | $ |
1.80
|
$ |
1.06
|
$ |
(5.06
|
) | $ |
(7.36
|
) |
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
20,829
|
$ |
18,923
|
$ |
12,333
|
$ |
6,443
|
$ |
58,528
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(452,758
|
) | $ |
75,978
|
$ |
(546,620
|
) | $ |
252,983
|
$ |
(670,417
|
) | |||||||
Net income (loss)
|
$ |
(431,929
|
) | $ |
94,901
|
$ |
(534,287
|
) | $ |
259,426
|
$ |
(611,889
|
) | |||||||
Net increase (decrease) in net asset value per share
|
$ |
(0.80
|
) | $ |
0.21
|
$ |
(1.33
|
) | $ |
0.62
|
$ |
(1.30
|
) | |||||||
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
1,487
|
$ |
3,336
|
$ |
8,290
|
$ |
17,710
|
$ |
30,823
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
318,529
|
$ |
(1,063,679
|
) | $ |
(199,010
|
) | $ |
(325,517
|
) | $ |
(1,269,677
|
) | ||||||
Net income (loss)
|
$ |
320,016
|
$ |
(1,060,343
|
) | $ |
(190,720
|
) | $ |
(307,807
|
) | $ |
(1,238,854
|
) | ||||||
Net increase (decrease) in net asset value per share
|
$ |
0.66
|
$ |
(2.01
|
) | $ |
(0.39
|
) | $ |
(0.61
|
) | $ |
(2.35
|
) |
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
212,786
|
$ |
228,086
|
$ |
254,636
|
$ |
207,429
|
$ |
902,937
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
279,826
|
$ |
12,185,406
|
$ |
4,937,206
|
$ |
6,001,591
|
$ |
23,404,029
|
||||||||||
Net income (loss)
|
$ |
492,612
|
$ |
12,413,492
|
$ |
5,191,842
|
$ |
6,209,020
|
$ |
24,306,966
|
||||||||||
Net increase (decrease) in net asset value per share
|
$ |
0.20
|
$ |
6.46
|
$ |
2.75
|
$ |
2.68
|
$ |
12.09
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
87,511
|
$ |
174,419
|
$ |
187,472
|
$ |
176,229
|
$ |
625,631
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
3,647,616
|
$ |
(11,510,819
|
) | $ |
(9,205,070
|
) | $ |
10,403,281
|
$ |
(6,664,992
|
) | |||||||
Net income (loss)
|
$ |
3,735,127
|
$ |
(11,336,400
|
) | $ |
(9,017,598
|
) | $ |
10,579,510
|
$ |
(6,039,361
|
) | |||||||
Net increase (decrease) in net asset value per share
|
$ |
1.56
|
$ |
(4.95
|
) | $ |
(4.00
|
) | $ |
4.63
|
$ |
(2.76
|
) |
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
445,559
|
$ |
512,068
|
$ |
489,406
|
$ |
409,237
|
$ |
1,856,270
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(13,588,404
|
) | $ |
485,637
|
$ |
33,071,129
|
$ |
18,628,882
|
$ |
38,597,244
|
|||||||||
Net income (loss)
|
$ |
(13,142,845
|
) | $ |
997,705
|
$ |
33,560,535
|
$ |
19,038,119
|
$ |
40,453,514
|
|||||||||
Net increase (decrease) in net asset value per share
|
$ |
(1.87
|
) | $ |
.10
|
$ |
4.59
|
$ |
2.49
|
$ |
5.31
|
|||||||||
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
214,408
|
$ |
386,411
|
$ |
489,197
|
$ |
379,163
|
$ |
1,469,179
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(19,015,679
|
) | $ |
(9,668,809
|
) | $ |
(50,021,707
|
) | $ |
26,147,651
|
$ |
(52,558,544
|
) | ||||||
Net income (loss)
|
$ |
(18,801,271
|
) | $ |
(9,282,398
|
) | $ |
(49,532,510
|
) | $ |
26,526,814
|
$ |
(51,089,365
|
) | ||||||
Net increase (decrease) in net asset value per share
|
$ |
(2.72
|
) | $ |
(1.45
|
) | $ |
(6.36
|
) | $ |
3.37
|
$ |
(7.16
|
) |
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
(150,629
|
) | $ |
507,125
|
$ |
128,125
|
$ |
(389,569
|
) | $ |
95,052
|
||||||||
Net realized and unrealized gain (loss)
|
$ |
(234,281,324
|
) | $ |
(94,539,260
|
) | $ |
(10,108,464
|
) | $ |
(351,677,844
|
) | $ |
(690,606,892
|
) | |||||
Net income (loss)
|
$ |
(234,431,953
|
) | $ |
(94,032,135
|
) | $ |
(9,980,339
|
) | $ |
(352,067,413
|
) | $ |
(690,511,840
|
) | |||||
Net increase (decrease) in net asset value per share
|
$ |
(42.46
|
) | $ |
(8.63
|
) | $ |
(4.99
|
) | $ |
(12.71
|
) | $ |
(68.79
|
) | |||||
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
(1,067,496
|
) | $ |
(1,082,646
|
) | $ |
(1,124,013
|
) | $ |
128,484
|
$ |
(3,145,671
|
) | ||||||
Net realized and unrealized gain (loss)
|
$ |
484,076,554
|
$ |
(148,750,315
|
) | $ |
(230,179,281
|
) | $ |
350,498,454
|
$ |
455,645,412
|
||||||||
Net income (loss)
|
$ |
483,009,058
|
$ |
(149,832,961
|
) | $ |
(231,303,294
|
) | $ |
350,626,938
|
$ |
452,499,741
|
||||||||
Net increase (decrease) in net asset value per share
|
$ |
43.35
|
$ |
(33.76
|
) | $ |
(24.76
|
) | $ |
44.96
|
$ |
29.79
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
14,571
|
$ |
9,668
|
$ |
8,446
|
$ |
5,829
|
$ |
38,514
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(189,904
|
) | $ |
154,832
|
$ |
(38,615
|
) | $ |
(55,889
|
) | $ |
(129,576
|
) | ||||||
Net income (loss)
|
$ |
(175,333
|
) | $ |
164,500
|
$ |
(30,169
|
) | $ |
(50,060
|
) | $ |
(91,062
|
) | ||||||
Net increase (decrease) in net asset value per share
|
$ |
(1.88
|
) | $ |
2.44
|
$ |
(1.03
|
) | $ |
(1.23
|
) | $ |
(1.70
|
) |
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
(3,069
|
) | $ |
(2,527
|
) | $ |
(1,364
|
) | $ |
5,977
|
$ |
(983
|
) | ||||||
Net realized and unrealized gain (loss)
|
$ |
310,931
|
$ |
(277,136
|
) | $ |
(177,347
|
) | $ |
185,406
|
$ |
41,854
|
||||||||
Net income (loss)
|
$ |
307,862
|
$ |
(279,663
|
) | $ |
(178,711
|
) | $ |
191,383
|
$ |
40,871
|
||||||||
Net increase (decrease) in net asset value per share
|
$ |
6.16
|
$ |
(5.60
|
) | $ |
(3.57
|
) | $ |
3.22
|
$ |
0.21
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
252,849
|
$ |
260,997
|
$ |
166,187
|
$ |
50,048
|
$ |
730,081
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
86,429,677
|
$ |
(9,317,208
|
) | $ |
(20,140,427
|
) | $ |
42,925,640
|
$ |
99,897,682
|
||||||||
Net income (loss)
|
$ |
86,682,526
|
$ |
(9,056,211
|
) | $ |
(19,974,240
|
) | $ |
42,975,688
|
$ |
100,627,763
|
||||||||
Net increase (decrease) in net asset value per share
|
$ |
13.87
|
$ |
(4.41
|
) | $ |
(7.12
|
) | $ |
6.05
|
$ |
8.39
|
||||||||
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
(31,115
|
) | $ |
(64,951
|
) | $ |
3,898
|
$ |
53,884
|
$ |
(38,284
|
) | |||||||
Net realized and unrealized gain (loss)
|
$ |
3,206,782
|
$ |
8,642,480
|
$ |
4,526,787
|
$ |
(78,680,204
|
) | $ |
(62,304,155
|
) | ||||||||
Net income (loss)
|
$ |
3,175,667
|
$ |
8,577,529
|
$ |
4,530,685
|
$ |
(78,626,320
|
) | $ |
(62,342,439
|
) | ||||||||
Net increase (decrease) in net asset value per share
|
$ |
8.52
|
$ |
16.48
|
$ |
2.36
|
$ |
(52.06
|
) | $ |
(24.70
|
) |
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
24,014
|
$ |
37,229
|
$ |
36,261
|
$ |
5,893
|
$ |
103,397
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(11,765,350
|
) | $ |
112,611
|
$ |
17,342,394
|
$ |
(23,468,770
|
) | $ |
(17,779,115
|
) | |||||||
Net income (loss)
|
$ |
(11,741,336
|
) | $ |
149,840
|
$ |
17,378,655
|
$ |
(23,462,877
|
) | $ |
(17,675,718
|
) | |||||||
Net increase (decrease) in net asset value per share
|
$ |
(29.17
|
) | $ |
(0.82
|
) | $ |
(2.77
|
) | $ |
(6.37
|
) | $ |
(39.13
|
) | |||||
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
(67,214
|
) | $ |
(65,455
|
) | $ |
(8,035
|
) | $ |
32,013
|
$ |
(108,691
|
) | ||||||
Net realized and unrealized gain (loss)
|
$ |
(5,422,950
|
) | $ |
(8,500,464
|
) | $ |
(2,905,992
|
) | $ |
34,214,317
|
$ |
17,384,911
|
|||||||
Net income (loss)
|
$ |
(5,490,164
|
) | $ |
(8,565,919
|
) | $ |
(2,914,027
|
) | $ |
34,246,330
|
$ |
17,276,220
|
|||||||
Net increase (decrease) in net asset value per share
|
$ |
(11.52
|
) | $ |
(11.49
|
) | $ |
(2.90
|
) | $ |
33.38
|
$ |
7.47
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
25,789
|
$ |
25,895
|
$ |
19,953
|
$ |
8,688
|
$ |
80,325
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(314,459
|
) | $ |
175,523
|
$ |
663,547
|
$ |
(427,020
|
) | $ |
97,591
|
||||||||
Net income (loss)
|
$ |
(288,670
|
) | $ |
201,418
|
$ |
683,500
|
$ |
(418,332
|
) | $ |
177,916
|
||||||||
Net increase (decrease) in net asset value per share
|
$ |
(0.88
|
) | $ |
1.34
|
$ |
4.75
|
$ |
(4.42
|
) | $ |
0.79
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
135
|
$ |
4,750
|
$ |
9,501
|
$ |
22,360
|
$ |
36,746
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
71,892
|
$ |
509,518
|
$ |
371,946
|
$ |
580,876
|
$ |
1,534,232
|
||||||||||
Net income (loss)
|
$ |
72,027
|
$ |
514,268
|
$ |
381,447
|
$ |
603,236
|
$ |
1,570,978
|
||||||||||
Net increase (decrease) in net asset value per share
|
$ |
1.42
|
$ |
3.43
|
$ |
2.19
|
$ |
2.59
|
$ |
9.63
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
185,815
|
$ |
215,797
|
$ |
200,283
|
$ |
107,904
|
$ |
709,799
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(42,073,393
|
) | $ |
7,580,828
|
$ |
10,965,855
|
$ |
(21,789,492
|
) | $ |
(45,316,202
|
) | |||||||
Net income (loss)
|
$ |
(41,887,578
|
) | $ |
7,796,625
|
$ |
11,166,138
|
$ |
(21,681,588
|
) | $ |
(44,606,403
|
) | |||||||
Net increase (decrease) in net asset value per share
|
$ |
(12.90
|
) | $ |
(0.03
|
) | $ |
(0.46
|
) | $ |
(4.21
|
) | $ |
(17.60
|
) | |||||
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
189,482
|
$ |
343,498
|
$ |
350,275
|
$ |
155,375
|
$ |
1,038,630
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(32,789,044
|
) | $ |
(49,301,579
|
) | $ |
(9,315,729
|
) | $ |
107,877,779
|
$ |
16,471,427
|
|||||||
Net income (loss)
|
$ |
(32,599,562
|
) | $ |
(48,958,081
|
) | $ |
(8,965,454
|
) | $ |
108,033,154
|
$ |
17,510,057
|
|||||||
Net increase (decrease) in net asset value per share
|
$ |
(4.35
|
) | $ |
(5.03
|
) | $ |
(1.34
|
) | $ |
16.20
|
$ |
5.48
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
19,484
|
$ |
11,719
|
$ |
4,656
|
$ |
(6,442
|
) | $ |
29,417
|
|||||||||
Net realized and unrealized gain (loss)
|
$ |
1,002,714
|
$ |
2,903,656
|
$ |
723,285
|
$ |
4,491,526
|
$ |
9,121,181
|
||||||||||
Net income (loss)
|
$ |
1,022,198
|
$ |
2,915,375
|
$ |
727,941
|
$ |
4,485,084
|
$ |
9,150,598
|
||||||||||
Net increase (decrease) in net asset value per share
|
$ |
1.04
|
$ |
8.10
|
$ |
(1.33
|
) | $ |
9.11
|
$ |
16.92
|
|||||||||
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
(9,587
|
) | $ |
(2,564
|
) | $ |
1,662
|
$ |
6,035
|
$ |
(4,454
|
) | |||||||
Net realized and unrealized gain (loss)
|
$ |
1,678,891
|
$ |
(587,894
|
) | $ |
(278,829
|
) | $ |
(3,025,179
|
) | $ |
(2,213,011
|
) | ||||||
Net income (loss)
|
$ |
1,669,304
|
$ |
(590,458
|
) | $ |
(277,167
|
) | $ |
(3,019,144
|
) | $ |
(2,217,465
|
) | ||||||
Net increase (decrease) in net asset value per share
|
$ |
3.40
|
$ |
(4.29
|
) | $ |
(2.99
|
) | $ |
(13.99
|
) | $ |
(17.87
|
) |
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
434,473
|
$ |
471,256
|
$ |
371,679
|
$ |
251,422
|
$ |
1,528,830
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
7,754,055
|
$ |
(1,896,379
|
) | $ |
12,977,337
|
$ |
(5,841,242
|
) | $ |
12,993,771
|
||||||||
Net income (loss)
|
$ |
8,188,528
|
$ |
(1,425,123
|
) | $ |
13,349,016
|
$ |
(5,589,820
|
) | $ |
14,522,601
|
||||||||
Net increase (decrease) in net asset value per share
|
$ |
1.40
|
$ |
(0.28
|
) | $ |
2.63
|
$ |
(1.22
|
) | $ |
2.53
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
168,129
|
$ |
322,447
|
$ |
376,603
|
$ |
457,315
|
$ |
1,324,494
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(8,816,475
|
) | $ |
22,599,812
|
$ |
3,375,847
|
$ |
6,663,407
|
$ |
23,822,591
|
|||||||||
Net income (loss)
|
$ |
(8,648,346
|
) | $ |
22,922,259
|
$ |
3,752,450
|
$ |
7,120,722
|
$ |
25,147,085
|
|||||||||
Net increase (decrease) in net asset value per share
|
$ |
(0.88
|
) | $ |
2.46
|
$ |
0.51
|
$ |
0.97
|
$ |
3.06
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
47,471
|
$ |
52,582
|
$ |
53,681
|
$ |
32,980
|
$ |
186,714
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(290,878
|
) | $ |
(3,257,747
|
) | $ |
(767,290
|
) | $ |
(1,417,644
|
) | $ |
(5,733,559
|
) | |||||
Net income (loss)
|
$ |
(243,407
|
) | $ |
(3,205,165
|
) | $ |
(713,609
|
) | $ |
(1,384,664
|
) | $ |
(5,546,845
|
) | |||||
Net increase (decrease) in net asset value per share
|
$ |
(0.86
|
) | $ |
(11.28
|
) | $ |
(4.58
|
) | $ |
(3.54
|
) | $ |
(20.26
|
) | |||||
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
22,378
|
$ |
47,828
|
$ |
51,360
|
$ |
49,775
|
$ |
171,341
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(1,361,639
|
) | $ |
3,454,273
|
$ |
2,987,259
|
$ |
(3,283,495
|
) | $ |
1,796,398
|
||||||||
Net income (loss)
|
$ |
(1,339,261
|
) | $ |
3,502,101
|
$ |
3,038,619
|
$ |
(3,233,720
|
) | $ |
1,967,739
|
||||||||
Net increase (decrease) in net asset value per share
|
$ |
(3.33
|
) | $ |
8.51
|
$ |
8.75
|
$ |
(11.12
|
) | $ |
2.81
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
31,554
|
$ |
42,177
|
$ |
40,671
|
$ |
17,511
|
$ |
131,913
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
745,325
|
$ |
(596,758
|
) | $ |
(2,836,930
|
) | $ |
(2,053,612
|
) | $ |
(4,741,975
|
) | ||||||
Net income (loss)
|
$ |
776,879
|
$ |
(554,581
|
) | $ |
(2,796,259
|
) | $ |
(2,036,100
|
) | $ |
(4,610,061
|
) | ||||||
Net increase (decrease) in net asset value per share
|
$ |
2.05
|
$ |
(0.96
|
) | $ |
(8.35
|
) | $ |
(3.11
|
) | $ |
(10.37
|
) | ||||||
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
13,187
|
$ |
33,075
|
$ |
41,266
|
$ |
24,944
|
$ |
112,472
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
1,107,177
|
$ |
811,275
|
$ |
5,482,203
|
$ |
(2,494,901
|
) | $ |
4,905,754
|
|||||||||
Net income (loss)
|
$ |
1,120,364
|
$ |
844,350
|
$ |
5,523,469
|
$ |
(2,469,957
|
) | $ |
5,018,226
|
|||||||||
Net increase (decrease) in net asset value per share
|
$ |
2.22
|
$ |
0.84
|
$ |
8.79
|
$ |
(6.43
|
) | $ |
5.42
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
167,574
|
$ |
175,443
|
$ |
137,637
|
$ |
74,820
|
$ |
555,474
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
2,090,200
|
$ |
(2,316,880
|
) | $ |
605,022
|
$ |
862,500
|
$ |
1,240,842
|
|||||||||
Net income (loss)
|
$ |
2,257,774
|
$ |
(2,141,437
|
) | $ |
742,659
|
$ |
937,320
|
$ |
1,796,316
|
|||||||||
Net increase (decrease) in net asset value per share
|
$ |
2.58
|
$ |
(3.01
|
) | $ |
1.27
|
$ |
1.64
|
$ |
2.48
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
81,401
|
$ |
151,662
|
$ |
178,878
|
$ |
195,933
|
$ |
607,874
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(11,656,244
|
) | $ |
7,918,559
|
$ |
4,795,653
|
$ |
(3,586,623
|
) | $ |
(2,528,655
|
) | |||||||
Net income (loss)
|
$ |
(11,574,843
|
) | $ |
8,070,221
|
$ |
4,974,531
|
$ |
(3,390,690
|
) | $ |
(1,920,781
|
) | |||||||
Net increase (decrease) in net asset value per share
|
$ |
(7.73
|
) | $ |
6.29
|
$ |
4.72
|
$ |
(4.32
|
) | $ |
(1.04
|
) |
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
149,266
|
$ |
133,606
|
$ |
129,497
|
$ |
80,844
|
$ |
493,213
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(10,628,469
|
) | $ |
(852,138
|
) | $ |
4,127,635
|
$ |
(4,913,553
|
) | $ |
(12,266,525
|
) | ||||||
Net income (loss)
|
$ |
(10,479,203
|
) | $ |
(718,532
|
) | $ |
4,257,132
|
$ |
(4,832,709
|
) | $ |
(11,773,312
|
) | ||||||
Net increase (decrease) in net asset value per share
|
$ |
(5.01
|
) | $ |
(0.22
|
) | $ |
2.08
|
$ |
(2.23
|
) | $ |
(5.38
|
) | ||||||
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
(4,487
|
) | $ |
2,771
|
$ |
20,539
|
$ |
97,505
|
$ |
116,328
|
|||||||||
Net realized and unrealized gain (loss)
|
$ |
8,636,903
|
$ |
(2,832,596
|
) | $ |
(2,176,011
|
) | $ |
6,677,557
|
$ |
10,305,853
|
||||||||
Net income (loss)
|
$ |
8,632,416
|
$ |
(2,829,825
|
) | $ |
(2,155,472
|
) | $ |
6,775,062
|
$ |
10,422,181
|
||||||||
Net increase (decrease) in net asset value per share
|
$ |
5.32
|
$ |
(3.58
|
) | $ |
(2.46
|
) | $ |
6.08
|
$ |
5.36
|
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2019 |
||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net investment income (loss)
|
$ |
476,702
|
$ |
724,602
|
$ |
615,421
|
$ |
336,674
|
$ |
2,153,399
|
||||||||||
Net realized and unrealized gain (loss)
|
$ |
(76,190,815
|
) | $ |
(23,082,821
|
) | $ |
(2,496,651
|
) | $ |
(125,351,164
|
) | $ |
(227,121,451
|
) | |||||
Net income (loss)
|
$ |
(75,714,113
|
) | $ |
(22,358,219
|
) | $ |
(1,881,230
|
) | $ |
(125,014,490
|
) | $ |
(224,968,052
|
) | |||||
Net increase (decrease) in net asset value per share
|
$ |
(14.50
|
) | $ |
(3.22
|
) | $ |
(1.67
|
) | $ |
(6.89
|
) | $ |
(26.28
|
) | |||||
|
Three Months Ended (unaudited)
|
Year Ended
December 31, 2018 |
||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net investment income (loss)
|
$ |
(47,426
|
) | $ |
(16,991
|
) | $ |
50,013
|
$ |
381,069
|
$ |
366,665
|
||||||||
Net realized and unrealized gain (loss)
|
$ |
91,294,868
|
$ |
(23,350,906
|
) | $ |
(41,230,299
|
) | $ |
85,342,613
|
$ |
112,056,276
|
||||||||
Net income (loss)
|
$ |
91,247,442
|
$ |
(23,367,897
|
) | $ |
(41,180,286
|
) | $ |
85,723,682
|
$ |
112,422,941
|
||||||||
Net increase (decrease) in net asset value per share
|
$ |
16.42
|
$ |
(9.34
|
) | $ |
(8.57
|
) | $ |
16.73
|
$ |
15.24
|
• | selects the Funds’ service providers; |
• | negotiates various agreements and fees; |
• | performs such other services as the Sponsor believes that the Trust may require from time to time; |
• | selects the FCM and Financial Instrument counterparties; |
• | manages each Fund’s portfolio of other assets, including cash equivalents; and |
• | manages the Funds with a view toward achieving the Funds’ investment objectives. |
Name
|
Position
|
|
Michael L. Sapir
|
Chief Executive Officer and Principal of the Sponsor
|
|
Louis M. Mayberg
|
Principal of the Sponsor
|
|
William E. Seale
|
Principal of the Sponsor
|
|
Sapir Family Trust
|
Principal of the Sponsor
|
|
Northstar Trust
|
Principal of the Sponsor
|
|
Timothy N. Coakley
|
Chief Financial Officer and Principal of the Sponsor
|
|
Edward J. Karpowicz
|
Principal Financial Officer of the Trust and Principal of the Sponsor
|
|
Todd B. Johnson*
|
Principal Executive Officer of the Trust and Chief Investment Officer and Principal of the Sponsor
|
|
Hratch Najarian
|
Director, Portfolio Management and Principal of the Sponsor
|
|
Alexander Ilyasov
|
Senior Portfolio Manager of the Sponsor
|
|
Ryan Dofflemeyer
|
Portfolio Manager and Associated Person of the Sponsor
|
|
Benjamin McAbee
|
Portfolio Manager of the Sponsor
|
|
Victor M. Frye
|
Principal of the Sponsor
|
* | Denotes principal of the Sponsor who supervises persons who participate in making trading decisions for the Funds. |
Fund
|
Amount
|
|
||
ProShares Short Euro
|
$ |
135,292
|
||
ProShares Short VIX Short-Term Futures ETF
|
3,333,950
|
|||
ProShares Ultra Bloomberg Crude Oil
|
3,612,580
|
|||
ProShares Ultra Bloomberg Natural Gas
|
297,043
|
|||
ProShares Ultra Euro
|
62,543
|
|||
ProShares Ultra Gold
|
884,410
|
|||
ProShares Ultra Silver
|
1,928,478
|
|||
ProShares Ultra VIX Short-Term Futures ETF
|
4,819,171
|
|||
ProShares Ultra Yen
|
39,949
|
|||
ProShares UltraPro 3x Crude Oil ETF
|
1,049,564
|
|||
ProShares UltraPro 3x Short Crude Oil ETF
|
312,430
|
|||
ProShares UltraShort Australian Dollar
|
72,858
|
|||
ProShares UltraShort Bloomberg Crude Oil
|
769,401
|
|||
ProShares UltraShort Bloomberg Natural Gas
|
83,978
|
|||
ProShares UltraShort Euro
|
1,293,377
|
|||
ProShares UltraShort Gold
|
188,089
|
|||
ProShares UltraShort Silver
|
139,668
|
|||
ProShares UltraShort Yen
|
451,638
|
|||
ProShares VIX Mid-Term Futures ETF
|
380,474
|
|||
ProShares VIX Short-Term Futures ETF
|
2,038,850
|
(1) to (4). | Fees for services performed by PricewaterhouseCoopers LLP (“PwC”) for the years ended December 31, 2019 and 2018 were as follows: |
|
Year Ended
December 31, 2019 |
|
Year Ended
December 31, 2018 |
|
||||
Audit Fees
|
$ |
730,400
|
$ |
810,400
|
||||
Audit-Related Fees
|
—
|
34,000
|
||||||
Tax Fees
|
3,158,000
|
3,207,930
|
||||||
All Other Fees
|
—
|
—
|
||||||
Total Trust:
|
$
|
3,888,400
|
|
$
|
4,052,330
|
|
||
(5) | The Sponsor approved all of the services provided by PwC described above. The Sponsor pre-approves all audit and allowed non-audit services of the Trust’s independent registered public accounting firm, including all engagement fees and terms. |
Exhibit
No. |
|
Description of Document
|
||
4.1
|
||||
4.2
|
||||
4.2.1
|
||||
4.3
|
||||
10.1
|
||||
10.2
|
||||
10.3
|
||||
10.4
|
||||
10.5
|
||||
23.1
|
||||
31.1
|
||||
31.2
|
||||
32.1
|
||||
32.2
|
||||
101.INS
|
XBRL Instance Document
|
|||
101.SCH
|
XBRL Taxonomy Extension Schema
|
|||
101.CAL
|
XBRL Taxonomy Extension Calculation Linkbase
|
|||
101.DEF
|
XBRL Taxonomy Extension Definition Linkbase
|
|||
101.LAB
|
XBRL Taxonomy Extension Label Linkbase
|
|||
101.PRE
|
XBRL Taxonomy Extension Presentation Linkbase
|
|||
104.1
|
Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.
|
(1) | Incorporated by reference to the Trust’s Registration Statement, filed on October 18, 2007. |
(2) | Incorporated by reference to the Trust’s Registration Statement, filed on August 15, 2008. |
(3) | Incorporated by reference to the Trust’s Registration Statement, filed on September 18, 2008. |
(4) | Incorporated by reference to the Trust’s Registration Statement, filed on November 17, 2008. |
(5) | Incorporated by reference to the Trust’s Registration Statement, filed on October 22, 2008. |
(6) | Filed herewith. |
Documents
|
Page
|
|
||
131
|
||||
|
||||
134
|
||||
140
|
||||
146
|
||||
152
|
||||
158
|
||||
164
|
||||
170
|
||||
176
|
||||
182
|
||||
188
|
||||
194
|
||||
200
|
||||
206
|
||||
212
|
||||
218
|
||||
224
|
||||
230
|
||||
236
|
||||
242
|
||||
248
|
||||
254
|
||||
258
|
ProShares Short Euro (a)
|
ProShares UltraShort Australian Dollar (a)
|
|
ProShares Short VIX Short-Term Futures ETF (a)
|
ProShares UltraShort Bloomberg Crude Oil (a)
|
|
ProShares Ultra Bloomberg Crude Oil (a)
|
ProShares UltraShort Bloomberg Natural Gas (a)
|
|
ProShares Ultra Bloomberg Natural Gas (a)
|
ProShares UltraShort Euro (a)
|
|
ProShares Ultra Euro (a)
|
ProShares UltraShort Gold (a)
|
|
ProShares Ultra Gold (a)
|
ProShares UltraShort Silver (a)
|
|
ProShares Ultra Silver (a)
|
ProShares UltraShort Yen (a)
|
|
ProShares Ultra VIX Short-Term Futures ETF (a)
|
ProShares VIX Mid-Term Futures ETF (a)
|
|
ProShares Ultra Yen (a)
|
ProShares VIX Short-Term Futures ETF (a)
|
|
ProShares UltraPro 3x Crude Oil ETF (b)
|
|
|
ProShares UltraPro 3x Short Crude Oil ETF (b)
|
ProShares Trust II (“combined”) (c)
|
(a) | Statements of financial condition, including the schedules of investments, as of December 31, 2019 and 2018, and the related statements of operations, of changes in shareholders’ equity and of cash flows for each of the three years in the period ended December 31, 2019 |
(b) | Statements of financial condition, including the schedules of investments, as of December 31, 2019 and 2018, and the related statements of operations, of changes in shareholders’ equity and of cash flows for each of the two years in the period ended December 31, 2019 and for the period January 13, 2017 (inception) through December 31, 2017 |
(c) | Combined statements of financial condition as of December 31, 2019 and 2018, and the related combined statements of operations, of changes in shareholders’ equity and of cash flows for each of the three years in the period ended December 31, 2019 |
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $745,775 and $599,431, respectively)
|
$ |
745,805
|
$ |
599,429
|
||||
Cash
|
1,509,236
|
7,873,056
|
||||||
Segregated cash balances with brokers for futures contracts
|
31,680
|
151,800
|
||||||
Interest receivable
|
2,434
|
7,641
|
||||||
Total assets
|
2,289,155
|
8,631,926
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable on open futures contracts
|
5,100
|
5,250
|
||||||
Payable to Sponsor
|
1,860
|
6,990
|
||||||
Total liabilities
|
6,960
|
12,240
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
2,282,195
|
8,619,686
|
||||||
Total liabilities and shareholders’ equity
|
$ |
2,289,155
|
$ |
8,631,926
|
||||
Shares outstanding
|
50,000
|
200,000
|
||||||
Net asset value per share
|
$ |
45.64
|
$ |
43.10
|
||||
Market value per share (Note 2)
|
$ |
45.69
|
$ |
43.08
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
33
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.514% due 02/06/20
|
$ |
365,000
|
$ |
364,469
|
||||
1.519% due 02/13/20
|
382,000
|
381,336
|
||||||
Total short-term U.S. government and agency obligations
(cost $745,775) |
|
$ |
745,805
|
|||||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Euro Fx Currency Futures - CME, expires March 2020
|
16
|
$ |
2,256,400
|
$ |
(14,000
|
) |
^^ |
Rates shown represent discount rate at the time of purchase.
|
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
7
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.689% due 01/03/19
|
$ |
200,000
|
$ |
199,988
|
||||
1.941% due 01/17/19
|
200,000
|
199,808
|
||||||
1.976% due 01/31/19
|
200,000
|
199,633
|
||||||
Total short-term U.S. government and agency obligations
(cost $599,431) |
|
$ |
599,429
|
|||||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Euro Fx Currency Futures - CME, expires March 2019
|
60
|
$ |
8,641,875
|
$ |
(43,281
|
) |
^^ |
Rates shown represent discount rate at the time of purchase.
|
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
314,021
|
$ |
123,954
|
$ |
75,953
|
||||||
Expenses
|
|
|
|
|||||||||
Management fee
|
135,292
|
78,253
|
111,736
|
|||||||||
Brokerage commissions
|
2,478
|
1,244
|
1,844
|
|||||||||
Total expenses
|
137,770
|
79,497
|
113,580
|
|||||||||
Net investment income (loss)
|
176,251
|
44,457
|
(37,627
|
) | ||||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|||||||||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
972,479
|
459,984
|
(1,161,987
|
) | ||||||||
Short-term U.S. government and agency obligations
|
1,186
|
—
|
(384
|
) | ||||||||
Net realized gain (loss)
|
973,665
|
459,984
|
(1,162,371
|
) | ||||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Futures contracts
|
29,281
|
123,007
|
(299,188
|
) | ||||||||
Short-term U.S. government and agency obligations
|
32
|
358
|
(381
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
29,313
|
123,365
|
(299,569
|
) | ||||||||
Net realized and unrealized gain (loss)
|
1,002,978
|
583,349
|
(1,461,940
|
) | ||||||||
Net income (loss)
|
$ |
1,179,229
|
$ |
627,806
|
$ |
(1,499,567
|
) | |||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
8,619,686
|
$ |
7,991,880
|
$ |
15,770,088
|
||||||
Addition of 300,000, – and – shares, respectively
|
13,205,150
|
—
|
—
|
|||||||||
Redemption of 450,000, – and 150,000 shares, respectively
|
(20,721,870
|
) |
—
|
(6,278,641
|
) | |||||||
Net addition (redemption) of (150,000), – and (150,000) shares, respectively
|
(7,516,720
|
) |
—
|
(6,278,641
|
) | |||||||
Net investment income (loss)
|
176,251
|
44,457
|
(37,627
|
) | ||||||||
Net realized gain (loss)
|
973,665
|
459,984
|
(1,162,371
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
29,313
|
123,365
|
(299,569
|
) | ||||||||
Net income (loss)
|
1,179,229
|
627,806
|
(1,499,567
|
) | ||||||||
Shareholders’ equity, end of period
|
$ |
2,282,195
|
$ |
8,619,686
|
$ |
7,991,880
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
1,179,229
|
$ |
627,806
|
$ |
(1,499,567
|
) | |||||
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
|
(411,178,062
|
) |
(371,708,641
|
) |
(52,920,382
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
411,237,264
|
378,200,000
|
59,163,769
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(204,360
|
) |
(94,195
|
) |
(75,559
|
) | ||||||
Net realized gain (loss) on investments
|
(1,186
|
) |
—
|
384
|
||||||||
Change in unrealized appreciation (depreciation) on investments
|
(32
|
) |
(358
|
) |
381
|
|||||||
Decrease (Increase) in interest receivable
|
5,207
|
(7,641
|
) |
—
|
||||||||
Increase (Decrease) in payable to Sponsor
|
(5,130
|
) |
453
|
(6,149
|
) | |||||||
Increase (Decrease) in payable on futures contracts
|
(150
|
) |
(38,061
|
) |
(33,355
|
) | ||||||
Net cash provided by (used in) operating activities
|
1,032,780
|
6,979,363
|
4,629,522
|
|||||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
13,205,150
|
—
|
—
|
|||||||||
Payment on shares redeemed
|
(20,721,870
|
) |
—
|
(6,278,641
|
) | |||||||
Net cash provided by (used in) financing activities
|
(7,516,720
|
) |
—
|
(6,278,641
|
) | |||||||
Net increase (decrease) in cash
|
(6,483,940
|
) |
6,979,363
|
(1,649,119
|
) | |||||||
Cash, beginning of period
|
8,024,856
|
1,045,493
|
2,694,612
|
|||||||||
Cash, end of period
|
$ |
1,540,916
|
$ |
8,024,856
|
$ |
1,045,493
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $56,926,750 and $–, respectively)
|
$ |
56,929,436
|
$ |
—
|
||||
Cash
|
113,044,890
|
180,835,767
|
||||||
Segregated cash balances with brokers for futures contracts
|
54,499,197
|
116,062,688
|
||||||
Receivable on open futures contracts
|
60,052,325
|
63,300,889
|
||||||
Interest receivable
|
123,214
|
142,222
|
||||||
Total assets
|
284,649,062
|
360,341,566
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable on open futures contracts
|
—
|
15,448,037
|
||||||
Payable to Sponsor
|
211,883
|
297,266
|
||||||
Total liabilities
|
211,883
|
15,745,303
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
284,437,179
|
344,596,263
|
||||||
Total liabilities and shareholders’ equity
|
$ |
284,649,062
|
$ |
360,341,566
|
||||
Shares outstanding
|
4,334,307
|
8,134,307
|
||||||
Net asset value per share
|
$ |
65.62
|
$ |
42.36
|
||||
Market value per share (Note 2)
|
$ |
65.23
|
$ |
42.30
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
20
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.547% due 01/30/20
†
|
$ |
42,000,000
|
$ |
41,951,238
|
||||
1.462% due 02/06/20
†
|
15,000,000
|
14,978,198
|
||||||
Total short-term U.S. government and agency obligations
(cost $56,926,750) |
|
$ |
56,929,436
|
|||||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
VIX Futures -
Cboe
, expires January 2020
|
5,442
|
$ |
79,589,250
|
$ |
10,424,889
|
|||||||
VIX Futures -
Cboe
, expires February 2020
|
3,764
|
62,576,500
|
(170,017
|
) | ||||||||
|
|
|
$ |
10,254,872
|
||||||||
^^ |
Rates shown represent discount rate at the time of purchase.
|
†
|
All or partial amount pledged as collateral for futures contracts.
|
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
VIX Futures -
Cboe
, expires January 2019
|
4,103
|
$ |
99,190,025
|
$ |
(15,386,661
|
) | ||||||
VIX Futures -
Cboe
, expires February 2019
|
3,282
|
73,106,550
|
910,460
|
|||||||||
|
|
|
$ |
(14,476,201
|
) | |||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
5,618,666
|
$ |
5,721,966
|
$ |
6,001,679
|
||||||
Expenses
|
|
|
|
|||||||||
Management fee
|
3,333,950
|
5,617,477
|
7,147,223
|
|||||||||
Brokerage commissions
|
723,282
|
2,162,086
|
4,226,442
|
|||||||||
Brokerage fees
|
721
|
151,758
|
1,558
|
|||||||||
Non-recurring
fees and expenses
|
398,550
|
—
|
—
|
|||||||||
Total expenses
|
4,456,503
|
7,931,321
|
11,375,223
|
|||||||||
Net investment income (loss)
|
1,162,163
|
(2,209,355
|
) |
(5,373,544
|
) | |||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|||||||||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
125,639,084
|
(1,885,564,719
|
) |
897,400,516
|
||||||||
Short-term U.S. government and agency obligations
|
2,755
|
(259,113
|
) |
(443
|
) | |||||||
Net realized gain (loss)
|
125,641,839
|
(1,885,823,832
|
) |
897,400,073
|
||||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Futures contracts
|
24,731,073
|
(31,517,650
|
) |
27,351,060
|
||||||||
Short-term U.S. government and agency obligations
|
2,686
|
51,865
|
(56,560
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
24,733,759
|
(31,465,785
|
) |
27,294,500
|
||||||||
Net realized and unrealized gain (loss)
|
150,375,598
|
(1,917,289,617
|
) |
924,694,573
|
||||||||
Net income (loss)
|
$ |
151,537,761
|
$ |
(1,919,498,972
|
) | $ |
919,321,029
|
|||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
344,596,263
|
$ |
770,163,871
|
$ |
228,075,387
|
||||||
Addition of 1,500,000, 19,000,000 and 13,137,500 shares, respectively
|
84,372,594
|
2,433,234,181
|
3,985,678,031
|
|||||||||
Redemption of 5,300,000, 12,378,193 and 12,875,000 shares, respectively
|
(296,069,439
|
) |
(939,302,817
|
) |
(4,362,910,576
|
) | ||||||
Net addition (redemption) of (3,800,000), 6,621,807 and 262,500 shares, respectively
|
(211,696,845
|
) |
1,493,931,364
|
(377,232,545
|
) | |||||||
Net investment income (loss)
|
1,162,163
|
(2,209,355
|
) |
(5,373,544
|
) | |||||||
Net realized gain (loss)
|
125,641,839
|
(1,885,823,832
|
) |
897,400,073
|
||||||||
Change in net unrealized appreciation (depreciation)
|
24,733,759
|
(31,465,785
|
) |
27,294,500
|
||||||||
Net income (loss)
|
151,537,761
|
(1,919,498,972
|
) |
919,321,029
|
||||||||
Shareholders’ equity, end of period
|
$ |
284,437,179
|
$ |
344,596,263
|
$ |
770,163,871
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
151,537,761
|
$ |
(1,919,498,972
|
) | $ |
919,321,029
|
|||||
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
|
(5,155,156,465
|
) |
(23,270,517,650
|
) |
(7,250,717,757
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
5,100,473,064
|
23,768,116,025
|
6,931,640,345
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(2,240,594
|
) |
(2,894,979
|
) |
(5,493,799
|
) | ||||||
Net realized gain (loss) on investments
|
(2,755
|
) |
259,113
|
443
|
||||||||
Change in unrealized appreciation (depreciation) on investments
|
(2,686
|
) |
(51,865
|
) |
56,560
|
|||||||
Decrease (Increase) in receivable on futures contracts
|
3,248,564
|
(42,542,039
|
) |
(19,699,432
|
) | |||||||
Decrease (Increase) in interest receivable
|
19,008
|
(142,222
|
) |
—
|
||||||||
Increase (Decrease) in payable to Sponsor
|
(85,383
|
) |
(530,173
|
) |
597,228
|
|||||||
Increase (Decrease) in payable on futures contracts
|
(15,448,037
|
) |
14,919,287
|
203,750
|
||||||||
Net cash provided by (used in) operating activities
|
82,342,477
|
(1,452,883,475
|
) |
575,908,367
|
||||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
84,372,594
|
2,433,234,181
|
3,985,678,031
|
|||||||||
Payment on shares redeemed
|
(296,069,439
|
) |
(984,120,527
|
) |
(4,318,092,866
|
) | ||||||
Net cash provided by (used in) financing activities
|
(211,696,845
|
) |
1,449,113,654
|
(332,414,835
|
) | |||||||
Net increase (decrease) in cash
|
(129,354,368
|
) |
(3,769,821
|
) |
243,493,532
|
|||||||
Cash, beginning of period
|
296,898,455
|
300,668,276
|
57,174,744
|
|||||||||
Cash, end of period
|
$ |
167,544,087
|
$ |
296,898,455
|
$ |
300,668,276
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $
200,101,525
and $
280,497,709
, respectively)
|
$ |
200,115,463
|
$ |
280,502,900
|
||||
Cash
|
86,168,083
|
123,257,905
|
||||||
Segregated cash balances with brokers for futures contracts
|
2,147,480
|
13,563,407
|
||||||
Segregated cash balances with brokers for swap agreements
|
—
|
11,197,000
|
||||||
Unrealized appreciation on swap agreements
|
21,814,590
|
—
|
||||||
Receivable from capital shares sold
|
—
|
12,991,664
|
||||||
Receivable on open futures contracts
|
—
|
190,440
|
||||||
Interest receivable
|
123,221
|
62,514
|
||||||
Total assets
|
310,368,837
|
441,765,830
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable on open futures contracts
|
266,056
|
311,815
|
||||||
Payable to Sponsor
|
258,199
|
287,236
|
||||||
Unrealized depreciation on swap agreements
|
—
|
72,767,125
|
||||||
Total liabilities
|
524,255
|
73,366,176
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
309,844,582
|
368,399,654
|
||||||
Total liabilities and shareholders’ equity
|
$ |
310,368,837
|
$ |
441,765,830
|
||||
Shares outstanding
|
15,211,317
|
28,211,317
|
||||||
Net asset value per share
|
$ |
20.37
|
$ |
13.06
|
||||
Market value per share (Note 2)
|
$ |
20.46
|
$ |
13.30
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
65
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.609
% due
01/09/20
†
|
$ |
39,000,000
|
$ |
38,989,536
|
||||
1.547
% due
01/30/20
†
|
57,000,000
|
56,933,823
|
||||||
1.514
% due
02/06/20
|
50,952,000
|
50,877,941
|
||||||
1.587
% due
02/13/20
†
|
53,407,000
|
53,314,163
|
||||||
Total short-term U.S. government and agency obligations
(cost $
200,101,525
)
|
|
$ |
200,115,463
|
|||||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
WTI Crude Oil - NYMEX, expires March 2020
|
554
|
$ |
33,666,580
|
$ |
765,575
|
|
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
|
0.18
|
% |
01/06/20
|
$ |
172,174,920
|
$ |
6,039,121
|
|||||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
|
0.25
|
01/06/20
|
120,411,487
|
4,393,163
|
||||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex
|
0.23
|
01/06/20
|
115,540,626
|
4,210,281
|
||||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex
|
0.25
|
01/06/20
|
64,308,537
|
2,253,037
|
||||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex
|
0.25
|
01/06/20
|
113,574,303
|
4,918,988
|
||||||||||||
|
|
|
Total Unrealized
Appreciation |
$ |
21,814,590
|
|||||||||||
†
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.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
76
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607
% due
01/03/19
†
|
$ |
15,000,000
|
$ |
14,999,078
|
||||
2.287
% due
01/17/19
†
|
91,000,000
|
90,912,794
|
||||||
2.260
% due
01/31/19
†
|
90,000,000
|
89,834,697
|
||||||
2.400
% due
02/14/19
†
|
85,000,000
|
84,756,331
|
||||||
Total short-term U.S. government and agency obligations
(cost $
280,497,709
)
|
|
$ |
280,502,900
|
|||||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
WTI Crude Oil - NYMEX, expires March 2019
|
3,121
|
$ |
142,692,120
|
$ |
(14,040,301
|
) |
|
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
|
0.18
|
% |
01/07/19
|
$ |
192,061,821
|
$ |
(22,752,565
|
) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
|
0.25
|
01/07/19
|
112,179,333
|
(15,691,687
|
) | |||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex
|
0.23
|
01/07/19
|
113,997,533
|
(13,836,386
|
) | |||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex
|
0.25
|
01/07/19
|
38,382,074
|
(5,206,589
|
) | |||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex
|
0.25
|
01/07/19
|
137,242,162
|
(15,279,898
|
) | |||||||||||
|
|
|
Total Unrealized
Depreciation |
$ |
(72,767,125
|
) | ||||||||||
†
|
All or partial amount pledged as collateral for swap agreements.
|
|
^
|
The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
|
|
^^
|
Rates shown represent discount rate at the time of purchase.
|
|
*
|
Reflects the floating financing rate, as of December 31, 2018, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
|
|
**
|
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
7,627,706
|
$ |
7,041,517
|
$ |
5,982,049
|
||||||
Expenses
|
|
|
|
|||||||||
Management fee
|
3,612,580
|
3,918,014
|
7,120,247
|
|||||||||
Brokerage commissions
|
150,542
|
100,695
|
241,263
|
|||||||||
Total expenses
|
3,763,122
|
4,018,709
|
7,361,510
|
|||||||||
Net investment income (loss)
|
3,864,584
|
3,022,808
|
(1,379,461
|
) | ||||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|||||||||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
22,428,157
|
(3,149,395
|
) |
28,048,922
|
||||||||
Swap agreements
|
121,742,316
|
24,906,389
|
(5,902,710
|
) | ||||||||
Short-term U.S. government and agency obligations
|
18,336
|
(2,307
|
) |
(14,496
|
) | |||||||
Net realized gain (loss)
|
144,188,809
|
21,754,687
|
22,131,716
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Futures contracts
|
14,805,876
|
(25,986,280
|
) |
6,408,814
|
||||||||
Swap agreements
|
94,581,715
|
(135,005,486
|
) |
6,879,790
|
||||||||
Short-term U.S. government and agency obligations
|
8,747
|
32,342
|
(30,855
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
109,396,338
|
(160,959,424
|
) |
13,257,749
|
||||||||
Net realized and unrealized gain (loss)
|
253,585,147
|
(139,204,737
|
) |
35,389,465
|
||||||||
Net income (loss)
|
$ |
257,449,731
|
$ |
(136,181,929
|
) | $ |
34,010,004
|
|||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
368,399,654
|
$ |
524,445,526
|
$ |
933,731,860
|
||||||
Addition of 34,050,000, 24,600,000 and 68,500,000 shares, respectively
|
569,843,253
|
518,136,436
|
1,156,816,574
|
|||||||||
Redemption of 47,050,000, 18,550,000 and 86,352,616 shares, respectively
|
(885,848,056
|
) |
(538,000,379
|
) |
(1,600,112,912
|
) | ||||||
Net addition (redemption) of (13,000,000), 6,050,000 and (17,852,616) shares, respectively
|
(316,004,803
|
) |
(19,863,943
|
) |
(443,296,338
|
) | ||||||
Net investment income (loss)
|
3,864,584
|
3,022,808
|
(1,379,461
|
) | ||||||||
Net realized gain (loss)
|
144,188,809
|
21,754,687
|
22,131,716
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
109,396,338
|
(160,959,424
|
) |
13,257,749
|
||||||||
Net income (loss)
|
257,449,731
|
(136,181,929
|
) |
34,010,004
|
||||||||
Shareholders’ equity, end of period
|
$ |
309,844,582
|
$ |
368,399,654
|
$ |
524,445,526
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
257,449,731
|
$ |
(136,181,929
|
) | $ |
34,010,004
|
|||||
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
|
(3,985,480,476
|
) |
(15,528,795,124
|
) |
(6,401,999,444
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
4,072,626,713
|
15,714,465,442
|
6,833,376,973
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(6,731,717
|
) |
(6,627,281
|
) |
(5,888,775
|
) | ||||||
Net realized gain (loss) on investments
|
(18,336
|
) |
2,307
|
14,496
|
||||||||
Change in unrealized appreciation (depreciation) on investments
|
(94,590,462
|
) |
134,973,144
|
(6,848,935
|
) | |||||||
Decrease (Increase) in receivable on futures contracts
|
190,440
|
2,051,561
|
(2,242,001
|
) | ||||||||
Decrease (Increase) in interest receivable
|
(60,707
|
) |
(62,514
|
) |
—
|
|||||||
Increase (Decrease) in payable to Sponsor
|
(29,037
|
) |
(128,585
|
) |
(397,278
|
) | ||||||
Increase (Decrease) in brokerage commissions payable
|
—
|
—
|
(2,332
|
) | ||||||||
Increase (Decrease) in payable on futures contracts
|
(45,759
|
) |
311,815
|
(1,993,438
|
) | |||||||
Net cash provided by (used in) operating activities
|
243,310,390
|
180,008,836
|
448,029,270
|
|||||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
582,834,917
|
505,144,772
|
1,156,816,574
|
|||||||||
Payment on shares redeemed
|
(885,848,056
|
) |
(547,464,799
|
) |
(1,616,527,496
|
) | ||||||
Net cash provided by (used in) financing activities
|
(303,013,139
|
) |
(42,320,027
|
) |
(459,710,922
|
) | ||||||
Net increase (decrease) in cash
|
(59,702,749
|
) |
137,688,809
|
(11,681,652
|
) | |||||||
Cash, beginning of period
|
148,018,312
|
10,329,503
|
22,011,155
|
|||||||||
Cash, end of period
|
$ |
88,315,563
|
$ |
148,018,312
|
$ |
10,329,503
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $
27,528,924
and $
8,380,716
, respectively)
|
$ |
27,530,314
|
$ |
8,380,427
|
||||
Cash
|
7,072,257
|
731,158
|
||||||
Segregated cash balances with brokers for futures contracts
|
10,546,805
|
6,299,444
|
||||||
Receivable from capital shares sold
|
—
|
2,528,757
|
||||||
Receivable on open futures contracts
|
37,024
|
—
|
||||||
Interest receivable
|
10,591
|
11,508
|
||||||
Total assets
|
45,196,991
|
17,951,294
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable on open futures contracts
|
—
|
3,309,741
|
||||||
Payable to Sponsor
|
36,786
|
24,113
|
||||||
Total liabilities
|
36,786
|
3,333,854
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
45,160,205
|
14,617,440
|
||||||
Total liabilities and shareholders’ equity
|
$ |
45,196,991
|
$ |
17,951,294
|
||||
Shares outstanding
|
5,378,150
|
578,150
|
||||||
Net asset value per share
|
$ |
8.40
|
$ |
25.28
|
||||
Market value per share (Note 2)
|
$ |
8.34
|
$ |
25.82
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
61
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607
% due
01/09/20
|
$ |
6,000,000
|
$ |
5,998,390
|
||||
1.547
% due
01/30/20
|
5,500,000
|
5,493,615
|
||||||
1.514
% due
02/06/20
|
7,843,000
|
7,831,600
|
||||||
1.519
% due
02/13/20
|
8,221,000
|
8,206,709
|
||||||
Total short-term U.S. government and agency obligations
(cost $
27,528,924
)
|
|
$ |
27,530,314
|
|||||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Natural Gas - NYMEX, expires March 2020
|
4,185
|
$ |
90,312,300
|
$ |
(2,652,228
|
) |
^^ |
Rates shown represent discount rate at the time of purchase.
|
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
57
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.635
% due
01/03/19
|
$ |
800,000
|
$ |
799,951
|
||||
1.884
% due
01/17/19
|
700,000
|
699,329
|
||||||
1.924
% due
01/31/19
|
900,000
|
898,347
|
||||||
2.362
% due
02/14/19
|
6,000,000
|
5,982,800
|
||||||
Total short-term U.S. government and agency obligations
(cost $
8,380,716
)
|
|
$ |
8,380,427
|
|||||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Natural Gas - NYMEX, expires March 2019
|
1,025
|
$ |
29,222,750
|
$ |
(10,323,163
|
) |
^^ |
Rates shown represent discount rate at the time of purchase.
|
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
589,183
|
$ |
489,924
|
$ |
339,079
|
||||||
Expenses
|
|
|
|
|||||||||
Management fee
|
297,043
|
305,706
|
446,589
|
|||||||||
Brokerage commissions
|
129,752
|
87,899
|
126,252
|
|||||||||
Total expenses
|
426,795
|
393,605
|
572,841
|
|||||||||
Net investment income (loss)
|
162,388
|
96,319
|
(233,762
|
) | ||||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|||||||||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
(32,380,194
|
) |
21,092,864
|
(40,793,265
|
) | |||||||
Short-term U.S. government and agency obligations
|
(24
|
) |
(31
|
) |
(1,021
|
) | ||||||
Net realized gain (loss)
|
(32,380,218
|
) |
21,092,833
|
(40,794,286
|
) | |||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Futures contracts
|
7,670,935
|
(17,548,973
|
) |
4,689,090
|
||||||||
Short-term U.S. government and agency obligations
|
1,679
|
1,941
|
(2,494
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
7,672,614
|
(17,547,032
|
) |
4,686,596
|
||||||||
Net realized and unrealized gain (loss)
|
(24,707,604
|
) |
3,545,801
|
(36,107,690
|
) | |||||||
Net income (loss)
|
$ |
(24,545,216
|
) | $ |
3,642,120
|
$ |
(36,341,452
|
) | ||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
14,617,440
|
$ |
63,268,950
|
$ |
43,203,386
|
||||||
Addition of
8,250,000
,
1,600,000
and
2,510,000
shares, respectively
|
115,544,309
|
53,884,378
|
106,004,594
|
|||||||||
Redemption of
3,450,000
,
2,960,284
and
1,030,000
shares, respectively
|
(60,456,328
|
) |
(106,178,008
|
) |
(49,597,578
|
) | ||||||
Net addition (redemption) of
4,800,000
,
(1,360,284)
and
1,480,000
shares, respectively
|
55,087,981
|
(52,293,630
|
) |
56,407,016
|
||||||||
Net investment income (loss)
|
162,388
|
96,319
|
(233,762
|
) | ||||||||
Net realized gain (loss)
|
(32,380,218
|
) |
21,092,833
|
(40,794,286
|
) | |||||||
Change in net unrealized appreciation (depreciation)
|
7,672,614
|
(17,547,032
|
) |
4,686,596
|
||||||||
Net income (loss)
|
(24,545,216
|
) |
3,642,120
|
(36,341,452
|
) | |||||||
Shareholders’ equity, end of period
|
$ |
45,160,205
|
$ |
14,617,440
|
$ |
63,268,950
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
(24,545,216
|
) | $ |
3,642,120
|
$ |
(36,341,452
|
) | ||||
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
|
(409,196,437
|
) |
(1,789,009,201
|
) |
(400,640,972
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
390,337,650
|
1,831,997,907
|
386,173,028
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(289,445
|
) |
(405,867
|
) |
(313,279
|
) | ||||||
Net realized gain (loss) on investments
|
24
|
31
|
1,021
|
|||||||||
Change in unrealized appreciation (depreciation) on investments
|
(1,679
|
) |
(1,941
|
) |
2,494
|
|||||||
Decrease (Increase) in receivable on futures contracts
|
(37,024
|
) |
1,520,156
|
(1,520,156
|
) | |||||||
Decrease (Increase) in interest receivable
|
917
|
(11,508
|
) |
—
|
||||||||
Increase (Decrease) in payable to Sponsor
|
12,673
|
(19,992
|
) |
8,069
|
||||||||
Increase (Decrease) in brokerage commissions payable
|
—
|
—
|
(433
|
) | ||||||||
Increase (Decrease) in payable on futures contracts
|
(3,309,741
|
) |
3,309,741
|
(1,528,005
|
) | |||||||
Net cash provided by (used in) operating activities
|
(47,028,278
|
) |
51,021,446
|
(54,159,685
|
) | |||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
118,073,066
|
51,682,061
|
105,678,154
|
|||||||||
Payment on shares redeemed
|
(60,456,328
|
) |
(110,389,802
|
) |
(45,385,784
|
) | ||||||
Net cash provided by (used in) financing activities
|
57,616,738
|
(58,707,741
|
) |
60,292,370
|
||||||||
Net increase (decrease) in cash
|
10,588,460
|
(7,686,295
|
) |
6,132,685
|
||||||||
Cash, beginning of period
|
7,030,602
|
14,716,897
|
8,584,212
|
|||||||||
Cash, end of period
|
$ |
17,619,062
|
$ |
7,030,602
|
$ |
14,716,897
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $
3,970,204
and $
1,496,665
, respectively)
|
$ |
3,970,412
|
$ |
1,496,658
|
||||
Cash
|
1,206,437
|
5,068,270
|
||||||
Segregated cash balances with brokers for foreign currency forward contracts
|
921,000
|
921,000
|
||||||
Unrealized appreciation on foreign currency forward contracts
|
109,997
|
61,971
|
||||||
Interest receivable
|
1,496
|
6,718
|
||||||
Total assets
|
6,209,342
|
7,554,617
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable to Sponsor
|
4,918
|
6,015
|
||||||
Unrealized depreciation on foreign currency forward contracts
|
—
|
4,033
|
||||||
Total liabilities
|
4,918
|
10,048
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
6,204,424
|
7,544,569
|
||||||
Total liabilities and shareholders’ equity
|
$ |
6,209,342
|
$ |
7,554,617
|
||||
Shares outstanding
|
450,000
|
500,000
|
||||||
Net asset value per share
|
$ |
13.79
|
$ |
15.09
|
||||
Market value per share (Note 2)
|
$ |
13.77
|
$ |
15.12
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
64
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607
% due
01/09/20
|
$ |
1,000,000
|
$ |
999,732
|
||||
1.547
% due
01/30/20
|
1,000,000
|
998,839
|
||||||
1.514
% due
02/06/20
|
964,000
|
962,599
|
||||||
1.519
% due
02/13/20
|
1,011,000
|
1,009,242
|
||||||
Total short-term U.S. government and agency obligations
(cost $
3,970,204
)
|
|
$ |
3,970,412
|
|||||
|
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
|
01/10/20
|
5,436,377
|
$ |
6,100,637
|
$ |
54,679
|
||||||||||
Euro with UBS AG
|
01/10/20
|
5,589,416
|
6,272,376
|
55,318
|
||||||||||||
|
|
|
Total Unrealized Appreciation
|
$ |
109,997
|
|||||||||||
^
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.
^^
Rates shown represent discount rate at the time of purchase.
|
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
20
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.635
% due
01/03/19
|
$ |
200,000
|
$ |
199,988
|
||||
1.884
% due
01/17/19
|
100,000
|
99,904
|
||||||
1.924
% due
01/31/19
|
200,000
|
199,633
|
||||||
2.427
% due
02/14/19
|
1,000,000
|
997,133
|
||||||
Total short-term U.S. government and agency obligations
(cost $
1,496,665
)
|
|
$ |
1,496,658
|
|||||
|
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
|
01/11/19
|
7,046,525
|
$ |
8,079,203
|
$ |
28,315
|
||||||||||
Euro with UBS AG
|
01/11/19
|
6,507,700
|
7,461,414
|
33,656
|
||||||||||||
|
|
|
Total Unrealized Appreciation
|
$ |
61,971
|
|||||||||||
Contracts to Sell
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Euro with Goldman Sachs International
|
01/11/19
|
(206,300
|
) | $ |
(236,533
|
) | $ |
(2,106
|
) | |||||||
Euro with UBS AG
|
01/11/19
|
(203,200
|
) |
(232,979
|
) |
(1,927
|
) | |||||||||
|
|
|
Total Unrealized
Depreciation |
$ |
(4,033
|
) | ||||||||||
^
|
The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ |
Rates shown represent discount rate at the time of purchase.
|
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
121,071
|
$ |
112,904
|
$ |
94,761
|
||||||
Expenses
|
|
|
|
|||||||||
Management fee
|
62,543
|
82,081
|
124,543
|
|||||||||
Total expenses
|
62,543
|
82,081
|
124,543
|
|||||||||
Net investment income (loss)
|
58,528
|
30,823
|
(29,782
|
) | ||||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|||||||||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Foreign currency forward contracts
|
(722,691
|
) |
(1,063,823
|
) |
2,212,313
|
|||||||
Short-term U.S. government and agency obligations
|
—
|
7
|
(87
|
) | ||||||||
Net realized gain (loss)
|
(722,691
|
) |
(1,063,816
|
) |
2,212,226
|
|||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Foreign currency forward contracts
|
52,059
|
(206,214
|
) |
838,162
|
||||||||
Short-term U.S. government and agency obligations
|
215
|
353
|
(462
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
52,274
|
(205,861
|
) |
837,700
|
||||||||
Net realized and unrealized gain (loss)
|
(670,417
|
) |
(1,269,677
|
) |
3,049,926
|
|||||||
Net income (loss)
|
$ |
(611,889
|
) | $ |
(1,238,854
|
) | $ |
3,020,144
|
||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
7,544,569
|
$ |
9,591,516
|
$ |
11,914,585
|
||||||
Addition of 100,000, 150,000 and 1,600,000 shares, respectively
|
1,422,682
|
2,653,492
|
25,220,169
|
|||||||||
Redemption of 150,000, 200,000 and 1,900,000 shares, respectively
|
(2,150,938
|
) |
(3,461,585
|
) |
(30,563,382
|
) | ||||||
Net addition (redemption) of (50,000), (50,000) and (300,000) shares, respectively
|
(728,256
|
) |
(808,093
|
) |
(5,343,213
|
) | ||||||
Net investment income (loss)
|
58,528
|
30,823
|
(29,782
|
) | ||||||||
Net realized gain (loss)
|
(722,691
|
) |
(1,063,816
|
) |
2,212,226
|
|||||||
Change in net unrealized appreciation (depreciation)
|
52,274
|
(205,861
|
) |
837,700
|
||||||||
Net income (loss)
|
(611,889
|
) |
(1,238,854
|
) |
3,020,144
|
|||||||
Shareholders’ equity, end of period
|
$ |
6,204,424
|
$ |
7,544,569
|
$ |
9,591,516
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
(611,889
|
) | $ |
(1,238,854
|
) | $ |
3,020,144
|
||||
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
|
(69,587,460
|
) |
(444,810,526
|
) |
(57,793,329
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
67,150,000
|
450,399,612
|
62,783,137
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(36,079
|
) |
(89,149
|
) |
(94,761
|
) | ||||||
Net realized gain (loss) on investments
|
—
|
(7
|
) |
87
|
||||||||
Change in unrealized appreciation (depreciation) on investments
|
(52,274
|
) |
205,861
|
(837,700
|
) | |||||||
Decrease (Increase) in interest receivable
|
5,222
|
(6,718
|
) |
—
|
||||||||
Increase (Decrease) in payable to Sponsor
|
(1,097
|
) |
(1,283
|
) |
(2,331
|
) | ||||||
Net cash provided by (used in) operating activities
|
(3,133,577
|
) |
4,458,936
|
7,075,247
|
||||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
1,422,682
|
2,653,492
|
25,220,169
|
|||||||||
Payment on shares redeemed
|
(2,150,938
|
) |
(3,461,585
|
) |
(30,563,382
|
) | ||||||
Net cash provided by (used in) financing activities
|
(728,256
|
) |
(808,093
|
) |
(5,343,213
|
) | ||||||
Net increase (decrease) in cash
|
(3,861,833
|
) |
3,650,843
|
1,732,034
|
||||||||
Cash, beginning of period
|
5,989,270
|
2,338,427
|
606,393
|
|||||||||
Cash, end of period
|
$ |
2,127,437
|
$ |
5,989,270
|
$ |
2,338,427
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $
66,174,584
and $
41,941,207
, respectively)
|
$ |
66,177,998
|
$ |
41,941,734
|
||||
Cash
|
36,455,823
|
32,035,747
|
||||||
Segregated cash balances with brokers for futures contracts
|
2,070,900
|
179,296
|
||||||
Segregated cash balances with brokers for forward agreements
|
—
|
8,883,000
|
||||||
Unrealized appreciation on swap agreements
|
5,890,260
|
—
|
||||||
Unrealized appreciation on forward agreements
|
—
|
4,253,301
|
||||||
Receivable on open futures contracts
|
170,073
|
—
|
||||||
Interest receivable
|
45,921
|
15,303
|
||||||
Total assets
|
110,810,975
|
87,308,381
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable for capital shares redeemed
|
—
|
3,712,654
|
||||||
Payable on open futures contracts
|
—
|
7,990
|
||||||
Payable to Sponsor
|
84,943
|
64,443
|
||||||
Total liabilities
|
84,943
|
3,785,087
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
110,726,032
|
83,523,294
|
||||||
Total liabilities and shareholders’ equity
|
$ |
110,810,975
|
$ |
87,308,381
|
||||
Shares outstanding
|
2,250,000
|
2,250,000
|
||||||
Net asset value per share
|
$ |
49.21
|
$ |
37.12
|
||||
Market value per share (Note 2)
|
$ |
49.05
|
$ |
37.41
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
60
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607
% due
01/09/20
†
|
$ |
14,000,000
|
$ |
13,996,244
|
||||
1.547
% due
01/30/20
†
|
19,000,000
|
18,977,940
|
||||||
1.514
% due
02/06/20
|
16,237,000
|
16,213,400
|
||||||
1.519
% due
02/13/20
|
17,020,000
|
16,990,414
|
||||||
Total short-term U.S. government and agency obligations
(cost $
66,174,584
)
|
|
$ |
66,177,998
|
|||||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Gold Futures - COMEX, expires February 2020
|
438
|
$ |
66,711,780
|
$ |
2,248,514
|
|
Rate Paid
(Received)
*
|
|
Termination
Date |
|
Notional Amount
at Value
**
|
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
|
0.25
|
% |
01/06/20
|
$ |
60,437,683
|
$ |
2,300,665
|
|||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
|
0.25
|
01/06/20
|
44,172,192
|
1,681,492
|
||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex
|
0.25
|
01/06/20
|
50,125,199
|
1,908,103
|
||||||||||||
|
|
|
Total Unrealized
Appreciation |
$ |
5,890,260
|
|||||||||||
†
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.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
50
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607
% due
01/03/19
†
|
$ |
2,000,000
|
$ |
1,999,877
|
||||
2.307
% due
01/17/19
†
|
28,000,000
|
27,973,167
|
||||||
1.898
% due
01/31/19
†
|
3,000,000
|
2,994,490
|
||||||
2.349
% due
02/14/19
†
|
9,000,000
|
8,974,200
|
||||||
Total short-term U.S. government and agency obligations
(cost $
41,941,207
)
|
|
$ |
41,941,734
|
|||||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Gold Futures - COMEX, expires February 2019
|
47
|
$ |
6,022,110
|
$ |
72,670
|
|
Rate Paid
(Received)
*
|
|
Settlement Date
|
|
Commitment to
(Deliver)/Receive |
|
Notional Amount
at Value
**
|
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||||||
Forward agreements with Citibank, N.A. based on
0.995
Fine Troy Ounce Gold
|
2.85
|
% |
01/07/19
|
$ |
50,300
|
$ |
64,366,395
|
$ |
1,682,026
|
|||||||||||
Forward agreements with Goldman Sachs International based on
0.995
Fine Troy Ounce Gold
|
3.30
|
01/07/19
|
36,620
|
46,862,980
|
1,223,528
|
|||||||||||||||
Forward agreements with Societe Generale based on
0.995
Fine Troy Ounce Gold
|
3.02
|
01/07/19
|
1,000
|
1,279,640
|
61,260
|
|||||||||||||||
Forward agreements with UBS AG based on
0.995
Fine Troy Ounce Gold
|
2.90
|
01/07/19
|
37,900
|
48,497,598
|
1,286,487
|
|||||||||||||||
|
|
|
|
|
|
|
Total Unrealized
Appreciation |
$4,253,301
|
||||||||||||
†
All or partial amount pledged as collateral for forward agreements.
^
The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of December 31, 2018, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For forward agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
1,798,692
|
$ |
1,437,347
|
$ |
766,560
|
||||||
Expenses
|
|
|
|
|||||||||
Management fee
|
884,410
|
811,581
|
902,841
|
|||||||||
Brokerage commissions
|
11,345
|
135
|
48
|
|||||||||
Total expenses
|
895,755
|
811,716
|
902,889
|
|||||||||
Net investment income (loss)
|
902,937
|
625,631
|
(136,329
|
) | ||||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|||||||||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
2,697,508
|
(21,640
|
) |
2,839
|
||||||||
Swap agreements
|
12,099,826
|
—
|
—
|
|||||||||
Forward agreements
|
4,790,603
|
(7,323,366
|
) |
11,481,571
|
||||||||
Short-term U.S. government and agency obligations
|
402
|
(172
|
) |
691
|
||||||||
Net realized gain (loss)
|
19,588,339
|
(7,345,178
|
) |
11,485,101
|
||||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Futures contracts
|
2,175,844
|
67,190
|
24,440
|
|||||||||
Swap agreements
|
5,890,260
|
—
|
—
|
|||||||||
Forward agreements
|
(4,253,301
|
) |
606,946
|
8,077,462
|
||||||||
Short-term U.S. government and agency obligations
|
2,887
|
6,050
|
(5,441
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
3,815,690
|
680,186
|
8,096,461
|
|||||||||
Net realized and unrealized gain (loss)
|
23,404,029
|
(6,664,992
|
) |
19,581,562
|
||||||||
Net income (loss)
|
$ |
24,306,966
|
$ |
(6,039,361
|
) | $ |
19,445,233
|
|||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
83,523,294
|
$ |
93,708,748
|
$ |
92,127,200
|
||||||
Addition of 900,000, 550,000 and 650,000 shares, respectively
|
38,466,355
|
20,994,687
|
23,949,465
|
|||||||||
Redemption of 900,000, 650,000 and 1,100,000 shares, respectively
|
(35,570,583
|
) |
(25,140,780
|
) |
(41,813,150
|
) | ||||||
Net addition (redemption) of –, (100,000) and (450,000) shares, respectively
|
2,895,772
|
(4,146,093
|
) |
(17,863,685
|
) | |||||||
Net investment income (loss)
|
902,937
|
625,631
|
(136,329
|
) | ||||||||
Net realized gain (loss)
|
19,588,339
|
(7,345,178
|
) |
11,485,101
|
||||||||
Change in net unrealized appreciation (depreciation)
|
3,815,690
|
680,186
|
8,096,461
|
|||||||||
Net income (loss)
|
24,306,966
|
(6,039,361
|
) |
19,445,233
|
||||||||
Shareholders’ equity, end of period
|
$ |
110,726,032
|
$ |
83,523,294
|
$ |
93,708,748
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
24,306,966
|
$ |
(6,039,361
|
) | $ |
19,445,233
|
|||||
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
|
(909,144,427
|
) |
(4,562,780,642
|
) |
(909,157,323
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
886,380,072
|
4,611,119,917
|
916,390,856
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(1,468,620
|
) |
(1,390,287
|
) |
(766,506
|
) | ||||||
Net realized gain (loss) on investments
|
(402
|
) |
172
|
(691
|
) | |||||||
Change in unrealized appreciation (depreciation) on investments
|
(1,639,846
|
) |
(612,996
|
) |
(8,072,021
|
) | ||||||
Decrease (Increase) in receivable on futures contracts
|
(170,073
|
) |
2,420
|
(2,420
|
) | |||||||
Decrease (Increase) in interest receivable
|
(30,618
|
) |
(15,303
|
) |
—
|
|||||||
Increase (Decrease) in payable to Sponsor
|
20,500
|
(6,331
|
) |
(1,811
|
) | |||||||
Increase (Decrease) in payable on futures contracts
|
(7,990
|
) |
7,990
|
(1,280
|
) | |||||||
Net cash provided by (used in) operating activities
|
(1,754,438
|
) |
40,285,579
|
17,834,037
|
||||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
38,466,355
|
20,994,687
|
23,949,465
|
|||||||||
Payment on shares redeemed
|
(39,283,237
|
) |
(21,428,126
|
) |
(41,813,150
|
) | ||||||
Net cash provided by (used in) financing activities
|
(816,882
|
) |
(433,439
|
) |
(17,863,685
|
) | ||||||
Net increase (decrease) in cash
|
(2,571,320
|
) |
39,852,140
|
(29,648
|
) | |||||||
Cash, beginning of period
|
41,098,043
|
1,245,903
|
1,275,551
|
|||||||||
Cash, end of period
|
$ |
38,526,723
|
$ |
41,098,043
|
$ |
1,245,903
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $
135,537,081
and $
123,793,893
, respectively)
|
$ |
135,544,101
|
$ |
123,795,806
|
||||
Cash
|
71,876,942
|
29,951,685
|
||||||
Segregated cash balances with brokers for futures contracts
|
7,181,720
|
521,057
|
||||||
Segregated cash balances with brokers for forward agreements
|
—
|
21,435,000
|
||||||
Unrealized appreciation on swap agreements
|
25,135,898
|
—
|
||||||
Unrealized appreciation on forward agreements
|
—
|
26,301,717
|
||||||
Interest receivable
|
91,720
|
16,306
|
||||||
Total assets
|
239,830,381
|
202,021,571
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable on open futures contracts
|
398,936
|
47,576
|
||||||
Payable to Sponsor
|
176,603
|
149,619
|
||||||
Total liabilities
|
575,539
|
197,195
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
239,254,842
|
201,824,376
|
||||||
Total liabilities and shareholders’ equity
|
$ |
239,830,381
|
$ |
202,021,571
|
||||
Shares outstanding
|
7,546,526
|
7,646,526
|
||||||
Net asset value per share
|
$ |
31.70
|
$ |
26.39
|
||||
Market value per share (Note 2)
|
$ |
31.65
|
$ |
26.37
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
57
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607
% due
01/09/20
†
|
$ |
29,000,000
|
$ |
28,992,219
|
||||
1.547
% due
01/30/20
†
|
40,000,000
|
39,953,560
|
||||||
1.514
% due
02/06/20
|
32,568,000
|
32,520,662
|
||||||
1.519
% due
02/13/20
|
34,137,000
|
34,077,660
|
||||||
Total short-term U.S. government and agency obligations
(cost $
135,537,081
)
|
|
$ |
135,544,101
|
|||||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Silver Futures - COMEX, expires March 2020
|
1,316
|
$ |
117,920,180
|
$ |
5,724,549
|
|
Rate Paid
(Received)
*
|
|
Termination
Date |
|
Notional Amount
at Value
**
|
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
|
0.25
|
% |
01/06/20
|
$ |
152,640,569
|
$ |
10,329,244
|
|||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
|
0.30
|
01/06/20
|
83,225,484
|
5,925,755
|
||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex
|
0.25
|
01/06/20
|
124,680,616
|
8,880,899
|
||||||||||||
|
|
|
|
|
Total Unrealized
Appreciation |
$
25,135,898
|
||||||||||
†
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.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
61
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607
% due
01/03/19
†
|
$ |
8,000,000
|
$ |
7,999,508
|
||||
2.285
% due
01/17/19
†
|
47,000,000
|
46,954,960
|
||||||
2.241
% due
01/31/19
†
|
38,000,000
|
37,930,206
|
||||||
2.364
% due
02/14/19
†
|
31,000,000
|
30,911,132
|
||||||
Total short-term U.S. government and agency obligations
(cost $
123,793,893
)
|
|
$ |
123,795,806
|
|||||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Silver Futures - COMEX, expires March 2019
|
129
|
$ |
10,023,300
|
$ |
340,736
|
|
Rate Paid
(Received)
*
|
|
Settlement Date
|
|
Commitment to
(Deliver)/Receive |
|
Notional Amount
at Value
**
|
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||||||
Forward agreements with Citibank, N.A. based on
0.999
Fine Troy Ounce Silver
|
3.05
|
% |
01/07/19
|
$ |
9,480,000
|
$ |
146,687,832
|
$ |
9,662,061
|
|||||||||||
Forward agreements with Goldman Sachs International based on
0.999
Fine Troy Ounce Silver
|
3.65
|
01/07/19
|
8,070,800
|
124,892,402
|
8,418,745
|
|||||||||||||||
Forward agreements with Societe Generale based on
0.999
Fine Troy Ounce Silver
|
3.17
|
01/07/19
|
100,000
|
1,547,320
|
118,797
|
|||||||||||||||
Forward agreements with UBS AG based on
0.999
Fine Troy Ounce Silver
|
3.68
|
01/07/19
|
7,786,000
|
120,486,014
|
8,102,114
|
|||||||||||||||
|
|
|
|
|
|
|
Total Unrealized
Appreciation |
$
26,301,717
|
||||||||||||
†
All or partial amount pledged as collateral for forward agreements.
^
The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of December 31, 2018, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions. Forward Agreements payment is due at termination/maturity.
**
For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.
|
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
3,823,565
|
$ |
3,490,072
|
$ |
2,142,183
|
||||||
Expenses
|
|
|
|
|||||||||
Management fee
|
1,928,478
|
2,020,586
|
2,551,877
|
|||||||||
Brokerage commissions
|
38,814
|
307
|
58
|
|||||||||
Brokerage fees
|
3
|
—
|
—
|
|||||||||
Total expenses
|
1,967,295
|
2,020,893
|
2,551,935
|
|||||||||
Net investment income (loss)
|
1,856,270
|
1,469,179
|
(409,752
|
) | ||||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|||||||||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
2,780,204
|
(32,131
|
) |
(21,522
|
) | |||||||
Swap agreements
|
(779,534
|
) |
—
|
—
|
||||||||
Forward agreements
|
32,366,374
|
(57,456,395
|
) |
(31,741,312
|
) | |||||||
Short-term U.S. government and agency obligations
|
7,099
|
(1,203
|
) |
207
|
||||||||
Net realized gain (loss)
|
34,374,143
|
(57,489,729
|
) |
(31,762,627
|
) | |||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Futures contracts
|
5,383,813
|
339,136
|
28,960
|
|||||||||
Swap agreements
|
25,135,898
|
—
|
—
|
|||||||||
Forward agreements
|
(26,301,717
|
) |
4,566,383
|
42,711,523
|
||||||||
Short-term U.S. government and agency obligations
|
5,107
|
25,666
|
(28,112
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
4,223,101
|
4,931,185
|
42,712,371
|
|||||||||
Net realized and unrealized gain (loss)
|
38,597,244
|
(52,558,544
|
) |
10,949,744
|
||||||||
Net income (loss)
|
$ |
40,453,514
|
$ |
(51,089,365
|
) | $ |
10,539,992
|
|||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
201,824,376
|
$ |
258,244,696
|
$ |
275,779,940
|
||||||
Addition of
2,300,000
, 2,100,000 and 1,550,000 shares, respectively
|
62,741,459
|
56,650,169
|
50,514,699
|
|||||||||
Redemption of 2,400,000, 2,150,000 and 2,100,000 shares, respectively
|
(65,764,507
|
) |
(61,981,124
|
) |
(78,589,935
|
) | ||||||
Net addition (redemption) of (100,000), (50,000) and (550,000) shares, respectively
|
(3,023,048
|
) |
(5,330,955
|
) |
(28,075,236
|
) | ||||||
Net investment income (loss)
|
1,856,270
|
1,469,179
|
(409,752
|
) | ||||||||
Net realized gain (loss)
|
34,374,143
|
(57,489,729
|
) |
(31,762,627
|
) | |||||||
Change in net unrealized appreciation (depreciation)
|
4,223,101
|
4,931,185
|
42,712,371
|
|||||||||
Net income (loss)
|
40,453,514
|
(51,089,365
|
) |
10,539,992
|
||||||||
Shareholders’ equity, end of period
|
$ |
239,254,842
|
$ |
201,824,376
|
$ |
258,244,696
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
40,453,514
|
$ |
(51,089,365
|
) | $ |
10,539,992
|
|||||
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
|
(1,737,254,759
|
) |
(7,425,415,370
|
) |
(2,227,503,877
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
1,728,644,437
|
7,540,649,737
|
2,289,337,181
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(3,125,767
|
) |
(3,423,994
|
) |
(2,142,126
|
) | ||||||
Net realized gain (loss) on investments
|
(7,099
|
) |
1,203
|
(207
|
) | |||||||
Change in unrealized appreciation (depreciation) on investments
|
1,160,712
|
(4,592,049
|
) |
(42,683,411
|
) | |||||||
Decrease (Increase) in receivable on futures contracts
|
—
|
2,220
|
(2,220
|
) | ||||||||
Decrease (Increase) in interest receivable
|
(75,414
|
) |
(16,306
|
) |
—
|
|||||||
Increase (Decrease) in payable to Sponsor
|
26,984
|
(37,038
|
) |
(34,624
|
) | |||||||
Increase (Decrease) in payable on futures contracts
|
351,360
|
47,576
|
(2,290
|
) | ||||||||
Net cash provided by (used in) operating activities
|
30,173,968
|
56,126,614
|
27,508,418
|
|||||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
62,741,459
|
56,650,169
|
50,514,699
|
|||||||||
Payment on shares redeemed
|
(65,764,507
|
) |
(65,335,975
|
) |
(75,235,084
|
) | ||||||
Net cash provided by (used in) financing activities
|
(3,023,048
|
) |
(8,685,806
|
) |
(24,720,385
|
) | ||||||
Net increase (decrease) in cash
|
27,150,920
|
47,440,808
|
2,788,033
|
|||||||||
Cash, beginning of period
|
51,907,742
|
4,466,934
|
1,678,901
|
|||||||||
Cash, end of period
|
$ |
79,058,662
|
$ |
51,907,742
|
$ |
4,466,934
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $
179,736,532
and $–, respectively)
|
$ |
179,749,262
|
$ |
—
|
||||
Cash
|
179,318,928
|
104,967,557
|
||||||
Segregated cash balances with brokers for futures contracts
|
175,258,401
|
70,020,038
|
||||||
Segregated cash balances with brokers for swap agreements
|
6,984,000
|
27,933,000
|
||||||
Receivable from capital shares sold
|
87,500
|
8,149,949
|
||||||
Receivable on open futures contracts
|
20,666,579
|
11,407,017
|
||||||
Interest receivable
|
212,666
|
106,307
|
||||||
Total assets
|
562,277,336
|
222,583,868
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable on open futures contracts
|
34,019,820
|
6,745,146
|
||||||
Payable to Sponsor
|
411,729
|
202,902
|
||||||
Unrealized depreciation on swap agreements
|
209,784
|
1,330,949
|
||||||
Total liabilities
|
34,641,333
|
8,278,997
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
527,636,003
|
214,304,871
|
||||||
Total liabilities and shareholders’ equity
|
$ |
562,277,336
|
$ |
222,583,868
|
||||
Shares outstanding
|
41,630,912
|
2,630,912
|
||||||
Net asset value per share
|
$ |
12.67
|
$ |
81.46
|
||||
Market value per share (Note 2)
|
$ |
12.89
|
$ |
81.73
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
34
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.547% due 01/30/20
†
|
$ |
83,000,000
|
$ |
82,903,637
|
||||
1.462% due 02/06/20
†
|
50,000,000
|
49,927,325
|
||||||
1.618% due 02/13/20
†
|
47,000,000
|
46,918,300
|
||||||
Total short-term U.S. government and agency obligations
(cost $
179,736,532
)
|
|
$ |
179,749,262
|
|||||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
VIX Futures - C
boe
, expires January 2020
|
29,402
|
$ |
430,004,250
|
$ |
(44,377,309
|
) | ||||||
VIX Futures -
C
boe
, expires February 2020
|
20,358
|
338,451,750
|
(2,019,472
|
) | ||||||||
|
|
|
$ |
(46,396,781
|
) | |||||||
|
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
|
2.61
|
% |
01/29/20
|
$ |
23,078,793
|
$ |
(209,784
|
) | ||||||||
|
|
|
Total Unrealized
Depreciation |
$ |
(209,784
|
) | ||||||||||
†
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.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
VIX Futures - C
boe
, expires January 2019
|
5,932
|
$ |
143,406,100
|
$ |
33,798,582
|
|||||||
VIX Futures -
C
boe
, expires February 2019
|
4,746
|
105,717,150
|
(1,294,617
|
) | ||||||||
|
|
|
$ |
32,503,965
|
||||||||
|
Rate Paid
(Received)
*
|
|
Termination
Date |
|
Notional Amount
at Value
**
|
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||||
Swap agreement with Goldman Sachs International based on iPath S&P 500 VIX Short-Term Futures ETN IOPV
|
2.51
|
% |
01/26/19
|
$ |
72,301,516
|
$ |
(1,330,949
|
) | ||||||||
|
|
|
Total Unrealized
Depreciation |
$ |
(1,330,949
|
) | ||||||||||
^ | The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
* | Reflects the floating financing rate, as of December 31, 2018, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
7,903,309
|
$ |
3,853,146
|
$ |
3,040,059
|
||||||
Expenses
|
|
|
|
|||||||||
Management fee
|
4,819,171
|
3,966,185
|
3,960,999
|
|||||||||
Brokerage commissions
|
2,936,813
|
3,032,632
|
3,970,588
|
|||||||||
Brokerage fees
|
24,765
|
—
|
4,533
|
|||||||||
Non-recurring
fees and expenses
|
27,508
|
—
|
—
|
|||||||||
Total expenses
|
7,808,257
|
6,998,817
|
7,936,120
|
|||||||||
Net investment income (loss)
|
95,052
|
(3,145,671
|
) |
(4,896,061
|
) | |||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|||||||||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
(561,156,010
|
) |
379,449,269
|
(1,020,750,851
|
) | |||||||
Swap agreements
|
(51,702,622
|
) |
10,551,473
|
—
|
||||||||
Short-term U.S. government and agency obligations
|
18,591
|
(7,731
|
) |
(21,942
|
) | |||||||
Net realized gain (loss)
|
(612,840,041
|
) |
389,993,011
|
(1,020,772,793
|
) | |||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Futures contracts
|
(78,900,746
|
) |
66,970,085
|
(26,493,883
|
) | |||||||
Swap agreements
|
1,121,165
|
(1,330,949
|
) |
—
|
||||||||
Short-term U.S. government and agency obligations
|
12,730
|
13,265
|
(8,993
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
(77,766,851
|
) |
65,652,401
|
(26,502,876
|
) | |||||||
Net realized and unrealized gain (loss)
|
(690,606,892
|
) |
455,645,412
|
(1,047,275,669
|
) | |||||||
Net income (loss)
|
$ |
(690,511,840
|
) | $ |
452,499,741
|
$ |
(1,052,171,730
|
) | ||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
214,304,871
|
$ |
394,035,141
|
$ |
515,758,754
|
||||||
Addition of 83,750,000, 38,280,000 and 17,117,000 shares, respectively
|
2,454,259,697
|
2,228,542,993
|
2,602,989,881
|
|||||||||
Redemption of 44,750,000, 43,274,536 and 10,084,629 shares, respectively
|
(1,450,416,725
|
) |
(2,860,773,004
|
) |
(1,672,541,764
|
) | ||||||
Net addition (redemption) of 39,000,000, (
4,994,536
) and 7,032,371 shares, respectively
|
1,003,842,972
|
(632,230,011
|
) |
930,448,117
|
||||||||
Net investment income (loss)
|
95,052
|
(3,145,671
|
) |
(4,896,061
|
) | |||||||
Net realized gain (loss)
|
(612,840,041
|
) |
389,993,011
|
(1,020,772,793
|
) | |||||||
Change in net unrealized appreciation (depreciation)
|
(77,766,851
|
) |
65,652,401
|
(26,502,876
|
) | |||||||
Net income (loss)
|
(690,511,840
|
) |
452,499,741
|
(1,052,171,730
|
) | |||||||
Shareholders’ equity, end of period
|
$ |
527,636,003
|
$ |
214,304,871
|
$ |
394,035,141
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
(690,511,840
|
) | $ |
452,499,741
|
$ |
(1,052,171,730
|
) | ||||
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
|
(5,261,759,239
|
) |
(15,074,656,207
|
) |
(4,416,383,420
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
5,085,520,200
|
15,363,705,730
|
4,566,387,313
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(3,478,902
|
) |
(1,510,857
|
) |
(2,896,165
|
) | ||||||
Net realized gain (loss) on investments
|
(18,591
|
) |
7,731
|
21,942
|
||||||||
Change in unrealized appreciation (depreciation) on investments
|
(1,133,895
|
) |
1,317,684
|
8,993
|
||||||||
Decrease (Increase) in receivable on futures contracts
|
(9,259,562
|
) |
6,171,434
|
18,388,740
|
||||||||
Decrease (Increase) in interest receivable
|
(106,359
|
) |
(106,307
|
) |
—
|
|||||||
Increase (Decrease) in payable to Sponsor
|
208,827
|
(141,390
|
) |
(79,981
|
) | |||||||
Increase (Decrease) in payable on futures contracts
|
27,274,674
|
6,745,146
|
—
|
|||||||||
Net cash provided by (used in) operating activities
|
(853,264,687
|
) |
754,032,705
|
(886,724,308
|
) | |||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
2,462,322,146
|
2,220,909,974
|
2,602,472,951
|
|||||||||
Payment on shares redeemed
|
(1,450,416,725
|
) |
(2,860,773,004
|
) |
(1,709,331,303
|
) | ||||||
Net cash provided by (used in) financing activities
|
1,011,905,421
|
(639,863,030
|
) |
893,141,648
|
||||||||
Net increase (decrease) in cash
|
158,640,734
|
114,169,675
|
6,417,340
|
|||||||||
Cash, beginning of period
|
202,920,595
|
88,750,920
|
82,333,580
|
|||||||||
Cash, end of period
|
$ |
361,561,329
|
$ |
202,920,595
|
$ |
88,750,920
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $1,808,030 and $–, respectively)
|
$ |
1,808,104
|
$ |
—
|
||||
Cash
|
3,283,138
|
2,419,531
|
||||||
Segregated cash balances with brokers for foreign currency forward contracts
|
500,000
|
307,000
|
||||||
Unrealized appreciation on foreign currency forward contracts
|
—
|
179,187
|
||||||
Receivable from capital shares sold
|
—
|
2,846,576
|
||||||
Interest receivable
|
4,726
|
3,941
|
||||||
Total assets
|
5,595,968
|
5,756,235
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable to Sponsor
|
4,475
|
2,443
|
||||||
Unrealized depreciation on foreign currency forward contracts
|
10,529
|
2,076
|
||||||
Total liabilities
|
15,004
|
4,519
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
5,580,964
|
5,751,716
|
||||||
Total liabilities and shareholders’ equity
|
$ |
5,595,968
|
$ |
5,756,235
|
||||
Shares outstanding
|
99,970
|
99,970
|
||||||
Net asset value per share
|
$ |
55.83
|
$ |
57.53
|
||||
Market value per share (Note 2)
|
$ |
55.83
|
$ |
57.55
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
32
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.514% due 02/06/20
|
$ |
884,000
|
$ |
882,715
|
||||
1.519% due 02/13/20
|
927,000
|
925,389
|
||||||
Total short-term U.S. government and agency obligations
(cost $
1,808,030
)
|
|
$ |
1,808,104
|
|||||
|
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
|
01/10/20
|
325,804,302
|
$ |
2,999,073
|
$ |
(2,404
|
) | |||||||||
Yen with UBS AG
|
01/10/20
|
888,782,738
|
8,181,365
|
(7,841
|
) | |||||||||||
|
|
|
|
$ |
(10,245
|
) | ||||||||||
Contracts to Sell
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Yen with UBS AG
|
01/10/20
|
(6,892,531
|
) | $ |
(63,447
|
) | $ |
(284
|
) | |||||||
|
|
|
|
$ |
(284
|
) | ||||||||||
|
|
|
Total Unrealized
Depreciation |
$ |
(10,529
|
) | ||||||||||
^ | 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. |
^^ |
Rates shown represent discount rate at the time of purchase.
|
|
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
|
01/11/19
|
314,867,300
|
$ |
2,873,778
|
$ |
73,705
|
||||||||||
Yen with UBS AG
|
01/11/19
|
955,546,600
|
8,721,224
|
105,482
|
||||||||||||
|
|
|
Total Unrealized Appreciation
|
$ |
179,187
|
|||||||||||
Contracts to Sell
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Yen with UBS AG
|
01/11/19
|
(10,055,200
|
) | $ |
(91,773
|
) | $ |
(2,076
|
) | |||||||
|
|
|
Total Unrealized
Depreciation |
$ |
(2,076
|
) | ||||||||||
^ | The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
78,463
|
$ |
26,930
|
$ |
28,639
|
||||||
Expenses
|
|
|
|
|||||||||
Management fee
|
39,949
|
27,913
|
50,521
|
|||||||||
Total expenses
|
39,949
|
27,913
|
50,521
|
|||||||||
Net investment income (loss)
|
38,514
|
(983
|
) |
(21,882
|
) | |||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|||||||||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Foreign currency forward contracts
|
58,152
|
(170,364
|
) |
(46,195
|
) | |||||||
Short-term U.S. government and agency obligations
|
(162
|
) |
—
|
(83
|
) | |||||||
Net realized gain (loss)
|
57,990
|
(170,364
|
) |
(46,278
|
) | |||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Foreign currency forward contracts
|
(187,640
|
) |
211,935
|
307,252
|
||||||||
Short-term U.S. government and agency obligations
|
74
|
283
|
(58
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
(187,566
|
) |
212,218
|
307,194
|
||||||||
Net realized and unrealized gain (loss)
|
(129,576
|
) |
41,854
|
260,916
|
||||||||
Net income (loss)
|
$ |
(91,062
|
) | $ |
40,871
|
$ |
239,034
|
|||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
5,751,716
|
$ |
2,864,269
|
$ |
5,540,957
|
||||||
Addition of 200,000, 50,000 and – shares, respectively
|
11,322,305
|
2,846,576
|
—
|
|||||||||
Redemption of 200,000, – and 50,000 shares, respectively
|
(11,401,995
|
) |
—
|
(2,915,722
|
) | |||||||
Net addition (redemption) of –, 50,000 and (50,000) shares, respectively
|
(79,690
|
) |
2,846,576
|
(2,915,722
|
) | |||||||
Net investment income (loss)
|
38,514
|
(983
|
) |
(21,882
|
) | |||||||
Net realized gain (loss)
|
57,990
|
(170,364
|
) |
(46,278
|
) | |||||||
Change in net unrealized appreciation (depreciation)
|
(187,566
|
) |
212,218
|
307,194
|
||||||||
Net income (loss)
|
(91,062
|
) |
40,871
|
239,034
|
||||||||
Shareholders’ equity, end of period
|
$ |
5,580,964
|
$ |
5,751,716
|
$ |
2,864,269
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
(91,062
|
) | $ |
40,871
|
$ |
239,034
|
|||||
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
|
(42,675,552
|
) |
(41,486,414
|
) |
(16,968,159
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
40,888,736
|
43,500,000
|
20,281,603
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(21,376
|
) |
(15,370
|
) |
(28,639
|
) | ||||||
Net realized gain (loss) on investments
|
162
|
—
|
83
|
|||||||||
Change in unrealized appreciation (depreciation) on investments
|
187,566
|
(212,218
|
) |
(307,194
|
) | |||||||
Decrease (Increase) in interest receivable
|
(785
|
) |
(3,941
|
) |
—
|
|||||||
Increase (Decrease) in payable to Sponsor
|
2,032
|
131
|
(2,225
|
) | ||||||||
Net cash provided by (used in) operating activities
|
(1,710,279
|
) |
1,823,059
|
3,214,503
|
||||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
14,168,881
|
—
|
—
|
|||||||||
Payment on shares redeemed
|
(11,401,995
|
) |
—
|
(2,915,722
|
) | |||||||
Net cash provided by (used in) financing activities
|
2,766,886
|
—
|
(2,915,722
|
) | ||||||||
Net increase (decrease) in cash
|
1,056,607
|
1,823,059
|
298,781
|
|||||||||
Cash, beginning of period
|
2,726,531
|
903,472
|
604,691
|
|||||||||
Cash, end of period
|
$ |
3,783,138
|
$ |
2,726,531
|
$ |
903,472
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $47,190,714 and $20,979,000, respectively)
|
$ |
47,193,110
|
$ |
20,979,876
|
||||
Cash
|
12,393,273
|
38,690,241
|
||||||
Segregated cash balances with brokers for futures contracts
|
13,388,080
|
24,892,125
|
||||||
Receivable from capital shares sold
|
—
|
2,597,148
|
||||||
Receivable on open futures contracts
|
—
|
551,842
|
||||||
Interest receivable
|
25,542
|
17,308
|
||||||
Total assets
|
73,000,005
|
87,728,540
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable on open futures contracts
|
2,075,764
|
—
|
||||||
Payable to Sponsor
|
64,912
|
61,498
|
||||||
Total liabilities
|
2,140,676
|
61,498
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
70,859,329
|
87,667,042
|
||||||
Total liabilities and shareholders’ equity
|
$ |
73,000,005
|
$ |
87,728,540
|
||||
Shares outstanding
|
3,300,000
|
6,700,000
|
||||||
Net asset value per share
|
$ |
21.47
|
$ |
13.08
|
||||
Market value per share (Note 2)
|
$ |
21.60
|
$ |
13.47
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
67
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607% due 01/09/20
|
$ |
9,000,000
|
$ |
8,997,585
|
||||
1.547% due 01/30/20
|
13,000,000
|
12,984,908
|
||||||
1.514% due 02/06/20
|
12,328,000
|
12,310,081
|
||||||
1.519% due 02/13/20
|
12,923,000
|
12,900,536
|
||||||
Total short-term U.S. government and agency obligations
(cost $47,190,714) |
|
$ |
47,193,110
|
|||||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
WTI Crude Oil - NYMEX, expires March 2020
|
3,498
|
$ |
212,573,460
|
$ |
7,266,550
|
^^ |
Rates shown represent discount rate at the time of purchase.
|
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
24
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
2.342% due 01/17/19
|
$ |
21,000,000
|
$ |
20,979,876
|
||||
Total short-term U.S. government and agency obligations
(cost $20,979,000) |
|
$ |
20,979,876
|
|||||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
WTI Crude Oil - NYMEX, expires March 2019
|
5,751
|
$ |
262,935,720
|
$ |
(23,451,361
|
) |
^^ |
Rates shown represent discount rate at the time of purchase.
|
|
Year Ended December 31,
|
January 13, 2017
(Inception) through December 31, 2017 |
|
|||||||||
2019
|
|
2018
|
|
|||||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
2,114,130
|
$ |
351,928
|
$ |
9,696
|
||||||
Expenses
|
|
|
|
|||||||||
Management fee
|
1,049,564
|
277,762
|
—
|
|||||||||
Brokerage commissions
|
334,485
|
86,561
|
34,408
|
|||||||||
Brokerage fees
|
—
|
—
|
67
|
|||||||||
Offering costs
|
—
|
52,846
|
119,081
|
|||||||||
Limitation by Sponsor
|
—
|
(26,957
|
) |
(24,342
|
) | |||||||
Total expenses
|
1,384,049
|
390,212
|
129,214
|
|||||||||
Net investment income (loss)
|
730,081
|
(38,284
|
) |
(119,518
|
) | |||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|||||||||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
69,170,933
|
(37,435,672
|
) |
6,018,618
|
||||||||
Short-term U.S. government and agency obligations
|
7,318
|
—
|
—
|
|||||||||
Net realized gain (loss)
|
69,178,251
|
(37,435,672
|
) |
6,018,618
|
||||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Futures contracts
|
30,717,911
|
(24,869,359
|
) |
1,417,998
|
||||||||
Short-term U.S. government and agency obligations
|
1,520
|
876
|
—
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
30,719,431
|
(24,868,483
|
) |
1,417,998
|
||||||||
Net realized and unrealized gain (loss)
|
99,897,682
|
(62,304,155
|
) |
7,436,616
|
||||||||
Net income (loss)
|
$ |
100,627,763
|
$ |
(62,342,439
|
) | $ |
7,317,098
|
|||||
|
Year Ended December 31,
|
January 13, 2017
(Inception) through December 31, 2017 |
|
|||||||||
2019
|
|
2018
|
|
|||||||||
Shareholders’ equity, beginning of period
|
$ |
87,667,042
|
$ |
11,335,483
|
$ |
—
|
||||||
Addition of 15,150,000, 7,250,000 and 1,750,008 shares, respectively
|
251,308,636
|
186,003,485
|
40,659,738
|
|||||||||
Redemption of 18,550,000, 850,008 and 1,450,000 shares, respectively
|
(368,744,112
|
) |
(47,329,487
|
) |
(36,641,353
|
) | ||||||
Net addition (redemption) of (3,400,000), 6,399,992 and 300,008 shares, respectively
|
(117,435,476
|
) |
138,673,998
|
4,018,385
|
||||||||
Net investment income (loss)
|
730,081
|
(38,284
|
) |
(119,518
|
) | |||||||
Net realized gain (loss)
|
69,178,251
|
(37,435,672
|
) |
6,018,618
|
||||||||
Change in net unrealized appreciation (depreciation)
|
30,719,431
|
(24,868,483
|
) |
1,417,998
|
||||||||
Net income (loss)
|
100,627,763
|
(62,342,439
|
) |
7,317,098
|
||||||||
Shareholders’ equity, end of period
|
$ |
70,859,329
|
$ |
87,667,042
|
$ |
11,335,483
|
||||||
|
Year Ended December 31,
|
January 13, 2017
(Inception) through December 31, 2017 |
|
|||||||||
2019
|
|
2018
|
|
|||||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
100,627,763
|
$ |
(62,342,439
|
) | $ |
7,317,098
|
|||||
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
|
(1,874,262,579
|
) |
(2,621,719,773
|
) |
—
|
|||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
1,849,526,465
|
2,601,000,000
|
—
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(1,468,282
|
) |
(259,227
|
) |
—
|
|||||||
Net realized gain (loss) on investments
|
(7,318
|
) |
—
|
—
|
||||||||
Change in unrealized appreciation (depreciation) on investments
|
(1,520
|
) |
(876
|
) |
—
|
|||||||
Decrease (Increase) in receivable on futures contracts
|
551,842
|
(262,447
|
) |
(289,395
|
) | |||||||
Decrease (Increase) in receivable in Limitation by Sponsor
|
—
|
24,342
|
(24,342
|
) | ||||||||
Decrease (Increase) in interest receivable
|
(8,234
|
) |
(17,308
|
) |
—
|
|||||||
Cash paid for offering costs
|
—
|
—
|
(171,927
|
) | ||||||||
Amortization of offering costs
|
—
|
52,846
|
119,081
|
|||||||||
Increase (Decrease) in payable to Sponsor
|
3,414
|
61,498
|
—
|
|||||||||
Increase (Decrease) in payable on futures contracts
|
2,075,764
|
—
|
—
|
|||||||||
Net cash provided by (used in) operating activities
|
77,037,315
|
(83,463,384
|
) |
6,950,515
|
||||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
253,905,784
|
183,406,337
|
40,659,738
|
|||||||||
Payment on shares redeemed
|
(368,744,112
|
) |
(47,329,487
|
) |
(36,641,353
|
) | ||||||
Net cash provided by (used in) financing activities
|
(114,838,328
|
) |
136,076,850
|
4,018,385
|
||||||||
Net increase (decrease) in cash
|
(37,801,013
|
) |
52,613,466
|
10,968,900
|
||||||||
Cash, beginning of period
|
63,582,366
|
10,968,900
|
—
|
|||||||||
Cash, end of period
|
$ |
25,781,353
|
$ |
63,582,366
|
$ |
10,968,900
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $
57,372,196
and $–, respectively)
|
$ |
57,375,132
|
$ |
—
|
||||
Cash
|
14,418,802
|
13,456,117
|
||||||
Segregated cash balances with brokers for futures contracts
|
17,524,681
|
5,303,112
|
||||||
Securities sold receivable
|
3,883
|
—
|
||||||
Receivable on open futures contracts
|
2,120,078
|
—
|
||||||
Interest receivable
|
20,691
|
13,748
|
||||||
Total assets
|
91,463,267
|
18,772,977
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable on open futures contracts
|
—
|
89,382
|
||||||
Payable to Sponsor
|
74,120
|
18,496
|
||||||
Total liabilities
|
74,120
|
107,878
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
91,389,147
|
18,665,099
|
||||||
Total liabilities and shareholders’ equity
|
$ |
91,463,267
|
$ |
18,772,977
|
||||
Shares outstanding
|
8,574,906
|
374,906
|
||||||
Net asset value per share
|
$ |
10.66
|
$ |
49.79
|
||||
Market value per share (Note 2)
|
$ |
10.58
|
$ |
48.43
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
63
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607% due 01/09/20
|
$ |
13,000,000
|
$ |
12,996,512
|
||||
1.547% due 01/30/20
|
13,000,000
|
12,984,907
|
||||||
1.514% due 02/06/20
|
15,352,000
|
15,329,686
|
||||||
1.519% due 02/13/20
|
16,092,000
|
16,064,027
|
||||||
Total short-term U.S. government and agency obligations
(cost $
57,372,196
)
|
|
$ |
57,375,132
|
|||||
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
WTI Crude Oil - NYMEX, expires March 2020
|
4,511
|
$ |
274,133,470
|
$ |
(8,358,056
|
) |
^^ |
Rates shown represent discount rate at the time of purchase.
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
WTI Crude Oil - NYMEX, expires March 2019
|
1,225
|
$ |
56,007,000
|
$ |
7,019,475
|
|
Year Ended December 31,
|
January 13, 2017
(Inception) through December 31, 2017 |
|
|||||||||
2019
|
|
2018
|
|
|||||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
562,435
|
$ |
190,658
|
$ |
5,930
|
||||||
Expenses
|
|
|
|
|||||||||
Management fee
|
312,430
|
176,390
|
—
|
|||||||||
Brokerage commissions
|
146,608
|
70,338
|
32,624
|
|||||||||
Brokerage fees
|
—
|
—
|
135
|
|||||||||
Offering costs
|
—
|
52,797
|
119,070
|
|||||||||
Limitation by Sponsor
|
—
|
(176
|
) |
(35,309
|
) | |||||||
Total expenses
|
459,038
|
299,349
|
116,520
|
|||||||||
Net investment income (loss)
|
103,397
|
(108,691
|
) |
(110,590
|
) | |||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|||||||||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
(2,410,550
|
) |
7,377,281
|
(7,046,628
|
) | |||||||
Short-term U.S. government and agency obligations
|
6,030
|
—
|
—
|
|||||||||
Net realized gain (loss)
|
(2,404,520
|
) |
7,377,281
|
(7,046,628
|
) | |||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Futures contracts
|
(15,377,531
|
) |
10,007,630
|
(2,988,155
|
) | |||||||
Short-term U.S. government and agency obligations
|
2,936
|
—
|
—
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
(15,374,595
|
) |
10,007,630
|
(2,988,155
|
) | |||||||
Net realized and unrealized gain (loss)
|
(17,779,115
|
) |
17,384,911
|
(10,034,783
|
) | |||||||
Net income (loss)
|
$ |
(17,675,718
|
) | $ |
17,276,220
|
$ |
(10,145,373
|
) | ||||
|
Year Ended December 31,
|
January 13, 2017
(Inception) through December 31, 2017 |
|
|||||||||
2019
|
|
2018
|
|
|||||||||
Shareholders’ equity, beginning of period
|
$ |
18,665,099
|
$ |
21,161,176
|
$ |
–
|
||||||
Addition of 20,600,000, 2,637,500 and 575,002 shares, respectively
|
304,935,397
|
62,030,238
|
38,429,372
|
|||||||||
Redemption of 12,400,000, 2,762,596 and 75,000 shares, respectively
|
(214,535,631
|
) |
(81,802,535
|
) |
(7,122,823
|
) | ||||||
Net addition (redemption) of
8,200,000
, (
125,096
) and
500,002
shares, respectively
|
90,399,766
|
(19,772,297
|
) |
31,306,549
|
||||||||
Net investment income (loss)
|
103,397
|
(108,691
|
) |
(110,590
|
) | |||||||
Net realized gain (loss)
|
(2,404,520
|
) |
7,377,281
|
(7,046,628
|
) | |||||||
Change in net unrealized appreciation (depreciation)
|
(15,374,595
|
) |
10,007,630
|
(2,988,155
|
) | |||||||
Net income (loss)
|
(17,675,718
|
) |
17,276,220
|
(10,145,373
|
) | |||||||
Shareholders’ equity, end of period
|
$ |
91,389,147
|
$ |
18,665,099
|
$ |
21,161,176
|
||||||
|
Year Ended December 31,
|
January 13, 2017
(Inception) through December 31, 2017 |
|
|||||||||
2019
|
|
2018
|
|
|||||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
(17,675,718
|
) | $ |
17,276,220
|
$ |
(10,145,373
|
) | ||||
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
|
(450,571,483
|
) |
(1,258,898,672
|
) |
—
|
|||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
393,485,809
|
1,259,000,000
|
—
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(280,492
|
) |
(101,328
|
) |
—
|
|||||||
Net realized gain (loss) on investments
|
(6,030
|
) |
—
|
—
|
||||||||
Change in unrealized appreciation (depreciation) on investments
|
(2,936
|
) |
—
|
—
|
||||||||
Decrease (Increase) in securities sold receivable
|
(3,883
|
) |
—
|
—
|
||||||||
Decrease (Increase) in receivable on futures contracts
|
(2,120,078
|
) |
—
|
—
|
||||||||
Decrease (Increase) in receivable in Limitation by Sponsor
|
—
|
35,309
|
(35,309
|
) | ||||||||
Decrease (Increase) in interest receivable
|
(6,943
|
) |
(13,748
|
) |
—
|
|||||||
Cash paid for offering costs
|
—
|
—
|
(171,867
|
) | ||||||||
Amortization of offering costs
|
—
|
52,797
|
119,070
|
|||||||||
Increase (Decrease) in payable to Sponsor
|
55,624
|
18,496
|
—
|
|||||||||
Increase (Decrease) in payable on futures contracts
|
(89,382
|
) |
(437,716
|
) |
527,098
|
|||||||
Net cash provided by (used in) operating activities
|
(77,215,512
|
) |
16,931,358
|
(9,706,381
|
) | |||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
304,935,397
|
62,030,238
|
38,429,372
|
|||||||||
Payment on shares redeemed
|
(214,535,631
|
) |
(81,802,535
|
) |
(7,122,823
|
) | ||||||
Net cash provided by (used in) financing activities
|
90,399,766
|
(19,772,297
|
) |
31,306,549
|
||||||||
Net increase (decrease) in cash
|
13,184,254
|
(2,840,939
|
) |
21,600,168
|
||||||||
Cash, beginning of period
|
18,759,229
|
21,600,168
|
—
|
|||||||||
Cash, end of period
|
$ |
31,943,483
|
$ |
18,759,229
|
$ |
21,600,168
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $
3,931,268
and $
299,548
, respectively)
|
$ |
3,931,474
|
$ |
299,537
|
||||
Cash
|
1,506,673
|
10,321,256
|
||||||
Segregated cash balances with brokers for futures contracts
|
211,200
|
433,125
|
||||||
Receivable on open futures contracts
|
—
|
6,300
|
||||||
Interest receivable
|
1,707
|
8,475
|
||||||
Total assets
|
5,651,054
|
11,068,693
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable on open futures contracts
|
37,725
|
—
|
||||||
Payable to Sponsor
|
4,717
|
8,360
|
||||||
Total liabilities
|
42,442
|
8,360
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
5,608,612
|
11,060,333
|
||||||
Total liabilities and shareholders’ equity
|
$ |
5,651,054
|
$ |
11,068,693
|
||||
Shares outstanding
|
100,000
|
200,000
|
||||||
Net asset value per share
|
$ |
56.09
|
$ |
55.30
|
||||
Market value per share (Note 2)
|
$ |
55.88
|
$ |
54.92
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
70
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607% due 01/09/20
|
$ |
1,000,000
|
$ |
999,732
|
||||
1.547% due 01/30/20
|
1,000,000
|
998,839
|
||||||
1.514% due 02/06/20
|
945,000
|
943,626
|
||||||
1.519% due 02/13/20
|
991,000
|
989,277
|
||||||
Total short-term U.S. government and agency obligations
(cost $
3,931,268
)
|
|
$ |
3,931,474
|
|||||
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Australian Dollar Fx Currency Futures - CME, expires March 2020
|
160
|
$ |
11,260,800
|
$ |
(224,000
|
) |
^^ |
Rates shown represent discount rate at the time of purchase.
|
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
3
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.884% due 01/17/19
|
$ |
100,000
|
$ |
99,904
|
||||
1.924% due 01/31/19
|
200,000
|
199,633
|
||||||
Total short-term U.S. government and agency obligations
(cost $
299,548
)
|
|
$ |
299,537
|
|||||
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Australian Dollar Fx Currency Futures - CME, expires March 2019
|
315
|
$ |
22,213,800
|
$ |
511,825
|
^^ |
Rates shown represent discount rate at the time of purchase
.
|
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
159,039
|
$ |
119,098
|
$ |
85,306
|
||||||
Expenses
|
|
|
|
|||||||||
Management fee
|
72,858
|
75,944
|
123,234
|
|||||||||
Brokerage commissions
|
5,856
|
6,408
|
8,846
|
|||||||||
Total expenses
|
78,714
|
82,352
|
132,080
|
|||||||||
Net investment income (loss)
|
80,325
|
36,746
|
(46,774
|
) | ||||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|||||||||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
833,171
|
128,451
|
(866,771
|
) | ||||||||
Short-term U.S. government and agency obligations
|
28
|
(247
|
) |
(178
|
) | |||||||
Net realized gain (loss)
|
833,199
|
128,204
|
(866,949
|
) | ||||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Futures contracts
|
(735,825
|
) |
1,405,045
|
(2,075,560
|
) | |||||||
Short-term U.S. government and agency obligations
|
217
|
983
|
(718
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
(735,608
|
) |
1,406,028
|
(2,076,278
|
) | |||||||
Net realized and unrealized gain (loss)
|
97,591
|
1,534,232
|
(2,943,227
|
) | ||||||||
Net income (loss)
|
$ |
177,916
|
$ |
1,570,978
|
$ |
(2,990,001
|
) | |||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
11,060,333
|
$ |
13,702,102
|
$ |
16,613,473
|
||||||
Addition of 50,000, 100,000 and 100,000 shares, respectively
|
3,004,977
|
5,028,505
|
4,801,797
|
|||||||||
Redemption of 150,000, 200,000 and 100,000 shares, respectively
|
(8,634,614
|
) |
(9,241,252
|
) |
(4,723,167
|
) | ||||||
Net addition (redemption) of (
100,000
), (
100,000
) and – shares, respectively
|
(5,629,637
|
) |
(4,212,747
|
) |
78,630
|
|||||||
Net investment income (loss)
|
80,325
|
36,746
|
(46,774
|
) | ||||||||
Net realized gain (loss)
|
833,199
|
128,204
|
(866,949
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
(735,608
|
) |
1,406,028
|
(2,076,278
|
) | |||||||
Net income (loss)
|
177,916
|
1,570,978
|
(2,990,001
|
) | ||||||||
Shareholders’ equity, end of period
|
$ |
5,608,612
|
$ |
11,060,333
|
$ |
13,702,102
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
177,916
|
$ |
1,570,978
|
$ |
(2,990,001
|
) | |||||
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
|
(132,612,765
|
) |
(304,025,708
|
) |
(88,399,815
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
129,028,715
|
315,798,003
|
89,408,839
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(47,642
|
) |
(87,192
|
) |
(84,205
|
) | ||||||
Net realized gain (loss) on investments
|
(28
|
) |
247
|
178
|
||||||||
Change in unrealized appreciation (depreciation) on investments
|
(217
|
) |
(983
|
) |
718
|
|||||||
Decrease (Increase) in receivable on futures contracts
|
6,300
|
(6,300
|
) |
—
|
||||||||
Decrease (Increase) in interest receivable
|
6,768
|
(8,475
|
) |
—
|
||||||||
Increase (Decrease) in payable to Sponsor
|
(3,643
|
) |
(2,889
|
) |
(1,706
|
) | ||||||
Increase (Decrease) in payable on futures contracts
|
37,725
|
(52,950
|
) |
20,610
|
||||||||
Net cash provided by (used in) operating activities
|
(3,406,871
|
) |
13,184,731
|
(2,045,382
|
) | |||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
3,004,977
|
5,028,505
|
4,801,797
|
|||||||||
Payment on shares redeemed
|
(8,634,614
|
) |
(9,241,252
|
) |
(4,723,167
|
) | ||||||
Net cash provided by (used in) financing activities
|
(5,629,637
|
) |
(4,212,747
|
) |
78,630
|
|||||||
Net increase (decrease) in cash
|
(9,036,508
|
) |
8,971,984
|
(1,966,752
|
) | |||||||
Cash, beginning of period
|
10,754,381
|
1,782,397
|
3,749,149
|
|||||||||
Cash, end of period
|
$ |
1,717,873
|
$ |
10,754,381
|
$ |
1,782,397
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $
62,196,121
and $
27,967,127
, respectively)
|
$ |
62,199,283
|
$ |
27,967,534
|
||||
Cash
|
50,856,757
|
22,869,986
|
||||||
Segregated cash balances with brokers for futures contracts
|
7,239,420
|
2,746,147
|
||||||
Segregated cash balances with brokers for swap agreements
|
3,813,000
|
14,356,000
|
||||||
Unrealized appreciation on swap agreements
|
—
|
20,646,726
|
||||||
Receivable from capital shares sold
|
4,267,015
|
25,458,885
|
||||||
Receivable on open futures contracts
|
1,144,404
|
432,627
|
||||||
Interest receivable
|
54,165
|
36,428
|
||||||
Total assets
|
129,574,044
|
114,514,333
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable on open futures contracts
|
—
|
48,600
|
||||||
Payable to Sponsor
|
88,432
|
88,422
|
||||||
Unrealized depreciation on swap agreements
|
4,033,931
|
—
|
||||||
Total liabilities
|
4,122,363
|
137,022
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
125,451,681
|
114,377,311
|
||||||
Total liabilities and shareholders’ equity
|
$ |
129,574,044
|
$ |
114,514,333
|
||||
Shares outstanding
|
10,289,884
|
3,839,884
|
||||||
Net asset value per share
|
$ |
12.19
|
$ |
29.79
|
||||
Market value per share (Note 2)
|
$ |
12.15
|
$ |
29.28
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
50
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607% due 01/09/20
|
$ |
13,000,000
|
$ |
12,996,512
|
||||
1.547% due 01/30/20
†
|
15,000,000
|
14,982,585
|
||||||
1.514% due 02/06/20
|
16,734,000
|
16,709,677
|
||||||
1.519% due 02/13/20
†
|
17,541,000
|
17,510,509
|
||||||
Total short-term U.S. government and agency obligations
(cost $
62,196,121
)
|
|
$ |
62,199,283
|
|||||
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
WTI Crude Oil - NYMEX, expires March 2020
|
1,864
|
$ |
113,275,280
|
$ |
(3,118,689
|
) |
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
|
0.18
|
% |
01/06/20
|
$ |
(39,727,981
|
) | $ |
(1,401,797
|
) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
|
0.25
|
01/06/20
|
(37,407,865
|
) |
(793,395
|
) | ||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex
|
0.23
|
01/06/20
|
(31,487,418
|
) |
(815,341
|
) | ||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex
|
0.25
|
01/06/20
|
(9,213,127
|
) |
(325,459
|
) | ||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex
|
0.25
|
01/06/20
|
(19,757,339
|
) |
(697,939
|
) | ||||||||||
|
|
|
Total Unrealized
Depreciation |
$ |
(4,033,931
|
) | ||||||||||
†
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.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
24
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607% due 01/03/19
†
|
$ |
5,000,000
|
$ |
4,999,692
|
||||
2.212% due 01/17/19
†
|
15,000,000
|
14,985,625
|
||||||
1.898% due 01/31/19
†
|
5,000,000
|
4,990,817
|
||||||
2.427% due 02/14/19
|
3,000,000
|
2,991,400
|
||||||
Total short-term U.S. government and agency obligations
(cost $
27,967,127
)
|
|
$ |
27,967,534
|
|||||
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
WTI Crude Oil - NYMEX, expires March 2019
|
641
|
$ |
29,306,520
|
$ |
3,272,155
|
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
|
0.18
|
% |
01/07/19
|
$ |
(67,986,223
|
) | $ |
8,336,367
|
||||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
|
0.25
|
01/07/19
|
(43,744,157
|
) |
2,752,372
|
|||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex
|
0.23
|
01/07/19
|
(31,327,722
|
) |
4,237,960
|
|||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex
|
0.25
|
01/07/19
|
(13,980,566
|
) |
1,891,050
|
|||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex
|
0.25
|
01/07/19
|
(42,493,832
|
) |
3,428,977
|
|||||||||||
|
|
|
Total Unrealized
Appreciation |
$ |
20,646,726
|
|||||||||||
†
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of December 31, 2018, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
1,570,676
|
$ |
2,758,399
|
$ |
1,661,295
|
||||||
Expenses
|
|
|
|
|||||||||
Management fee
|
769,401
|
1,663,576
|
1,934,688
|
|||||||||
Brokerage commissions
|
91,476
|
56,193
|
82,258
|
|||||||||
Total expenses
|
860,877
|
1,719,769
|
2,016,946
|
|||||||||
Net investment income (loss)
|
709,799
|
1,038,630
|
(355,651
|
) | ||||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|||||||||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
(13,850,702
|
) |
(3,836,970
|
) |
(599,457
|
) | ||||||
Swap agreements
|
(400,998
|
) |
(38,203,116
|
) |
(5,891,603
|
) | ||||||
Short-term U.S. government and agency obligations
|
4,244
|
103
|
(448
|
) | ||||||||
Net realized gain (loss)
|
(14,247,456
|
) |
(42,039,983
|
) |
(6,491,508
|
) | ||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Futures contracts
|
(6,390,844
|
) |
7,234,803
|
(2,535,833
|
) | |||||||
Swap agreements
|
(24,680,657
|
) |
51,253,868
|
(18,400,261
|
) | |||||||
Short-term U.S. government and agency obligations
|
2,755
|
22,739
|
(21,889
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
(31,068,746
|
) |
58,511,410
|
(20,957,983
|
) | |||||||
Net realized and unrealized gain (loss)
|
(45,316,202
|
) |
16,471,427
|
(27,449,491
|
) | |||||||
Net income (loss)
|
$ |
(44,606,403
|
) | $ |
17,510,057
|
$ |
(27,805,142
|
) | ||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
114,377,311
|
$ |
225,843,284
|
$ |
200,958,303
|
||||||
Addition of 25,950,000, 13,300,000 and 14,500,000 shares, respectively
|
397,696,425
|
247,024,351
|
510,910,744
|
|||||||||
Redemption of 19,500,000, 18,750,000 and 11,550,000 shares, respectively
|
(342,015,652
|
) |
(376,000,381
|
) |
(458,220,621
|
) | ||||||
Net addition (redemption) of 6,450,000, (
5,450,000
) and
2,950,000
shares, respectively
|
55,680,773
|
(128,976,030
|
) |
52,690,123
|
||||||||
Net investment income (loss)
|
709,799
|
1,038,630
|
(355,651
|
) | ||||||||
Net realized gain (loss)
|
(14,247,456
|
) |
(42,039,983
|
) |
(6,491,508
|
) | ||||||
Change in net unrealized appreciation (depreciation)
|
(31,068,746
|
) |
58,511,410
|
(20,957,983
|
) | |||||||
Net income (loss)
|
(44,606,403
|
) |
17,510,057
|
(27,805,142
|
) | |||||||
Shareholders’ equity, end of period
|
$ |
125,451,681
|
$ |
114,377,311
|
$ |
225,843,284
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
(44,606,403
|
) | $ |
17,510,057
|
$ |
(27,805,142
|
) | ||||
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
|
(1,412,477,845
|
) |
(6,792,763,547
|
) |
(2,520,968,339
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
1,379,275,846
|
7,020,979,617
|
2,474,635,036
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(1,022,751
|
) |
(2,513,939
|
) |
(1,641,472
|
) | ||||||
Net realized gain (loss) on investments
|
(4,244
|
) |
(103
|
) |
448
|
|||||||
Change in unrealized appreciation (depreciation) on investments
|
24,677,902
|
(51,276,607
|
) |
18,422,150
|
||||||||
Decrease (Increase) in receivable on futures contracts
|
(711,777
|
) |
(432,627
|
) |
—
|
|||||||
Decrease (Increase) in interest receivable
|
(17,737
|
) |
(36,428
|
) |
—
|
|||||||
Increase (Decrease) in payable to Sponsor
|
10
|
(102,279
|
) |
27,810
|
||||||||
Increase (Decrease) in payable on futures contracts
|
(48,600
|
) |
(645,187
|
) |
680,185
|
|||||||
Net cash provided by (used in) operating activities
|
(54,935,599
|
) |
190,718,957
|
(56,649,324
|
) | |||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
418,888,295
|
221,565,466
|
510,910,744
|
|||||||||
Payment on shares redeemed
|
(342,015,652
|
) |
(376,000,381
|
) |
(458,220,621
|
) | ||||||
Net cash provided by (used in) financing activities
|
76,872,643
|
(154,434,915
|
) |
52,690,123
|
||||||||
Net increase (decrease) in cash
|
21,937,044
|
36,284,042
|
(3,959,201
|
) | ||||||||
Cash, beginning of period
|
39,972,133
|
3,688,091
|
7,647,292
|
|||||||||
Cash, end of period
|
$ |
61,909,177
|
$ |
39,972,133
|
$ |
3,688,091
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $
5,154,603
and $
299,715
, respectively)
|
$ |
5,154,876
|
$ |
299,714
|
||||
Cash
|
4,438,331
|
11,046,280
|
||||||
Segregated cash balances with brokers for futures contracts
|
2,932,560
|
7,709,942
|
||||||
Receivable on open futures contracts
|
—
|
3,096,239
|
||||||
Interest receivable
|
6,522
|
11,379
|
||||||
Total assets
|
12,532,289
|
22,163,554
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable for capital shares redeemed
|
—
|
4,321,588
|
||||||
Payable on open futures contracts
|
6,826
|
—
|
||||||
Payable to Sponsor
|
9,860
|
16,525
|
||||||
Total liabilities
|
16,686
|
4,338,113
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
12,515,603
|
17,825,441
|
||||||
Total liabilities and shareholders’ equity
|
$ |
12,532,289
|
$ |
22,163,554
|
||||
Shares outstanding
|
324,832
|
824,832
|
||||||
Net asset value per share
|
$ |
38.53
|
$ |
21.61
|
||||
Market value per share (Note 2)
|
$ |
38.82
|
$ |
21.22
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
41
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.629% due 01/09/20
|
$ |
1,600,000
|
$ |
1,599,571
|
||||
1.514% due 02/06/20
|
1,739,000
|
1,736,472
|
||||||
1.519% due 02/13/20
|
1,822,000
|
1,818,833
|
||||||
Total short-term U.S. government and agency obligations
(cost $
5,154,603
)
|
|
$ |
5,154,876
|
|||||
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Natural Gas - NYMEX, expires March 2020
|
1,160
|
$ |
25,032,800
|
$ |
672,329
|
^^ |
Rates shown represent discount rate at the time of purchase.
|
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
2
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.635% due 01/03/19
|
$ |
100,000
|
$ |
99,994
|
||||
1.884% due 01/17/19
|
100,000
|
99,904
|
||||||
1.924% due 01/31/19
|
100,000
|
99,816
|
||||||
Total short-term U.S. government and agency obligations
(cost $
299,715
)
|
|
$ |
299,714
|
|||||
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Natural Gas - NYMEX, expires March 2019
|
1,250
|
$ |
35,637,500
|
$ |
10,837,989
|
^^ |
Rates shown represent discount rate at the time of purchase.
|
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
167,939
|
$ |
121,027
|
$ |
38,651
|
||||||
Expenses
|
|
|
|
|||||||||
Management fee
|
83,978
|
84,418
|
63,534
|
|||||||||
Brokerage commissions
|
54,544
|
41,063
|
29,529
|
|||||||||
Brokerage fees
|
—
|
—
|
39
|
|||||||||
Total expenses
|
138,522
|
125,481
|
93,102
|
|||||||||
Net investment income (loss)
|
29,417
|
(4,454
|
) |
(54,451
|
) | |||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|||||||||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
19,286,567
|
(14,147,964
|
) |
4,762,532
|
||||||||
Short-term U.S. government and agency obligations
|
—
|
—
|
(783
|
) | ||||||||
Net realized gain (loss)
|
19,286,567
|
(14,147,964
|
) |
4,761,749
|
||||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Futures contracts
|
(10,165,660
|
) |
11,935,038
|
(615,018
|
) | |||||||
Short-term U.S. government and agency obligations
|
274
|
(85
|
) |
121
|
||||||||
Change in net unrealized appreciation (depreciation)
|
(10,165,386
|
) |
11,934,953
|
(614,897
|
) | |||||||
Net realized and unrealized gain (loss)
|
9,121,181
|
(2,213,011
|
) |
4,146,852
|
||||||||
Net income (loss)
|
$ |
9,150,598
|
$ |
(2,217,465
|
) | $ |
4,092,401
|
|||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
17,825,441
|
$ |
6,902,743
|
$ |
4,038,794
|
||||||
Addition of 1,200,000, 2,500,000 and 650,000 shares, respectively
|
30,089,484
|
53,822,972
|
23,216,158
|
|||||||||
Redemption of 1,700,000, 1,850,000 and 650,000 shares, respectively
|
(44,549,920
|
) |
(40,682,809
|
) |
(24,444,610
|
) | ||||||
Net addition (redemption) of (
500,000
), 650,000 and – shares, respectively
|
(14,460,436
|
) |
13,140,163
|
(1,228,452
|
) | |||||||
Net investment income (loss)
|
29,417
|
(4,454
|
) |
(54,451
|
) | |||||||
Net realized gain (loss)
|
19,286,567
|
(14,147,964
|
) |
4,761,749
|
||||||||
Change in net unrealized appreciation (depreciation)
|
(10,165,386
|
) |
11,934,953
|
(614,897
|
) | |||||||
Net income (loss)
|
9,150,598
|
(2,217,465
|
) |
4,092,401
|
||||||||
Shareholders’ equity, end of period
|
$ |
12,515,603
|
$ |
17,825,441
|
$ |
6,902,743
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
9,150,598
|
$ |
(2,217,465
|
) | $ |
4,092,401
|
|||||
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
|
(202,154,543
|
) |
(695,820,495
|
) |
(98,949,414
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
197,350,000
|
699,600,000
|
97,881,796
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(50,345
|
) |
(79,553
|
) |
(33,644
|
) | ||||||
Net realized gain (loss) on investments
|
—
|
—
|
783
|
|||||||||
Change in unrealized appreciation (depreciation) on investments
|
(274
|
) |
85
|
(121
|
) | |||||||
Decrease (Increase) in receivable on futures contracts
|
3,096,239
|
(3,096,239
|
) |
105,872
|
||||||||
Decrease (Increase) in interest receivable
|
4,857
|
(11,379
|
) |
—
|
||||||||
Increase (Decrease) in payable to Sponsor
|
(6,665
|
) |
13,415
|
(261
|
) | |||||||
Increase (Decrease) in brokerage commissions and fees payable
|
—
|
—
|
(144
|
) | ||||||||
Increase (Decrease) in payable on futures contracts
|
6,826
|
(104,104
|
) |
104,104
|
||||||||
Net cash provided by (used in) operating activities
|
7,396,693
|
(1,715,735
|
) |
3,201,372
|
||||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
30,089,484
|
53,822,972
|
23,216,158
|
|||||||||
Payment on shares redeemed
|
(48,871,508
|
) |
(36,361,221
|
) |
(24,444,610
|
) | ||||||
Net cash provided by (used in) financing activities
|
(18,782,024
|
) |
17,461,751
|
(1,228,452
|
) | |||||||
Net increase (decrease) in cash
|
(11,385,331
|
) |
15,746,016
|
1,972,920
|
||||||||
Cash, beginning of period
|
18,756,222
|
3,010,206
|
1,037,286
|
|||||||||
Cash, end of period
|
$ |
7,370,891
|
$ |
18,756,222
|
$ |
3,010,206
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $
78,586,073
and $
121,798,837
, respectively)
|
$ |
78,590,100
|
$ |
121,801,685
|
||||
Cash
|
44,280,278
|
33,215,995
|
||||||
Segregated cash balances with brokers for foreign currency forward contracts
|
—
|
3,138,000
|
||||||
Unrealized appreciation on foreign currency forward contracts
|
115,751
|
104,074
|
||||||
Interest receivable
|
60,723
|
15,999
|
||||||
Total assets
|
123,046,852
|
158,275,753
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable for capital shares redeemed
|
—
|
2,427,020
|
||||||
Payable to Sponsor
|
99,508
|
128,696
|
||||||
Unrealized depreciation on foreign currency forward contracts
|
2,366,171
|
1,599,878
|
||||||
Total liabilities
|
2,465,679
|
4,155,594
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
120,581,173
|
154,120,159
|
||||||
Total liabilities and shareholders’ equity
|
$ |
123,046,852
|
$ |
158,275,753
|
||||
Shares outstanding
|
4,500,000
|
6,350,000
|
||||||
Net asset value per share
|
$ |
26.80
|
$ |
24.27
|
||||
Market value per share (Note 2)
|
$ |
26.80
|
$ |
24.25
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
65
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607% due 01/09/20
|
$ |
16,000,000
|
$ |
15,995,707
|
||||
1.547% due 01/30/20
†
|
22,000,000
|
21,974,458
|
||||||
1.514% due 02/06/20
|
19,864,000
|
19,835,128
|
||||||
1.519% due 02/13/20
†
|
20,821,000
|
20,784,807
|
||||||
Total short-term U.S. government and agency obligations
(cost $
78,586,073
)
|
|
$ |
78,590,100
|
|||||
Foreign Currency Forward Contracts
^
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Settlement Date
|
|
Contract Amount
in Local Currency |
|
Contract Amount
in U.S. Dollars |
|
Unrealized
Appreciation (Depreciation)/ Value |
|
||||||||
Contracts to Purchase
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Euro with UBS AG
|
01/10/20
|
19,396,955
|
$ |
21,767,031
|
$ |
115,751
|
||||||||||
|
|
|
Total Unrealized Appreciation
|
$ |
115,751
|
|||||||||||
Contracts to Sell
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Euro with Goldman Sachs International
|
01/10/20
|
(112,762,143
|
) | $ |
(126,540,324
|
) | $ |
(1,134,162
|
) | |||||||
Euro with UBS AG
|
01/10/20
|
(122,358,446
|
) |
(137,309,180
|
) |
(1,232,009
|
) | |||||||||
|
|
|
Total Unrealized
Depreciation |
$ |
(2,366,171
|
) | ||||||||||
†
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.
^^
Rates shown represent discount rate at the time of purchase.
|
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
79
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.689% due 01/03/19
†
|
$ |
6,000,000
|
$ |
5,999,631
|
||||
2.305% due 01/17/19
†
|
43,000,000
|
42,958,793
|
||||||
2.297% due 01/31/19
†
|
51,000,000
|
50,906,328
|
||||||
2.363% due 02/14/19
†
|
22,000,000
|
21,936,933
|
||||||
Total short-term U.S. government and agency obligations
(cost $
121,798,837
)
|
|
$ |
121,801,685
|
|||||
Foreign Currency Forward Contracts
^
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Settlement Date
|
|
Contract Amount
in Local Currency |
|
Contract Amount
in U.S. Dollars |
|
Unrealized
Appreciation (Depreciation)/ Value |
|
||||||||
Contracts to Purchase
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Euro with Goldman Sachs International
|
01/11/19
|
11,497,100
|
$ |
13,182,017
|
$ |
54,842
|
||||||||||
Euro with UBS AG
|
01/11/19
|
33,071,100
|
37,917,719
|
49,232
|
||||||||||||
|
|
|
Total Unrealized Appreciation
|
$ |
104,074
|
|||||||||||
Contracts to Sell
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Euro with Goldman Sachs International
|
01/11/19
|
(152,127,525
|
) | $ |
(174,422,043
|
) | $ |
(664,844
|
) | |||||||
Euro with UBS AG
|
01/11/19
|
(161,054,700
|
) |
(184,657,508
|
) |
(935,034
|
) | |||||||||
|
|
|
Total Unrealized
Depreciation |
$ |
(1,599,878
|
) | ||||||||||
†
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
|
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
2,822,207
|
$ |
3,045,321
|
$ |
2,048,455
|
||||||
Expenses
|
|
|
|
|||||||||
Management fee
|
1,293,377
|
1,720,827
|
2,445,170
|
|||||||||
Total expenses
|
1,293,377
|
1,720,827
|
2,445,170
|
|||||||||
Net investment income (loss)
|
1,528,830
|
1,324,494
|
(396,715
|
) | ||||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|||||||||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Foreign currency forward contracts
|
13,745,299
|
18,953,455
|
(39,691,680
|
) | ||||||||
Short-term U.S. government and agency obligations
|
1,909
|
(219
|
) |
(3,785
|
) | |||||||
Net realized gain (loss)
|
13,747,208
|
18,953,236
|
(39,695,465
|
) | ||||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Foreign currency forward contracts
|
(754,616
|
) |
4,848,465
|
(22,507,200
|
) | |||||||
Short-term U.S. government and agency obligations
|
1,179
|
20,890
|
(20,263
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
(753,437
|
) |
4,869,355
|
(22,527,463
|
) | |||||||
Net realized and unrealized gain (loss)
|
12,993,771
|
23,822,591
|
(62,222,928
|
) | ||||||||
Net income (loss)
|
$ |
14,522,601
|
$ |
25,147,085
|
$ |
(62,619,643
|
) | |||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
154,120,159
|
$ |
202,548,197
|
$ |
349,392,650
|
||||||
Addition of 1,050,000, 1,700,000 and 2,400,000 shares, respectively
|
27,861,560
|
37,244,830
|
54,352,755
|
|||||||||
Redemption of 2,900,000, 4,900,000 and 5,750,000 shares, respectively
|
(75,923,147
|
) |
(110,819,953
|
) |
(138,577,565
|
) | ||||||
Net addition (redemption) of (
1,850,000
), (
3,200,000
) and (
3,350,000
) shares, respectively
|
(48,061,587
|
) |
(73,575,123
|
) |
(84,224,810
|
) | ||||||
Net investment income (loss)
|
1,528,830
|
1,324,494
|
(396,715
|
) | ||||||||
Net realized gain (loss)
|
13,747,208
|
18,953,236
|
(39,695,465
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
(753,437
|
) |
4,869,355
|
(22,527,463
|
) | |||||||
Net income (loss)
|
14,522,601
|
25,147,085
|
(62,619,643
|
) | ||||||||
Shareholders’ equity, end of period
|
$ |
120,581,173
|
$ |
154,120,159
|
$ |
202,548,197
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
14,522,601
|
$ |
25,147,085
|
$ |
(62,619,643
|
) | |||||
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
|
(1,454,451,994
|
) |
(5,771,042,956
|
) |
(2,213,830,667
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
1,500,077,958
|
5,856,785,001
|
2,348,460,695
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(2,411,291
|
) |
(2,752,893
|
) |
(2,048,455
|
) | ||||||
Net realized gain (loss) on investments
|
(1,909
|
) |
219
|
3,785
|
||||||||
Change in unrealized appreciation (depreciation) on investments
|
753,437
|
(4,869,355
|
) |
22,527,463
|
||||||||
Decrease (Increase) in interest receivable
|
(44,724
|
) |
(15,999
|
) |
—
|
|||||||
Increase (Decrease) in payable to Sponsor
|
(29,188
|
) |
(42,899
|
) |
(119,503
|
) | ||||||
Net cash provided by (used in) operating activities
|
58,414,890
|
103,208,203
|
92,373,675
|
|||||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
27,861,560
|
37,244,830
|
54,352,755
|
|||||||||
Payment on shares redeemed
|
(78,350,167
|
) |
(108,392,933
|
) |
(145,349,037
|
) | ||||||
Net cash provided by (used in) financing activities
|
(50,488,607
|
) |
(71,148,103
|
) |
(90,996,282
|
) | ||||||
Net increase (decrease) in cash
|
7,926,283
|
32,060,100
|
1,377,393
|
|||||||||
Cash, beginning of period
|
36,353,995
|
4,293,895
|
2,916,502
|
|||||||||
Cash, end of period
|
$ |
44,280,278
|
$ |
36,353,995
|
$ |
4,293,895
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $
12,354,582
and $
3,989,775
, respectively)
|
$ |
12,355,192
|
$ |
3,989,563
|
||||
Cash
|
8,993,715
|
12,563,184
|
||||||
Segregated cash balances with brokers for futures contracts
|
358,200
|
38,148
|
||||||
Segregated cash balances with brokers for forward agreements
|
—
|
2,502,000
|
||||||
Segregated cash balances with brokers for swap agreements
|
544,000
|
—
|
||||||
Receivable on open futures contracts
|
—
|
1,700
|
||||||
Interest receivable
|
11,691
|
10,500
|
||||||
Total assets
|
22,262,798
|
19,105,095
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable on open futures contracts
|
25,211
|
—
|
||||||
Payable to Sponsor
|
17,218
|
15,312
|
||||||
Unrealized depreciation on swap agreements
|
1,172,809
|
—
|
||||||
Unrealized depreciation on forward agreements
|
—
|
990,786
|
||||||
Total liabilities
|
1,215,238
|
1,006,098
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
21,047,560
|
18,098,997
|
||||||
Total liabilities and shareholders’ equity
|
$ |
22,262,798
|
$ |
19,105,095
|
||||
Shares outstanding
|
396,977
|
246,978
|
||||||
Net asset value per share
|
$ |
53.02
|
$ |
73.28
|
||||
Market value per share (Note 2)
|
$ |
53.21
|
$ |
72.84
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
59
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607% due 01/09/20
|
$ |
2,000,000
|
$ |
1,999,463
|
||||
1.547% due 01/30/20
†
|
3,000,000
|
2,996,517
|
||||||
1.514% due 02/06/20
|
3,599,000
|
3,593,769
|
||||||
1.519% due 02/13/20
†
|
3,772,000
|
3,765,443
|
||||||
Total short-term U.S. government and agency obligations
(cost $
12,354,582
)
|
|
$ |
12,355,192
|
|||||
Futures Contracts Sold
|
|
|
|
|||||||||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Gold Futures - COMEX, expires February 2020
|
76
|
$ |
11,575,560
|
$ |
(391,570
|
) |
Total Return Swap Agreements
^
|
|
|
|
|
||||||||||||
|
Rate Paid
(Received)
*
|
|
Termination
Date |
|
Notional Amount
at Value
**
|
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
|
0.25
|
% |
01/06/20
|
$ |
(13,940,590
|
) | $ |
(534,714
|
) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
|
0.20
|
01/06/20
|
(6,884,579
|
) |
(263,870
|
) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex
|
0.25
|
01/06/20
|
(9,756,431
|
) |
(374,225
|
) | ||||||||||
|
|
|
Total Unrealized Depreciation
|
$ |
(1,172,809
|
) | ||||||||||
†
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.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
22
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.885% due 01/31/19
†
|
$ |
1,000,000
|
$ |
998,163
|
||||
2.349% due 02/14/19
†
|
3,000,000
|
2,991,400
|
||||||
Total short-term U.S. government and agency obligations
(cost $
3,989,775
)
|
|
$ |
3,989,563
|
|||||
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Gold Futures - COMEX, expires February 2019
|
10
|
$ |
1,281,300
|
$ |
(31,780
|
) |
Forward Agreements
^
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Rate Paid
(Received)
*
|
|
Settlement Date
|
|
Commitment to
(Deliver)/Receive |
|
Notional Amount
at Value
**
|
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||||||
Forward agreements with Citibank, N.A. based on
0.995
Fine Troy Ounce Gold
|
(2.35
|
)% |
01/07/19
|
$ |
(11,200
|
) | $ |
(14,332,080
|
) | $ |
(380,655
|
) | ||||||||
Forward agreements with Goldman Sachs International based on
0.995
Fine Troy Ounce Gold
|
(2.45
|
) |
01/07/19
|
(7,598
|
) |
(9,723,237
|
) |
(258,134
|
) | |||||||||||
Forward agreements with Societe Generale based on
0.995
Fine Troy Ounce Gold
|
(2.12
|
) |
01/07/19
|
(1,000
|
) |
(1,279,640
|
) |
(63,076
|
) | |||||||||||
Forward agreements with UBS AG based on
0.995
Fine Troy Ounce Gold
|
(2.10
|
) |
01/07/19
|
(7,450
|
) |
(9,533,169
|
) |
(288,921
|
) | |||||||||||
|
|
|
|
Total Unrealized Depreciation
|
$ |
(990,786
|
) | |||||||||||||
†
All or partial amount pledged as collateral for forward agreements.
^
The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of December 31, 2018, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For forward agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
380,158
|
$ |
423,926
|
$ |
283,917
|
||||||
Expenses
|
|
|
|
|
|
|
|
|
|
|||
Management fee
|
188,089
|
252,524
|
344,734
|
|||||||||
Brokerage commissions
|
5,355
|
61
|
48
|
|||||||||
Total expenses
|
193,444
|
252,585
|
344,782
|
|||||||||
Net investment income (loss)
|
186,714
|
171,341
|
(60,865
|
) | ||||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|
|
|
|
|
|
|||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
(1,183,722
|
) |
21,620
|
(2,987
|
) | |||||||
Swap agreements
|
(2,891,389
|
) |
—
|
—
|
||||||||
Forward agreements
|
(1,118,149
|
) |
1,301,959
|
(6,990,570
|
) | |||||||
Short-term U.S. government and agency obligations
|
692
|
152
|
(1,208
|
) | ||||||||
Net realized gain (loss)
|
(5,192,568
|
) |
1,323,731
|
(6,994,765
|
) | |||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
(359,790
|
) |
(26,320
|
) |
(24,440
|
) | ||||||
Swap agreements
|
(1,172,809
|
) |
—
|
—
|
||||||||
Forward agreements
|
990,786
|
497,473
|
(4,521,825
|
) | ||||||||
Short-term U.S. government and agency obligations
|
822
|
1,514
|
(2,006
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
(540,991
|
) |
472,667
|
(4,548,271
|
) | |||||||
Net realized and unrealized gain (loss)
|
(5,733,559
|
) |
1,796,398
|
(11,543,036
|
) | |||||||
Net income (loss)
|
$ |
(5,546,845
|
) | $ |
1,967,739
|
$ |
(11,603,901
|
) | ||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
18,098,997
|
$ |
31,497,410
|
$ |
63,653,647
|
||||||
Addition of 600,000, 250,000 and 350,000 shares, respectively
|
39,522,691
|
16,527,151
|
26,178,336
|
|||||||||
Redemption of 450,001, 450,000 and 600,000 shares, respectively
|
(31,027,283
|
) |
(31,893,303
|
) |
(46,730,672
|
) | ||||||
Net addition (redemption) of 149,999, (
200,000
) and (
250,000
) shares, respectively
|
8,495,408
|
(15,366,152
|
) |
(20,552,336
|
) | |||||||
Net investment income (loss)
|
186,714
|
171,341
|
(60,865
|
) | ||||||||
Net realized gain (loss)
|
(5,192,568
|
) |
1,323,731
|
(6,994,765
|
) | |||||||
Change in net unrealized appreciation (depreciation)
|
(540,991
|
) |
472,667
|
(4,548,271
|
) | |||||||
Net income (loss)
|
(5,546,845
|
) |
1,967,739
|
(11,603,901
|
) | |||||||
Shareholders’ equity, end of period
|
$ |
21,047,560
|
$ |
18,098,997
|
$ |
31,497,410
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
(5,546,845
|
) | $ |
1,967,739
|
$ |
(11,603,901
|
) | ||||
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
|
(348,134,747
|
) |
(1,471,021,129
|
) |
(259,713,980
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
339,976,425
|
1,499,398,357
|
288,557,288
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(205,793
|
) |
(387,225
|
) |
(283,867
|
) | ||||||
Net realized gain (loss) on investments
|
(692
|
) |
(152
|
) |
1,208
|
|||||||
Change in unrealized appreciation (depreciation) on investments
|
181,201
|
(498,987
|
) |
4,523,831
|
||||||||
Decrease (Increase) in receivable on futures contracts
|
1,700
|
(1,700
|
) |
1,280
|
||||||||
Decrease (Increase) in interest receivable
|
(1,191
|
) |
(10,500
|
) |
–
|
|||||||
Increase (Decrease) in payable to Sponsor
|
1,906
|
(9,944
|
) |
(30,538
|
) | |||||||
Increase (Decrease) in payable on futures contracts
|
25,211
|
(2,420
|
) |
2,420
|
||||||||
Net cash provided by (used in) operating activities
|
(13,702,825
|
) |
29,434,039
|
21,453,741
|
||||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
39,522,691
|
16,527,151
|
26,178,336
|
|||||||||
Payment on shares redeemed
|
(31,027,283
|
) |
(31,893,303
|
) |
(46,730,672
|
) | ||||||
Net cash provided by (used in) financing activities
|
8,495,408
|
(15,366,152
|
) |
(20,552,336
|
) | |||||||
Net increase (decrease) in cash
|
(5,207,417
|
) |
14,067,887
|
901,405
|
||||||||
Cash, beginning of period
|
15,103,332
|
1,035,445
|
134,040
|
|||||||||
Cash, end of period
|
$ |
9,895,915
|
$ |
15,103,332
|
$ |
1,035,445
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $9,162,163 and $3,294,789, respectively)
|
$ |
9,162,867
|
$ |
3,294,766
|
||||
Cash
|
5,300,012
|
5,677,665
|
||||||
Segregated cash balances with brokers for futures contracts
|
148,200
|
44,431
|
||||||
Segregated cash balances with brokers for forward agreements
|
—
|
4,554,000
|
||||||
Segregated cash balances with brokers for swap agreements
|
1,198,000
|
—
|
||||||
Receivable on open futures contracts
|
|
|
4,800 |
|
|
|
— |
|
Interest receivable
|
4,326
|
7,847
|
||||||
Total assets
|
15,818,205
|
13,578,709
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable on open futures contracts
|
18,516
|
5,720
|
||||||
Payable to Sponsor
|
11,622
|
11,115
|
||||||
Unrealized depreciation on swap agreements
|
1,953,904
|
—
|
||||||
Unrealized depreciation on forward agreements
|
—
|
1,793,011
|
||||||
Total liabilities
|
1,984,042
|
1,809,846
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
13,834,163
|
11,768,863
|
||||||
Total liabilities and shareholders’ equity
|
$ |
15,818,205
|
$ |
13,578,709
|
||||
Shares outstanding
|
516,976
|
316,976
|
||||||
Net asset value per share
|
$ |
26.76
|
$ |
37.13
|
||||
Market value per share (Note 2)
|
$ |
26.80
|
$ |
37.10
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(66% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607% due 01/09/20
|
$ |
2,000,000
|
$ |
1,999,463
|
||||
1.547% due 01/30/20
|
2,000,000
|
1,997,678
|
||||||
1.564% due 02/06/20
†
|
2,526,000
|
2,522,329
|
||||||
1.565% due 02/13/20
†
|
2,648,000
|
2,643,397
|
||||||
Total short-term U.S. government and agency obligations
(cost $9,162,163) |
|
$ |
9,162,867
|
|||||
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Silver Futures - COMEX, expires March 2020
|
27
|
$ |
2,419,335
|
$ |
(82,181
|
) |
Total Return Swap Agreements
^
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Rate Paid
(Received)
*
|
|
Termination
Date |
|
Notional Amount
at Value
**
|
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
|
0.25
|
% |
01/06/20
|
$ |
(9,595,700
|
) | $ |
(788,313
|
) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
|
0.25
|
01/06/20
|
(4,926,137
|
) |
(401,324
|
) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex
|
0.25
|
01/06/20
|
(10,687,683
|
) |
(764,267
|
) | ||||||||||
|
|
|
Total Unrealized Depreciation
|
$ |
(1,953,904
|
) | ||||||||||
†
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.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of December 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(28% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607% due
01/03/19
|
$ |
700,000
|
$ |
699,957
|
||||
1.856
% due
01/17/19
|
700,000
|
699,329
|
||||||
1.898
% due
01/31/19
†
|
900,000
|
898,347
|
||||||
2.427
% due
02/14/19
|
1,000,000
|
997,133
|
||||||
Total short-term U.S. government and agency obligations
(cost $
3,294,789
)
|
|
$ |
3,294,766
|
|||||
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
Silver Futures - COMEX, expires March 2019
|
11
|
$ |
854,700
|
$ |
(44,917
|
) |
Forward Agreements
^
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Rate Paid
(Received)
*
|
|
Settlement Date
|
|
Commitment to
(Deliver)/Receive |
|
Notional Amount
at Value
**
|
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||||||
Forward agreements with Citibank, N.A. based on
0.999
Fine Troy Ounce Silver
|
(2.55
|
)% |
01/07/19
|
$ |
(399,000
|
) | $ |
(6,173,887
|
) | $ |
(566,050
|
) | ||||||||
Forward agreements with Goldman Sachs International based on
0.999
Fine Troy Ounce Silver
|
(2.80
|
) |
01/07/19
|
(559,500
|
) |
(8,658,038
|
) |
(605,756
|
) | |||||||||||
Forward agreements with Societe Generale based on
0.999
Fine Troy Ounce Silver
|
(2.27
|
) |
01/07/19
|
(100,000
|
) |
(1,547,320
|
) |
(119,953
|
) | |||||||||||
Forward agreements with UBS AG based on
0.999
Fine Troy Ounce Silver
|
(2.78
|
) |
01/07/19
|
(407,000
|
) |
(6,298,203
|
) |
(501,252
|
) | |||||||||||
|
|
|
|
Total Unrealized Depreciation
|
$ |
(1,793,011
|
) | |||||||||||||
†
All or partial amount pledged as collateral for forward agreements.
^
The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of December 31, 2018, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For forward agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
279,294
|
$ |
309,090
|
$ |
157,745
|
||||||
Expenses
|
|
|
|
|
|
|
|
|
|
|||
Management fee
|
139,668
|
196,546
|
194,297
|
|||||||||
Brokerage commissions
|
7,713
|
72
|
48
|
|||||||||
Total expenses
|
147,381
|
196,618
|
194,345
|
|||||||||
Net investment income (loss)
|
131,913
|
112,472
|
(36,600
|
) | ||||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|
|
|
|
|
|
|||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
(409,222
|
) |
19,939
|
21,156
|
||||||||
Swap agreements
|
(1,991,050
|
) |
—
|
—
|
||||||||
Forward agreements
|
(2,144,498
|
) |
5,005,037
|
1,132,237
|
||||||||
Short-term U.S. government and agency obligations
|
226
|
(2,031
|
) |
(932
|
) | |||||||
Net realized gain (loss)
|
(4,544,544
|
) |
5,022,945
|
1,152,461
|
||||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
(37,264
|
) |
(43,267
|
) |
(28,960
|
) | ||||||
Swap agreements
|
(1,953,904
|
) |
—
|
—
|
||||||||
Forward agreements
|
1,793,011
|
(76,848
|
) |
(3,100,409
|
) | |||||||
Short-term U.S. government and agency obligations
|
727
|
2,924
|
(3,500
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
(197,430
|
) |
(117,191
|
) |
(3,132,869
|
) | ||||||
Net realized and unrealized gain (loss)
|
(4,741,974
|
) |
4,905,754
|
(1,980,408
|
) | |||||||
Net income (loss)
|
$ |
(4,610,061
|
) | $ |
5,018,226
|
$ |
(2,017,008
|
) | ||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
11,768,863
|
$ |
14,806,259
|
$ |
23,017,656
|
||||||
Addition of 1,000,000, 800,000 and 850,000 shares, respectively
|
35,269,175
|
27,656,086
|
26,717,920
|
|||||||||
Redemption of 800,000, 950,000 and 1,000,000 shares, respectively
|
(28,593,814
|
) |
(35,711,708
|
) |
(32,912,309
|
) | ||||||
Net addition (redemption) of 200,000, (150,000) and (150,000) shares, respectively
|
6,675,361
|
(8,055,622
|
) |
(6,194,389
|
) | |||||||
Net investment income (loss)
|
131,913
|
112,472
|
(36,600
|
) | ||||||||
Net realized gain (loss)
|
(4,544,544
|
) |
5,022,945
|
1,152,461
|
||||||||
Change in net unrealized appreciation (depreciation)
|
(197,430
|
) |
(117,191
|
) |
(3,132,869
|
) | ||||||
Net income (loss)
|
(4,610,061
|
) |
5,018,226
|
(2,017,008
|
) | |||||||
Shareholders’ equity, end of period
|
$ |
13,834,163
|
$ |
11,768,863
|
$ |
14,806,259
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
(4,610,061
|
) | $ |
5,018,226
|
$ |
(2,017,008
|
) | ||||
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
|
(259,643,345
|
) |
(906,025,439
|
) |
(205,796,774
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
253,938,061
|
921,367,007
|
209,150,487
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(161,864
|
) |
(285,580
|
) |
(157,687
|
) | ||||||
Net realized gain (loss) on investments
|
(226
|
) |
2,031
|
932
|
||||||||
Change in unrealized appreciation (depreciation) on investments
|
160,166
|
73,924
|
3,103,909
|
|||||||||
Decrease (Increase) in receivable on futures contracts
|
(4,800
|
)
|
—
|
2,290
|
||||||||
Decrease (Increase) in interest receivable
|
3,521
|
(7,847
|
) |
—
|
||||||||
Increase (Decrease) in payable to Sponsor
|
507
|
(5,971
|
) |
(2,464
|
) | |||||||
Increase (Decrease) in payable on futures contracts
|
12,796
|
3,500
|
2,220
|
|||||||||
Net cash provided by (used in) operating activities
|
(10,305,245
|
) |
20,139,851
|
4,285,905
|
||||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
35,269,175
|
27,656,086
|
26,717,920
|
|||||||||
Payment on shares redeemed
|
(28,593,814
|
) |
(38,883,485
|
) |
(29,740,532
|
) | ||||||
Net cash provided by (used in) financing activities
|
6,675,361
|
(11,227,399
|
) |
(3,022,612
|
) | |||||||
Net increase (decrease) in cash
|
(3,629,884
|
) |
8,912,452
|
1,263,293
|
||||||||
Cash, beginning of period
|
10,276,096
|
1,363,644
|
100,351
|
|||||||||
Cash, end of period
|
$ |
6,646,212
|
$ |
10,276,096
|
$ |
1,363,644
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $25,541,523 and $34,950,807, respectively)
|
$ |
25,542,823
|
$ |
34,951,229
|
||||
Cash
|
12,507,112
|
21,879,254
|
||||||
Segregated cash balances with brokers for foreign currency forward contracts
|
—
|
1,691,000
|
||||||
Unrealized appreciation on foreign currency forward contracts
|
95,899
|
678,152
|
||||||
Interest receivable
|
19,330
|
14,973
|
||||||
Total assets
|
38,165,164
|
59,214,608
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable to Sponsor
|
32,844
|
49,037
|
||||||
Unrealized depreciation on foreign currency forward contracts
|
—
|
3,801,896
|
||||||
Total liabilities
|
32,844
|
3,850,933
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
38,132,320
|
55,363,675
|
||||||
Total liabilities and shareholders’ equity
|
$ |
38,165,164
|
$ |
59,214,608
|
||||
Shares outstanding
|
499,290
|
749,290
|
||||||
Net asset value per share
|
$ |
76.37
|
$ |
73.89
|
||||
Market value per share (Note 2)
|
$ |
76.35
|
$ |
73.86
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(67% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.607% due 01/09/20
|
$ |
5,000,000
|
$ |
4,998,658
|
||||
1.547% due 01/30/20
†
|
7,000,000
|
6,991,873
|
||||||
1.514% due 02/06/20
|
6,627,000
|
6,617,368
|
||||||
1.519% due 02/13/20
|
6,947,000
|
6,934,924
|
||||||
Total short-term U.S. government and agency obligations
(cost $25,541,523) |
|
$ |
25,542,823
|
|||||
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
|
01/10/20
|
1,025,624,482
|
$ |
9,441,012
|
$ |
36,292
|
||||||||||
|
|
|
|
$ |
36,292
|
|||||||||||
Contracts to Sell
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Yen with Goldman Sachs International
|
01/10/20
|
(4,448,656,033
|
) | $ |
(40,950,479
|
) | $ |
32,828
|
||||||||
Yen with UBS AG
|
01/10/20
|
(4,893,578,348
|
) |
(45,046,049
|
) |
26,779
|
||||||||||
|
|
|
|
$ |
59,607
|
|||||||||||
|
||||||||||||||||
|
|
|
Total Unrealized Appreciation
|
$ |
95,899
|
|||||||||||
†
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.
^^
Rates shown represent discount rate at the time of purchase.
|
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
63
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.689
% due
01/03/19
†
|
$ |
2,000,000
|
$ |
1,999,877
|
||||
2.307
% due
01/17/19
†
|
23,000,000
|
22,977,959
|
||||||
1.976
% due
01/31/19
†
|
2,000,000
|
1,996,327
|
||||||
2.349
% due
02/14/19
†
|
8,000,000
|
7,977,066
|
||||||
Total short-term U.S. government and agency obligations
(cost $
34,950,807
)
|
|
$ |
34,951,229
|
|||||
Foreign Currency Forward Contracts
^
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Settlement Date
|
|
Contract Amount
in Local Currency |
|
Contract Amount
in U.S. Dollars |
|
Unrealized
Appreciation (Depreciation)/ Value |
|
||||||||
Contracts to Purchase
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Yen with Goldman Sachs International
|
01/11/19
|
1,459,634,700
|
$ |
13,322,009
|
$ |
330,465
|
||||||||||
Yen with UBS AG
|
01/11/19
|
2,446,453,800
|
22,328,658
|
347,687
|
||||||||||||
|
|
|
Total Unrealized Appreciation
|
$ |
678,152
|
|||||||||||
Contracts to Sell
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Yen with Goldman Sachs International
|
01/11/19
|
(7,490,711,300
|
) | $ |
(68,367,332
|
) | $ |
(1,755,536
|
) | |||||||
Yen with UBS AG
|
01/11/19
|
(8,547,990,500
|
) |
(78,017,066
|
) |
(2,046,360
|
) | |||||||||
|
|
|
Total Unrealized Depreciation
|
$ |
(3,801,896
|
) | ||||||||||
†
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
|
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
1,007,112
|
$ |
1,399,342
|
$ |
1,446,842
|
||||||
Expenses
|
|
|
|
|
|
|
|
|
|
|||
Management fee
|
451,638
|
791,468
|
1,802,816
|
|||||||||
Total expenses
|
451,638
|
791,468
|
1,802,816
|
|||||||||
Net investment income (loss)
|
555,474
|
607,874
|
(355,974
|
) | ||||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|
|
|
|
|
|
|||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Foreign currency forward contracts
|
(1,979,140
|
) |
2,111,627
|
(8,729,472
|
) | |||||||
Short-term U.S. government and agency obligations
|
(539
|
) |
3
|
(4,001
|
) | |||||||
Net realized gain (loss)
|
(1,979,679
|
) |
2,111,630
|
(8,733,473
|
) | |||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|
|
|
|
|
|
|||
Foreign currency forward contracts
|
3,219,643
|
(4,651,007
|
) |
(15,217,674
|
) | |||||||
Short-term U.S. government and agency obligations
|
878
|
10,722
|
(9,478
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
3,220,521
|
(4,640,285
|
) |
(15,227,152
|
) | |||||||
Net realized and unrealized gain (loss)
|
1,240,842
|
(2,528,655
|
) |
(23,960,625
|
) | |||||||
Net income (loss)
|
$ |
1,796,316
|
$ |
(1,920,781
|
) | $ |
(24,316,599
|
) | ||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
55,363,675
|
$ |
131,077,453
|
$ |
276,781,747
|
||||||
Addition of 450,000, 100,000 and 1,000,000 shares, respectively
|
34,403,213
|
7,078,646
|
76,657,434
|
|||||||||
Redemption of 700,000, 1,100,000 and 2,700,000 shares, respectively
|
(53,430,884
|
) |
(80,871,643
|
) |
(198,045,129
|
) | ||||||
Net addition (redemption) of (250,000), (1,000,000) and (1,700,000) shares, respectively
|
(19,027,671
|
) |
(73,792,997
|
) |
(121,387,695
|
) | ||||||
Net investment income (loss)
|
555,474
|
607,874
|
(355,974
|
) | ||||||||
Net realized gain (loss)
|
(1,979,679
|
) |
2,111,630
|
(8,733,473
|
) | |||||||
Change in net unrealized appreciation (depreciation)
|
3,220,521
|
(4,640,285
|
) |
(15,227,152
|
) | |||||||
Net income (loss)
|
1,796,316
|
(1,920,781
|
) |
(24,316,599
|
) | |||||||
Shareholders’ equity, end of period
|
$ |
38,132,320
|
$ |
55,363,675
|
$ |
131,077,453
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
1,796,316
|
$ |
(1,920,781
|
) | $ |
(24,316,599
|
) | ||||
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
|
(669,716,446
|
) |
(3,738,985,179
|
) |
(1,735,928,862
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
679,904,665
|
3,837,199,781
|
1,862,630,186
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(779,474
|
) |
(1,320,754
|
) |
(1,446,842
|
) | ||||||
Net realized gain (loss) on investments
|
539
|
(3
|
) |
4,001
|
||||||||
Change in unrealized appreciation (depreciation) on investments
|
(3,220,521
|
) |
4,640,285
|
15,227,152
|
||||||||
Decrease (Increase) in interest receivable
|
(4,357
|
) |
(14,973
|
) |
—
|
|||||||
Increase (Decrease) in payable to Sponsor
|
(16,193
|
) |
(57,826
|
) |
(125,628
|
) | ||||||
Net cash provided by (used in) operating activities
|
7,964,529
|
99,540,550
|
116,043,408
|
|||||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
34,403,213
|
7,078,646
|
76,657,434
|
|||||||||
Payment on shares redeemed
|
(53,430,884
|
) |
(84,631,626
|
) |
(194,285,146
|
) | ||||||
Net cash provided by (used in) financing activities
|
(19,027,671
|
) |
(77,552,980
|
) |
(117,627,712
|
) | ||||||
Net increase (decrease) in cash
|
(11,063,142
|
) |
21,987,570
|
(1,584,304
|
) | |||||||
Cash, beginning of period
|
23,570,254
|
1,582,684
|
3,166,988
|
|||||||||
Cash, end of period
|
$ |
12,507,112
|
$ |
23,570,254
|
$ |
1,582,684
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $13,979,509 and $–, respectively)
|
$ |
13,980,559
|
$ |
—
|
||||
Cash
|
27,654,022
|
48,860,400
|
||||||
Segregated cash balances with brokers for futures contracts
|
5,476,631
|
8,682,024
|
||||||
Interest receivable
|
34,527
|
29,104
|
||||||
Total assets
|
47,145,739
|
57,571,528
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable for capital shares redeemed
|
—
|
674,832
|
||||||
Payable on open futures contracts
|
1,129,877
|
565,495
|
||||||
Payable to Sponsor
|
29,278
|
32,080
|
||||||
Total liabilities
|
1,159,155
|
1,272,407
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
45,986,584
|
56,299,121
|
||||||
Total liabilities and shareholders’ equity
|
$ |
47,145,739
|
$ |
57,571,528
|
||||
Shares outstanding
|
2,162,403
|
2,112,403
|
||||||
Net asset value per share
|
$ |
21.27
|
$ |
26.65
|
||||
Market value per share (Note 2)
|
$ |
21.29
|
$ |
26.74
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
30
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.547
% due
01/30/20
|
$ |
7,000,000
|
$ |
6,991,873
|
||||
1.462
% due
02/06/20
†
|
3,000,000
|
2,995,639
|
||||||
1.618
% due
02/13/20
|
4,000,000
|
3,993,047
|
||||||
Total short-term U.S. government and agency obligations
(cost $
13,979,509
)
|
|
$ |
13,980,559
|
|||||
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
VIX Futures -
C
boe
, expires April 2020
|
511
|
$ |
8,904,175
|
$ |
(863,150
|
) | ||||||
VIX Futures -
C
boe
, expires May 2020
|
865
|
15,202,375
|
(874,085
|
) | ||||||||
VIX Futures -
C
boe
, expires June 2020
|
865
|
15,461,875
|
(549,720
|
) | ||||||||
VIX Futures -
C
boe
, expires July 2020
|
354
|
6,416,250
|
6,130
|
|||||||||
|
|
|
$ |
(2,280,825
|
) | |||||||
†
All or partial amount pledged as collateral for futures contracts.
^^
Rates shown represent discount rate at the time of purchase.
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
VIX Futures - C
boe
, expires April 2019
|
503
|
$ |
10,550,425
|
$ |
1,677,781
|
|||||||
VIX Futures -
C
boe
, expires May 2019
|
906
|
18,799,500
|
1,368,915
|
|||||||||
VIX Futures -
C
boe
, expires June 2019
|
906
|
18,618,300
|
841,460
|
|||||||||
VIX Futures -
C
boe
, expires July 2019
|
403
|
8,332,025
|
(130,050
|
) | ||||||||
|
|
|
$ |
3,758,106
|
||||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
903,643
|
$ |
368,351
|
$ |
256,920
|
||||||
Expenses
|
|
|
|
|
|
|
|
|
|
|||
Management fee
|
380,474
|
221,717
|
317,739
|
|||||||||
Brokerage commissions
|
29,956
|
30,306
|
20,988
|
|||||||||
Total expenses
|
410,430
|
252,023
|
338,727
|
|||||||||
Net investment income (loss)
|
493,213
|
116,328
|
(81,807
|
) | ||||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|
|
|
|
|
|
|||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
(6,228,652
|
) |
4,332,654
|
(25,319,770
|
) | |||||||
Short-term U.S. government and agency obligations
|
8
|
—
|
(377
|
) | ||||||||
Net realized gain (loss)
|
(6,228,644
|
) |
4,332,654
|
(25,320,147
|
) | |||||||
|
|
|
|
|
|
|
|
|
|
|||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|||||||||
Futures contracts
|
(6,038,931
|
) |
5,973,386
|
(927,035
|
) | |||||||
Short-term U.S. government and agency obligations
|
1,050
|
(187
|
) |
441
|
||||||||
Change in net unrealized appreciation (depreciation)
|
(6,037,881
|
) |
5,973,199
|
(926,594
|
) | |||||||
Net realized and unrealized gain (loss)
|
(12,266,525
|
) |
10,305,853
|
(26,246,741
|
) | |||||||
Net income (loss)
|
$ |
(11,773,312
|
) | $ |
10,422,181
|
$ |
(26,328,548
|
) | ||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
56,299,121
|
$ |
26,347,948
|
$ |
45,818,914
|
||||||
Addition of 1,400,000, 2,325,000 and 950,000 shares, respectively
|
31,405,087
|
56,218,143
|
26,311,779
|
|||||||||
Redemption of 1,350,000, 1,450,000 and 800,000 shares, respectively
|
(29,944,312
|
) |
(36,689,151
|
) |
(19,454,197
|
) | ||||||
Net addition (redemption) of 50,000, 875,000 and 150,000 shares, respectively
|
1,460,775
|
19,528,992
|
6,857,582
|
|||||||||
Net investment income (loss)
|
493,213
|
116,328
|
(81,807
|
) | ||||||||
Net realized gain (loss)
|
(6,228,644
|
) |
4,332,654
|
(25,320,147
|
) | |||||||
Change in net unrealized appreciation (depreciation)
|
(6,037,881
|
) |
5,973,199
|
(926,594
|
) | |||||||
Net income (loss)
|
(11,773,312
|
) |
10,422,181
|
(26,328,548
|
) | |||||||
Shareholders’ equity, end of period
|
$ |
45,986,584
|
$ |
56,299,121
|
$ |
26,347,948
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
(11,773,312
|
) | $ |
10,422,181
|
$ |
(26,328,548
|
) | ||||
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
|
(1,178,141,659
|
) |
(2,159,804,178
|
) |
(943,753,668
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
1,164,579,598
|
2,181,000,000
|
968,489,510
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(417,440
|
) |
(202,494
|
) |
(243,058
|
) | ||||||
Net realized gain (loss) on investments
|
(8
|
) |
—
|
377
|
||||||||
Change in unrealized appreciation (depreciation) on investments
|
(1,050
|
) |
187
|
(441
|
) | |||||||
Decrease (Increase) in receivable on futures contracts
|
—
|
170,015
|
72,526
|
|||||||||
Decrease (Increase) in interest receivable
|
(5,423
|
) |
(29,104
|
) |
—
|
|||||||
Increase (Decrease) in payable to Sponsor
|
(2,802
|
) |
8,449
|
(8,941
|
) | |||||||
Increase (Decrease) in payable on futures contracts
|
564,382
|
565,495
|
—
|
|||||||||
Net cash provided by (used in) operating activities
|
(25,197,714
|
) |
32,130,551
|
(1,772,243
|
) | |||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
31,405,087
|
56,218,143
|
26,311,779
|
|||||||||
Payment on shares redeemed
|
(30,619,144
|
) |
(37,072,628
|
) |
(20,480,908
|
) | ||||||
Net cash provided by (used in) financing activities
|
785,943
|
19,145,515
|
5,830,871
|
|||||||||
Net increase (decrease) in cash
|
(24,411,771
|
) |
51,276,066
|
4,058,628
|
||||||||
Cash, beginning of period
|
57,542,424
|
6,266,358
|
2,207,730
|
|||||||||
Cash, end of period
|
$ |
33,130,653
|
$ |
57,542,424
|
$ |
6,266,358
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $96,862,355 and $114,780,333, respectively)
|
$ |
96,868,817
|
$ |
114,785,002
|
||||
Cash
|
87,829,341
|
23,538,353
|
||||||
Segregated cash balances with brokers for futures contracts
|
107,106,000
|
15,855,066
|
||||||
Receivable on open futures contracts
|
909,042
|
912,016
|
||||||
Interest receivable
|
123,538
|
16,966
|
||||||
Total assets
|
292,836,738
|
155,107,403
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable on open futures contracts
|
12,920,593
|
5,489,302
|
||||||
Payable to Sponsor
|
123,642
|
70,986
|
||||||
Total liabilities
|
13,044,235
|
5,560,288
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
279,792,503
|
149,547,115
|
||||||
Total liabilities and shareholders’ equity
|
$ |
292,836,738
|
$ |
155,107,403
|
||||
Shares outstanding
|
22,751,317
|
3,876,317
|
||||||
Net asset value per share
|
$ |
12.30
|
$ |
38.58
|
||||
Market value per share (Note 2)
|
$ |
12.43
|
$ |
38.61
|
||||
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
35
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
1.547
% due
01/30/20
|
$ |
53,000,000
|
$ |
52,938,467
|
||||
1.462
% due
02/06/20
†
|
24,000,000
|
23,965,116
|
||||||
1.618
% due
02/13/20
|
20,000,000
|
19,965,234
|
||||||
Total short-term U.S. government and agency obligations
(cost $
96,862,355
)
|
|
$ |
96,868,817
|
|||||
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
VIX Futures - CBOE, expires January 2020
|
10,706
|
$ |
156,575,250
|
$ |
(15,238,139
|
) | ||||||
VIX Futures - CBOE, expires February 2020
|
7,415
|
123,274,375
|
(155,872
|
) | ||||||||
|
|
|
$ |
(15,394,011
|
) | |||||||
†
All or partial amount pledged as collateral for futures contracts.
^^
Rates shown represent discount rate at the time of purchase.
|
|
Principal Amount
|
|
Value
|
|
||||
Short-term U.S. government and agency obligations
|
|
|
|
|
|
|
||
(
77
% of shareholders’ equity)
|
|
|
||||||
U.S. Treasury Bills
^^
:
|
|
|
||||||
2.314
% due
01/17/19
†
|
$ |
50,000,000
|
$ |
49,952,085
|
||||
2.326
% due
01/31/19
†
|
40,000,000
|
39,926,532
|
||||||
2.389
% due
02/28/19
|
25,000,000
|
24,906,385
|
||||||
Total short-term U.S. government and agency obligations
(cost $
114,780,333
)
|
|
$ |
114,785,002
|
|||||
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|||
|
Number of
Contracts |
|
Notional Amount
at Value |
|
Unrealized
Appreciation (Depreciation)/Value |
|
||||||
VIX Futures - C
boe
, expires January 2019
|
3,561
|
$ |
86,087,175
|
$ |
18,392,959
|
|||||||
VIX Futures - C
boe
, expires February 2019
|
2,849
|
63,461,475
|
(1,014,514
|
) | ||||||||
|
|
|
$ |
17,378,445
|
||||||||
†
All or partial amount pledged as collateral for futures contracts.
^^
Rates shown represent discount rate at the time of purchase.
|
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
4,458,270
|
$ |
1,594,294
|
$ |
1,238,374
|
||||||
Expenses
|
|
|
|
|
|
|
|
|
|
|||
Management fee
|
2,038,850
|
1,046,876
|
1,353,339
|
|||||||||
Brokerage commissions
|
253,057
|
176,459
|
174,838
|
|||||||||
Brokerage fees
|
12,964
|
4,294
|
3,383
|
|||||||||
Total expenses
|
2,304,871
|
1,227,629
|
1,531,560
|
|||||||||
Net investment income (loss)
|
2,153,399
|
366,665
|
(293,186
|
) | ||||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|
|
|
|
|
|
|||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
(194,363,991
|
) |
89,903,111
|
(194,005,568
|
) | |||||||
Short-term U.S. government and agency obligations
|
13,203
|
(1,992
|
) |
(772
|
) | |||||||
Net realized gain (loss)
|
(194,350,788
|
) |
89,901,119
|
(194,006,340
|
) | |||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
(32,772,456
|
) |
22,140,322
|
(4,293,225
|
) | |||||||
Short-term U.S. government and agency obligations
|
1,793
|
14,835
|
(11,354
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
(32,770,663
|
) |
22,155,157
|
(4,304,579
|
) | |||||||
Net realized and unrealized gain (loss)
|
(227,121,451
|
) |
112,056,276
|
(198,310,919
|
) | |||||||
Net income (loss)
|
$ |
(224,968,052
|
) | $ |
112,422,941
|
$ |
(198,604,105
|
) | ||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
149,547,115
|
$ |
137,741,560
|
$ |
174,160,146
|
||||||
Addition of
30,800,000
,
8,275,000
and
7,750,000
shares, respectively
|
623,530,990
|
234,775,305
|
318,930,520
|
|||||||||
Redemption of
11,925,000
,
10,300,000
and
3,901,046
shares, respectively
|
(268,317,550
|
) |
(335,392,691
|
) |
(156,745,001
|
) | ||||||
Net addition (redemption) of
18,875,000
, (
2,025,000
) and
3,848,954
shares, respectively
|
355,213,440
|
(100,617,386
|
) |
162,185,519
|
||||||||
Net investment income (loss)
|
2,153,399
|
366,665
|
(293,186
|
) | ||||||||
Net realized gain (loss)
|
(194,350,788
|
) |
89,901,119
|
(194,006,340
|
) | |||||||
Change in net unrealized appreciation (depreciation)
|
(32,770,663
|
) |
22,155,157
|
(4,304,579
|
) | |||||||
Net income (loss)
|
(224,968,052
|
) |
112,422,941
|
(198,604,105
|
) | |||||||
Shareholders’ equity, end of period
|
$ |
279,792,503
|
$ |
149,547,115
|
$ |
137,741,560
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
(224,968,052
|
) | $ |
112,422,941
|
$ |
(198,604,105
|
) | ||||
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
|
(1,733,756,719
|
) |
(5,723,838,427
|
) |
(1,819,678,736
|
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
1,754,942,777
|
5,744,914,327
|
1,834,013,986
|
|||||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(3,254,877
|
) |
(1,002,455
|
) |
(1,201,747
|
) | ||||||
Net realized gain (loss) on investments
|
(13,203
|
) |
1,992
|
772
|
||||||||
Change in unrealized appreciation (depreciation) on investments
|
(1,793
|
) |
(14,835
|
) |
11,354
|
|||||||
Decrease (Increase) in receivable on futures contracts
|
2,974
|
1,755,458
|
1,816,796
|
|||||||||
Decrease (Increase) in interest receivable
|
(106,572
|
) |
(16,966
|
) |
—
|
|||||||
Increase (Decrease) in payable to Sponsor
|
52,656
|
16,049
|
(32,700
|
) | ||||||||
Increase (Decrease) in payable on futures contracts
|
7,431,291
|
5,489,302
|
—
|
|||||||||
Net cash provided by (used in) operating activities
|
(199,671,518
|
) |
139,727,386
|
(183,674,380
|
) | |||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
623,530,990
|
234,775,305
|
318,930,520
|
|||||||||
Payment on shares redeemed
|
(268,317,550
|
) |
(338,824,404
|
) |
(153,313,288
|
) | ||||||
Net cash provided by (used in) financing activities
|
355,213,440
|
(104,049,099
|
) |
165,617,232
|
||||||||
Net increase (decrease) in cash
|
155,541,922
|
35,678,287
|
(18,057,148
|
) | ||||||||
Cash, beginning of period
|
39,393,419
|
3,715,132
|
21,772,280
|
|||||||||
Cash, end of period
|
$ |
194,935,341
|
$ |
39,393,419
|
$ |
3,715,132
|
||||||
|
December 31, 2019
|
|
December 31, 2018
|
|
||||
Assets
|
|
|
|
|
|
|
||
Short-term U.S. government and agency obligations (Note 3) (cost $1,084,860,512 and $785,069,552, respectively)
|
$ |
1,084,925,128
|
$ |
785,085,860
|
||||
Cash
|
770,114,050
|
729,259,407
|
||||||
Segregated cash balances with brokers for futures contracts
|
406,121,155
|
272,501,850
|
||||||
Segregated cash balances with brokers for forward agreements
|
—
|
37,374,000
|
||||||
Segregated cash balances with brokers for foreign currency forward contracts
|
1,421,000
|
6,057,000
|
||||||
Segregated cash balances with brokers for swap agreements
|
12,539,000
|
53,486,000
|
||||||
Unrealized appreciation on swap agreements
|
52,840,748
|
20,646,726
|
||||||
Unrealized appreciation on forward agreements
|
—
|
30,555,018
|
||||||
Unrealized appreciation on foreign currency forward contracts
|
321,647
|
1,023,384
|
||||||
Receivable from capital shares sold
|
4,354,515
|
54,572,979
|
||||||
Securities sold receivable
|
3,883
|
—
|
||||||
Receivable on open futures contracts
|
85,104,325
|
79,899,070
|
||||||
Interest receivable
|
978,751
|
555,187
|
||||||
Total assets
|
2,418,724,202
|
2,071,016,481
|
||||||
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
||
Payable for capital shares redeemed
|
—
|
11,136,094
|
||||||
Payable on open futures contracts
|
50,904,424
|
32,074,054
|
||||||
Payable to Sponsor
|
1,747,549
|
1,541,554
|
||||||
Unrealized depreciation on swap agreements
|
7,370,428
|
74,098,074
|
||||||
Unrealized depreciation on forward agreements
|
—
|
2,783,797
|
||||||
Unrealized depreciation on foreign currency forward contracts
|
2,376,700
|
5,407,883
|
||||||
Total liabilities
|
62,399,101
|
127,041,456
|
||||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
|
|
|
|
|
|
||
Shareholders’ equity
|
2,356,325,101
|
1,943,975,025
|
||||||
Total liabilities and shareholders’ equity
|
$ |
2,418,724,202
|
$ |
2,071,016,481
|
||||
Shares outstanding
|
130,367,767
|
75,842,768
|
||||||
|
Year Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
*
|
|
|||||||
Investment Income
|
|
|
|
|
|
|
|
|
|
|||
Interest
|
$ |
42,299,579
|
$ |
32,979,194
|
$ |
25,704,093
|
||||||
Expenses
|
|
|
|
|
|
|
|
|
|
|||
Management fee
|
21,893,743
|
23,335,844
|
30,996,127
|
|||||||||
Brokerage commissions
|
4,922,076
|
5,852,459
|
8,950,082
|
|||||||||
Brokerage fees
|
38,453
|
156,052
|
9,715
|
|||||||||
Offering costs
|
—
|
105,643
|
238,151
|
|||||||||
Limitation by Sponsor
|
—
|
(27,133
|
) |
(59,651
|
) | |||||||
Non-recurring
fees and expenses
|
426,058
|
—
|
—
|
|||||||||
Total expenses
|
27,280,330
|
29,422,865
|
40,134,424
|
|||||||||
Net investment income (loss)
|
15,019,249
|
3,556,329
|
(14,430,331
|
) | ||||||||
Realized and unrealized gain (loss) on investment activity
|
|
|
|
|
|
|
|
|
|
|||
Net realized gain (loss) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
(568,174,940
|
) |
(1,441,403,318
|
) |
(354,314,223
|
) | ||||||
Swap agreements
|
76,076,549
|
(2,745,254
|
) |
(11,794,313
|
) | |||||||
Forward agreements
|
33,894,330
|
(58,472,765
|
) |
(26,118,074
|
) | |||||||
Foreign currency forward contracts
|
11,101,620
|
19,830,895
|
(46,255,034
|
) | ||||||||
Short-term U.S. government and agency obligations
|
81,302
|
(274,781
|
) |
(50,042
|
) | |||||||
Net realized gain (loss)
|
(447,021,139
|
) |
(1,483,065,223
|
) |
(438,531,686
|
) | ||||||
Change in net unrealized appreciation (depreciation) on
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts
|
(65,264,314
|
) |
26,203,793
|
(360,935
|
) | |||||||
Swap agreements
|
98,921,668
|
(85,082,567
|
) |
(11,520,471
|
) | |||||||
Forward agreements
|
(27,771,221
|
) |
5,593,954
|
43,166,751
|
||||||||
Foreign currency forward contracts
|
2,329,446
|
203,179
|
(36,579,460
|
) | ||||||||
Short-term U.S. government and agency obligations
|
48,308
|
207,334
|
(202,002
|
) | ||||||||
Change in net unrealized appreciation (depreciation)
|
8,263,887
|
(52,874,307
|
) |
(5,496,117
|
) | |||||||
Net realized and unrealized gain (loss)
|
(438,757,252
|
) |
(1,535,939,530
|
) |
(444,027,803
|
) | ||||||
Net income (loss)
|
$ |
(423,738,003
|
) | $ |
(1,532,383,201
|
) | $ |
(458,458,134
|
) | |||
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF since January 13, 2017 (inception date). |
|
Years Ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017*
|
|
|||||||
Shareholders’ equity, beginning of period
|
$ |
1,943,975,025
|
$ |
2,947,278,212
|
$ |
3,276,337,487
|
||||||
Addition of 229,600,000, 125,567,500 and 135,939,510 shares, respectively
|
5,130,205,439
|
6,250,352,624
|
9,098,339,966
|
|||||||||
Redemption of
175,075,001
,
123,725,617
and
144,218,291
shares, respectively
|
(4,294,117,360
|
) |
(5,721,272,610
|
) |
(8,968,941,107
|
) | ||||||
Net addition (redemption) of
54,524,999
,
1,841,883
and (
8,278,781
) shares, respectively
|
836,088,079
|
529,080,014
|
129,398,859
|
|||||||||
Net investment income (loss)
|
15,019,249
|
3,556,329
|
(14,430,331
|
) | ||||||||
Net realized gain (loss)
|
(447,021,139
|
) |
(1,483,065,223
|
) |
(438,531,686
|
) | ||||||
Change in net unrealized appreciation (depreciation)
|
8,263,887
|
(52,874,307
|
) |
(5,496,117
|
) | |||||||
Net income (loss)
|
(423,738,003
|
) |
(1,532,383,201
|
) |
(458,458,134
|
) | ||||||
Shareholders’ equity, end of period
|
$ |
2,356,325,101
|
$ |
1,943,975,025
|
$ |
2,947,278,212
|
||||||
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF since January 13, 2017 (inception date). |
|
Year ended December 31,
|
|||||||||||
2019
|
|
2018
|
|
2017
*
|
|
|||||||
Cash flow from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income (loss)
|
$ |
(423,738,003
|
) | $ |
(1,532,383,201
|
) | $ |
(458,458,134
|
) | |||
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
|
(27,697,357,002
|
) |
(99,953,125,278
|
) |
(31,621,104,918
|
) | ||||||
Proceeds from sales or maturities of short-term U.S government and agency obligations
|
27,425,344,455
|
101,639,196,463
|
32,238,762,028
|
|||||||||
Net amortization and accretion on short-term U.S government and agency obligations
|
(27,697,111
|
) |
(25,444,619
|
) |
(24,840,586
|
) | ||||||
Net realized gain (loss) on investments
|
(81,302
|
) |
274,781
|
50,042
|
||||||||
Change in unrealized appreciation (depreciation) on investments
|
(73,528,201
|
) |
79,078,100
|
5,135,182
|
||||||||
Decrease (Increase) in securities sold receivable
|
(3,883
|
) |
—
|
—
|
||||||||
Decrease (Increase) in receivable on futures contracts
|
(5,205,255
|
) |
(34,668,088
|
) |
(3,368,120
|
) | ||||||
Decrease (Increase) in receivable in Limitation by Sponsor
|
—
|
59,651
|
(59,651
|
) | ||||||||
Decrease (Increase) in interest receivable
|
(423,564
|
) |
(555,187
|
) |
—
|
|||||||
Cash paid for offering costs
|
—
|
—
|
(343,794
|
) | ||||||||
Amortization of offering costs
|
—
|
105,643
|
238,151
|
|||||||||
Increase (Decrease) in payable to Sponsor
|
205,995
|
(968,109
|
) |
(213,033
|
) | |||||||
Increase (Decrease) in brokerage commissions and fees payable
|
—
|
—
|
(2,909
|
) | ||||||||
Increase (Decrease) in payable on futures contracts
|
18,830,370
|
30,119,414
|
(2,017,981
|
) | ||||||||
Increase (Decrease) in
non-recurring
fees and expenses payable
|
—
|
—
|
—
|
|||||||||
Net cash provided by (used in) operating activities
|
(783,653,501
|
) |
201,689,570
|
133,776,277
|
||||||||
Cash flow from financing activities
|
|
|
|
|
|
|
|
|
|
|||
Proceeds from addition of shares
|
5,180,423,903
|
6,196,623,015
|
9,097,496,596
|
|||||||||
Payment on shares redeemed
|
(4,305,253,454
|
) |
(5,783,407,073
|
) |
(8,967,195,585
|
) | ||||||
Net cash provided by (used in) financing activities
|
875,170,449
|
413,215,942
|
130,301,011
|
|||||||||
Net increase (decrease) in cash
|
91,516,948
|
614,905,512
|
264,077,288
|
|||||||||
Cash, beginning of period
|
1,098,678,257
|
483,772,745
|
219,695,457
|
|||||||||
Cash, end of period
|
$ |
1,190,195,205
|
$ |
1,098,678,257
|
$ |
483,772,745
|
||||||
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF since January 13, 2017 (inception date). |
Fund
|
Execution Date
(Prior to Opening of Trading) |
Type of Split
|
Date Trading
Resumed at Post- Split Price |
|||
ProShares UltraShort Bloomberg Crude Oil
|
January 11, 2017
|
2-for-1 Share split
|
January 12, 2017
|
|||
ProShares Ultra Bloomberg Crude Oil
|
January 11, 2017
|
1-for-2 reverse Share split
|
January 12, 2017
|
|||
ProShares Ultra VIX Short-Term Futures ETF
|
January 11, 2017
|
1-for-5 reverse Share split
|
January 12, 2017
|
|||
ProShares Short VIX Short-Term Futures ETF
|
July 12, 2017
|
2-for-1 Share split
|
July 17, 2017
|
|||
ProShares VIX Short-Term Futures ETF
|
July 14, 2017
|
1-for-4 reverse Share split
|
July 17, 2017
|
|||
ProShares Ultra VIX Short-Term Futures ETF
|
July 14, 2017
|
1-for-4 reverse Share split
|
July 17, 2017
|
|||
ProShares Ultra Bloomberg Natural Gas
|
March 19, 2018
|
1-for-5 reverse Share split
|
March 20, 2018
|
|||
ProShares UltraPro 3x Short Crude Oil ETF
|
March 19, 2018
|
1-for-4 reverse Share split
|
March 20, 2018
|
|||
ProShares Short VIX Short-Term Futures ETF
|
September 17, 2018
|
1-for-4 reverse Share split
|
September 18, 2018
|
|||
ProShares Ultra VIX Short-Term Futures ETF
|
September 17, 2018
|
1-for-5 reverse Share split
|
September 18, 2018
|
Fund
|
Create/Redeem
Cut-off*
|
NAV Calculation
Time |
NAV
Calculation Date |
|||
ProShares UltraShort Silver, ProShares Ultra Silver
|
1:00 p.m.
|
1:25 p.m.
|
December 31, 2019
|
|||
ProShares UltraShort Gold, ProShares Ultra Gold
|
1:00 p.m.
|
1:30 p.m.
|
December 31, 2019
|
|||
ProShares UltraShort Bloomberg Crude Oil,
|
|
|
|
|||
ProShares Ultra Bloomberg Crude Oil,
|
2:00 p.m.
|
2:30 p.m.
|
December 31, 2019
|
|||
ProShares UltraPro 3x Short Crude Oil ETF,
|
|
|
|
|||
ProShares UltraPro 3x Crude Oil ETF
|
|
|
|
|||
ProShares UltraShort Bloomberg Natural Gas,
|
|
|
|
|||
ProShares Ultra Bloomberg Natural Gas
|
2:00 p.m.
|
2:30 p.m.
|
December 31, 2019
|
|||
ProShares UltraShort Australian Dollar
|
3:00 p.m.
|
4:00 p.m.
|
December 31, 2019
|
|||
ProShares Short Euro
|
|
|
|
|||
ProShares UltraShort Euro,
|
|
|
|
|||
ProShares Ultra Euro
|
3:00 p.m.
|
4:00 p.m.
|
December 31, 2019
|
|||
ProShares UltraShort Yen,
|
|
|
|
|||
ProShares Ultra Yen
|
3:00 p.m.
|
4:00 p.m.
|
December 31, 2019
|
|||
ProShares VIX Short-Term Futures ETF,
|
|
|
|
|||
ProShares Ultra VIX Short-Term Futures ETF,
|
|
|
|
|||
ProShares Short VIX Short-Term Futures ETF
|
2:00 p.m.
|
4:15 p.m.
|
December 31, 2019
|
|||
ProShares VIX
Mid-Term
Futures ETF
|
2:00 p.m.
|
4:15 p.m.
|
December 31, 2019
|
* | Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the twelve months ended December 31, 2019. |
|
Level I - Quoted Prices
|
Level II
-
Other Significant Observable
Inputs |
|
|
||||||||||||||||
Fund
|
Short-Term
U.S.
Government and Agencies |
|
Futures
Contracts
*
|
|
Foreign
Currency Forward Contracts |
|
Swap
Agreements |
|
Total
|
|
||||||||||
ProShares Short Euro
|
$ |
745,805
|
$ |
(14,000
|
) | $ |
—
|
$ |
—
|
$ |
731,805
|
|||||||||
ProShares Short VIX Short-Term Futures ETF
|
56,929,436
|
10,254,872
|
—
|
—
|
67,184,308
|
|||||||||||||||
ProShares Ultra Bloomberg Crude Oil
|
200,115,463
|
765,575
|
—
|
21,814,590
|
222,695,628
|
|||||||||||||||
ProShares Ultra Bloomberg Natural Gas
|
27,530,314
|
(2,652,228
|
) |
—
|
—
|
24,878,086
|
||||||||||||||
ProShares Ultra Euro
|
3,970,412
|
—
|
109,997
|
—
|
4,080,409
|
|||||||||||||||
ProShares Ultra Gold
|
66,177,998
|
2,248,514
|
—
|
5,890,260
|
74,316,772
|
|||||||||||||||
ProShares Ultra Silver
|
135,544,101
|
5,724,549
|
—
|
25,135,898
|
166,404,548
|
|||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF
|
179,749,262
|
(46,396,781
|
) |
—
|
(209,784
|
) |
133,142,697
|
|||||||||||||
ProShares Ultra Yen
|
1,808,104
|
—
|
(10,529
|
) |
—
|
1,797,575
|
||||||||||||||
ProShares UltraPro 3x Crude Oil ETF
|
47,193,110
|
7,266,550
|
—
|
—
|
54,459,660
|
|||||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF
|
57,375,132
|
(8,358,056
|
) |
—
|
—
|
49,017,076
|
||||||||||||||
ProShares UltraShort Australian Dollar
|
3,931,474
|
(224,000
|
) |
—
|
—
|
3,707,474
|
||||||||||||||
ProShares UltraShort Bloomberg Crude Oil
|
62,199,283
|
(3,118,689
|
) |
—
|
(4,033,931
|
) |
55,046,663
|
|||||||||||||
ProShares UltraShort Bloomberg Natural Gas
|
5,154,876
|
672,329
|
—
|
—
|
5,827,205
|
|||||||||||||||
ProShares UltraShort Euro
|
78,590,100
|
—
|
(2,250,420
|
) |
—
|
76,339,680
|
||||||||||||||
ProShares UltraShort Gold
|
12,355,192
|
(391,570
|
) |
—
|
(1,172,809
|
) |
10,790,813
|
|||||||||||||
ProShares UltraShort Silver
|
9,162,867
|
(82,181
|
) |
—
|
(1,953,904
|
) |
7,126,782
|
|||||||||||||
ProShares UltraShort Yen
|
25,542,823
|
—
|
95,899
|
—
|
25,638,722
|
|||||||||||||||
ProShares VIX
Mid-Term
Futures ETF
|
13,980,559
|
(2,280,825
|
) |
—
|
—
|
11,699,734
|
||||||||||||||
ProShares VIX Short-Term Futures ETF
|
96,868,817
|
(15,394,011
|
) |
—
|
—
|
81,474,806
|
||||||||||||||
Total Trust
|
$
|
1,084,925,128
|
|
$
|
(51,979,952
|
)
|
$
|
(2,055,053
|
)
|
$
|
45,470,320
|
|
$
|
1,076,360,443
|
|
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
|
Level I - Quoted Prices
|
Level II - Other Significant Observable
Inputs
|
|
|
||||||||||||||||||||
Fund
|
Short-Term
U.S.
Government and Agencies |
|
Futures
Contracts
*
|
|
Forward
Agreements |
|
Foreign
Currency Forward Contracts |
|
Swap
Agreements |
|
Total
|
|
||||||||||||
ProShares Short Euro
|
$ |
599,429
|
$ |
(43,281
|
) | $ |
—
|
$ |
—
|
$ |
—
|
$ |
556,148
|
|||||||||||
ProShares Short VIX Short-Term Futures ETF
|
—
|
(14,476,201
|
) |
—
|
—
|
—
|
(14,476,201
|
) | ||||||||||||||||
ProShares Ultra Bloomberg Crude Oil
|
280,502,900
|
(14,040,301
|
) |
—
|
—
|
(72,767,125
|
) |
193,695,474
|
||||||||||||||||
ProShares Ultra Bloomberg Natural Gas
|
8,380,427
|
(10,323,163
|
) |
—
|
—
|
—
|
(1,942,736
|
) | ||||||||||||||||
ProShares Ultra Euro
|
1,496,658
|
—
|
—
|
57,938
|
—
|
1,554,596
|
||||||||||||||||||
ProShares Ultra Gold
|
41,941,734
|
72,670
|
4,253,301
|
—
|
—
|
46,267,705
|
||||||||||||||||||
ProShares Ultra Silver
|
123,795,806
|
340,736
|
26,301,717
|
—
|
—
|
150,438,259
|
||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF
|
—
|
32,503,965
|
—
|
—
|
(1,330,949
|
) |
31,173,016
|
|||||||||||||||||
ProShares Ultra Yen
|
—
|
—
|
—
|
177,111
|
—
|
177,111
|
||||||||||||||||||
ProShares UltraPro 3x Crude Oil ETF
|
20,979,876
|
(23,451,361
|
) |
—
|
—
|
—
|
(2,471,485
|
) | ||||||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF
|
—
|
7,019,475
|
—
|
—
|
—
|
7,019,475
|
||||||||||||||||||
ProShares UltraShort Australian Dollar
|
299,537
|
511,825
|
—
|
—
|
—
|
811,362
|
||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil
|
27,967,534
|
3,272,155
|
—
|
—
|
20,646,726
|
51,886,415
|
||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas
|
299,714
|
10,837,989
|
—
|
—
|
—
|
11,137,703
|
||||||||||||||||||
ProShares UltraShort Euro
|
121,801,685
|
—
|
—
|
(1,495,804
|
) |
—
|
120,305,881
|
|||||||||||||||||
ProShares UltraShort Gold
|
3,989,563
|
(31,780
|
) |
(990,786
|
) |
—
|
—
|
2,966,997
|
||||||||||||||||
ProShares UltraShort Silver
|
3,294,766
|
(44,917
|
) |
(1,793,011
|
) |
—
|
—
|
1,456,838
|
||||||||||||||||
ProShares UltraShort Yen
|
34,951,229
|
—
|
—
|
(3,123,744
|
) |
—
|
31,827,485
|
|||||||||||||||||
ProShares VIX
Mid-Term
Futures ETF
|
—
|
3,758,106
|
—
|
—
|
—
|
3,758,106
|
||||||||||||||||||
ProShares VIX Short-Term Futures ETF
|
114,785,002
|
17,378,445
|
—
|
—
|
—
|
132,163,447
|
||||||||||||||||||
Total Trust
|
$
|
785,085,860
|
|
$
|
13,284,362
|
|
$
|
27,771,221
|
|
$
|
(4,384,499
|
)
|
$
|
(53,451,348
|
)
|
$
|
768,305,596
|
|
*
|
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
|
|
|
Asset Derivatives
|
Liability Derivatives
|
|||||||||||
Derivatives Not
Accounted for as
Hedging Instruments
|
Fund
|
Statements of
Financial Condition Location |
Unrealized
Appreciation |
|
Statements of
Financial Condition Location |
Unrealized
Depreciation |
|
|||||||
VIX Futures Contracts
|
|
Receivables on open futures contracts and/or unrealized appreciation on swap agreements
|
|
Payable on open futures contracts and/or unrealized depreciation on swap agreements
|
|
|||||||||
|
ProShares Short VIX
Short-Term
Futures ETF
|
|
$ |
10,424,889
|
*
|
|
$ |
170,017
|
*
|
|||||
|
ProShares Ultra VIX
Short-Term
Futures ETF
|
|
—
|
|
46,606,565
|
*
|
||||||||
|
ProShares VIX
Mid-Term
Futures ETF
|
|
6,130
|
*
|
|
2,286,955
|
*
|
|||||||
|
ProShares VIX
Short-Term
Futures ETF
|
|
—
|
|
15,394,011
|
*
|
||||||||
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
|
|
22,580,165
|
*
|
|
—
|
||||||||
|
ProShares Ultra Bloomberg Natural Gas
|
|
—
|
|
2,652,228
|
*
|
||||||||
|
ProShares Ultra Gold
|
|
8,138,774
|
*
|
|
—
|
||||||||
|
ProShares Ultra Silver
|
|
30,860,447
|
*
|
|
—
|
||||||||
|
ProShares UltraPro 3x Crude Oil ETF
|
|
7,266,550
|
*
|
|
—
|
||||||||
|
ProShares UltraPro 3x Short Crude Oil ETF
|
|
—
|
|
8,358,056
|
*
|
||||||||
|
ProShares UltraShort Bloomberg Crude Oil
|
|
—
|
|
7,152,620
|
*
|
||||||||
|
ProShares UltraShort Bloomberg Natural Gas
|
|
672,329
|
*
|
|
—
|
||||||||
|
ProShares UltraShort Gold
|
|
—
|
|
1,564,379
|
*
|
||||||||
|
ProShares UltraShort Silver
|
|
—
|
|
2,036,085
|
*
|
||||||||
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
|
|
—
|
|
14,000
|
*
|
||||||||
|
ProShares Ultra Euro
|
|
109,997
|
|
—
|
|||||||||
|
ProShares Ultra Yen
|
|
—
|
|
10,529
|
|||||||||
|
ProShares UltraShort Australian Dollar
|
|
—
|
|
224,000
|
*
|
||||||||
|
ProShares UltraShort Euro
|
|
115,751
|
|
2,366,171
|
|||||||||
|
ProShares UltraShort Yen
|
|
95,899
|
|
—
|
|||||||||
|
|
Total Trust
|
$
|
80,270,931
|
*
|
|
$
|
88,835,616
|
*
|
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
|
|
Asset Derivatives
|
Liability Derivatives
|
|||||||||||
Derivatives Not
Accounted for as Hedging Instruments |
Fund
|
Statements of
Financial Condition Location |
Unrealized
Appreciation |
|
Statements of
Financial Condition Location |
Unrealized
Depreciation |
|
|||||||
VIX Futures Contracts
|
|
Receivables on open futures contracts, unrealized appreciation on swap agreements
|
|
Payable on open futures contracts, unrealized depreciation on swap agreements
|
|
|||||||||
|
ProShares Short VIX
Short-Term
Futures ETF
|
|
$ |
910,460
|
*
|
|
$ |
15,386,661
|
*
|
|||||
|
ProShares Ultra VIX
Short-Term
Futures ETF
|
|
33,798,582
|
*
|
|
2,625,566
|
*
|
|||||||
|
ProShares VIX
Mid-Term
Futures ETF
|
|
3,888,156
|
*
|
|
130,050
|
*
|
|||||||
|
ProShares VIX Short-Term Futures ETF
|
|
18,392,959
|
*
|
|
1,014,514
|
*
|
|||||||
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
|
|
—
|
|
86,807,426
|
*
|
||||||||
|
ProShares Ultra Bloomberg Natural Gas
|
|
—
|
|
10,323,163
|
*
|
||||||||
|
ProShares Ultra Gold
|
|
4,325,971
|
*
|
|
—
|
||||||||
|
ProShares Ultra Silver
|
|
26,642,453
|
*
|
|
—
|
||||||||
|
ProShares UltraPro 3x Crude Oil ETF
|
|
—
|
|
23,451,361
|
*
|
||||||||
|
ProShares UltraPro 3x Short Crude Oil ETF
|
|
7,019,475
|
*
|
|
—
|
||||||||
|
ProShares UltraShort Bloomberg Crude Oil
|
|
23,918,881
|
*
|
|
—
|
||||||||
|
ProShares UltraShort Bloomberg Natural Gas
|
|
10,837,989
|
*
|
|
—
|
||||||||
|
ProShares UltraShort Gold
|
|
—
|
|
1,022,566
|
*
|
||||||||
|
ProShares UltraShort Silver
|
|
—
|
|
1,837,928
|
*
|
||||||||
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
|
|
—
|
|
43,281
|
*
|
||||||||
|
ProShares Ultra Euro
|
|
61,971
|
|
4,033
|
|||||||||
|
ProShares Ultra Yen
|
|
179,187
|
|
2,076
|
|||||||||
|
ProShares UltraShort Australian Dollar
|
|
511,825
|
*
|
|
—
|
||||||||
|
ProShares UltraShort Euro
|
|
104,074
|
|
1,599,878
|
|||||||||
|
ProShares UltraShort Yen
|
|
678,152
|
|
3,801,896
|
|||||||||
|
|
Total Trust
|
$
|
131,270,135
|
*
|
|
$
|
148,050,399
|
*
|
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Derivatives Not Accounted
for as Hedging Instruments |
Location of Gain
(Loss) on Derivatives Recognized in Income |
Fund
|
Realized Gain
(Loss) on Derivatives Recognized in Income |
|
Change in
Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|
||||||
VIX Futures Contracts
|
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
|
|
|
|
||||||||
|
|
ProShares Short VIX
Short-Term
Futures ETF
|
$ |
125,639,084
|
$ |
24,731,073
|
||||||
|
|
ProShares Ultra VIX
Short-Term
Futures ETF
|
(612,858,632
|
) |
(77,779,581
|
) | ||||||
|
|
ProShares VIX
Mid-Term
Futures ETF
|
(6,228,652
|
) |
(6,038,931
|
) | ||||||
|
|
ProShares VIX Short-Term Futures ETF
|
(194,363,991
|
) |
(32,772,456
|
) | ||||||
Commodities Contracts
|
Net realized gain (loss) on futures contracts, forward and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts, forward and/or swap agreements
|
|
|
|
||||||||
|
|
ProShares Ultra Bloomberg Crude Oil
|
144,170,473
|
109,387,591
|
||||||||
|
|
ProShares Ultra Bloomberg Natural Gas
|
(32,380,194
|
) |
7,670,935
|
|||||||
|
|
ProShares Ultra Gold
|
19,587,937
|
3,812,803
|
||||||||
|
|
ProShares Ultra Silver
|
34,367,044
|
4,217,994
|
||||||||
|
|
ProShares UltraPro 3x Crude Oil ETF
|
69,170,933
|
30,717,911
|
||||||||
|
|
ProShares UltraPro 3x Short Crude Oil ETF
|
(2,410,550
|
) |
(15,377,531
|
) | ||||||
|
|
ProShares UltraShort Bloomberg Crude Oil
|
(14,251,700
|
) |
(31,071,501
|
) | ||||||
|
|
ProShares UltraShort Bloomberg Natural Gas
|
19,286,567
|
(10,165,660
|
) | |||||||
|
|
ProShares UltraShort Gold
|
(5,193,260
|
) |
(541,813
|
) | ||||||
|
|
ProShares UltraShort Silver
|
(4,544,770
|
) |
(198,157
|
) | ||||||
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
|
972,479
|
29,281
|
||||||||
|
|
ProShares Ultra Euro
|
(722,691
|
) |
52,059
|
|||||||
|
|
ProShares Ultra Yen
|
58,152
|
(187,640
|
) | |||||||
|
|
ProShares UltraShort Australian Dollar
|
833,171
|
(735,825
|
) | |||||||
|
|
ProShares UltraShort Euro
|
13,745,299
|
(754,616
|
) | |||||||
|
|
ProShares UltraShort Yen
|
(1,979,140
|
) |
3,219,643
|
|||||||
|
|
Total Trust
|
$
|
(447,102,441
|
)
|
$
|
8,215,579
|
|
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
|
$ |
(1,885,564,719
|
) | $ |
(31,517,650
|
) | ||||
|
|
ProShares Ultra VIX Short-Term Futures ETF
|
390,000,742
|
65,639,136
|
||||||||
|
|
ProShares VIX
Mid-Term
Futures ETF
|
4,332,654
|
5,973,386
|
||||||||
|
|
ProShares VIX Short-Term Futures ETF
|
89,903,111
|
22,140,322
|
||||||||
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
|
21,756,994
|
(160,991,766
|
) | |||||||
|
|
ProShares Ultra Bloomberg Natural Gas
|
21,092,864
|
(17,548,973
|
) | |||||||
|
|
ProShares Ultra Gold
|
(7,345,006
|
) |
674,136
|
|||||||
|
|
ProShares Ultra Silver
|
(57,488,526
|
) |
4,905,519
|
|||||||
|
|
ProShares UltraPro 3x Crude Oil ETF
|
(37,435,672
|
) |
(24,869,359
|
) | ||||||
|
|
ProShares UltraPro 3x Short Crude Oil ETF
|
7,377,281
|
10,007,630
|
||||||||
|
|
ProShares UltraShort Bloomberg Crude Oil
|
(42,040,086
|
) |
58,488,671
|
|||||||
|
|
ProShares UltraShort Bloomberg Natural Gas
|
(14,147,964
|
) |
11,935,038
|
|||||||
|
|
ProShares UltraShort Gold
|
1,323,579
|
471,153
|
||||||||
|
|
ProShares UltraShort Silver
|
5,024,976
|
(120,115
|
) | |||||||
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
|
459,984
|
123,007
|
||||||||
|
|
ProShares Ultra Euro
|
(1,063,823
|
) |
(206,214
|
) | ||||||
|
|
ProShares Ultra Yen
|
(170,364
|
) |
211,935
|
|||||||
|
|
ProShares UltraShort Australian Dollar
|
128,451
|
1,405,045
|
||||||||
|
|
ProShares UltraShort Euro
|
18,953,455
|
4,848,465
|
||||||||
|
|
ProShares UltraShort Yen
|
2,111,627
|
(4,651,007
|
) | |||||||
|
|
Total Trust
|
$
|
(1,482,790,442
|
)
|
$
|
(53,081,641
|
)
|
Derivatives Not Accounted
for as Hedging Instruments |
Location of Gain
(Loss) on Derivatives
Recognized in Income |
Fund
|
Realized Gain
(Loss) on Derivatives Recognized in Income |
|
Change in
Unrealized
Appreciation (Depreciation) on Derivatives
Recognized in
Income |
|
||||||
VIX Futures Contracts
|
Net realized gain (loss) on futures contracts/ changes in unrealized appreciation (depreciation) on futures contracts
|
ProShares Short VIX Short-Term Futures ETF
|
$ |
897,400,516
|
$ |
27,351,060
|
||||||
|
ProShares Ultra VIX Short-Term Futures ETF
|
(1,020,750,851
|
) |
(26,493,883
|
) | |||||||
|
ProShares VIX
Mid-Term
Futures ETF
|
(25,319,770
|
) |
(927,035
|
) | |||||||
|
ProShares VIX Short-Term Futures ETF
|
(194,005,568
|
) |
(4,293,225
|
) | |||||||
Commodity Contracts
|
Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation (depreciation) on futures contracts, swap and/or forward agreements
|
ProShares Ultra Bloomberg Crude Oil
|
22,146,212
|
13,288,604
|
||||||||
|
ProShares Ultra Bloomberg Natural Gas
|
(40,793,265
|
) |
4,689,090
|
||||||||
|
ProShares Ultra Gold
|
11,484,410
|
8,101,902
|
|||||||||
|
ProShares Ultra Silver
|
(31,762,834
|
) |
42,740,483
|
||||||||
ProShares UltraPro 3x Crude Oil ETF
|
6,018,618
|
1,417,998
|
||||||||||
ProShares UltraPro 3x Short Crude Oil ETF
|
(7,046,628
|
) |
(2,988,155
|
) | ||||||||
|
ProShares UltraShort Bloomberg Crude Oil
|
(6,491,060
|
) |
(20,936,094
|
) | |||||||
|
ProShares UltraShort Bloomberg Natural Gas
|
4,762,532
|
(615,018
|
) | ||||||||
|
ProShares UltraShort Gold
|
(6,993,557
|
) |
(4,546,265
|
) | |||||||
|
ProShares UltraShort Silver
|
1,153,393
|
(3,129,369
|
) | ||||||||
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
|
(1,161,987
|
) |
(299,188
|
) | ||||||
ProShares Ultra Euro
|
2,212,313
|
838,162
|
||||||||||
|
ProShares Ultra Yen
|
(46,195
|
) |
307,252
|
||||||||
|
ProShares UltraShort Australian Dollar
|
(866,771
|
) |
(2,075,560
|
) | |||||||
ProShares UltraShort Euro
|
(39,691,680
|
) |
(22,507,200
|
) | ||||||||
|
ProShares UltraShort Yen
|
(8,729,472
|
) |
(15,217,674
|
) | |||||||
|
|
|
|
|||||||||
|
|
Total Trust
|
$ |
(438,481,644
|
) | $ |
(5,294,115
|
) |
Fair Values of Derivative Instruments as of December 31, 2019
|
||||||||||||||||||||||||
|
Assets
|
Liabilities
|
||||||||||||||||||||||
Fund
|
Gross Amounts
of Recognized Assets presented in the Statements of Financial Condition |
|
Gross Amounts
Offset in the Statements of Financial Condition |
|
Net Amounts of
Assets presented in the Statements of Financial Condition |
|
Gross Amounts
of Recognized Liabilities presented in the Statements of Financial Condition |
|
Gross Amounts
Offset in the Statements of Financial Condition |
|
Net Amounts of
Liabilities presented in the Statements of Financial Condition |
|
||||||||||||
ProShares Ultra Bloomberg Crude Oil
|
|
|
|
|
|
|
||||||||||||||||||
Swap agreements
|
$ |
21,814,590
|
$ |
—
|
$ |
21,814,590
|
$ |
—
|
$ |
—
|
$ |
—
|
||||||||||||
ProShares Ultra Euro
|
|
|
|
|
|
|
||||||||||||||||||
Foreign currency forward contracts
|
109,997
|
—
|
109,997
|
—
|
—
|
—
|
||||||||||||||||||
ProShares Ultra Gold
|
|
|
|
|
|
|
||||||||||||||||||
Swap agreements
|
5,890,260
|
—
|
5,890,260
|
—
|
—
|
—
|
||||||||||||||||||
ProShares Ultra Silver
|
|
|
|
|
|
|
||||||||||||||||||
Swap agreements
|
25,135,898
|
—
|
25,135,898
|
—
|
—
|
—
|
||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF
|
|
|
|
|
|
|
||||||||||||||||||
Swap agreements
|
—
|
—
|
—
|
209,784
|
—
|
209,784
|
||||||||||||||||||
ProShares Ultra Yen
|
|
|
|
|
|
|
||||||||||||||||||
Foreign currency forward contracts
|
—
|
—
|
—
|
10,529
|
—
|
10,529
|
||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil
|
|
|
|
|
|
|
||||||||||||||||||
Swap agreements
|
—
|
—
|
—
|
4,033,931
|
—
|
4,033,931
|
||||||||||||||||||
ProShares UltraShort Euro
|
|
|
|
|
|
|
||||||||||||||||||
Foreign currency forward contracts
|
115,751
|
—
|
115,751
|
2,366,171
|
—
|
2,366,171
|
||||||||||||||||||
ProShares UltraShort Gold
|
|
|
|
|
|
|
||||||||||||||||||
Swap agreements
|
—
|
—
|
—
|
1,172,809
|
—
|
1,172,809
|
||||||||||||||||||
ProShares UltraShort Silver
|
|
|
|
|
|
|
||||||||||||||||||
Swap agreements
|
—
|
—
|
—
|
1,953,904
|
—
|
1,953,904
|
||||||||||||||||||
ProShares UltraShort Yen
|
|
|
|
|
|
|
||||||||||||||||||
Foreign currency forward contracts
|
95,899
|
—
|
95,899
|
—
|
—
|
—
|
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.
|
$ |
6,039,121
|
$ |
—
|
$ |
(6,039,121
|
) | $ |
—
|
|||||||
Goldman Sachs International
|
4,393,163
|
(4,393,163
|
) |
—
|
—
|
|||||||||||
Royal Bank of Canada
|
4,210,281
|
—
|
(4,210,281
|
) |
—
|
|||||||||||
Societe Generale
|
2,253,037
|
(2,253,037
|
) |
—
|
—
|
|||||||||||
UBS AG
|
4,918,988
|
(4,918,988
|
) |
—
|
—
|
|||||||||||
ProShares Ultra Euro
|
|
|
|
|
||||||||||||
Goldman Sachs International
|
54,679
|
—
|
—
|
54,679
|
||||||||||||
UBS AG
|
55,318
|
—
|
—
|
55,318
|
||||||||||||
ProShares Ultra Gold
|
|
|
|
|
||||||||||||
Citibank, N.A.
|
2,300,665
|
—
|
(1,960,000
|
) |
340,665
|
|||||||||||
Goldman Sachs International
|
1,681,492
|
(1,489,073
|
) |
—
|
192,419
|
|||||||||||
UBS AG
|
1,908,103
|
(1,638,362
|
) |
—
|
269,741
|
|||||||||||
ProShares Ultra Silver
|
|
|
|
|
||||||||||||
Citibank, N.A.
|
10,329,244
|
—
|
(10,329,244
|
) |
—
|
|||||||||||
Goldman Sachs International
|
5,925,755
|
(5,925,755
|
) |
—
|
—
|
|||||||||||
UBS AG
|
8,880,899
|
(8,880,899
|
) |
—
|
—
|
|||||||||||
ProShares Ultra VIX Short-Term Futures ETF
|
|
|
|
|
||||||||||||
Goldman Sachs & Co.
|
(209,784
|
) |
—
|
209,784
|
—
|
|||||||||||
ProShares Ultra Yen
|
|
|
|
|
||||||||||||
Goldman Sachs International
|
(2,404
|
) |
—
|
2,404
|
—
|
|||||||||||
UBS AG
|
(8,125
|
) |
—
|
8,125
|
—
|
|||||||||||
ProShares UltraShort Bloomberg Crude Oil
|
|
|
|
|
||||||||||||
Citibank, N.A.
|
(1,401,797
|
) |
1,401,797
|
—
|
—
|
|||||||||||
Goldman Sachs International
|
(793,395
|
) |
793,395
|
—
|
—
|
|||||||||||
Royal Bank of Canada
|
(815,341
|
) |
815,341
|
—
|
—
|
|||||||||||
Societe Generale
|
(325,459
|
) |
—
|
325,459
|
—
|
|||||||||||
UBS AG
|
(697,939
|
) |
—
|
697,939
|
—
|
|||||||||||
ProShares UltraShort Euro
|
|
|
|
|
||||||||||||
Goldman Sachs International
|
(1,134,162
|
) |
1,134,162
|
—
|
—
|
|||||||||||
UBS AG
|
(1,116,258
|
) |
1,116,258
|
—
|
—
|
|||||||||||
ProShares UltraShort Gold
|
|
|
|
|
||||||||||||
Citibank, N.A.
|
(534,714
|
) |
534,714
|
—
|
—
|
|||||||||||
Goldman Sachs International
|
(263,870
|
) |
263,870
|
—
|
—
|
|||||||||||
UBS AG
|
(374,225
|
) |
—
|
374,225
|
—
|
|||||||||||
ProShares UltraShort Silver
|
|
|
|
|
||||||||||||
Citibank, N.A.
|
(788,313
|
) |
788,313
|
—
|
—
|
|||||||||||
Goldman Sachs International
|
(401,324
|
) |
—
|
401,324
|
—
|
|||||||||||
UBS AG
|
(764,267
|
) |
764,267
|
—
|
—
|
|||||||||||
ProShares UltraShort Yen
|
|
|
|
|
||||||||||||
Goldman Sachs International
|
32,828
|
(32,828
|
) |
—
|
—
|
|||||||||||
UBS AG
|
63,071
|
(63,071
|
) |
—
|
—
|
Fair Values of Derivative Instruments as of December 31, 2018
|
||||||||||||||||||||||||
|
Assets
|
Liabilities
|
||||||||||||||||||||||
|
Gross
Amounts of Recognized Assets presented in the Statements of Financial Condition |
|
Gross
Amounts Offset in the Statements of Financial Condition |
|
Net Amounts of
Assets presented in the Statements of Financial Condition |
|
Gross
Amounts of Recognized Liabilities presented in the Statements of Financial Condition |
|
Gross
Amounts Offset in the Statements of Financial Condition |
|
Net Amounts of
Liabilities presented in the Statements of Financial Condition |
|
||||||||||||
ProShares Ultra Bloomberg Crude Oil
|
|
|
|
|
|
|
||||||||||||||||||
Swap agreements
|
$ |
—
|
$ |
—
|
$ |
—
|
$ |
72,767,125
|
$ |
—
|
$ |
72,767,125
|
||||||||||||
ProShares Ultra Euro
|
|
|
|
|
|
|
||||||||||||||||||
Foreign currency forward contracts
|
61,971
|
—
|
61,971
|
4,033
|
—
|
4,033
|
||||||||||||||||||
ProShares Ultra Gold
|
|
|
|
|
|
|
||||||||||||||||||
Forward agreements
|
4,253,301
|
—
|
4,253,301
|
—
|
—
|
—
|
||||||||||||||||||
ProShares Ultra Silver
|
|
|
|
|
|
|
||||||||||||||||||
Forward agreements
|
26,301,717
|
—
|
26,301,717
|
—
|
—
|
—
|
||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF
|
|
|
|
|
|
|
||||||||||||||||||
Swap agreements
|
—
|
—
|
—
|
1,330,949
|
—
|
1,330,949
|
||||||||||||||||||
ProShares Ultra Yen
|
|
|
|
|
|
|
||||||||||||||||||
Foreign currency forward contracts
|
179,187
|
—
|
179,187
|
2,076
|
—
|
2,076
|
||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil
|
|
|
|
|
|
|
||||||||||||||||||
Swap agreements
|
20,646,726
|
—
|
20,646,726
|
—
|
—
|
—
|
||||||||||||||||||
ProShares UltraShort Euro
|
|
|
|
|
|
|
||||||||||||||||||
Foreign currency forward contracts
|
104,074
|
—
|
104,074
|
1,599,878
|
—
|
1,599,878
|
||||||||||||||||||
ProShares UltraShort Gold
|
|
|
|
|
|
|
||||||||||||||||||
Forward agreements
|
—
|
—
|
—
|
990,786
|
—
|
990,786
|
||||||||||||||||||
ProShares UltraShort Silver
|
|
|
|
|
|
|
||||||||||||||||||
Forward agreements
|
—
|
—
|
—
|
1,793,011
|
—
|
1,793,011
|
||||||||||||||||||
ProShares UltraShort Yen
|
|
|
|
|
|
|
||||||||||||||||||
Foreign currency forward contracts
|
678,152
|
—
|
678,152
|
3,801,896
|
—
|
3,801,896
|
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2018
|
||||||||||||||||
|
Amounts of Recognized
Assets / (Liabilities) presented in the Statements of Financial Condition |
|
Financial Instruments
for the Benefit of (the Funds) / the Counterparties |
|
Cash Collateral for the
Benefit of (the Funds) / the Counterparties |
|
Net Amount
|
|
||||||||
ProShares Ultra Bloomberg Crude Oil
|
|
|
|
|
||||||||||||
Citibank, N.A.
|
$ |
(22,752,565
|
) | $ |
20,667,565
|
$ |
2,085,000
|
$ |
—
|
|||||||
Goldman Sachs International
|
(15,691,687
|
) |
10,417,687
|
5,274,000
|
—
|
|||||||||||
Royal Bank of Canada
|
(13,836,386
|
) |
13,836,386
|
—
|
—
|
|||||||||||
Societe Generale
|
(5,206,589
|
) |
1,491,589
|
3,715,000
|
—
|
|||||||||||
UBS AG
|
(15,279,898
|
) |
15,156,898
|
123,000
|
—
|
|||||||||||
ProShares Ultra Euro
|
|
|
|
|
||||||||||||
Goldman Sachs International
|
26,209
|
—
|
—
|
26,209
|
||||||||||||
UBS AG
|
31,729
|
—
|
—
|
31,729
|
||||||||||||
ProShares Ultra Gold
|
|
|
|
|
||||||||||||
Citibank, N.A.
|
1,682,026
|
(1,682,026
|
) |
—
|
—
|
|||||||||||
Goldman Sachs International
|
1,223,528
|
(1,223,528
|
) |
—
|
—
|
|||||||||||
Societe Generale
|
61,260
|
—
|
—
|
61,260
|
||||||||||||
UBS AG
|
1,286,487
|
(1,286,487
|
) |
—
|
—
|
|||||||||||
ProShares Ultra Silver
|
|
|
|
|
||||||||||||
Citibank, N.A.
|
9,662,061
|
(8,053,860
|
) |
—
|
1,608,201
|
|||||||||||
Goldman Sachs International
|
8,418,745
|
(1,655,971
|
) |
—
|
6,762,774
|
|||||||||||
Societe Generale
|
118,797
|
—
|
—
|
118,797
|
||||||||||||
UBS AG
|
8,102,114
|
(6,971,401
|
) |
—
|
1,130,713
|
|||||||||||
ProShares Ultra VIX Short-Term Futures ETF
|
|
|
|
|
||||||||||||
Goldman Sachs International
|
(1,330,949
|
) |
—
|
1,330,949
|
—
|
|||||||||||
ProShares Ultra Yen
|
|
|
|
|
||||||||||||
Goldman Sachs International
|
73,705
|
—
|
—
|
73,705
|
||||||||||||
UBS AG
|
103,406
|
—
|
—
|
103,406
|
||||||||||||
ProShares UltraShort Bloomberg Crude Oil
|
|
|
|
|
||||||||||||
Citibank, N.A.
|
8,336,367
|
(8,336,367
|
) |
—
|
—
|
|||||||||||
Goldman Sachs International
|
2,752,372
|
(2,752,372
|
) |
—
|
—
|
|||||||||||
Royal Bank of Canada
|
4,237,960
|
—
|
(4,237,960
|
) |
—
|
|||||||||||
Societe Generale
|
1,891,050
|
(1,891,050
|
) |
—
|
—
|
|||||||||||
UBS AG
|
3,428,977
|
(3,428,977
|
) |
—
|
—
|
|||||||||||
ProShares UltraShort Euro
|
|
|
|
|
||||||||||||
Goldman Sachs International
|
(610,002
|
) |
610,002
|
—
|
—
|
|||||||||||
UBS AG
|
(885,802
|
) |
—
|
885,802
|
—
|
|||||||||||
ProShares UltraShort Gold
|
|
|
|
|
||||||||||||
Citibank, N.A.
|
(380,655
|
) |
119,655
|
261,000
|
—
|
|||||||||||
Goldman Sachs International
|
(258,134
|
) |
—
|
258,134
|
—
|
|||||||||||
Societe Generale
|
(63,076
|
) |
—
|
63,076
|
—
|
|||||||||||
UBS AG
|
(288,921
|
) |
—
|
288,921
|
—
|
|||||||||||
ProShares UltraShort Silver
|
|
|
|
|
||||||||||||
Citibank, N.A.
|
(566,050
|
) |
—
|
566,050
|
—
|
|||||||||||
Goldman Sachs International
|
(605,756
|
) |
—
|
605,756
|
—
|
|||||||||||
Societe Generale
|
(119,953
|
) |
—
|
119,953
|
—
|
|||||||||||
UBS AG
|
(501,252
|
) |
—
|
501,252
|
—
|
|||||||||||
ProShares UltraShort Yen
|
|
|
|
|
||||||||||||
Goldman Sachs International
|
(1,425,071
|
) |
—
|
1,425,071
|
—
|
|||||||||||
UBS AG
|
(1,698,673
|
) |
1,571,673
|
127,000
|
—
|
Fund
|
Year Ended
December 31, 2019 |
|
Year Ended
December 31, 2018 |
|
Year Ended
December 31, 2017 |
|
||||||
ProShares Short Euro
|
$ |
—
|
$ |
—
|
$ |
—
|
||||||
ProShares Short VIX Short-Term Futures ETF
|
189,274
|
699,323
|
1,008,452
|
|||||||||
ProShares Ultra Bloomberg Crude Oil
|
57,619
|
235,966
|
610,969
|
|||||||||
ProShares Ultra Bloomberg Natural Gas
|
5,580
|
16,562
|
15,937
|
|||||||||
ProShares Ultra Euro
|
—
|
—
|
—
|
|||||||||
ProShares Ultra Gold
|
1,632
|
10,139
|
14,460
|
|||||||||
ProShares Ultra Silver
|
7,332
|
26,173
|
28,622
|
|||||||||
ProShares Ultra VIX Short-Term Futures ETF
|
1,925,312
|
2,194,669
|
1,036,162
|
|||||||||
ProShares Ultra Yen
|
—
|
—
|
—
|
|||||||||
ProShares UltraPro 3x Crude Oil ETF
|
24,934
|
81,882
|
25,455
|
|||||||||
ProShares UltraPro 3x Short Crude Oil ETF
|
8,919
|
46,345
|
14,096
|
|||||||||
ProShares UltraShort Australian Dollar
|
—
|
—
|
—
|
|||||||||
ProShares UltraShort Bloomberg Crude Oil
|
27,697
|
135,524
|
207,707
|
|||||||||
ProShares UltraShort Bloomberg Natural Gas
|
1,378
|
9,616
|
4,713
|
|||||||||
ProShares UltraShort Euro
|
—
|
—
|
—
|
|||||||||
ProShares UltraShort Gold
|
1,606
|
10,644
|
15,945
|
|||||||||
ProShares UltraShort Silver
|
—
|
—
|
—
|
|||||||||
ProShares UltraShort Yen
|
—
|
—
|
—
|
|||||||||
ProShares VIX
Mid-Term
Futures ETF
|
18,415
|
27,723
|
13,605
|
|||||||||
ProShares VIX Short-Term Futures ETF
|
205,080
|
160,987
|
142,380
|
|||||||||
Total Trust
|
$
|
2,474,778
|
|
$
|
3,655,553
|
|
$
|
3,138,503
|
|
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
|
$ |
43.10
|
$ |
42.36
|
$ |
13.06
|
$ |
25.28
|
$ |
15.09
|
$ |
37.12
|
||||||||||||
Net investment income (loss)
|
0.55
|
0.18
|
0.19
|
0.07
|
0.13
|
0.42
|
||||||||||||||||||
Net realized and unrealized gain (loss)#
|
1.99
|
23.08
|
7.12
|
(16.95
|
) |
(1.43
|
) |
11.67
|
||||||||||||||||
Change in net asset value from operations
|
2.54
|
23.26
|
7.31
|
(16.88
|
) |
(1.30
|
) |
12.09
|
||||||||||||||||
Net asset value, at December 31, 2019
|
$ |
45.64
|
$ |
65.62
|
$ |
20.37
|
$ |
8.40
|
$ |
13.79
|
$ |
49.21
|
||||||||||||
Market value per share, at December 31, 2018
†
|
$ |
43.08
|
$ |
42.30
|
$ |
13.30
|
$ |
25.82
|
$ |
15.12
|
$ |
37.41
|
||||||||||||
Market value per share, at December 31, 2019
†
|
$ |
45.69
|
$ |
65.23
|
$ |
20.46
|
$ |
8.34
|
$ |
13.77
|
$ |
49.05
|
||||||||||||
Total Return, at net asset value
|
5.9
|
% |
54.9
|
% |
56.0
|
% |
(66.8
|
)% |
(8.6
|
)% |
32.6
|
% | ||||||||||||
Total Return, at market value
|
6.0
|
% |
54.2
|
% |
53.8
|
% |
(67.7
|
)% |
(8.9
|
)% |
31.1
|
% | ||||||||||||
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Expense ratio
|
0.97
|
% |
1.27
|
%^^ |
0.99
|
% |
1.37
|
% |
0.95
|
% |
0.96
|
% | ||||||||||||
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
|
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% | ||||||||||||
Net investment income gain (loss)
|
1.24
|
% |
0.33
|
% |
1.02
|
% |
0.52
|
% |
0.89
|
% |
0.97
|
% |
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^^
Expense ratio, excluding
non-recurring
fees and expense is
1.16
%.
|
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
|
$ |
26.39
|
$ |
81.46
|
$ |
57.53
|
$ |
13.08
|
$ |
49.79
|
$ |
55.30
|
||||||||||||
Net investment income (loss)
|
0.25
|
0.01
|
0.52
|
0.14
|
0.05
|
0.59
|
||||||||||||||||||
Net realized and unrealized gain (loss)#
|
5.06
|
(68.80
|
) |
(2.22
|
) |
8.25
|
(39.18
|
) |
0.20
|
|||||||||||||||
Change in net asset value from operations
|
5.31
|
(68.79
|
) |
(1.70
|
) |
8.39
|
(39.13
|
) |
0.79
|
|||||||||||||||
Net asset value, at December 31, 2019
|
$ |
31.70
|
$ |
12.67
|
$ |
55.83
|
$ |
21.47
|
$ |
10.66
|
$ |
56.09
|
||||||||||||
Market value per share, at December 31, 2018
†
|
$ |
26.37
|
$ |
81.73
|
$ |
57.55
|
$ |
13.47
|
$ |
48.43
|
$ |
54.92
|
||||||||||||
Market value per share, at December 31, 2019
†
|
$ |
31.65
|
$ |
12.89
|
$ |
55.83
|
$ |
21.60
|
$ |
10.58
|
$ |
55.88
|
||||||||||||
Total Return, at net asset value
|
20.1
|
% |
(84.4
|
)% |
(3.0
|
)% |
64.1
|
% |
(78.6
|
)% |
1.4
|
% | ||||||||||||
Total Return, at market value
|
20.0
|
% |
(84.2
|
)% |
(3.0
|
)% |
60.4
|
% |
(78.2
|
)% |
1.7
|
% | ||||||||||||
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Expense ratio
|
0.97
|
% |
1.54
|
%^^ |
0.95
|
% |
1.25
|
% |
1.40
|
% |
1.03
|
% | ||||||||||||
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
|
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% | ||||||||||||
Net investment income gain (loss)
|
0.91
|
% |
0.02
|
% |
0.92
|
% |
0.66
|
% |
0.31
|
% |
1.05
|
% |
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^^
Expense ratio, excluding
non-recurring
fees and expense is
1.53
%.
|
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
|
$ |
29.79
|
$ |
21.61
|
$ |
24.27
|
$ |
73.28
|
$ |
37.13
|
$ |
73.89
|
||||||||||||
Net investment income (loss)
|
0.14
|
0.08
|
0.29
|
0.59
|
0.31
|
0.87
|
||||||||||||||||||
Net realized and unrealized gain (loss)#
|
(17.74
|
) |
16.84
|
2.24
|
(20.85
|
) |
(10.68
|
) |
1.61
|
|||||||||||||||
Change in net asset value from operations
|
(17.60
|
) |
16.92
|
2.53
|
(20.26
|
) |
(10.37
|
) |
2.48
|
|||||||||||||||
Net asset value, at December 31, 2019
|
$ |
12.19
|
$ |
38.53
|
$ |
26.80
|
$ |
53.02
|
$ |
26.76
|
$ |
76.37
|
||||||||||||
Market value per share, at December 31, 2018
†
|
$ |
29.28
|
$ |
21.22
|
$ |
24.25
|
$ |
72.84
|
$ |
37.10
|
$ |
73.86
|
||||||||||||
Market value per share, at December 31, 2019
†
|
$ |
12.15
|
$ |
38.82
|
$ |
26.80
|
$ |
53.21
|
$ |
26.80
|
$ |
76.35
|
||||||||||||
Total Return, at net asset value
|
(59.1
|
)% |
78.3
|
% |
10.4
|
% |
(27.6
|
)% |
(27.9
|
)% |
3.4
|
% | ||||||||||||
Total Return, at market value
|
(58.5
|
)% |
82.9
|
% |
10.5
|
% |
(26.9
|
)% |
(27.8
|
)% |
3.4
|
% | ||||||||||||
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Expense ratio
|
1.06
|
% |
1.57
|
% |
0.95
|
% |
0.98
|
% |
1.00
|
% |
0.95
|
% | ||||||||||||
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
|
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% | ||||||||||||
Net investment income gain (loss)
|
0.88
|
% |
0.33
|
% |
1.12
|
% |
0.94
|
% |
0.90
|
% |
1.17
|
% |
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
Per Share Operating
Performance |
VIX
Mid-
Term Futures
ETF |
|
VIX Short-
Term Futures ETF |
|
||||
Net asset value, at December 31, 2018
|
$ |
26.65
|
$ |
38.58
|
||||
Net investment income (loss)
|
0.25
|
0.18
|
||||||
Net realized and unrealized gain (loss)#
|
(5.63
|
) |
(26.46
|
) | ||||
Change in net asset value from operations
|
(5.38
|
) |
(26.28
|
) | ||||
Net asset value, at December 31, 2019
|
$ |
21.27
|
$ |
12.30
|
||||
Market value per share, at December 31, 2018
†
|
$ |
26.74
|
$ |
38.61
|
||||
Market value per share, at December 31, 2019
†
|
$ |
21.29
|
$ |
12.43
|
||||
Total Return, at net asset value
|
(20.2
|
)% |
(68.1
|
)% | ||||
Total Return, at market value
|
(20.4
|
)% |
(67.8
|
)% | ||||
Ratios to Average Net Assets
|
|
|
|
|
|
|
||
Expense ratio
|
0.92
|
% |
0.96
|
% | ||||
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
|
0.85
|
% |
0.85
|
% | ||||
Net investment income gain (loss)
|
1.10
|
% |
0.90
|
% |
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
Per Share Operating
Performance |
Short Euro
|
|
Short VIX
Short-Term
Futures ETF
*
|
|
Ultra
Bloomberg Crude Oil |
|
Ultra
Bloomberg Natural Gas
*
|
|
Ultra Euro
|
|
Ultra Gold
|
|
||||||||||||
Net asset value, at December 31, 2017
|
$ |
39.96
|
$ |
509.20
|
$ |
23.66
|
$ |
32.64
|
$ |
17.44
|
$ |
39.88
|
||||||||||||
Net investment income (loss)
|
0.22
|
(0.23
|
) |
0.20
|
0.09
|
0.06
|
0.28
|
|||||||||||||||||
Net realized and unrealized gain (loss)#
|
2.92
|
(466.61
|
) |
(10.80
|
) |
(7.45
|
) |
(2.41
|
) |
(3.04
|
) | |||||||||||||
Change in net asset value from operations
|
3.14
|
(466.84
|
) |
(10.60
|
) |
(7.36
|
) |
(2.35
|
) |
(2.76
|
) | |||||||||||||
Net asset value, at December 31, 2018
|
$ |
43.10
|
$ |
42.36
|
$ |
13.06
|
$ |
25.28
|
$ |
15.09
|
$ |
37.12
|
||||||||||||
Market value per share, at December 31, 2017
†
|
$ |
39.99
|
$ |
512.84
|
$ |
23.44
|
$ |
32.50
|
$ |
17.46
|
$ |
40.67
|
||||||||||||
Market value per share, at December 31, 2018
†
|
$ |
43.08
|
$ |
42.30
|
$ |
13.30
|
$ |
25.82
|
$ |
15.12
|
$ |
37.41
|
||||||||||||
Total Return, at net asset value
|
7.9
|
% |
(91.7
|
)% |
(44.8
|
)% |
(22.5
|
)% |
(13.5
|
)% |
(6.9
|
)% | ||||||||||||
Total Return, at market value
|
7.7
|
% |
(91.8
|
)% |
(43.3
|
)% |
(20.6
|
)% |
(13.4
|
)% |
(8.0
|
)% | ||||||||||||
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Expense ratio
|
0.97
|
% |
1.34
|
% |
0.97
|
% |
1.22
|
% |
0.95
|
% |
0.95
|
% | ||||||||||||
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
|
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% | ||||||||||||
Net investment income gain (loss)
|
0.54
|
% |
(0.37
|
)% |
0.73
|
% |
0.30
|
% |
0.36
|
% |
0.73
|
% |
*
See Note 1 of these Notes to Financial Statements.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
Per Share Operating
Performance |
Ultra Silver
|
|
Ultra VIX
Short-Term
Futures ETF
*
|
|
Ultra Yen
|
|
UltraPro 3x
Crude Oil ETF |
|
UltraPro 3x
Short Crude Oil ETF
*
|
|
UltraShort
Australian Dollar |
|
||||||||||||
Net asset value, at December 31, 2017
|
$ |
33.55
|
$ |
51.67
|
$ |
57.32
|
$ |
37.78
|
$ |
42.32
|
$ |
45.67
|
||||||||||||
Net investment income (loss)
|
0.20
|
(0.40
|
) |
(0.02
|
) |
(0.04
|
) |
(0.12
|
) |
0.23
|
||||||||||||||
Net realized and unrealized gain (loss)#
|
(7.36
|
) |
30.19
|
0.23
|
(24.66
|
) |
7.59
|
9.40
|
||||||||||||||||
Change in net asset value from operations
|
(7.16
|
) |
29.79
|
0.21
|
(24.70
|
) |
7.47
|
9.63
|
||||||||||||||||
Net asset value, at December 31, 2018
|
$ |
26.39
|
$ |
81.46
|
$ |
57.53
|
$ |
13.08
|
$ |
49.79
|
$ |
55.30
|
||||||||||||
Market value per share, at December 31, 2017
†
|
$ |
33.85
|
$ |
51.05
|
$ |
57.45
|
$ |
37.23
|
$ |
42.88
|
$ |
45.72
|
||||||||||||
Market value per share, at December 31, 2018
†
|
$ |
26.37
|
$ |
81.73
|
$ |
57.55
|
$ |
13.47
|
$ |
48.43
|
$ |
54.92
|
||||||||||||
Total Return, at net asset value
|
(21.3
|
)% |
57.7
|
% |
0.4
|
% |
(65.4
|
)% |
17.7
|
% |
21.1
|
% | ||||||||||||
Total Return, at market value
|
(22.1
|
)% |
60.1
|
% |
0.2
|
% |
(63.8
|
)% |
12.9
|
% |
20.1
|
% | ||||||||||||
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Expense ratio
|
0.95
|
% |
1.68
|
% |
0.95
|
% |
1.22
|
% |
1.24
|
% |
1.03
|
% | ||||||||||||
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
|
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% | ||||||||||||
Net investment income gain (loss)
|
0.69
|
% |
(0.75
|
)% |
(0.03
|
)% |
(0.12
|
)% |
(0.45
|
)% |
0.46
|
% |
*
See Note 1 of these Notes to Financial Statements.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
Per Share Operating
Performance |
UltraShort
Bloomberg Crude Oil |
|
UltraShort
Bloomberg Natural Gas |
|
UltraShort
Euro |
|
UltraShort
Gold |
|
UltraShort
Silver |
|
UltraShort
Yen |
|
||||||||||||
Net asset value, at December 31, 2017
|
$ |
24.31
|
$ |
39.48
|
$ |
21.21
|
$ |
70.47
|
$ |
31.71
|
$ |
74.93
|
||||||||||||
Net investment income (loss)
|
0.11
|
(0.01
|
) |
0.16
|
0.47
|
0.20
|
0.53
|
|||||||||||||||||
Net realized and unrealized gain (loss)#
|
5.37
|
(17.86
|
) |
2.90
|
2.34
|
5.22
|
(1.57
|
) | ||||||||||||||||
Change in net asset value from operations
|
5.48
|
(17.87
|
) |
3.06
|
2.81
|
5.42
|
(1.04
|
) | ||||||||||||||||
Net asset value, at December 31, 2018
|
$ |
29.79
|
$ |
21.61
|
$ |
24.27
|
$ |
73.28
|
$ |
37.13
|
$ |
73.89
|
||||||||||||
Market value per share, at December 31, 2017
†
|
$ |
24.56
|
$ |
39.65
|
$ |
21.20
|
$ |
69.11
|
$ |
31.40
|
$ |
74.98
|
||||||||||||
Market value per share, at December 31, 2018
†
|
$ |
29.28
|
$ |
21.22
|
$ |
24.25
|
$ |
72.84
|
$ |
37.10
|
$ |
73.86
|
||||||||||||
Total Return, at net asset value
|
22.5
|
% |
(45.3
|
)% |
14.4
|
% |
4.0
|
% |
17.1
|
% |
(1.4
|
)% | ||||||||||||
Total Return, at market value
|
19.2
|
% |
(46.5
|
)% |
14.4
|
% |
5.4
|
% |
18.2
|
% |
(1.5
|
)% | ||||||||||||
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Expense ratio
|
0.98
|
% |
1.41
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% | ||||||||||||
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
|
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% | ||||||||||||
Net investment income gain (loss)
|
0.59
|
% |
(0.05
|
)% |
0.73
|
% |
0.64
|
% |
0.55
|
% |
0.73
|
% |
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
Per Share Operating
Performance |
VIX
Mid-
Term Futures
ETF |
|
VIX Short-
Term Futures ETF |
|
||||
Net asset value, at December 31, 2017
|
$ |
21.29
|
$ |
23.34
|
||||
Net investment income (loss)
|
0.10
|
0.08
|
||||||
Net realized and unrealized gain (loss)#
|
5.26
|
15.16
|
||||||
Change in net asset value from operations
|
5.36
|
15.24
|
||||||
Net asset value, at December 31, 2018
|
$ |
26.65
|
$ |
38.58
|
||||
Market value per share, at December 31, 2017
†
|
$ |
21.15
|
$ |
23.15
|
||||
Market value per share, at December 31, 2018
†
|
$ |
26.74
|
$ |
38.61
|
||||
Total Return, at net asset value
|
25.2
|
% |
65.3
|
% | ||||
Total Return, at market value
|
26.4
|
% |
66.8
|
% | ||||
Ratios to Average Net Assets
|
|
|
|
|
|
|
||
Expense ratio
|
0.97
|
% |
1.00
|
% | ||||
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
|
0.85
|
% |
0.85
|
% | ||||
Net investment income gain (loss)
|
0.45
|
% |
0.30
|
% |
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
Per Share Operating
Performance |
Short Euro
|
|
Short VIX
Short-Term
Futures ETF
*
|
|
Ultra
Bloomberg Crude Oil |
|
Ultra
Bloomberg Natural Gas
*
|
|
Ultra Euro
|
|
Ultra Gold
|
|
||||||||||||
Net asset value, at December 31, 2016
|
$ |
45.06
|
$ |
182.46
|
$ |
23.34
|
$ |
94.24
|
$ |
14.02
|
$ |
32.90
|
||||||||||||
Net investment income (loss)
|
(0.14
|
) |
(2.41
|
) |
(0.03
|
) |
(0.23
|
) |
(0.04
|
) |
(0.06
|
) | ||||||||||||
Net realized and unrealized gain (loss)#
|
(4.96
|
) |
329.15
|
0.35
|
(61.37
|
) |
3.46
|
7.04
|
||||||||||||||||
Change in net asset value from operations
|
(5.10
|
) |
326.74
|
0.32
|
(61.60
|
) |
3.42
|
6.98
|
||||||||||||||||
Net asset value, at December 31, 2017
|
$ |
39.96
|
$ |
509.20
|
$ |
23.66
|
$ |
32.64
|
$ |
17.44
|
$ |
39.88
|
||||||||||||
Market value per share, at December 31, 2016
†
|
$ |
45.12
|
$ |
181.96
|
$ |
23.36
|
$ |
94.80
|
$ |
14.09
|
$ |
33.20
|
||||||||||||
Market value per share, at December 31, 2017
†
|
$ |
39.99
|
$ |
512.84
|
$ |
23.44
|
$ |
32.50
|
$ |
17.46
|
$ |
40.67
|
||||||||||||
Total Return, at net asset value
|
(11.3
|
)% |
179.0
|
% |
1.4
|
% |
(65.4
|
)% |
24.4
|
% |
21.2
|
% | ||||||||||||
Total Return, at market value
|
(11.4
|
)% |
181.8
|
% |
0.3
|
% |
(65.7
|
)% |
23.9
|
% |
22.5
|
% | ||||||||||||
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Expense ratio
|
0.97
|
% |
1.51
|
% |
0.98
|
% |
1.22
|
% |
0.95
|
% |
0.95
|
% | ||||||||||||
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
|
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% | ||||||||||||
Net investment income gain (loss)
|
(0.32
|
)% |
(0.71
|
)% |
(0.18
|
)% |
(0.50
|
)% |
(0.23
|
)% |
(0.14
|
)% |
*
See Note 1 of these Notes to Financial Statements.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
Per Share Operating
Performance |
Ultra Silver
|
|
Ultra VIX
Short-Term
Futures ETF* |
|
Ultra Yen
|
|
UltraPro 3x
Crude Oil ETF
+
|
|
UltraPro
3x Short Crude Oil ETF
*+
|
|
UltraShort
Australian Dollar |
|
||||||||||||
Net asset value, at December 31, 2016
|
$ |
33.44
|
$ |
869.63
|
$ |
55.43
|
$ |
25.00
|
$ |
100.00
|
$ |
55.38
|
||||||||||||
Net investment income (loss)
|
(0.05
|
) |
(1.66
|
) |
(0.24
|
) |
(0.21
|
) |
(0.66
|
) |
(0.17
|
) | ||||||||||||
Net realized and unrealized gain (loss)#
|
0.16
|
(816.30
|
) |
2.13
|
12.99
|
(57.02
|
) |
(9.54
|
) | |||||||||||||||
Change in net asset value from operations
|
0.11
|
(817.96
|
) |
1.89
|
12.78
|
(57.68
|
) |
(9.71
|
) | |||||||||||||||
Net asset value, at December 31, 2017
|
$ |
33.55
|
$ |
51.67
|
$ |
57.32
|
$ |
37.78
|
$ |
42.32
|
$ |
45.67
|
||||||||||||
Market value per share, at December 31, 2016
†
|
$ |
32.09
|
$ |
875.00
|
$ |
55.52
|
$ |
25.00
|
$ |
100.00
|
$ |
55.24
|
||||||||||||
Market value per share, at December 31, 2017
†
|
$ |
33.85
|
$ |
51.05
|
$ |
57.45
|
$ |
37.23
|
$ |
42.88
|
$ |
45.72
|
||||||||||||
Total Return, at net asset value
|
0.3
|
% |
(94.1
|
)% |
3.4
|
% |
51.1
|
%
^
|
(57.7
|
)%
^
|
(17.5
|
)% | ||||||||||||
Total Return, at market value
|
5.5
|
% |
(94.2
|
)% |
3.5
|
% |
48.9
|
%
^
|
(57.1
|
)%
^
|
(17.2
|
)% | ||||||||||||
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Expense ratio
|
0.95
|
% |
1.90
|
% |
0.95
|
% |
1.30
|
%
**
|
1.32
|
%
**
|
1.02
|
% | ||||||||||||
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
|
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
%
**
|
0.95
|
%
**
|
0.95
|
% | ||||||||||||
Net investment income gain (loss)
|
(0.15
|
)% |
(1.17
|
)% |
(0.41
|
)% |
(1.20
|
)%
**
|
(1.25
|
)%
**
|
(0.36
|
)% |
*
See Note 1 of these Notes to Financial Statements.
+
From commencement of operations, March 24, 2017 through December 31, 2017.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated. For ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF, the returns of shares outstanding for the period of commencement of operations through December 31, 2017 are calculated based on the initial offering price upon commencement of operations of $25.00 and $100.00 respectively.
^
Percentages are not annualized for the period ended December 31, 2017.
**
Percentages are annualized.
|
Per Share Operating
Performance |
UltraShort
Bloomberg Crude Oil |
|
UltraShort
Bloomberg Natural Gas |
|
UltraShort
Euro |
|
UltraShort
Gold |
|
UltraShort
Silver |
|
UltraShort
Yen |
|
||||||||||||
Net asset value, at December 31, 2016
|
$ |
31.70
|
$ |
23.10
|
$ |
27.08
|
$ |
91.33
|
$ |
37.31
|
$ |
80.24
|
||||||||||||
Net investment income (loss)
|
(0.06
|
) |
(0.27
|
) |
(0.04
|
) |
(0.13
|
) |
(0.06
|
) |
(0.14
|
) | ||||||||||||
Net realized and unrealized gain (loss)#
|
(7.33
|
) |
16.65
|
(5.83
|
) |
(20.73
|
) |
(5.54
|
) |
(5.17
|
) | |||||||||||||
Change in net asset value from operations
|
(7.39
|
) |
16.38
|
(5.87
|
) |
(20.86
|
) |
(5.60
|
) |
(5.31
|
) | |||||||||||||
Net asset value, at December 31, 2017
|
$ |
24.31
|
$ |
39.48
|
$ |
21.21
|
$ |
70.47
|
$ |
31.71
|
$ |
74.93
|
||||||||||||
Market value per share, at December 31, 2016
†
|
$ |
31.65
|
$ |
23.05
|
$ |
27.08
|
$ |
90.54
|
$ |
38.76
|
$ |
80.25
|
||||||||||||
Market value per share, at December 31, 2017
†
|
$ |
24.56
|
$ |
39.65
|
$ |
21.20
|
$ |
69.11
|
$ |
31.40
|
$ |
74.98
|
||||||||||||
Total Return, at net asset value
|
(23.3
|
)% |
70.9
|
% |
(21.7
|
)% |
(22.8
|
)% |
(15.0
|
)% |
(6.6
|
)% | ||||||||||||
Total Return, at market value
|
(22.4
|
)% |
72.0
|
% |
(21.7
|
)% |
(23.7
|
)% |
(19.0
|
)% |
(6.6
|
)% | ||||||||||||
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Expense ratio
|
0.99
|
% |
1.39
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% | ||||||||||||
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
|
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% |
0.95
|
% | ||||||||||||
Net investment income gain (loss)
|
(0.17
|
)% |
(0.81
|
)% |
(0.15
|
)% |
(0.17
|
)% |
(0.18
|
)% |
(0.19
|
)% |
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
Per Share Operating
Performance |
VIX
Mid-
Term Futures ETF |
|
VIX Short-
Term Futures ETF* |
|
||||
Net asset value, at December 31, 2016
|
$ |
42.14
|
$ |
84.86
|
||||
Net investment income (loss)
|
(0.06
|
) |
(0.07
|
) | ||||
Net realized and unrealized gain (loss)#
|
(20.79
|
) |
(61.45
|
) | ||||
Change in net asset value from operations
|
(20.85
|
) |
(61.52
|
) | ||||
Net asset value, at December 31, 2017
|
$ |
21.29
|
$ |
23.34
|
||||
Market value per share, at December 31, 2016
†
|
$ |
42.34
|
$ |
85.04
|
||||
Market value per share, at December 31, 2017
†
|
$ |
21.15
|
$ |
23.15
|
||||
Total Return, at net asset value
|
(49.5
|
)% |
(72.5
|
)% | ||||
Total Return, at market value
|
(50.0
|
)% |
(72.8
|
)% | ||||
Ratios to Average
n
et Assets
|
|
|
|
|
|
|
||
Expense ratio
|
0.91
|
% |
0.96
|
% | ||||
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
|
0.85
|
% |
0.85
|
% | ||||
Net investment income (loss)
|
(0.22
|
)% |
(0.18
|
)% |
*
See Note 1 of these Notes to Financial Statements.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
/s/ Todd Johnson
|
By: Todd Johnson
|
Principal Executive Officer
|
Date: February 28, 2020
|
|
/s/ Edward Karpowicz
|
By: Edward Karpowicz
|
Principal Financial and Accounting Officer
|
Date: February 28, 2020
|
Exhibit 23.1
CONSENT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
We hereby consent to the incorporation by reference in the Registration Statement on Form S-3 (No.333-230151) of our report dated February 28, 2020 relating to the combined financial statements of ProShares Trust II, the individual financial statements of each of the funds comprising ProShares Trust II, the effectiveness of internal control over financial reporting of ProShares Trust II, and the effectiveness of internal control over financial reporting of each of the individual funds comprising ProShares Trust II, which appears in this Form 10-K.
/s/ PricewaterhouseCoopers LLP
Baltimore, Maryland
February 28, 2020
Exhibit 31.1
Certification of Principal Executive Officer
Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
I, Todd Johnson, certify that:
1. |
I have reviewed this Annual Report on Form 10-K of ProShares Trust II; |
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. |
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. |
The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) |
Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) |
Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. |
The registrants other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and |
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: February 28, 2020 | By: |
/s/ Todd Johnson |
||||
Name: | Todd Johnson | |||||
Title: | Principal Executive Officer | |||||
ProShares Trust II |
Exhibit 31.2
Certification of Principal Financial Officer
Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
I, Edward Karpowicz, certify that:
1. |
I have reviewed this Annual Report on Form 10-K of ProShares Trust II; |
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. |
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. |
The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) |
Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) |
Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. |
The registrants other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and |
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: February 28, 2020 | By: |
/s/ Edward Karpowicz |
||||
Name: | Edward Karpowicz | |||||
Title: | Principal Financial and Accounting Officer | |||||
ProShares Trust II |
Exhibit 32.1
Certification of Principal Executive Officer
Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
In connection with this Annual Report on Form 10-K for the year ended December 31, 2019 (the Report) of ProShares Trust II (the Registrant) and each of its Funds, as filed with the U.S. Securities and Exchange Commission on the date hereof, I, Todd Johnson, the Principal Executive Officer of the Registrant, hereby certify, to the best of my knowledge, that:
(1) |
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
(2) |
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: February 28, 2020 | By: |
/s/ Todd Johnson |
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Name: | Todd Johnson | |||||
Title: | Principal Executive Officer | |||||
ProShares Trust II |
Exhibit 32.2
Certification of Principal Financial Officer
Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
In connection with this Annual Report on Form 10-K for the year ended December 31, 2019 (the Report) of ProShares Trust II (the Registrant) and each of its Funds, as filed with the U.S. Securities and Exchange Commission on the date hereof, I, Edward Karpowicz, the Principal Financial Officer of the Registrant, hereby certify, to the best of my knowledge, that:
(3) |
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
(4) |
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: February 28, 2020 | By: |
/s/ Edward Karpowicz |
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Name: | Edward Karpowicz | |||||
Title: | Principal Financial and Accounting Officer | |||||
ProShares Trust II |