☒ |
Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended June 30, 2020.
|
☐ |
Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from
|
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 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 | ☐ |
Page
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||
Part I. FINANCIAL INFORMATION
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||
3 | ||
141 | ||
192 | ||
207 | ||
Part II. OTHER INFORMATION
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||
209 | ||
209 | ||
211 | ||
213 | ||
213 | ||
213 | ||
214 |
Item 1.
|
Financial Statements.
|
Documents
|
Page
|
|||
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:
|
||||
4 | ||||
9 | ||||
14 | ||||
19 | ||||
24 | ||||
29 | ||||
34 | ||||
39 | ||||
44 | ||||
49 | ||||
54 | ||||
59 | ||||
64 | ||||
69 | ||||
74 | ||||
79 | ||||
84 | ||||
89 | ||||
94 | ||||
98 |
June 30, 2020
(unaudited) |
December 31, 2019
|
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $745,775, respectively)
|
$ | — | $ | 745,805 | ||||
Cash
|
2,247,629 | 1,509,236 | ||||||
Segregated cash balances with brokers for futures contracts
|
40,040 | 31,680 | ||||||
Receivable on open futures contracts
|
300 | — | ||||||
Interest receivable
|
276 | 2,434 | ||||||
|
|
|
|
|||||
Total assets
|
2,288,245 | 2,289,155 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable on open futures contracts
|
— | 5,100 | ||||||
Payable to Sponsor
|
1,778 | 1,860 | ||||||
|
|
|
|
|||||
Total liabilities
|
1,778 | 6,960 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
2,286,467 | 2,282,195 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 2,288,245 | $ | 2,289,155 | ||||
|
|
|
|
|||||
Shares outstanding
|
50,000 | 50,000 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 45.73 | $ | 45.64 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 44.83 | $ | 45.69 | ||||
|
|
|
|
Number of
Contracts |
Notional Amount
at Value |
Unrealized
Appreciation (Depreciation)/Value |
||||||||||
Euro Fx Currency Futures—CME, expires September 2020
|
16 | $ | 2,250,500 | $ | 32,520 |
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 54 | $ | 125,445 | $ | 7,649 | $ | 190,623 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
5,516 | 52,792 | 11,019 | 79,777 | ||||||||||||
Brokerage commissions
|
90 | 787 | 190 | 1,355 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
5,606 | 53,579 | 11,209 | 81,132 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(5,552 | ) | 71,866 | (3,560 | ) | 109,491 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Futures contracts
|
(20,020 | ) | 76,518 | (38,658 | ) | 223,624 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
(20,020 | ) | 76,518 | (38,658 | ) | 223,624 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Futures contracts
|
(20,804 | ) | (239,858 | ) | 46,520 | (35,721 | ) | |||||||||
Short-term U.S. government and agency obligations
|
— | 5,439 | (30 | ) | 5,173 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
(20,804 | ) | (234,419 | ) | 46,490 | (30,548 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
(40,824 | ) | (157,901 | ) | 7,832 | 193,076 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | (46,376 | ) | $ | (86,035 | ) | $ | 4,272 | $ | 302,567 | ||||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 2,332,843 | $ | 22,213,438 | $ | 2,282,195 | $ | 8,619,686 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of –, –, – and 300,000 shares, respectively
|
— | — | — | 13,205,150 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of –, –, – and 300,000 shares, respectively
|
— | — | — | 13,205,150 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(5,552 | ) | 71,866 | (3,560 | ) | 109,491 | ||||||||||
Net realized gain (loss)
|
(20,020 | ) | 76,518 | (38,658 | ) | 223,624 | ||||||||||
Change in net unrealized appreciation (depreciation)
|
(20,804 | ) | (234,419 | ) | 46,490 | (30,548 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
(46,376 | ) | (86,035 | ) | 4,272 | 302,567 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 2,286,467 | $ | 22,127,403 | $ | 2,286,467 | $ | 22,127,403 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | 4,272 | $ | 302,567 | ||||
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
|
— | (403,462,168 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
747,000 | 389,250,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(1,225 | ) | (120,268 | ) | ||||
Change in unrealized appreciation (depreciation) on investments
|
30 | (5,173 | ) | |||||
Decrease (Increase) in receivable on futures contracts
|
(300 | ) | — | |||||
Decrease (Increase) in interest receivable
|
2,158 | (4,867 | ) | |||||
Increase (Decrease) in payable to Sponsor
|
(82 | ) | 10,392 | |||||
Increase (Decrease) in payable on futures contracts
|
(5,100 | ) | 1,488 | |||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
746,753 | (14,028,029 | ) | |||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
— | 13,205,150 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
— | 13,205,150 | ||||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
746,753 | (822,879 | ) | |||||
Cash, beginning of period
|
1,540,916 | 8,024,856 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 2,287,669 | $ | 7,201,977 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31,
2019 |
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $124,974,892 and $56,926,750, respectively)
|
$ | 124,974,901 | $ | 56,929,436 | ||||
Cash
|
70,667,631 | 113,044,890 | ||||||
Segregated cash balances with brokers for futures contracts
|
170,432,136 | 54,499,197 | ||||||
Receivable on open futures contracts
|
161,467,937 | 60,052,325 | ||||||
Interest receivable
|
11,037 | 123,214 | ||||||
|
|
|
|
|||||
Total assets
|
527,553,642 | 284,649,062 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable on open futures contracts
|
17,172,752 | — | ||||||
Brokerage commissions and fees payable
|
153,542 | — | ||||||
Payable to Sponsor
|
415,495 | 211,883 | ||||||
|
|
|
|
|||||
Total liabilities
|
17,741,789 | 211,883 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
509,811,853 | 284,437,179 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 527,553,642 | $ | 284,649,062 | ||||
|
|
|
|
|||||
Shares outstanding
|
16,234,307 | 4,334,307 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 31.40 | $ | 65.62 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 31.50 | $ | 65.23 | ||||
|
|
|
|
Principal Amount
|
Value
|
|||||||
Short-term U.S. government and agency obligations
|
||||||||
(25% of shareholders’ equity)
|
||||||||
U.S. Treasury Bills
^^
:
|
||||||||
0.067% due 07/16/20
|
$ | 35,000,000 | $ | 34,998,103 | ||||
0.154% due 09/03/20
|
90,000,000 | 89,976,798 | ||||||
|
|
|||||||
Total short-term U.S. government and agency obligations
|
||||||||
(cost $124,974,892)
|
$ | 124,974,901 | ||||||
|
|
Number of
Contracts |
Notional
Amount at Value |
Unrealized
Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires July 2020
|
4,764 | $ | 147,088,500 | $ | 6,192,076 | |||||||
VIX Futures - Cboe, expires August 2020
|
3,411 | 108,555,075 | 2,819,802 | |||||||||
|
|
|||||||||||
$ | 9,011,878 | |||||||||||
|
|
^^ |
Rates shown represent discount rate at the time of purchase.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 106,023 | $ | 1,883,798 | $ | 855,884 | $ | 3,468,359 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
1,589,036 | 938,696 | 2,475,233 | 1,890,823 | ||||||||||||
Brokerage commissions
|
228,176 | 219,597 | 417,708 | 408,021 | ||||||||||||
Brokerage fees
|
431,791 | – | 461,519 | 24 | ||||||||||||
Non-recurring
fees and expenses
|
– | – | – | 398,550 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
2,249,003 | 1,158,293 | 3,354,460 | 2,697,418 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(2,142,980 | ) | 725,505 | (2,498,576 | ) | 770,941 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Futures contracts
|
54,615,763 | 11,427,596 | (189,684,841 | ) | 70,532,950 | |||||||||||
Short-term U.S. government and agency obligations
|
(758 | ) | (8 | ) | (758 | ) | (8 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
54,615,005 | 11,427,588 | (189,685,599 | ) | 70,532,942 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Futures contracts
|
(22,216,796 | ) | 4,538,343 | (1,242,994 | ) | 27,115,163 | ||||||||||
Short-term U.S. government and agency obligations
|
(84,533 | ) | 30,143 | (2,677 | ) | 24,783 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
(22,301,329 | ) | 4,568,486 | (1,245,671 | ) | 27,139,946 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
32,313,676 | 15,996,074 | (190,931,270 | ) | 97,672,888 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | 30,170,696 | $ | 16,721,579 | $ | (193,429,846 | ) | $ | 98,443,829 | |||||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 809,257,658 | $ | 441,188,509 | $ | 284,437,179 | $ | 344,596,263 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 1,000,000, –, 25,850,000 and 300,000 shares, respectively
|
30,843,161 | – | 914,411,669 | 14,869,996 | ||||||||||||
Redemption of 10,850,000, 2,250,000, 13,950,000 and 2,250,000 shares,
respectively |
(360,459,662 | ) | (120,807,761 | ) | (495,607,149 | ) | (120,807,761 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of (9,850,000), (2,250,000), 11,900,000 and
(1,950,000) shares, respectively |
(329,616,501 | ) | (120,807,761 | ) | 418,804,520 | (105,937,765 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(2,142,980 | ) | 725,505 | (2,498,576 | ) | 770,941 | ||||||||||
Net realized gain (loss)
|
54,615,005 | 11,427,588 | (189,685,599 | ) | 70,532,942 | |||||||||||
Change in net unrealized appreciation (depreciation)
|
(22,301,329 | ) | 4,568,486 | (1,245,671 | ) | 27,139,946 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
30,170,696 | 16,721,579 | (193,429,846 | ) | 98,443,829 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 509,811,853 | $ | 337,102,327 | $ | 509,811,853 | $ | 337,102,327 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | (193,429,846 | ) | $ | 98,443,829 | |||
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
|
(339,626,542 | ) | (4,846,330,816 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
271,998,224 | 4,770,297,014 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(420,582 | ) | (905,335 | ) | ||||
Net realized gain (loss) on investments
|
758 | 8 | ||||||
Change in unrealized appreciation (depreciation) on investments
|
2,677 | (24,783 | ) | |||||
Decrease (Increase) in receivable on futures contracts
|
(101,415,612 | ) | (16,588,869 | ) | ||||
Decrease (Increase) in interest receivable
|
112,177 | (142,492 | ) | |||||
Increase (Decrease) in payable to Sponsor
|
203,612 | (32,893 | ) | |||||
Increase (Decrease) in brokerage commissions and fees payable
|
153,542 | – | ||||||
Increase (Decrease) in payable on futures contracts
|
17,172,752 | (13,170,649 | ) | |||||
Increase (Decrease) in
non-recurring
fees and expenses payable
|
– | 45,949 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
(345,248,840 | ) | (8,409,037 | ) | ||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
914,411,669 | 14,869,996 | ||||||
Payment on shares redeemed
|
(495,607,149 | ) | (120,807,761 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
418,804,520 | (105,937,765 | ) | |||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
73,555,680 | (114,346,802 | ) | |||||
Cash, beginning of period
|
167,544,087 | 296,898,455 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 241,099,767 | $ | 182,551,653 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31,
2019 |
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $200,101,525, respectively)
|
$ | – | $ | 200,115,463 | ||||
Cash
|
681,518,718 | 86,168,083 | ||||||
Segregated cash balances with brokers for futures contracts
|
607,469,681 | 2,147,480 | ||||||
Segregated cash balances with brokers for swap agreements
|
223,574,777 | – | ||||||
Unrealized appreciation on swap agreements
|
10,038,323 | 21,814,590 | ||||||
Securities sold receivable
|
3,718,972 | – | ||||||
Receivable on open futures contracts
|
108,300,298 | – | ||||||
Interest receivable
|
77,704 | 123,221 | ||||||
|
|
|
|
|||||
Total assets
|
1,634,698,473 | 310,368,837 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable for capital shares redeemed
|
72,460,997 | – | ||||||
Payable on open futures contracts
|
52,327,352 | 266,056 | ||||||
Payable to Sponsor
|
1,248,665 | 258,199 | ||||||
|
|
|
|
|||||
Total liabilities
|
126,037,014 | 524,255 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
||||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
1,508,661,459 | 309,844,582 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 1,634,698,473 | $ | 310,368,837 | ||||
|
|
|
|
|||||
Shares outstanding (Note 1)
|
52,760,774 | 608,453 | ||||||
|
|
|
|
|||||
Net asset value per share (Note 1)
|
$ | 28.59 | $ | 509.23 | ||||
|
|
|
|
|||||
Market value per share (Note 1) (Note 2)
|
$ | 28.68 | $ | 511.50 | ||||
|
|
|
|
Futures Contracts Purchased
|
||||||||||||
Number of
Contracts |
Notional Amount
at Value |
Unrealized
Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires September 2020
|
17,132 | $ | 673,972,880 | $ | 141,596,957 | |||||||
WTI Crude Oil - NYMEX, expires October 2020
|
22,205 | 876,653,400 | (193,822 | ) | ||||||||
WTI Crude Oil - NYMEX, expires December 2020
|
25,357 | 1,006,165,760 | 209,909,830 | |||||||||
|
|
|||||||||||
$ | 351,312,965 | |||||||||||
|
|
Rate Paid
(Received)
*
|
Termination
Date |
Notional
Amount at Value
**
|
Unrealized
Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
|
8.00 | % | 07/02/20 | $ | 225,096,897 | $ | 8,263,529 | |||||||||
Swap agreement with Morgan Stanley based on Morgan Stanley WTI Crude Oil Subindex
|
0.60 | 08/07/20 | 129,511,755 | (100,546 | ) | |||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex
|
0.25 | 07/02/20 | 107,081,626 | 1,875,340 | ||||||||||||
|
|
|||||||||||||||
Total
Unrealized Appreciation |
$10,038,323 | |||||||||||||||
|
|
^ |
The positions and counterparties herein are as of June 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
|
* |
Reflects the floating financing rate, as of June 30, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
|
** |
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 365,747 | $ | 2,163,795 | $ | 1,767,207 | $ | 4,304,180 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
2,806,288 | 898,556 | 3,676,527 | 1,923,750 | ||||||||||||
Brokerage commissions
|
1,017,545 | 34,072 | 1,143,882 | 53,319 | ||||||||||||
Brokerage fees
|
536,749 | – | 536,749 | – | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
4,360,582 | 932,628 | 5,357,158 | 1,977,069 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(3,994,835 | ) | 1,231,167 | (3,589,951 | ) | 2,327,111 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Futures contracts
|
(31,090,802 | ) | 4,874,320 | (120,038,012 | ) | 14,599,415 | ||||||||||
Swap agreements
|
(640,451,755 | ) | (30,785,796 | ) | (1,057,095,811 | ) | 36,012,266 | |||||||||
Short-term U.S. government and agency obligations
|
121,849 | 3,626 | 159,318 | 3,873 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
(671,420,708 | ) | (25,907,850 | ) | (1,176,974,505 | ) | 50,615,554 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Futures contracts
|
424,261,108 | (3,555,446 | ) | 350,547,390 | 20,768,921 | |||||||||||
Swap agreements
|
237,286,565 | 17,642,629 | (11,776,267 | ) | 136,722,625 | |||||||||||
Short-term U.S. government and agency obligations
|
(368,827 | ) | 74,339 | (13,938 | ) | 69,009 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
661,178,846 | 14,161,522 | 338,757,185 | 157,560,555 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
(10,241,862 | ) | (11,746,328 | ) | (838,217,320 | ) | 208,176,109 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | (14,236,697 | ) | $ | (10,515,161 | ) | $ | (841,807,271 | ) | $ | 210,503,220 | |||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 435,593,381 | $ | 425,287,296 | $ | 309,844,582 | $ | 368,399,654 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 77,482,000, 284,000, 88,162,000 and 416,000 shares, respectively
(
Note 1
)
|
1,895,200,511 | 128,741,037 | 2,953,530,675 | 185,702,266 | ||||||||||||
Redemption of 35,569,679, 296,000, 36,009,679 and 766,000 shares, respectively
(
N
ote 1
|
(807,895,736 | ) | (161,532,544 | ) | (912,906,527 | ) | (382,624,512 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
1,087,304,775 | (32,791,507 | ) | 2,040,624,148 | (196,922,246 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(3,994,835 | ) | 1,231,167 | (3,589,951 | ) | 2,327,111 | ||||||||||
Net realized gain (loss)
|
(671,420,708 | ) | (25,907,850 | ) | (1,176,974,505 | ) | 50,615,554 | |||||||||
Change in net unrealized appreciation (depreciation)
|
661,178,846 | 14,161,522 | 338,757,185 | 157,560,555 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
(14,236,697 | ) | (10,515,161 | ) | (841,807,271 | ) | 210,503,220 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 1,508,661,459 | $ | 381,980,628 | $ | 1,508,661,459 | $ | 381,980,628 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | (841,807,271 | ) | $ | 210,503,220 | |||
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
|
(409,801,073 | ) | (3,352,711,813 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
611,325,152 | 3,331,489,226 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(1,263,236 | ) | (3,932,225 | ) | ||||
Net realized gain (loss) on investments
|
(159,318 | ) | (3,873 | ) | ||||
Change in unrealized appreciation (depreciation) on investments
|
11,790,205 | (136,791,634 | ) | |||||
Decrease (Increase) in securities sold receivable
|
(3,718,972 | ) | – | |||||
Decrease (Increase) in receivable on futures contracts
|
(108,300,298 | ) | 24,304 | |||||
Decrease (Increase) in interest receivable
|
45,517 | (16,014 | ) | |||||
Increase (Decrease) in payable to Sponsor
|
990,466 | (5,603 | ) | |||||
Increase (Decrease) in payable on futures contracts
|
52,061,296 | 837,635 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
(688,837,532 | ) | 49,393,223 | |||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
2,953,530,675 | 198,693,930 | ||||||
Payment on shares redeemed
|
(840,445,530 | ) | (370,585,601 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
2,113,085,145 | (171,891,671 | ) | |||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
1,424,247,613 | (122,498,448 | ) | |||||
Cash, beginning of period
|
88,315,563 | 148,018,312 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 1,512,563,176 | $ | 25,519,864 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31,
2019 |
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $15,997,877 and $27,528,924, respectively)
|
$ | 15,997,708 | $ | 27,530,314 | ||||
Cash
|
21,498,387 | 7,072,257 | ||||||
Segregated cash balances with brokers for futures contracts
|
11,447,376 | 10,546,805 | ||||||
Receivable on open futures contracts
|
1,683,304 | 37,024 | ||||||
Interest receivable
|
863 | 10,591 | ||||||
|
|
|
|
|||||
Total assets
|
50,627,638 | 45,196,991 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable to Sponsor
|
27,855 | 36,786 | ||||||
|
|
|
|
|||||
Total liabilities
|
27,855 | 36,786 | ||||||
|
|
|
|
|||||
Commitments and
Contingencies
(Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
50,599,783 | 45,160,205 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 50,627,638 | $ | 45,196,991 | ||||
|
|
|
|
|||||
Shares outstanding (Note 1)
|
1,787,527 | 537,815 | ||||||
|
|
|
|
|||||
Net asset value per share (Note 1)
|
$ | 28.31 | $ | 83.97 | ||||
|
|
|
|
|||||
Market value per share (Note 1) (Note 2)
|
$ | 28.36 | $ | 83.40 | ||||
|
|
|
|
Principal Amount
|
Value
|
|||||||
Short-term U.S. government and agency obligations
|
||||||||
(32% of shareholders’ equity)
|
||||||||
U.S. Treasury Bills
^^
:
|
||||||||
0.067% due 07/16/20
|
$ | 9,000,000 | $ | 8,999,512 | ||||
0.154% due 09/03/20
|
7,000,000 | 6,998,196 | ||||||
|
|
|||||||
Total short-term U.S. government and agency obligations
|
||||||||
(cost $15,997,877)
|
$ | 15,997,708 | ||||||
|
|
Number of
Contracts |
Notional Amount
at Value |
Unrealized
Appreciation (Depreciation)/Value |
||||||||||
Natural Gas - NYMEX, expires September 2020
|
5,659 | $ | 101,239,510 | $ | (2,234,434 | ) |
^^ |
Rates shown represent discount rate at the time of purchase.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 36,474 | $ | 139,008 | $ | 175,813 | $ | 256,843 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
81,904 | 60,844 | 179,012 | 115,695 | ||||||||||||
Brokerage commissions
|
63,224 | 28,280 | 107,806 | 47,219 | ||||||||||||
Brokerage fees
|
12,642 | — | 12,642 | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
157,770 | 89,124 | 299,460 | 162,914 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(121,296 | ) | 49,884 | (123,647 | ) | 93,929 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Futures contracts
|
(16,111,161 | ) | (7,976,053 | ) | (38,930,766 | ) | (21,277,891 | ) | ||||||||
Short-term U.S. government and agency obligations
|
(77 | ) | 84 | 977 | 25 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
(16,111,238 | ) | (7,975,969 | ) | (38,929,789 | ) | (21,277,866 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Futures contracts
|
4,884,617 | (671,150 | ) | 417,794 | 9,673,790 | |||||||||||
Short-term U.S. government and agency obligations
|
(31,345 | ) | 457 | (1,559 | ) | 515 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
4,853,272 | (670,693 | ) | 416,235 | 9,674,305 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
(11,257,966 | ) | (8,646,662 | ) | (38,513,554 | ) | (11,603,561 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | (11,379,262 | ) | $ | (8,596,778 | ) | $ | (38,637,201 | ) | $ | (11,509,632 | ) | ||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 26,671,617 | $ | 20,900,095 | $ | 45,160,205 | $ | 14,617,440 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 1,260,000, 155,000, 1,485,000 and 285,000 shares, respectively
(Note 1)
|
38,571,988 | 23,489,119 | 54,252,228 | 55,303,644 | ||||||||||||
Redemption of 110,288, 15,000, 235,288 and 100,000 shares, respectively
(Note
1
)
|
(3,264,560 | ) | (2,154,678 | ) | (10,175,449 | ) | (24,773,694 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of 1,149,712, 140,000, 1,249,712 and 185,000 shares, respectively
(Note 1)
|
35,307,428 | 21,334,441 | 44,076,779 | 30,529,950 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(121,296 | ) | 49,884 | (123,647 | ) | 93,929 | ||||||||||
Net realized gain (loss)
|
(16,111,238 | ) | (7,975,969 | ) | (38,929,789 | ) | (21,277,866 | ) | ||||||||
Change in net unrealized appreciation (depreciation)
|
4,853,272 | (670,693 | ) | 416,235 | 9,674,305 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
(11,379,262 | ) | (8,596,778 | ) | (38,637,201 | ) | (11,509,632 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 50,599,783 | $ | 33,637,758 | $ | 50,599,783 | $ | 33,637,758 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | (38,637,201 | ) | $ | (11,509,632 | ) | ||
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
|
(41,900,001 | ) | (360,279,681 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
53,563,843 | 360,846,346 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(131,818 | ) | (161,961 | ) | ||||
Net realized gain (loss) on investments
|
(977 | ) | (25 | ) | ||||
Change in unrealized appreciation (depreciation) on investments
|
1,559 | (515 | ) | |||||
Decrease (Increase) in receivable on futures contracts
|
(1,646,280 | ) | — | |||||
Decrease (Increase) in interest receivable
|
9,728 | (17,364 | ) | |||||
Increase (Decrease) in payable to Sponsor
|
(8,931 | ) | (3,748 | ) | ||||
Increase (Decrease) in payable on futures contracts
|
— | (2,401,095 | ) | |||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
(28,750,078 | ) | (13,527,675 | ) | ||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
54,252,228 | 57,832,401 | ||||||
Payment on shares redeemed
|
(10,175,449 | ) | (24,773,694 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
44,076,779 | 33,058,707 | ||||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
15,326,701 | 19,531,032 | ||||||
Cash, beginning of period
|
17,619,062 | 7,030,602 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 32,945,763 | $ | 26,561,634 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31, 2019
|
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $3,970,204, respectively)
|
$ | — | $ | 3,970,412 | ||||
Cash
|
3,584,207 | 1,206,437 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts
|
500,000 | 921,000 | ||||||
Unrealized appreciation on foreign currency forward contracts
|
530 | 109,997 | ||||||
Interest receivable
|
410 | 1,496 | ||||||
|
|
|
|
|||||
Total assets
|
4,085,147 | 6,209,342 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable to Sponsor
|
3,002 | 4,918 | ||||||
Unrealized depreciation on
foreign
currency forward contracts
|
14,459 | — | ||||||
|
|
|
|
|||||
Total liabilities
|
17,461 | 4,918 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
4,067,686 | 6,204,424 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 4,085,147 | $ | 6,209,342 | ||||
|
|
|
|
|||||
Shares outstanding
|
300,000 | 450,000 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 13.56 | $ | 13.79 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 13.57 | $ | 13.77 | ||||
|
|
|
|
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
|
07/10/20 | 3,440,921 | $ | 3,866,850 | $ | 3,899 | ||||||||||
Euro with UBS AG
|
07/10/20 | 4,020,302 | 4,517,946 | (18,358 | ) | |||||||||||
|
|
|||||||||||||||
Total Unrealized
Depreciation |
|
$ | (14,459 | ) | ||||||||||||
|
|
|||||||||||||||
Contracts to Sell
|
||||||||||||||||
Euro with UBS AG
|
07/10/20 | (203,000 | ) | $ | (228,129 | ) | $ | 530 | ||||||||
|
|
|||||||||||||||
Total Unrealized
Appreciation |
|
$ | 530 | |||||||||||||
|
|
^ |
The positions and counterparties herein are as of June 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 192 | $ | 35,464 | $ | 15,993 | $ | 74,967 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
8,894 | 16,541 | 21,448 | 35,215 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
8,894 | 16,541 | 21,448 | 35,215 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(8,702 | ) | 18,923 | (5,455 | ) | 39,752 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Foreign currency forward contracts
|
(18,635 | ) | (132,599 | ) | (71,903 | ) | (359,872 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
(18,635 | ) | (132,599 | ) | (71,903 | ) | (359,872 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Foreign currency forward contracts
|
97,408 | 208,561 | (123,926 | ) | (16,915 | ) | ||||||||||
Short-term U.S. government and agency obligations
|
— | 16 | (208 | ) | 7 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
97,408 | 208,577 | (124,134 | ) | (16,908 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
78,773 | 75,978 | (196,037 | ) | (376,780 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | 70,071 | $ | 94,901 | $ | (201,492 | ) | $ | (337,028 | ) | ||||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 3,949,142 | $ | 7,857,207 | $ | 6,204,424 | $ | 7,544,569 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 50,000, –, 100,000 and 50,000 shares, respectively
|
698,183 | — | 1,368,038 | 744,567 | ||||||||||||
Redemption of 50,000, 150,000, 250,000 and 150,000 shares, respectively
|
(649,710 | ) | (2,150,938 | ) | (3,303,284 | ) | (2,150,938 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of –, (150,000), (150,000) and (100,000) shares, respectively
|
48,473 | (2,150,938 | ) | (1,935,246 | ) | (1,406,371 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(8,702 | ) | 18,923 | (5,455 | ) | 39,752 | ||||||||||
Net realized gain (loss)
|
(18,635 | ) | (132,599 | ) | (71,903 | ) | (359,872 | ) | ||||||||
Change in net unrealized appreciation (depreciation)
|
97,408 | 208,577 | (124,134 | ) | (16,908 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
70,071 | 94,901 | (201,492 | ) | (337,028 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 4,067,686 | $ | 5,801,170 | $ | 4,067,686 | $ | 5,801,170 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | (201,492 | ) | $ | (337,028 | ) | ||
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
|
(1,395,795 | ) | (63,632,024 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
5,375,000 | 65,150,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(9,001 | ) | (21,311 | ) | ||||
Change in unrealized appreciation (depreciation) on investments
|
124,134 | 16,908 | ||||||
Decrease (Increase) in interest receivable
|
1,086 | (2,836 | ) | |||||
Increase (Decrease) in payable to Sponsor
|
(1,916 | ) | (1,039 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
3,892,016 | 1,172,670 | ||||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
1,368,038 | 744,567 | ||||||
Payment on shares redeemed
|
(3,303,284 | ) | (1,425,765 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
(1,935,246 | ) | (681,198 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
1,956,770 | 491,472 | ||||||
Cash, beginning of period
|
2,127,437 | 5,989,270 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 4,084,207 | $ | 6,480,742 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31, 2019
|
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $100,985,199 and $66,174,584, respectively)
|
$ | 100,983,863 | $ | 66,177,998 | ||||
Cash
|
27,563,204 | 36,455,823 | ||||||
Segregated cash balances with brokers for futures contracts
|
6,982,300 | 2,070,900 | ||||||
Segregated cash balances with brokers for swap agreements
|
18,488,802 | — | ||||||
Unrealized appreciation on swap agreements
|
10,650,992 | 5,890,260 | ||||||
Receivable on open futures contracts
|
1,127,308 | 170,073 | ||||||
Interest receivable
|
2,749 | 45,921 | ||||||
|
|
|
|
|||||
Total assets
|
165,799,218 | 110,810,975 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable to Sponsor
|
110,168 | 84,943 | ||||||
|
|
|
|
|||||
Total liabilities
|
110,168 | 84,943 | ||||||
|
|
|
|
|||||
Commitments and
Contingencies
(Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
165,689,050 | 110,726,032 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 165,799,218 | $ | 110,810,975 | ||||
|
|
|
|
|||||
Shares outstanding
|
2,550,000 | 2,250,000 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 64.98 | $ | 49.21 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 64.83 | $ | 49.05 | ||||
|
|
|
|
Principal Amount
|
Value
|
|||
Short-term U.S. government and agency obligations
|
||||
(61% of shareholders’ equity)
|
||||
U.S. Treasury Bills
^^
:
|
||||
0.067% due 07/16/20
|
$30,000,000 | $29,998,374 | ||
0.114% due 08/13/20
|
37,000,000 | 36,994,254 | ||
0.154% due 09/03/20
†
|
34,000,000 | 33,991,235 | ||
|
||||
Total short-term U.S. government and agency obligations
|
||||
(cost $100,985,199)
|
$100,983,863 | |||
|
Number of
Contracts |
Notional Amount
at Value |
Unrealized
Appreciation
(Depreciation)/Value |
||||
Gold Futures—COMEX, expires August 2020
|
721 | $129,816,050 | $4,288,184 |
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% | 07/06/20 | $70,552,163 | $3,728,155 | ||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
|
0.25 | 07/06/20 | 69,644,070 | 3,680,169 | ||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex
|
0.25 | 07/06/20 | 61,364,755 | 3,242,668 | ||||
|
||||||||
Total Unrealized Appreciation | $10,650,992 | |||||||
|
† |
All or partial amount pledged as collateral for swap agreements.
|
^ |
The positions and counterparties herein are as of June 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
|
^^ |
Rates shown represent discount rate at the time of purchase.
|
* |
Reflects the floating financing rate, as of June 30, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
|
** |
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 69,857 | $ | 409,424 | $ | 484,541 | $ | 825,009 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
333,463 | 178,772 | 628,874 | 380,350 | ||||||||||||
Brokerage commissions
|
6,119 | 2,566 | 16,484 | 3,787 | ||||||||||||
Brokerage fees
|
10,196 | — | 10,196 | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
349,778 | 181,338 | 655,554 | 384,137 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(279,921) | 228,086 | (171,013) | 440,872 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Futures contracts
|
3,122,599 | (364,225) | 3,054,438 | (371,978) | ||||||||||||
Swap agreements
|
1,242,729 | 3,852,180 | 22,808,946 | 3,161,915 | ||||||||||||
Forward agreements
|
— | — | — | 4,790,603 | ||||||||||||
Short-term U.S. government and agency obligations
|
— | 402 | — | 402 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
4,365,328 | 3,488,357 | 25,863,384 | 7,580,942 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Futures contracts
|
5,677,906 | 3,037,989 | 2,039,670 | 2,759,958 | ||||||||||||
Swap agreements
|
20,275,792 | 5,644,340 | 4,760,732 | 6,364,233 | ||||||||||||
Forward agreements
|
— | — | — | (4,253,301) | ||||||||||||
Short-term U.S. government and agency obligations
|
(60,686) | 14,720 | (4,750) | 13,400 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
25,893,012 | 8,697,049 | 6,795,652 | 4,884,290 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
30,258,340 | 12,185,406 | 32,659,036 | 12,465,232 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | 29,978,419 | $ | 12,413,492 | $ | 32,488,023 | $ | 12,906,104 | ||||||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 128,481,796 | $ | 72,777,302 | $ | 110,726,032 | $ | 83,523,294 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 300,000, 350,000, 1,450,000 and 400,000 shares, respectively
|
18,995,286 | 12,976,110 | 83,989,061 | 14,864,857 | ||||||||||||
Redemption of 200,000, 350,000, 1,150,000 and 700,000 shares, respectively
|
(11,766,451) | (12,789,569) | (61,514,066) | (25,916,920) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of 100,000, –, 300,000 and (300,000) shares, respectively
|
7,228,835 | 186,541 | 22,474,995 | (11,052,063) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(279,921) | 228,086 | (171,013) | 440,872 | ||||||||||||
Net realized gain (loss)
|
4,365,328 | 3,488,357 | 25,863,384 | 7,580,942 | ||||||||||||
Change in net unrealized appreciation (depreciation)
|
25,893,012 | 8,697,049 | 6,795,652 | 4,884,290 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
29,978,419 | 12,413,492 | 32,488,023 | 12,906,104 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 165,689,050 | $ | 85,377,335 | $ | 165,689,050 | $ | 85,377,335 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | 32,488,023 | $ | 12,906,104 | ||||
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
|
(171,756,777) | (736,475,693) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
137,257,000 | 712,780,072 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(310,838) | (714,806) | ||||||
Net realized gain (loss) on investments
|
— | (402) | ||||||
Change in unrealized appreciation (depreciation) on investments
|
(4,755,982) | (2,124,332) | ||||||
Decrease (Increase) in receivable on futures contracts
|
(957,235) | — | ||||||
Decrease (Increase) in interest receivable
|
43,172 | (4,373) | ||||||
Increase (Decrease) in payable to Sponsor
|
25,225 | (2,049) | ||||||
Increase (Decrease) in payable on futures contracts
|
— | 49,418 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
(7,967,412) | (13,586,061) | ||||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
83,989,061 | 14,864,857 | ||||||
Payment on shares redeemed
|
(61,514,066) | (29,629,574) | ||||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
22,474,995 | (14,764,717) | ||||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
14,507,583 | (28,350,778 | ) | |||||
Cash, beginning of period
|
38,526,723 | 41,098,043 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 53,034,306 | $ | 12,747,265 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31, 2019
|
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $110,983,611 and $135,537,081, respectively)
|
$ | 110,982,105 | $ | 135,544,101 | ||||
Cash
|
73,428,083 | 71,876,942 | ||||||
Segregated cash balances with brokers for futures contracts
|
18,232,000 | 7,181,720 | ||||||
Segregated cash balances with brokers for swap agreements
|
26,398,000 | — | ||||||
Unrealized appreciation on swap agreements
|
9,002,633 | 25,135,898 | ||||||
Receivable from capital shares sold
|
7,125,479 | — | ||||||
Receivable on open futures contracts
|
4,663,920 | — | ||||||
Interest receivable
|
7,211 | 91,720 | ||||||
|
|
|
|
|||||
Total assets
|
249,839,431 | 239,830,381 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable on open futures contracts
|
— | 398,936 | ||||||
Payable to Sponsor
|
167,463 | 176,603 | ||||||
|
|
|
|
|||||
Total liabilities
|
167,463 | 575,539 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
||||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
249,671,968 | 239,254,842 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 249,839,431 | $ | 239,830,381 | ||||
|
|
|
|
|||||
Shares outstanding
|
8,446,526 | 7,546,526 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 29.56 | $ | 31.70 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 29.33 | $ | 31.65 | ||||
|
|
|
|
Principal Amount
|
Value
|
|||
Short-term U.S. government and agency obligations
|
||||
(44% of shareholders’ equity)
|
||||
U.S. Treasury Bills
^^
:
|
||||
0.067% due 07/16/20
†
|
$30,000,000 | $29,998,374 | ||
0.114% due 08/13/20
†
|
45,000,000 | 44,993,012 | ||
0.154% due 09/03/20
†
|
36,000,000 | 35,990,719 | ||
|
||||
Total short-term U.S. government and agency obligations
|
||||
(cost $110,983,611)
|
$110,982,105 | |||
|
Number of
Contracts |
Notional Amount
at Value |
Unrealized
Appreciation (Depreciation)/Value |
||||
Silver Futures—COMEX, expires September 2020
|
1,928 | $179,660,680 | $6,106,569 |
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% | 07/06/20 | $135,066,136 | $3,546,882 | ||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
|
0.30 | 07/06/20 | 93,005,691 | 2,744,895 | ||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex
|
0.25 | 07/06/20 | 91,761,402 | 2,710,856 | ||||
|
||||||||
Total Unrealized Appreciation | $9,002,633 | |||||||
|
† |
All or partial amount pledged as collateral for swap agreements.
|
^ |
The positions and counterparties herein are as of June 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
|
^^ |
Rates shown represent discount rate at the time of purchase.
|
* |
Reflects the floating financing rate, as of June 30, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
|
** |
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 138,315 | $ | 931,284 | $ | 914,602 | $ | 1,835,738 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
425,646 | 410,131 | 906,893 | 864,406 | ||||||||||||
Brokerage commissions
|
26,966 | 9,085 | 45,174 | 13,702 | ||||||||||||
Brokerage fees
|
20,946 | — | 20,946 | 3 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
473,558 | 419,216 | 973,013 | 878,111 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(335,243) | 512,068 | (58,411) | 957,627 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Futures contracts
|
19,483,543 | (1,491,784) | 9,841,567 | (1,746,898) | ||||||||||||
Swap agreements
|
(8,097,230) | (6,523,969) | (2,152,908) | (25,333,438) | ||||||||||||
Forward agreements
|
— | — | — | 32,366,374 | ||||||||||||
Short-term U.S. government and agency obligations
|
— | 1 | — | 132 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
11,386,313 | (8,015,752) | 7,688,659 | 5,286,170 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Futures contracts
|
4,631,606 | 1,736,022 | 382,020 | 737,490 | ||||||||||||
Swap agreements
|
64,789,761 | 6,738,164 | (16,133,265) | 7,150,743 | ||||||||||||
Forward agreements
|
— | — | — | (26,301,717) | ||||||||||||
Short-term U.S. government and agency obligations
|
(119,307) | 27,203 | (8,526) | 24,547 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
69,302,060 | 8,501,389 | (15,759,771) | (18,388,937) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
80,688,373 | 485,637 | (8,071,112) | (13,102,767) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | 80,353,130 | $ | 997,705 | $ | (8,129,523) | $ | (12,145,140) | ||||||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 129,785,536 | $ | 171,571,571 | $ | 239,254,842 | $ | 201,824,376 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 1,500,000, 900,000, 2,250,000 and 1,300,000 shares, respectively
|
42,297,617 | 20,942,106 | 56,459,730 | 31,578,388 | ||||||||||||
Redemption of 100,000, 650,000, 1,350,000 and 1,700,000 shares, respectively
|
(2,764,315) | (15,066,544) | (37,913,081) | (42,812,786) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of 1,400,000, 250,000, 900,000 and (400,000) shares, respectively
|
39,533,302 | 5,875,562 | 18,546,649 | (11,234,398) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(335,243) | 512,068 | (58,411) | 957,627 | ||||||||||||
Net realized gain (loss)
|
11,386,313 | (8,015,752) | 7,688,659 | 5,286,170 | ||||||||||||
Change in net unrealized appreciation (depreciation)
|
69,302,060 | 8,501,389 | (15,759,771) | (18,388,937) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
80,353,130 | 997,705 | (8,129,523) | (12,145,140) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 249,671,968 | $ | 178,444,838 | $ | 249,671,968 | $ | 178,444,838 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | (8,129,523) | $ | (12,145,140) | ||||
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
|
(234,541,441) | (1,328,212,359) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
259,705,000 | 1,320,499,286 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(610,089) | (1,611,840) | ||||||
Net realized gain (loss) on investments
|
— | (132) | ||||||
Change in unrealized appreciation (depreciation) on investments
|
16,141,791 | 19,126,427 | ||||||
Decrease (Increase) in receivable on futures contracts
|
(4,663,920) | — | ||||||
Decrease (Increase) in interest receivable
|
84,509 | (47,723) | ||||||
Increase (Decrease) in payable to Sponsor
|
(9,140) | (13,359) | ||||||
Increase (Decrease) in payable on futures contracts
|
(398,936) | 61,102 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
27,578,251 | (2,343,738) | ||||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
49,334,251 | 31,578,388 | ||||||
Payment on shares redeemed
|
(37,913,081) | (42,812,786) | ||||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
11,421,170 | (11,234,398) | ||||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
38,999,421 | (13,578,136) | ||||||
Cash, beginning of period
|
79,058,662 | 51,907,742 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 118,058,083 | $ | 38,329,606 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31, 2019
|
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $96,986,029 and $179,736,532, respectively)
|
$ | 96,985,173 | $ | 179,749,262 | ||||
Cash
|
307,551,279 | 179,318,928 | ||||||
Segregated cash balances with brokers for futures contracts
|
533,199,791 | 175,258,401 | ||||||
Segregated cash balances with brokers for swap agreements
|
18,743,000 | 6,984,000 | ||||||
Receivable from capital shares sold
|
62,582,799 | 87,500 | ||||||
Receivable on open futures contracts
|
39,494,012 | 20,666,579 | ||||||
Interest receivable
|
29,624 | 212,666 | ||||||
|
|
|
|
|||||
Total assets
|
1,058,585,678 | 562,277,336 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable on open futures contracts
|
61,619,353 | 34,019,820 | ||||||
Brokerage commissions and fees payable
|
248,909 | — | ||||||
Payable to Sponsor
|
601,147 | 411,729 | ||||||
Unrealized depreciation on swap agreements
|
3,959,662 | 209,784 | ||||||
|
|
|
|
|||||
Total liabilities
|
66,429,071 | 34,641,333 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
992,156,607 | 527,636,003 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 1,058,585,678 | $ | 562,277,336 | ||||
|
|
|
|
|||||
Shares outstanding
|
30,130,912 | 41,630,912 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 32.93 | $ | 12.67 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 32.77 | $ | 12.89 | ||||
|
|
|
|
Principal Amount
|
Value
|
|||||||
Short-term U.S. government and agency obligations
|
||||||||
(10% of shareholders’ equity)
|
||||||||
U.S. Treasury Bills
^^
:
|
||||||||
0.067% due 07/16/20
|
$ | 50,000,000 | $ | 49,997,290 | ||||
0.154% due 09/03/20
|
47,000,000 | 46,987,883 | ||||||
|
|
|||||||
Total short-term U.S. government and agency obligations
|
||||||||
(cost $96,986,029)
|
$ | 96,985,173 | ||||||
|
|
Number of
Contracts |
Notional Amount
at Value |
Unrealized
Appreciation (Depreciation)/Value |
||||||||||
VIX Futures—Cboe, expires July 2020
|
26,764 | $ | 826,338,500 | $ | 30,231,646 | |||||||
VIX Futures—Cboe, expires August 2020
|
19,103 | 607,952,975 | (21,848,927 | ) | ||||||||
|
|
|||||||||||
$ | 8,382,719 | |||||||||||
|
|
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
|
1.03 | % | 07/29/20 | $ | 52,525,586 | $ | (3,959,662 | ) | ||||||||
|
|
|||||||||||||||
|
Total
Unrealized Depreciation |
|
$ | (3,959,662 | ) | |||||||||||
|
|
^ |
The positions and counterparties herein are as of June 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
|
^^ |
Rates shown represent discount rate at the time of purchase.
|
* |
Reflects the floating financing rate, as of June 30, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
|
** |
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 101,523 | $ | 2,683,047 | $ | 1,513,263 | $ | 4,101,153 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
1,293,878 | 1,356,237 | 2,677,153 | 2,321,769 | ||||||||||||
Brokerage commissions
|
438,851 | 819,685 | 1,179,860 | 1,395,316 | ||||||||||||
Brokerage fees
|
454,550 | — | 471,271 | 64 | ||||||||||||
Non-recurring
fees and expenses
|
— | — | — | 27,508 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
2,187,279 | 2,175,922 | 4,328,284 | 3,744,657 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(2,085,756 | ) | 507,125 | (2,815,021 | ) | 356,496 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Futures contracts
|
(70,710,151 | ) | (50,930,493 | ) | 585,435,077 | (217,066,694 | ) | |||||||||
Swap agreements
|
(37,170,640 | ) | (4,045,325 | ) | 32,769,363 | (33,132,465 | ) | |||||||||
Short-term U.S. government and agency obligations
|
— | (350 | ) | — | (350 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
(107,880,791 | ) | (54,976,168 | ) | 618,204,440 | (250,199,509 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Futures contracts
|
(143,576,454 | ) | (37,254,397 | ) | 54,779,500 | (77,769,752 | ) | |||||||||
Swap agreements
|
18,224,215 | (2,348,776 | ) | (3,749,878 | ) | (883,364 | ) | |||||||||
Short-term U.S. government and agency obligations
|
(148,640 | ) | 40,081 | (13,586 | ) | 32,041 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
(125,500,879 | ) | (39,563,092 | ) | 51,016,036 | (78,621,075 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
(233,381,670 | ) | (94,539,260 | ) | 669,220,476 | (328,820,584 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | (235,467,426 | ) | $ | (94,032,135 | ) | $ | 666,405,455 | $ | (328,464,088 | ) | |||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 592,820,492 | $ | 547,243,246 | $ | 527,636,003 | $ | 214,304,871 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 24,850,000, 17,050,000, 34,750,000 and 32,200,000 shares, respectively
|
850,559,658 | 585,834,908 | 1,209,649,869 | 1,314,412,456 | ||||||||||||
Redemption of 4,850,000, 13,650,000, 46,250,000 and 17,400,000 shares, respectively
|
(215,756,117 | ) | (509,704,555 | ) | (1,411,534,720 | ) | (670,911,775 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of 20,000,000, 3,400,000, (11,500,000) and 14,800,000 shares, respectively
|
634,803,541 | 76,130,353 | (201,884,851 | ) | 643,500,681 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(2,085,756 | ) | 507,125 | (2,815,021 | ) | 356,496 | ||||||||||
Net realized gain (loss)
|
(107,880,791 | ) | (54,976,168 | ) | 618,204,440 | (250,199,509 | ) | |||||||||
Change in net unrealized appreciation (depreciation)
|
(125,500,879 | ) | (39,563,092 | ) | 51,016,036 | (78,621,075 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
(235,467,426 | ) | (94,032,135 | ) | 666,405,455 | (328,464,088 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 992,156,607 | $ | 529,341,464 | $ | 992,156,607 | $ | 529,341,464 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | 666,405,455 | $ | (328,464,088 | ) | |||
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
|
(295,430,934 | ) | (4,484,535,007 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
379,000,000 | 4,370,237,635 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(818,563 | ) | (1,027,843 | ) | ||||
Net realized gain (loss) on investments
|
— | 350 | ||||||
Change in unrealized appreciation (depreciation) on investments
|
3,763,464 | 851,323 | ||||||
Decrease (Increase) in receivable on futures contracts
|
(18,827,433 | ) | (7,423,045 | ) | ||||
Decrease (Increase) in interest receivable
|
183,042 | (407,192 | ) | |||||
Increase (Decrease) in payable to Sponsor
|
189,418 | 241,897 | ||||||
Increase (Decrease) in brokerage commissions and fees payable
|
248,909 | — | ||||||
Increase (Decrease) in payable on futures contracts
|
27,599,533 | 17,934,744 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
762,312,891 | (432,591,226 | ) | |||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
1,147,154,570 | 1,305,852,193 | ||||||
Payment on shares redeemed
|
(1,411,534,720 | ) | (670,911,775 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
(264,380,150 | ) | 634,940,418 | |||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
497,932,741 | 202,349,192 | ||||||
Cash, beginning of period
|
361,561,329 | 202,920,595 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 859,494,070 | $ | 405,269,787 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31, 2019
|
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $1,808,030, respectively)
|
$ | — | $ | 1,808,104 | ||||
Cash
|
2,427,143 | 3,283,138 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts
|
300,000 | 500,000 | ||||||
Unrealized appreciation on foreign currency forward contracts
|
39,430 | — | ||||||
Interest receivable
|
281 | 4,726 | ||||||
|
|
|
|
|||||
Total assets
|
2,766,854 | 5,595,968 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable to Sponsor
|
2,168 | 4,475 | ||||||
Unrealized depreciation on foreign currency forward contracts
|
331 | 10,529 | ||||||
|
|
|
|
|||||
Total liabilities
|
2,499 | 15,004 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
2,764,355 | 5,580,964 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 2,766,854 | $ | 5,595,968 | ||||
|
|
|
|
|||||
Shares outstanding
|
49,970 | 99,970 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 55.32 | $ | 55.83 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 55.31 | $ | 55.83 | ||||
|
|
|
|
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
|
07/10/20 | 336,014,517 | $ | 3,112,428 | $ | 22,496 | ||||||||||
Yen with UBS AG
|
07/10/20 | 274,932,756 | 2,546,639 | 16,934 | ||||||||||||
|
|
|||||||||||||||
Total Unrealized
Appreciation |
|
$ | 39,430 | |||||||||||||
|
|
|||||||||||||||
Contracts to Sell
|
||||||||||||||||
Yen with UBS AG
|
07/10/20 | (12,240,000 | ) | $ | (113,377 | ) | $ | (331 | ) | |||||||
|
|
|||||||||||||||
Total Unrealized
Depreciation |
|
$ | (331 | ) | ||||||||||||
|
|
^ |
The positions and counterparties herein are as of June 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 62 | $ | 18,875 | $ | 8,929 | $ | 45,884 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
6,601 | 9,207 | 13,842 | 21,645 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
6,601 | 9,207 | 13,842 | 21,645 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(6,539 | ) | 9,668 | (4,913 | ) | 24,239 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Foreign currency forward contracts
|
(106,753 | ) | 171,283 | (115,236 | ) | 93,976 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
(106,753 | ) | 171,283 | (115,236 | ) | 93,976 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Foreign currency forward contracts
|
68,867 | (16,099 | ) | 49,628 | (128,696 | ) | ||||||||||
Short-term U.S. government and agency obligations
|
— | (352 | ) | (74 | ) | (352 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
68,867 | (16,451 | ) | 49,554 | (129,048 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
(37,886 | ) | 154,832 | (65,682 | ) | (35,072 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | (44,425 | ) | $ | 164,500 | $ | (70,595 | ) | $ | (10,833 | ) | |||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 2,808,780 | $ | 5,563,510 | $ | 5,580,964 | $ | 5,751,716 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of –, 50,000, – and 100,000 shares, respectively
|
— | 2,835,708 | — | 5,758,562 | ||||||||||||
Redemption of –, 50,000, 50,000 and 100,000 shares, respectively
|
— | (2,756,321 | ) | (2,746,014 | ) | (5,692,048 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of –, –, (50,000) and – shares, respectively
|
— | 79,387 | (2,746,014 | ) | 66,514 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(6,539 | ) | 9,668 | (4,913 | ) | 24,239 | ||||||||||
Net realized gain (loss)
|
(106,753 | ) | 171,283 | (115,236 | ) | 93,976 | ||||||||||
Change in net unrealized appreciation (depreciation)
|
68,867 | (16,451 | ) | 49,554 | (129,048 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
(44,425 | ) | 164,500 | (70,595 | ) | (10,833 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 2,764,355 | $ | 5,807,397 | $ | 2,764,355 | $ | 5,807,397 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | (70,595 | ) | $ | (10,833 | ) | ||
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
|
(99,700 | ) | (40,320,918 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
1,911,000 | 36,350,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(3,270 | ) | (9,569 | ) | ||||
Change in unrealized appreciation (depreciation) on investments
|
(49,554 | ) | 129,048 | |||||
Decrease (Increase) in interest receivable
|
4,445 | (2,458 | ) | |||||
Increase (Decrease) in payable to Sponsor
|
(2,307 | ) | 2,080 | |||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
1,690,019 | (3,862,650 | ) | |||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
— | 8,605,138 | ||||||
Payment on shares redeemed
|
(2,746,014 | ) | (5,692,048 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
(2,746,014 | ) | 2,913,090 | |||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
(1,055,995 | ) | (949,560 | ) | ||||
Cash, beginning of period
|
3,783,138 | 2,726,531 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 2,727,143 | $ | 1,776,971 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31, 2019
|
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $3,931,268, respectively)
|
$ | — | $ | 3,931,474 | ||||
Cash
|
5,360,437 | 1,506,673 | ||||||
Segregated cash balances with brokers for futures contracts
|
322,740 | 211,200 | ||||||
Interest receivable
|
656 | 1,707 | ||||||
|
|
|
|
|||||
Total assets
|
5,683,833 | 5,651,054 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable on open futures contracts
|
65,387 | 37,725 | ||||||
Payable to Sponsor
|
4,404 | 4,717 | ||||||
|
|
|
|
|||||
Total liabilities
|
69,791 | 42,442 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
5,614,042 | 5,608,612 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 5,683,833 | $ | 5,651,054 | ||||
|
|
|
|
|||||
Shares outstanding
|
100,000 | 100,000 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 56.14 | $ | 56.09 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 56.06 | $ | 55.88 | ||||
|
|
|
|
Number of
Contracts |
Notional Amount
at Value |
Unrealized
Appreciation (Depreciation)/Value |
||||||||||
Australian Dollar Fx Currency Futures—CME, expires September 2020
|
163 | $ | 11,255,150 | $ | 161,350 |
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 42 | $ | 47,222 | $ | 20,096 | $ | 95,764 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
14,888 | 19,898 | 30,018 | 40,978 | ||||||||||||
Brokerage commissions
|
1,339 | 1,429 | 2,838 | 3,102 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
16,227 | 21,327 | 32,856 | 44,080 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(16,185 | ) | 25,895 | (12,760 | ) | 51,684 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Futures contracts
|
(1,037,904 | ) | 250,116 | (366,954 | ) | 512,861 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
(1,037,904 | ) | 250,116 | (366,954 | ) | 512,861 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Futures contracts
|
(562,236 | ) | (74,786 | ) | 385,350 | (652,001 | ) | |||||||||
Short-term U.S. government and agency obligations
|
— | 193 | (206 | ) | 204 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
(562,236 | ) | (74,593 | ) | 385,144 | (651,797 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
(1,600,140 | ) | 175,523 | 18,190 | (138,936 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | (1,616,325 | ) | $ | 201,418 | $ | 5,430 | $ | (87,252 | ) | ||||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 7,230,367 | $ | 8,162,647 | $ | 5,608,612 | $ | 11,060,333 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Redemption of –, –, – and 50,000 shares, respectively
|
— | — | — | (2,609,016 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of –, –, – and (50,000) shares, respectively
|
— | — | — | (2,609,016 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(16,185 | ) | 25,895 | (12,760 | ) | 51,684 | ||||||||||
Net realized gain (loss)
|
(1,037,904 | ) | 250,116 | (366,954 | ) | 512,861 | ||||||||||
Change in net unrealized appreciation (depreciation)
|
(562,236 | ) | (74,593 | ) | 385,144 | (651,797 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
(1,616,325 | ) | 201,418 | 5,430 | (87,252 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 5,614,042 | $ | 8,364,065 | $ | 5,614,042 | $ | 8,364,065 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | 5,430 | $ | (87,252 | ) | |||
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
|
(498,498 | ) | (127,013,643 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
4,436,000 | 124,350,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(6,234 | ) | (23,242 | ) | ||||
Change in unrealized appreciation (depreciation) on investments
|
206 | (204 | ) | |||||
Decrease (Increase) in receivable on futures contracts
|
— | 6,300 | ||||||
Decrease (Increase) in interest receivable
|
1,051 | (3,206 | ) | |||||
Increase (Decrease) in payable to Sponsor
|
(313 | ) | (1,688 | ) | ||||
Increase (Decrease) in payable on futures contracts
|
27,662 | 34,377 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
3,965,304 | (2,738,558 | ) | |||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Payment on shares redeemed
|
— | (2,609,016 | ) | |||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
— | (2,609,016 | ) | |||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
3,965,304 | (5,347,574 | ) | |||||
Cash, beginning of period
|
1,717,873 | 10,754,381 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 5,683,177 | $ | 5,406,807 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31, 2019
|
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $62,196,121, respectively)
|
$ | — | $ | 62,199,283 | ||||
Cash
|
40,877,822 | 50,856,757 | ||||||
Segregated cash balances with brokers for futures contracts
|
46,872,390 | 7,239,420 | ||||||
Segregated cash balances with brokers for swap agreements
|
22,643,000 | 3,813,000 | ||||||
Receivable from capital shares sold
|
8,233,885 | 4,267,015 | ||||||
Receivable on open futures contracts
|
8,686,145 | 1,144,404 | ||||||
Interest receivable
|
4,786 | 54,165 | ||||||
|
|
|
|
|||||
Total assets
|
127,318,028 | 129,574,044 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable on open futures contracts
|
7,318,957 | — | ||||||
Payable to Sponsor
|
81,495 | 88,432 | ||||||
Unrealized depreciation on swap agreements
|
2,095,678 | 4,033,931 | ||||||
|
|
|
|
|||||
Total liabilities
|
9,496,130 | 4,122,363 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
|
|||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
117,821,898 | 125,451,681 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 127,318,028 | $ | 129,574,044 | ||||
|
|
|
|
|||||
Shares outstanding
|
6,439,884 | 10,289,884 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 18.30 | $ | 12.19 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 18.25 | $ | 12.15 | ||||
|
|
|
|
Number of
Contracts |
Notional Amount
at Value |
Unrealized
Appreciation (Depreciation)/ Value |
||||||||||
WTI Crude Oil—NYMEX, expires September 2020
|
919 | $ | 36,153,460 | $ | 341,288 | |||||||
WTI Crude Oil—NYMEX, expires October 2020
|
1,990 | 78,565,200 | (1,580 | ) | ||||||||
WTI Crude Oil—NYMEX, expires December 2020
|
1,980 | 78,566,400 | (4,013,856 | ) | ||||||||
|
|
|||||||||||
$(3,674,148)
|
||||||||||||
|
|
Rate Paid
(Received)
*
|
Termination
Date |
Notional Amount
at Value
**
|
Unrealized
Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
|
5.00 | % | 07/02/20 | $ | (42,317,531 | ) | $ | (2,095,678 | ) | |||||||
|
|
|||||||||||||||
Total Unrealized
Depreciation |
|
$ | (2,095,678 | ) | ||||||||||||
|
|
^ |
The positions and counterparties herein are as of June 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
|
* |
Reflects the floating financing rate, as of June 30, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
|
** |
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 6,209 | $ | 424,765 | $ | 254,918 | $ | 786,536 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
348,900 | 190,096 | 551,269 | 356,422 | ||||||||||||
Brokerage commissions
|
346,732 | 18,872 | 423,785 | 28,502 | ||||||||||||
Brokerage fees
|
93,303 | — | 93,303 | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
788,935 | 208,968 | 1,068,357 | 384,924 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(782,726 | ) | 215,797 | (813,439 | ) | 401,612 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Futures contracts
|
(6,718,825 | ) | (1,994,174 | ) | (214,136 | ) | (5,183,906 | ) | ||||||||
Swap agreements
|
(228,522 | ) | 12,117,296 | 44,940,811 | 6,151,869 | |||||||||||
Short-term U.S. government and agency obligations
|
— | 1,200 | (20 | ) | 1,200 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
(6,947,347 | ) | 10,124,322 | 44,726,655 | 969,163 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Futures contracts
|
(55,392,539 | ) | 1,408,268 | (555,459 | ) | (4,822,648 | ) | |||||||||
Swap agreements
|
(19,802,897 | ) | (3,960,062 | ) | 1,938,253 | (30,646,178 | ) | |||||||||
Short-term U.S. government and agency obligations
|
(6,289 | ) | 8,300 | (3,162 | ) | 7,098 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
(75,201,725 | ) | (2,543,494 | ) | 1,379,632 | (35,461,728 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
(82,149,072 | ) | 7,580,828 | 46,106,287 | (34,492,565 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | (82,931,798 | ) | $ | 7,796,625 | $ | 45,292,848 | $ | (34,090,953 | ) | ||||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 100,094,023 | $ | 75,826,687 | $ | 125,451,681 | $ | 114,377,311 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 19,000,000, 4,850,000, 22,350,000 and 8,250,000 shares, respectively
|
597,199,474 | 76,776,773 | 668,428,949 | 143,253,074 | ||||||||||||
Redemption of 14,600,000, 5,300,000, 26,200,000 and 8,050,000 shares, respectively
|
(496,539,801 | ) | (92,303,318 | ) | (721,351,580 | ) | (155,442,665 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of 4,400,000, (450,000), (3,850,000) and 200,000 shares, respectively
|
100,659,673 | (15,526,545 | ) | (52,922,631 | ) | (12,189,591 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(782,726 | ) | 215,797 | (813,439 | ) | 401,612 | ||||||||||
Net realized gain (loss)
|
(6,947,347 | ) | 10,124,322 | 44,726,655 | 969,163 | |||||||||||
Change in net unrealized appreciation (depreciation)
|
(75,201,725 | ) | (2,543,494 | ) | 1,379,632 | (35,461,728 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
(82,931,798 | ) | 7,796,625 | 45,292,848 | (34,090,953 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 117,821,898 | $ | 68,096,767 | $ | 117,821,898 | $ | 68,096,767 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | 45,292,848 | $ | (34,090,953 | ) | |||
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
|
(32,897,274 | ) | (1,262,653,154 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
95,246,647 | 1,254,901,091 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(153,272 | ) | (575,172 | ) | ||||
Net realized gain (loss) on investments
|
20 | (1,200 | ) | |||||
Change in unrealized appreciation (depreciation) on investments
|
(1,935,091 | ) | 30,639,080 | |||||
Decrease (Increase) in receivable on futures contracts
|
(7,541,741 | ) | 133,867 | |||||
Decrease (Increase) in interest receivable
|
49,379 | (15,625 | ) | |||||
Increase (Decrease) in payable to Sponsor
|
(6,937 | ) | (38,028 | ) | ||||
Increase (Decrease) in payable on futures contracts
|
7,318,957 | 211,556 | ||||||
Increase (Decrease) in securities purchased payable
|
— | 9,949,576 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
105,373,536 | (1,538,962 | ) | |||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
664,462,079 | 167,079,837 | ||||||
Payment on shares redeemed
|
(721,351,580 | ) | (155,442,665 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
(56,889,501 | ) | 11,637,172 | |||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
48,484,035 | 10,098,210 | ||||||
Cash, beginning of period
|
61,909,177 | 39,972,133 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 110,393,212 | $ | 50,070,343 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31, 2019
|
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $1,999,946 and $5,154,603, respectively)
|
$ | 1,999,892 | $ | 5,154,876 | ||||
Cash
|
18,133,181 | 4,438,331 | ||||||
Segregated cash balances with brokers for futures contracts
|
6,586,014 | 2,932,560 | ||||||
Receivable from capital shares sold
|
3,360,532 | — | ||||||
Interest receivable
|
1,217 | 6,522 | ||||||
|
|
|
|
|||||
Total assets
|
30,080,836 | 12,532,289 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable on open futures contracts
|
1,515,578 | 6,826 | ||||||
Payable to Sponsor
|
13,048 | 9,860 | ||||||
|
|
|
|
|||||
Total liabilities
|
1,528,626 | 16,686 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
28,552,210 | 12,515,603 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 30,080,836 | $ | 12,532,289 | ||||
|
|
|
|
|||||
Shares outstanding
|
424,832 | 324,832 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 67.21 | $ | 38.53 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 67.21 | $ | 38.82 | ||||
|
|
|
|
Principal Amount
|
Value
|
|||||||
Short-term U.S. government and agency obligations
|
||||||||
(7% of shareholders’ equity)
|
||||||||
U.S. Treasury Bills
^^
:
|
||||||||
0.067% due 07/16/20
|
$ | 2,000,000 | $ | 1,999,892 | ||||
|
|
|||||||
Total short-term U.S. government and agency obligations
|
||||||||
(cost $1,999,946)
|
$ | 1,999,892 | ||||||
|
|
Number of
Contracts |
Notional Amount
at Value |
Unrealized
Appreciation (Depreciation)/Value |
||||||||||
Natural Gas—NYMEX, expires September 2020
|
3,192 | $ | 57,104,880 | $ | 1,233,628 |
^^ |
Rates shown represent discount rate at the time of purchase.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 1,371 | $ | 48,278 | $ | 43,803 | $ | 108,153 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
36,607 | 20,378 | 69,037 | 49,069 | ||||||||||||
Brokerage commissions
|
46,462 | 16,181 | 78,743 | 27,881 | ||||||||||||
Brokerage fees
|
5,349 | — | 5,349 | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
88,418 | 36,559 | 153,129 | 76,950 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(87,047 | ) | 11,719 | (109,326 | ) | 31,203 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Futures contracts
|
5,236,641 | 3,449,841 | 10,862,818 | 14,769,166 | ||||||||||||
Short-term U.S. government and agency obligations
|
(550 | ) | — | (550 | ) | — | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
5,236,091 | 3,449,841 | 10,862,268 | 14,769,166 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Futures contracts
|
(2,773,687 | ) | (546,368 | ) | 561,299 | (10,862,913 | ) | |||||||||
Short-term U.S. government and agency obligations
|
(952 | ) | 183 | (327 | ) | 117 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
(2,774,639 | ) | (546,185 | ) | 560,972 | (10,862,796 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
2,461,452 | 2,903,656 | 11,423,240 | 3,906,370 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | 2,374,405 | $ | 2,915,375 | $ | 11,313,914 | $ | 3,937,573 | ||||||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 17,419,933 | $ | 13,019,491 | $ | 12,515,603 | $ | 17,825,441 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 650,000, 250,000, 1,200,000 and 500,000 shares, respectively
|
39,170,642 | 6,919,017 | 68,275,223 | 11,032,627 | ||||||||||||
Redemption of 500,000, 700,000, 1,100,000 and 1,200,000 shares, respectively
|
(30,412,770 | ) | (19,015,041 | ) | (63,552,530 | ) | (28,956,799 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of 150,000, (450,000), 100,000 and (700,000) shares, respectively
|
8,757,872 | (12,096,024 | ) | 4,722,693 | (17,924,172 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(87,047 | ) | 11,719 | (109,326 | ) | 31,203 | ||||||||||
Net realized gain (loss)
|
5,236,091 | 3,449,841 | 10,862,268 | 14,769,166 | ||||||||||||
Change in net unrealized appreciation (depreciation)
|
(2,774,639 | ) | (546,185 | ) | 560,972 | (10,862,796 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
2,374,405 | 2,915,375 | 11,313,914 | 3,937,573 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 28,552,210 | $ | 3,838,842 | $ | 28,552,210 | $ | 3,838,842 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | 11,313,914 | $ | 3,937,573 | ||||
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
|
(12,989,707 | ) | (194,019,735 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
16,159,778 | 193,550,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(15,964 | ) | (29,660 | ) | ||||
Net realized gain (loss) on investments
|
550 | — | ||||||
Change in unrealized appreciation (depreciation) on investments
|
327 | (117 | ) | |||||
Decrease (Increase) in receivable on futures contracts
|
— | 3,094,499 | ||||||
Decrease (Increase) in interest receivable
|
5,305 | 1,501 | ||||||
Increase (Decrease) in payable to Sponsor
|
3,188 | (10,868 | ) | |||||
Increase (Decrease) in payable on futures contracts
|
1,508,752 | 11,236 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
15,986,143 | 6,534,429 | ||||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
64,914,691 | 11,032,627 | ||||||
Payment on shares redeemed
|
(63,552,530 | ) | (33,278,387 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
1,362,161 | (22,245,760 | ) | |||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
17,348,304 | (15,711,331 | ) | |||||
Cash, beginning of period
|
7,370,891 | 18,756,222 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 24,719,195 | $ | 3,044,891 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31,
2019 |
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $74,988,779 and $78,586,073, respectively)
|
$ | 74,987,908 | $ | 78,590,100 | ||||
Cash
|
4,248,559 | 44,280,278 | ||||||
Unrealized appreciation on foreign currency forward contracts
|
— | 115,751 | ||||||
Interest receivable
|
993 | 60,723 | ||||||
|
|
|
|
|||||
Total assets
|
79,237,460 | 123,046,852 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable to Sponsor
|
63,541 | 99,508 | ||||||
Unrealized depreciation on foreign currency forward contracts
|
324,954 | 2,366,171 | ||||||
|
|
|
|
|||||
Total liabilities
|
388,495 | 2,465,679 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
78,848,965 | 120,581,173 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 79,237,460 | $ | 123,046,852 | ||||
|
|
|
|
|||||
Shares outstanding
|
2,950,000 | 4,500,000 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 26.73 | $ | 26.80 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 26.73 | $ | 26.80 | ||||
|
|
|
|
Principal Amount
|
Value
|
|||||||
Short-term U.S. government and agency obligations
|
||||||||
(95% of shareholders’ equity)
|
||||||||
U.S. Treasury Bills
^^
:
|
||||||||
0.067% due 07/16/20
†
|
$ | 25,000,000 | $ | 24,998,645 | ||||
0.114% due 08/13/20
|
21,000,000 | 20,996,739 | ||||||
0.154% due 09/03/20
†
|
29,000,000 | 28,992,524 | ||||||
|
|
|||||||
Total short-term U.S. government and agency obligations
|
||||||||
(cost $74,988,779)
|
$ | 74,987,908 | ||||||
|
|
Settlement Date
|
Contract Amount
in Local Currency |
Contract Amount
in U.S. Dollars |
Unrealized
Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase
|
||||||||||||||||
Euro with UBS AG
|
07/10/20 | 24,450,000 | $ | 27,476,495 | $ | (167,059 | ) | |||||||||
|
|
|||||||||||||||
$ | (167,059 | ) | ||||||||||||||
|
|
|||||||||||||||
Contracts to Sell
|
||||||||||||||||
Euro with Goldman Sachs International
|
07/10/20 | (42,027,263 | ) | $ | (47,229,524 | ) | $ | (47,617 | ) | |||||||
Euro with UBS AG
|
07/10/20 | (123,240,199 | ) | (138,495,242 | ) | (110,278 | ) | |||||||||
|
|
|||||||||||||||
$ | (157,895 | ) | ||||||||||||||
|
|
|||||||||||||||
|
Total Net
Unrealized Depreciation |
|
$ | (324,954 | ) | |||||||||||
|
|
† |
All or partial amount pledged as collateral for foreign currency forward contracts.
|
^ |
The positions and counterparties herein are as of June 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
|
^^ |
Rates shown represent discount rate at the time of purchase.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 68,027 | $ | 805,304 | $ | 467,684 | $ | 1,579,922 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
213,631 | 334,048 | 477,073 | 674,193 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
213,631 | 334,048 | 477,073 | 674,193 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(145,604 | ) | 471,256 | (9,389 | ) | 905,729 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Foreign currency forward contracts
|
(2,285,868 | ) | 1,947,377 | (1,238,585 | ) | 5,276,619 | ||||||||||
Short-term U.S. government and agency obligations
|
— | (7 | ) | — | (7 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
(2,285,868 | ) | 1,947,370 | (1,238,585 | ) | 5,276,612 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Foreign currency forward contracts
|
(1,212,465 | ) | (3,873,835 | ) | 1,925,466 | 555,595 | ||||||||||
Short-term U.S. government and agency obligations
|
(57,218 | ) | 30,086 | (4,898 | ) | 25,469 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
(1,269,683 | ) | (3,843,749 | ) | 1,920,568 | 581,064 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
(3,555,551 | ) | (1,896,379 | ) | 681,983 | 5,857,676 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | (3,701,155 | ) | $ | (1,425,123 | ) | $ | 672,594 | $ | 6,763,405 | ||||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 93,194,599 | $ | 151,445,608 | $ | 120,581,173 | $ | 154,120,159 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 150,000, 100,000, 350,000 and 350,000 shares, respectively
|
4,304,184 | 2,529,264 | 10,058,250 | 8,834,696 | ||||||||||||
Redemption of 550,000, 700,000, 1,900,000 and 1,400,000 shares, respectively
|
(14,948,663 | ) | (17,976,278 | ) | (52,463,052 | ) | (35,144,789 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of (400,000), (600,000), (1,550,000) and (1,050,000) shares, respectively
|
(10,644,479 | ) | (15,447,014 | ) | (42,404,802 | ) | (26,310,093 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(145,604 | ) | 471,256 | (9,389 | ) | 905,729 | ||||||||||
Net realized gain (loss)
|
(2,285,868 | ) | 1,947,370 | (1,238,585 | ) | 5,276,612 | ||||||||||
Change in net unrealized appreciation (depreciation)
|
(1,269,683 | ) | (3,843,749 | ) | 1,920,568 | 581,064 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
(3,701,155 | ) | (1,425,123 | ) | 672,594 | 6,763,405 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 78,848,965 | $ | 134,573,471 | $ | 78,848,965 | $ | 134,573,471 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | 672,594 | $ | 6,763,405 | ||||
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
|
(141,766,749 | ) | (1,268,345,577 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
145,685,000 | 1,267,088,249 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(320,957 | ) | (1,424,002 | ) | ||||
Net realized gain (loss) on investments
|
— | 7 | ||||||
Change in unrealized appreciation (depreciation) on investments
|
(1,920,568 | ) | (581,064 | ) | ||||
Decrease (Increase) in interest receivable
|
59,730 | (12,166 | ) | |||||
Increase (Decrease) in payable to Sponsor
|
(35,967 | ) | (22,201 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
2,373,083 | 3,466,651 | ||||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
10,058,250 | 8,834,696 | ||||||
Payment on shares redeemed
|
(52,463,052 | ) | (37,571,809 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
(42,404,802 | ) | (28,737,113 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
(40,031,719 | ) | (25,270,462 | ) | ||||
Cash, beginning of period
|
44,280,278 | 36,353,995 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 4,248,559 | $ | 11,083,533 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31, 2019
|
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $7,999,783 and $12,354,582, respectively)
|
$ | 7,999,566 | $ | 12,355,192 | ||||
Cash
|
5,155,435 | 8,993,715 | ||||||
Segregated cash balances with brokers for futures contracts
|
444,850 | 358,200 | ||||||
Segregated cash balances with brokers for swap agreements
|
3,541,400 | 544,000 | ||||||
Receivable on open futures contracts
|
13,574 | — | ||||||
Interest receivable
|
660 | 11,691 | ||||||
|
|
|
|
|||||
Total assets
|
17,155,485 | 22,262,798 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable on open futures contracts
|
46,320 | 25,211 | ||||||
Payable to Sponsor
|
13,153 | 17,218 | ||||||
Unrealized depreciation on swap agreements
|
1,244,969 | 1,172,809 | ||||||
|
|
|
|
|||||
Total liabilities
|
1,304,442 | 1,215,238 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
15,851,043 | 21,047,560 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 17,155,485 | $ | 22,262,798 | ||||
|
|
|
|
|||||
Shares outstanding
|
446,977 | 396,977 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 35.46 | $ | 53.02 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 35.57 | $ | 53.21 | ||||
|
|
|
|
Principal Amount
|
Value
|
|||||||
Short-term U.S. government and agency obligations
|
||||||||
(50% of shareholders’ equity)
|
||||||||
U.S. Treasury Bills
^^
:
|
||||||||
0.067% due 07/16/20
|
$ | 8,000,000 | $ | 7,999,566 | ||||
|
|
|||||||
Total short-term U.S. government and agency obligations
|
||||||||
(cost $7,999,783)
|
$ | 7,999,566 | ||||||
|
|
Number of
Contracts |
Notional Amount
at Value |
Unrealized
Appreciation (Depreciation)/Value |
||||||||||
Gold Futures—COMEX, expires August 2020
|
46 | $ | 8,282,300 | $ | (280,540 | ) |
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 | % | 07/06/20 | $ | (10,722,833 | ) | $ | (569,683 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
|
0.20 | 07/06/20 | (8,036,739 | ) | (426,747 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex
|
0.25 | 07/06/20 | (4,678,097 | ) | (248,539 | ) | ||||||||||
|
|
|||||||||||||||
Total Unrealized
Depreciation |
|
$ | (1,244,969 | ) | ||||||||||||
|
|
^ |
The positions and counterparties herein are as of June 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
|
^^ |
Rates shown represent discount rate at the time of purchase.
|
* |
Reflects the floating financing rate, as of June 30, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
|
** |
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 2,259 | $ | 102,278 | $ | 63,280 | $ | 197,489 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
40,621 | 48,056 | 83,860 | 95,018 | ||||||||||||
Brokerage commissions
|
1,659 | 1,640 | 3,763 | 2,418 | ||||||||||||
Brokerage fees
|
1,365 | — | 1,365 | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
43,645 | 49,696 | 88,988 | 97,436 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(41,386 | ) | 52,582 | (25,708 | ) | 100,053 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Futures contracts
|
(1,667,192 | ) | (665,001 | ) | (3,695,858 | ) | (677,942 | ) | ||||||||
Swap agreements
|
(422,079 | ) | (1,236,071 | ) | (4,324,295 | ) | (1,273,885 | ) | ||||||||
Forward agreements
|
— | — | — | (1,118,149 | ) | |||||||||||
Short-term U.S. government and agency obligations
|
— | 337 | — | 337 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
(2,089,271 | ) | (1,900,735 | ) | (8,020,153 | ) | (3,069,639 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Futures contracts
|
(530,083 | ) | (357,062 | ) | 111,030 | (287,848 | ) | |||||||||
Swap agreements
|
(2,106,843 | ) | (1,001,817 | ) | (72,160 | ) | (1,183,904 | ) | ||||||||
Forward agreements
|
— | — | — | 990,786 | ||||||||||||
Short-term U.S. government and agency obligations
|
(2,005 | ) | 1,867 | (827 | ) | 1,980 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
(2,638,931 | ) | (1,357,012 | ) | 38,043 | (478,986 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
(4,728,202 | ) | (3,257,747 | ) | (7,982,110 | ) | (3,548,625 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | (4,769,588 | ) | $ | (3,205,165 | ) | $ | (8,007,818 | ) | $ | (3,448,572 | ) | ||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 20,569,044 | $ | 21,506,707 | $ | 21,047,560 | $ | 18,098,997 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 150,000, 300,000, 350,000 and 400,000 shares, respectively
|
5,742,206 | 21,408,838 | 15,431,847 | 28,645,711 | ||||||||||||
Redemption of 150,000, 300,000, 300,000 and 350,001 shares, respectively
|
(5,690,619 | ) | (21,551,977 | ) | (12,620,546 | ) | (25,137,733 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of –, –, 50,000 and 49,999 shares, respectively
|
51,587 | (143,139 | ) | 2,811,301 | 3,507,978 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(41,386 | ) | 52,582 | (25,708 | ) | 100,053 | ||||||||||
Net realized gain (loss)
|
(2,089,271 | ) | (1,900,735 | ) | (8,020,153 | ) | (3,069,639 | ) | ||||||||
Change in net unrealized appreciation (depreciation)
|
(2,638,931 | ) | (1,357,012 | ) | 38,043 | (478,986 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
(4,769,588 | ) | (3,205,165 | ) | (8,007,818 | ) | (3,448,572 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 15,851,043 | $ | 18,158,403 | $ | 15,851,043 | $ | 18,158,403 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | (8,007,818 | ) | $ | (3,448,572 | ) | ||
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
|
(14,982,323 | ) | (321,841,257 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
19,371,000 | 313,978,906 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(33,878 | ) | (106,009 | ) | ||||
Net realized gain (loss) on investments
|
— | (337 | ) | |||||
Change in unrealized appreciation (depreciation) on investments
|
72,987 | 191,138 | ||||||
Decrease (Increase) in receivable on futures contracts
|
(13,574 | ) | 1,700 | |||||
Decrease (Increase) in interest receivable
|
11,031 | 945 | ||||||
Increase (Decrease) in payable to Sponsor
|
(4,065 | ) | (2,611 | ) | ||||
Increase (Decrease) in payable on futures contracts
|
21,109 | 44,120 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
(3,565,531 | ) | (11,181,977 | ) | ||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
15,431,847 | 28,645,711 | ||||||
Payment on shares redeemed
|
(12,620,546 | ) | (25,137,733 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
2,811,301 | 3,507,978 | ||||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
(754,230 | ) | (7,673,999 | ) | ||||
Cash, beginning of period
|
9,895,915 | 15,103,332 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 9,141,685 | $ | 7,429,333 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31, 2019
|
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $9,162,163, respectively)
|
$ | — | $ | 9,162,867 | ||||
Cash
|
7,756,303 | 5,300,012 | ||||||
Segregated cash balances with brokers for futures contracts
|
670,000 | 148,200 | ||||||
Segregated cash balances with brokers for swap agreements
|
2,145,000 | 1,198,000 | ||||||
Receivable on open futures contracts
|
104,420 | 4,800 | ||||||
Interest receivable
|
1,021 | 4,326 | ||||||
|
|
|
|
|||||
Total assets
|
10,676,744 | 15,818,205 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable on open futures contracts
|
137,520 | 18,516 | ||||||
Payable to Sponsor
|
9,768 | 11,622 | ||||||
Unrealized depreciation on swap agreements
|
383,831 | 1,953,904 | ||||||
|
|
|
|
|||||
Total liabilities
|
531,119 | 1,984,042 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
10,145,625 | 13,834,163 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 10,676,744 | $ | 15,818,205 | ||||
|
|
|
|
|||||
Shares outstanding
|
516,976 | 516,976 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 19.62 | $ | 26.76 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 19.77 | $ | 26.80 | ||||
|
|
|
|
Number of
Contracts |
Notional Amount
at Value |
Unrealized
Appreciation (Depreciation)/Value |
||||||||||
Silver Futures—COMEX, expires September 2020
|
74 | $ | 6,895,690 | $ | (215,165 | ) |
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 | % | 07/06/20 | $ | (5,885,533 | ) | $ | (175,594 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
|
0.25 | 07/06/20 | (3,503,375 | ) | (88,575 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex
|
0.25 | 07/06/20 | (4,010,780 | ) | (119,662 | ) | ||||||||||
|
|
|||||||||||||||
Total Unrealized
Depreciation |
|
$ | (383,831 | ) | ||||||||||||
|
|
^ |
The positions and counterparties herein are as of June 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
|
* |
Reflects the floating financing rate, as of June 30, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
|
** |
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 651 | $ | 86,447 | $ | 45,187 | $ | 156,561 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
25,749 | 41,444 | 62,885 | 78,655 | ||||||||||||
Brokerage commissions
|
3,940 | 2,826 | 7,921 | 4,175 | ||||||||||||
Brokerage fees
|
1,675 | — | 1,675 | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
31,364 | 44,270 | 72,481 | 82,830 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(30,713 | ) | 42,177 | (27,294 | ) | 73,731 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Futures contracts
|
(912,847 | ) | 351,043 | 1,007,162 | 146,509 | |||||||||||
Swap agreements
|
(2,964,892 | ) | 118,410 | (4,042,661 | ) | 1,077,300 | ||||||||||
Forward agreements
|
— | — | — | (2,144,498 | ) | |||||||||||
Short-term U.S. government and agency obligations
|
— | 78 | — | 78 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
(3,877,739 | ) | 469,531 | (3,035,499 | ) | (920,611 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Futures contracts
|
(1,735,991 | ) | (462,919 | ) | (132,984 | ) | (19,394 | ) | ||||||||
Swap agreements
|
(1,017,191 | ) | (605,662 | ) | 1,570,073 | (706,553 | ) | |||||||||
Forward agreements
|
— | — | — | 1,793,011 | ||||||||||||
Short-term U.S. government and agency obligations
|
(889 | ) | 2,292 | (704 | ) | 2,114 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
(2,754,071 | ) | (1,066,289 | ) | 1,436,385 | 1,069,178 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
(6,631,810 | ) | (596,758 | ) | (1,599,114 | ) | 148,567 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | (6,662,523 | ) | $ | (554,581 | ) | $ | (1,626,408 | ) | $ | 222,298 | |||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 18,887,831 | $ | 20,253,916 | $ | 13,834,163 | $ | 11,768,863 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 600,000, 250,000, 800,000 and 550,000 shares, respectively
|
14,344,359 | 10,504,977 | 20,307,202 | 21,734,371 | ||||||||||||
Redemption of 600,000, 400,000, 800,000 and 500,000 shares, respectively
|
(16,424,042 | ) | (16,178,271 | ) | (22,369,332 | ) | (19,699,491 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of –, (150,000), – and 50,000 shares, respectively
|
(2,079,683 | ) | (5,673,294 | ) | (2,062,130 | ) | 2,034,880 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(30,713 | ) | 42,177 | (27,294 | ) | 73,731 | ||||||||||
Net realized gain (loss)
|
(3,877,739 | ) | 469,531 | (3,035,499 | ) | (920,611 | ) | |||||||||
Change in net unrealized appreciation (depreciation)
|
(2,754,071 | ) | (1,066,289 | ) | 1,436,385 | 1,069,178 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
(6,662,523 | ) | (554,581 | ) | (1,626,408 | ) | 222,298 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 10,145,625 | $ | 14,026,041 | $ | 10,145,625 | $ | 14,026,041 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | (1,626,408 | ) | $ | 222,298 | |||
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
|
(4,386,261 | ) | (242,535,041 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
13,574,000 | 237,338,927 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(25,576 | ) | (88,077 | ) | ||||
Net realized gain (loss) on investments
|
— | (78 | ) | |||||
Change in unrealized appreciation (depreciation) on investments
|
(1,569,369 | ) | (1,088,572 | ) | ||||
Decrease (Increase) in receivable on futures contracts
|
(99,620 | ) | — | |||||
Decrease (Increase) in interest receivable
|
3,305 | 451 | ||||||
Increase (Decrease) in payable to Sponsor
|
(1,854 | ) | 760 | |||||
Increase (Decrease) in payable on futures contracts
|
119,004 | 17,123 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
5,987,221 | (6,132,209 | ) | |||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
20,307,202 | 21,734,371 | ||||||
Payment on shares redeemed
|
(22,369,332 | ) | (19,699,491 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
(2,062,130 | ) | 2,034,880 | |||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
3,925,091 | (4,097,329 | ) | |||||
Cash, beginning of period
|
6,646,212 | 10,276,096 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 10,571,303 | $ | 6,178,767 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31, 2019
|
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $20,998,466 and $25,541,523, respectively)
|
$ | 20,998,047 | $ | 25,542,823 | ||||
Cash
|
5,935,897 | 12,507,112 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts
|
3,408,000 | — | ||||||
Unrealized appreciation on foreign currency forward contracts
|
— | 95,899 | ||||||
Interest receivable
|
657 | 19,330 | ||||||
|
|
|
|
|||||
Total assets
|
30,342,601 | 38,165,164 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable to Sponsor
|
22,577 | 32,844 | ||||||
Unrealized depreciation on foreign currency forward contracts
|
532,990 | — | ||||||
|
|
|
|
|||||
Total liabilities
|
555,567 | 32,844 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
29,787,034 | 38,132,320 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 30,342,601 | $ | 38,165,164 | ||||
|
|
|
|
|||||
Shares outstanding
|
399,290 | 499,290 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 74.60 | $ | 76.37 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 74.58 | $ | 76.35 | ||||
|
|
|
|
Principal Amount
|
Value
|
|||||||
Short-term U.S. government and agency obligations
|
||||||||
(70% of shareholders’ equity)
|
||||||||
U.S. Treasury Bills
^^
:
|
||||||||
0.067% due 07/16/20
|
$ | 17,000,000 | $ | 16,999,078 | ||||
0.154% due 09/03/20
†
|
4,000,000 | 3,998,969 | ||||||
|
|
|||||||
Total short-term U.S. government and agency obligations
|
||||||||
(cost $20,998,466)
|
$ | 20,998,047 | ||||||
|
|
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
|
07/10/20 | 667,860,000 | $ | 6,186,236 | $ | (28,043 | ) | |||||||||
|
|
|||||||||||||||
$(28,043) | ||||||||||||||||
|
|
|||||||||||||||
Contracts to Sell
|
||||||||||||||||
Yen with Goldman Sachs International
|
07/10/20 | (1,888,338,165 | ) | $ | (17,491,249 | ) | $ | (126,422 | ) | |||||||
Yen with UBS AG
|
07/10/20 | (5,209,742,875 | ) | (48,256,671 | ) | (378,525 | ) | |||||||||
|
|
|||||||||||||||
$(504,947) | ||||||||||||||||
|
|
|||||||||||||||
Total Net
Unrealized Depreciation |
$(532,990) | |||||||||||||||
|
|
† |
All or partial amount pledged as collateral for foreign currency forward contracts.
|
^ |
The positions and counterparties herein are as of June 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
|
^^ |
Rates shown represent discount rate at the time of purchase.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 5,143 | $ | 298,433 | $ | 131,326 | $ | 590,801 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
64,430 | 122,990 | 148,867 | 247,784 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
64,430 | 122,990 | 148,867 | 247,784 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(59,287 | ) | 175,443 | (17,541 | ) | 343,017 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Foreign currency forward contracts
|
110,748 | (2,600,562 | ) | (395,772 | ) | (2,943,970 | ) | |||||||||
Short-term U.S. government and agency obligations
|
– | – | – | (72 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
110,748 | (2,600,562 | ) | (395,772 | ) | (2,944,042 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Foreign currency forward contracts
|
70,456 | 273,224 | (628,889 | ) | 2,706,941 | |||||||||||
Short-term U.S. government and agency obligations
|
(3,995 | ) | 10,458 | (1,719 | ) | 10,421 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
66,461 | 283,682 | (630,608 | ) | 2,717,362 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
177,209 | (2,316,880 | ) | (1,026,380 | ) | (226,680 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | 117,922 | $ | (2,141,437 | ) | $ | (1,043,921 | ) | $ | 116,337 | ||||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 29,586,170 | $ | 49,650,541 | $ | 38,132,320 | $ | 55,363,675 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 50,000, 50,000, 100,000 and 450,000 shares, respectively
|
3,849,992 | 3,859,717 | 7,806,745 | 34,403,213 | ||||||||||||
Redemption of 50,000, 50,000, 200,000 and 550,000 shares, respectively
|
(3,767,050 | ) | (3,673,476 | ) | (15,108,110 | ) | (42,187,880 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of –, –, (100,000) and (100,000) shares, respectively
|
82,942 | 186,241 | (7,301,365 | ) | (7,784,667 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(59,287 | ) | 175,443 | (17,541 | ) | 343,017 | ||||||||||
Net realized gain (loss)
|
110,748 | (2,600,562 | ) | (395,772 | ) | (2,944,042 | ) | |||||||||
Change in net unrealized appreciation (depreciation)
|
66,461 | 283,682 | (630,608 | ) | 2,717,362 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
117,922 | (2,141,437 | ) | (1,043,921 | ) | 116,337 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 29,787,034 | $ | 47,695,345 | $ | 29,787,034 | $ | 47,695,345 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | (1,043,921 | ) | $ | 116,337 | |||
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
|
(33,756,620 | ) | (601,357,534 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
38,374,000 | 596,730,872 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(74,323 | ) | (485,636 | ) | ||||
Net realized gain (loss) on investments
|
– | 72 | ||||||
Change in unrealized appreciation (depreciation) on investments
|
630,608 | (2,717,362 | ) | |||||
Decrease (Increase) in interest receivable
|
18,673 | (4,985 | ) | |||||
Increase (Decrease) in payable to Sponsor
|
(10,267 | ) | (11,346 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
4,138,150 | (7,729,582 | ) | |||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
7,806,745 | 34,403,213 | ||||||
Payment on shares redeemed
|
(15,108,110 | ) | (42,187,880 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
(7,301,365 | ) | (7,784,667 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
(3,163,215 | ) | (15,514,249 | ) | ||||
Cash, beginning of period
|
12,507,112 | 23,570,254 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 9,343,897 | $ | 8,056,005 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31, 2019
|
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $32,995,003 and $13,979,509, respectively)
|
$ | 32,994,750 | $ | 13,980,559 | ||||
Cash
|
18,693,389 | 27,654,022 | ||||||
Segregated cash balances with brokers for futures contracts
|
9,243,500 | 5,476,631 | ||||||
Interest receivable
|
2,264 | 34,527 | ||||||
|
|
|
|
|||||
Total assets
|
60,933,903 | 47,145,739 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable on open futures contracts
|
1,795,993 | 1,129,877 | ||||||
Brokerage commissions and fees payable
|
7,125 | – | ||||||
Payable to Sponsor
|
45,315 | 29,278 | ||||||
|
|
|
|
|||||
Total liabilities
|
1,848,433 | 1,159,155 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
59,085,470 | 45,986,584 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 60,933,903 | $ | 47,145,739 | ||||
|
|
|
|
|||||
Shares outstanding
|
1,462,403 | 2,162,403 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 40.40 | $ | 21.27 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 40.24 | $ | 21.29 | ||||
|
|
|
|
Principal Amount
|
Value
|
|||||||
Short-term U.S. government and agency obligations
|
||||||||
(56% of shareholders’ equity)
|
||||||||
U.S. Treasury Bills
^^
:
|
||||||||
0.067% due 07/16/20
|
$ | 16,000,000 | $ | 15,999,133 | ||||
0.154% due 09/03/20
|
17,000,000 | 16,995,617 | ||||||
|
|
|||||||
Total short-term U.S. government and agency obligations
|
||||||||
(cost $32,995,003)
|
$ | 32,994,750 | ||||||
|
|
Futures Contracts Purchased
|
||||||||||||
Number of
Contracts |
Notional
Amount at Value |
Unrealized
Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires October 2020
|
378 | $ | 12,540,150 | $ | 1,143,803 | |||||||
VIX Futures - Cboe, expires November 2020
|
647 | 19,782,025 | 207,043 | |||||||||
VIX Futures - Cboe, expires December 2020
|
647 | 18,811,525 | 268,939 | |||||||||
VIX Futures - Cboe, expires January 2021
|
270 | 7,944,750 | (229,970 | ) | ||||||||
|
|
|||||||||||
$1,389,815 | ||||||||||||
|
|
^^ |
Rates shown represent discount rate at the time of purchase.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 27,603 | $ | 225,718 | $ | 185,901 | $ | 491,131 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
124,276 | 82,759 | 218,560 | 188,570 | ||||||||||||
Brokerage commissions
|
16,684 | 9,353 | 32,623 | 19,689 | ||||||||||||
Brokerage fees
|
20,356 | – | 20,511 | – | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
161,316 | 92,112 | 271,694 | 208,259 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(133,713 | ) | 133,606 | (85,793 | ) | 282,872 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Futures contracts
|
13,196,415 | (2,853,271 | ) | 20,952,940 | (7,055,291 | ) | ||||||||||
Short-term U.S. government and agency obligations
|
– | 8 | – | 8 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
13,196,415 | (2,853,263 | ) | 20,952,940 | (7,055,283 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Futures contracts
|
(12,292,490 | ) | 1,993,991 | 3,670,640 | (4,431,788 | ) | ||||||||||
Short-term U.S. government and agency obligations
|
(21,043 | ) | 7,134 | (1,303 | ) | 6,464 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
(12,313,533 | ) | 2,001,125 | 3,669,337 | (4,425,324 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
882,882 | (852,138 | ) | 24,622,277 | (11,480,607 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | 749,169 | $ | (718,532 | ) | $ | 24,536,484 | $ | (11,197,735 | ) | ||||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 45,034,386 | $ | 51,126,469 | $ | 45,986,584 | $ | 56,299,121 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 725,000, 275,000, 1,100,000 and 775,000 shares, respectively
|
29,558,030 | 5,983,730 | 40,266,091 | 17,352,765 | ||||||||||||
Redemption of 425,000, 875,000, 1,800,000 and 1,125,000 shares, respectively
|
(16,256,115 | ) | (18,635,258 | ) | (51,703,689 | ) | (24,697,742 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of 300,000, (600,000), (700,000) and (350,000) shares, respectively
|
13,301,915 | (12,651,528 | ) | (11,437,598 | ) | (7,344,977 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(133,713 | ) | 133,606 | (85,793 | ) | 282,872 | ||||||||||
Net realized gain (loss)
|
13,196,415 | (2,853,263 | ) | 20,952,940 | (7,055,283 | ) | ||||||||||
Change in net unrealized appreciation (depreciation)
|
(12,313,533 | ) | 2,001,125 | 3,669,337 | (4,425,324 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
749,169 | (718,532 | ) | 24,536,484 | (11,197,735 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 59,085,470 | $ | 37,756,409 | $ | 59,085,470 | $ | 37,756,409 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | 24,536,484 | $ | (11,197,735 | ) | |||
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
|
(56,521,597 | ) | (1,129,300,462 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
37,600,000 | 1,110,779,598 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(93,897 | ) | (200,869 | ) | ||||
Net realized gain (loss) on investments
|
– | (8 | ) | |||||
Change in unrealized appreciation (depreciation) on investments
|
1,303 | (6,464 | ) | |||||
Decrease (Increase) in interest receivable
|
32,263 | 318 | ||||||
Increase (Decrease) in payable to Sponsor
|
16,037 | (9,196 | ) | |||||
Increase (Decrease) in brokerage commissions and fees payable
|
7,125 | – | ||||||
Increase (Decrease) in payable on futures contracts
|
666,116 | 88,477 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
6,243,834 | (29,846,341 | ) | |||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
40,266,091 | 17,352,765 | ||||||
Payment on shares redeemed
|
(51,703,689 | ) | (25,372,574 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
(11,437,598 | ) | (8,019,809 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
(5,193,764 | ) | (37,866,150 | ) | ||||
Cash, beginning of period
|
33,130,653 | 57,542,424 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 27,936,889 | $ | 19,676,274 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31, 2019
|
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $62,990,329 and $96,862,355, respectively)
|
$ | 62,989,867 | $ | 96,868,817 | ||||
Cash
|
83,942,545 | 87,829,341 | ||||||
Segregated cash balances with brokers for futures contracts
|
82,570,700 | 107,106,000 | ||||||
Receivable on open futures contracts
|
– | 909,042 | ||||||
Interest receivable
|
8,478 | 123,538 | ||||||
|
|
|
|
|||||
Total assets
|
229,511,590 | 292,836,738 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable on open futures contracts
|
7,974,073 | 12,920,593 | ||||||
Brokerage commissions and fees payable
|
38,382 | – | ||||||
Payable to Sponsor
|
155,960 | 123,642 | ||||||
|
|
|
|
|||||
Total liabilities
|
8,168,415 | 13,044,235 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
221,343,175 | 279,792,503 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 229,511,590 | $ | 292,836,738 | ||||
|
|
|
|
|||||
Shares outstanding
|
7,926,317 | 22,751,317 | ||||||
|
|
|
|
|||||
Net asset value per share
|
$ | 27.93 | $ | 12.30 | ||||
|
|
|
|
|||||
Market value per share (Note 2)
|
$ | 27.76 | $ | 12.43 | ||||
|
|
|
|
Principal Amount
|
Value
|
|||||||
Short-term U.S. government and agency obligations
|
||||||||
(28% of shareholders’ equity)
|
||||||||
U.S. Treasury Bills
^^
:
|
||||||||
0.070% due 07/16/20
|
$ | 30,000,000 | $ | 29,998,374 | ||||
0.150% due 09/03/20
|
33,000,000 | 32,991,493 | ||||||
|
|
|||||||
Total short-term U.S. government and agency obligations
|
||||||||
(cost $62,990,329)
|
$ | 62,989,867 | ||||||
|
|
Futures Contracts Purchased
|
||||||||||||
Number of
Contracts |
Notional
Amount at Value |
Unrealized
Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires July 2020
|
4,125 | $ | 127,359,375 | $ | 4,227,596 | |||||||
VIX Futures - Cboe, expires August 2020
|
2,943 | 93,660,975 | (3,581,409 | ) | ||||||||
|
|
|||||||||||
$646,187 | ||||||||||||
|
|
^^ |
Rates shown represent discount rate at the time of purchase.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 122,772 | $ | 1,284,160 | $ | 1,082,847 | $ | 2,136,366 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses
|
||||||||||||||||
Management fee
|
398,044 | 486,543 | 1,024,560 | 848,246 | ||||||||||||
Brokerage commissions
|
60,097 | 70,747 | 244,857 | 83,182 | ||||||||||||
Brokerage fees
|
108,253 | 2,268 | 113,027 | 3,634 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
566,394 | 559,558 | 1,382,444 | 935,062 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(443,622 | ) | 724,602 | (299,597 | ) | 1,201,304 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Futures contracts
|
(845,717 | ) | (11,288,249 | ) | 324,892,071 | (66,194,833 | ) | |||||||||
Short-term U.S. government and agency obligations
|
– | 1,729 | – | 1,729 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
(845,717 | ) | (11,286,520 | ) | 324,892,071 | (66,193,104 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Futures contracts
|
(51,742,832 | ) | (11,833,396 | ) | 16,040,198 | (33,113,187 | ) | |||||||||
Short-term U.S. government and agency obligations
|
(126,138 | ) | 37,095 | (6,924 | ) | 32,655 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
(51,868,970 | ) | (11,796,301 | ) | 16,033,274 | (33,080,532 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
(52,714,687 | ) | (23,082,821 | ) | 340,925,345 | (99,273,636 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | (53,158,309 | ) | $ | (22,358,219 | ) | $ | 340,625,748 | $ | (98,072,332 | ) | |||||
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 223,055,354 | $ | 203,503,203 | $ | 279,792,503 | $ | 149,547,115 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 3,875,000, 5,900,000, 10,675,000 and 12,125,000 shares, respectively
|
108,202,585 | 129,284,145 | 186,459,674 | 303,419,296 | ||||||||||||
Redemption of 1,825,000, 2,825,000, 25,500,000 and 4,475,000 shares, respectively
|
(56,756,455 | ) | (69,956,001 | ) | (585,534,750 | ) | (114,420,951 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of 2,050,000, 3,075,000, (14,825,000) and 7,650,000 shares, respectively
|
51,446,130 | 59,328,144 | (399,075,076 | ) | 188,998,345 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(443,622 | ) | 724,602 | (299,597 | ) | 1,201,304 | ||||||||||
Net realized gain (loss)
|
(845,717 | ) | (11,286,520 | ) | 324,892,071 | (66,193,104 | ) | |||||||||
Change in net unrealized appreciation (depreciation)
|
(51,868,970 | ) | (11,796,301 | ) | 16,033,274 | (33,080,532 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
(53,158,309 | ) | (22,358,219 | ) | 340,625,748 | (98,072,332 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 221,343,175 | $ | 240,473,128 | $ | 221,343,175 | $ | 240,473,128 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | 340,625,748 | $ | (98,072,332 | ) | |||
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
|
(200,571,287 | ) | (1,341,150,168 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
235,000,000 | 1,310,835,959 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(556,687 | ) | (1,511,767 | ) | ||||
Net realized gain (loss) on investments
|
– | (1,729 | ) | |||||
Change in unrealized appreciation (depreciation) on investments
|
6,924 | (32,655 | ) | |||||
Decrease (Increase) in receivable on futures contracts
|
909,042 | (3,752,001 | ) | |||||
Decrease (Increase) in interest receivable
|
115,060 | (129,329 | ) | |||||
Increase (Decrease) in payable to Sponsor
|
32,318 | 35,914 | ||||||
Increase (Decrease) in brokerage commissions and fees payable
|
38,382 | – | ||||||
Increase (Decrease) in payable on futures contracts
|
(4,946,520 | ) | 4,113,888 | |||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
370,652,980 | (129,664,220 | ) | |||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
186,459,674 | 303,419,296 | ||||||
Payment on shares redeemed
|
(585,534,750 | ) | (114,420,951 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
(399,075,076 | ) | 188,998,345 | |||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
(28,422,096 | ) | 59,334,125 | |||||
Cash, beginning of period
|
194,935,341 | 39,393,419 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 166,513,245 | $ | 98,727,544 | ||||
|
|
|
|
June 30, 2020
(unaudited) |
December 31,
2019 |
|||||||
Assets
|
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $651,899,914 and $1,084,860,512, respectively)
|
$ | 651,893,780 | $ | 1,084,925,128 | ||||
Cash
|
1,380,589,849 | 770,114,050 | ||||||
Segregated cash balances with brokers for futures contracts
|
1,494,513,518 | 406,121,155 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts
|
4,208,000 | 1,421,000 | ||||||
Segregated cash balances with brokers for swap agreements
|
315,533,979 | 12,539,000 | ||||||
Unrealized appreciation on swap agreements
|
29,691,948 | 52,840,748 | ||||||
Unrealized appreciation on foreign currency forward contracts
|
39,960 | 321,647 | ||||||
Receivable from capital shares sold
|
81,302,695 | 4,354,515 | ||||||
Securities sold receivable
|
3,718,972 | 3,883 | ||||||
Receivable on open futures contracts
|
325,541,218 | 85,104,325 | ||||||
Interest receivable
|
150,887 | 978,751 | ||||||
|
|
|
|
|||||
Total assets
|
4,287,184,806 | 2,418,724,202 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity
|
||||||||
Liabilities
|
||||||||
Payable for capital shares redeemed
|
72,460,997 | – | ||||||
Payable on open futures contracts
|
149,973,285 | 50,904,424 | ||||||
Brokerage commissions and fees payable
|
447,958 | – | ||||||
Payable to Sponsor
|
2,987,002 | 1,747,549 | ||||||
Unrealized depreciation on swap agreements
|
7,684,140 | 7,370,428 | ||||||
Unrealized depreciation on foreign currency forward contracts
|
872,734 | 2,376,700 | ||||||
|
|
|
|
|||||
Total liabilities
|
234,426,116 | 62,399,101 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2)
|
|
|
||||||
Shareholders’ equity
|
||||||||
Shareholders’ equity
|
4,052,758,690 | 2,356,325,101 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 4,287,184,806 | $ | 2,418,724,202 | ||||
|
|
|
|
|||||
Shares outstanding
|
132,976,695 | 110,924,568 | ||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Investment Income
|
||||||||||||||||
Interest
|
$ | 1,023,264 | $ | 12,441,899 | $ | 8,522,978 | $ | 22,661,481 | ||||||||
Expenses
|
||||||||||||||||
Management fee
|
7,818,372 | 5,590,948 | 13,657,176 | 10,865,254 | ||||||||||||
Brokerage commissions
|
2,257,884 | 1,343,088 | 4,004,340 | 2,279,692 | ||||||||||||
Brokerage fees
|
1,697,175 | 2,268 | 1,748,553 | 3,725 | ||||||||||||
Non-recurring
fees and expenses
|
– | – | – | 426,058 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses
|
11,773,431 | 6,936,304 | 19,410,069 | 13,574,729 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(10,750,167 | ) | 5,505,595 | (10,887,091 | ) | 9,086,752 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity
|
||||||||||||||||
Net realized gain (loss) on
|
||||||||||||||||
Futures contracts
|
(33,459,658 | ) | (52,045,375 | ) | 281,718,169 | (193,698,394 | ) | |||||||||
Swap agreements
|
(688,092,389 | ) | (26,503,275 | ) | (967,431,474 | ) | (13,336,438 | ) | ||||||||
Options
|
– | – | (9,707,000 | ) | – | |||||||||||
Forward agreements
|
– | – | – | 33,894,330 | ||||||||||||
Foreign currency forward contracts
|
(2,300,508 | ) | (614,501 | ) | (1,821,496 | ) | 2,066,753 | |||||||||
Short-term U.S. government and agency obligations
|
120,464 | 8,687 | 296,898 | 8,934 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss)
|
(723,732,091 | ) | (79,154,464 | ) | (696,944,903 | ) | (171,064,815 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on
|
||||||||||||||||
Futures contracts
|
148,611,325 | (56,589,018 | ) | 428,141,480 | (30,587,778 | ) | ||||||||||
Swap agreements
|
317,649,402 | 22,108,816 | (23,462,512 | ) | 116,817,602 | |||||||||||
Forward agreements
|
– | – | – | (27,771,221 | ) | |||||||||||
Foreign currency forward contracts
|
(975,734 | ) | (3,408,149 | ) | 1,222,279 | 3,116,925 | ||||||||||
Short-term U.S. government and agency obligations
|
(1,031,867 | ) | 303,278 | (70,750 | ) | 269,122 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation)
|
464,253,126 | (37,585,073 | ) | 405,830,497 | 61,844,650 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss)
|
(259,478,965 | ) | (116,739,537 | ) | (291,114,406 | ) | (109,220,165 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
$ | (270,229,132 | ) | $ | (111,233,942 | ) | $ | (302,001,497 | ) | $ | (100,133,413 | ) | ||||
|
|
|
|
|
|
|
|
*
|
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
|
Three Months Ended
June 30, |
Six Months Ended
June 30, |
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Shareholders’ equity, beginning of period
|
$ | 2,746,301,966 | $ | 2,454,119,778 | $ | 2,356,325,101 | $ | 1,943,975,025 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 131,642,000, 33,564,000, 378,422,000 and 63,101,000 shares, respectively
|
3,679,537,876 | 1,089,445,005 | 6,764,199,037 | 2,297,433,693 | ||||||||||||
Redemption of 248,554,873, 31,061,000, 356,369,873 and 46,416,001 shares, respectively
|
(2,102,852,020 | ) | (1,149,431,925 | ) | (4,765,763,951 | ) | (1,858,376,389 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of (116,912,873), 2,503,000, 22,052,127 and 16,684,999 shares, respectively
|
1,576,685,856 | (59,986,920 | ) | 1,998,435,086 | 439,057,304 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss)
|
(10,750,167 | ) | 5,505,595 | (10,887,091 | ) | 9,086,752 | ||||||||||
Net realized gain (loss)
|
(723,732,091 | ) | (79,154,464 | ) | (696,944,903 | ) | (171,064,815 | ) | ||||||||
Change in net unrealized appreciation (depreciation)
|
464,253,126 | (37,585,073 | ) | 405,830,497 | 61,844,650 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
(270,229,132 | ) | (111,233,942 | ) | (302,001,497 | ) | (100,133,413 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period
|
$ | 4,052,758,690 | $ | 2,282,898,916 | $ | 4,052,758,690 | $ | 2,282,898,916 | ||||||||
|
|
|
|
|
|
|
|
*
|
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
|
Six Months Ended
June 30, |
||||||||
2020
|
2019
|
|||||||
Cash flow from operating activities
|
||||||||
Net income (loss)
|
$ | (302,001,497 | ) | $ | (100,133,413 | ) | ||
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
|
(2,127,562,658 | ) | (24,165,419,304 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations
|
2,565,919,168 | 23,771,662,537 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations
|
(5,099,914 | ) | (13,916,032 | ) | ||||
Net realized gain (loss) on investments
|
(296,898 | ) | (8,934 | ) | ||||
Change in unrealized appreciation (depreciation) on investments
|
22,310,983 | (92,432,428 | ) | |||||
Decrease (Increase) in securities sold receivable
|
(3,715,089 | ) | – | |||||
Decrease (Increase) in receivable on futures contracts
|
(240,436,893 | ) | (24,471,965 | ) | ||||
Decrease (Increase) in interest receivable
|
827,864 | (816,489 | ) | |||||
Increase (Decrease) in payable to Sponsor
|
1,240,353 | 148,440 | ||||||
Increase (Decrease) in brokerage commissions and fees payable
|
447,958 | – | ||||||
Increase (Decrease) in payable on futures contracts
|
99,068,861 | 12,863,394 | ||||||
Increase (Decrease) in securities purchased payable
|
– | 9,949,576 | ||||||
Increase (Decrease) in
non-recurring
fees and expenses payable
|
– | 45,949 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities
|
10,702,238 | (602,528,669 | ) | |||||
|
|
|
|
|||||
Cash flow from financing activities
|
||||||||
Proceeds from addition of shares
|
6,687,250,857 | 2,333,664,338 | ||||||
Payment on shares redeemed
|
(4,693,302,954 | ) | (1,856,748,399 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities
|
1,993,947,903 | 476,915,939 | ||||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
2,004,650,141 | (125,612,730 | ) | |||||
Cash, beginning of period
|
1,190,195,205 | 1,098,678,257 | ||||||
|
|
|
|
|||||
Cash, end of period
|
$ | 3,194,845,346 | $ | 973,065,527 | ||||
|
|
|
|
*
|
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through through April 13, 2020, the date of liquidation, respectively.
|
Fund
|
Execution Date
(Prior to Opening of Trading)
|
Type of Split
|
Date Trading Resumed
at Post- Split Price
|
|||||
ProShares Ultra Bloomberg Crude Oil
|
April 20, 2020 |
1-for-25 reverse Share split
|
April 21, 2020 | |||||
ProShares Ultra Bloomberg Natural Gas
|
April 20, 2020 |
1-for-10 reverse Share split
|
April 21, 2020 |
Fund
|
Create/Redeem
Cut-off*
|
NAV Calculation
Time
|
NAV
Calculation Date
|
|||
UltraShort Silver, Ultra Silver
|
1:00 p.m. | 1:25 p.m. | June 30, 2020 | |||
UltraShort Gold, Ultra Gold
|
1:00 p.m. | 1:30 p.m. | June 30, 2020 | |||
UltraShort Bloomberg Crude Oil,
|
||||||
Ultra Bloomberg Crude Oil
|
2:00 p.m. | 2:30 p.m. | June 30, 2020 | |||
UltraShort Bloomberg Natural Gas,
|
||||||
Ultra Bloomberg Natural Gas
|
2:00 p.m. | 2:30 p.m. | June 30, 2020 | |||
UltraShort Australian Dollar
|
3:00 p.m. | 4:00 p.m. | June 30, 2020 | |||
Short Euro,
|
||||||
UltraShort Euro,
|
||||||
Ultra Euro
|
3:00 p.m. | 4:00 p.m. | June 30, 2020 | |||
UltraShort Yen,
|
||||||
Ultra Yen
|
3:00 p.m. | 4:00 p.m. | June 30, 2020 | |||
VIX Short-Term Futures ETF,
|
||||||
Ultra VIX Short-Term Futures ETF,
|
||||||
Short VIX Short-Term Futures ETF
|
2:00 p.m. | 4:15 p.m. | June 30, 2020 | |||
VIX
Mid-Term
Futures ETF
|
2:00 p.m. | 4:15 p.m. | June 30, 2020 |
* |
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 six months ended June 30, 2020.
|
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
|
$ | — | $ | 32,520 | $ | – | $ | – | $ | 32,520 | ||||||||||
ProShares Short VIX Short-Term Futures ETF
|
$ | 124,974,901 | $ | 9,011,878 | $ | – | $ | – | $ | 133,986,779 | ||||||||||
ProShares Ultra Bloomberg Crude Oil
|
— | 351,312,965 | — | 10,038,323 | 361,351,288 | |||||||||||||||
ProShares Ultra Bloomberg Natural Gas
|
15,997,708 | (2,234,434 | ) | — | — | 13,763,274 | ||||||||||||||
ProShares Ultra Euro
|
— | — | (13,929 | ) | — | (13,929 | ) | |||||||||||||
ProShares Ultra Gold
|
100,983,863 | 4,288,184 | — | 10,650,992 | 115,923,039 | |||||||||||||||
ProShares Ultra Silver
|
110,982,105 | 6,106,569 | — | 9,002,633 | 126,091,307 | |||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF
|
96,985,173 | 8,382,719 | — | (3,959,662 | ) | 101,408,230 | ||||||||||||||
ProShares Ultra Yen
|
— | — | 39,099 | — | 39,099 | |||||||||||||||
ProShares UltraShort Australian Dollar
|
— | 161,350 | — | — | 161,350 | |||||||||||||||
ProShares UltraShort Bloomberg Crude Oil
|
— | (3,674,148 | ) | — | (2,095,678 | ) | (5,769,826 | ) | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas
|
1,999,892 | 1,233,628 | — | — | 3,233,520 | |||||||||||||||
ProShares UltraShort Euro
|
74,987,908 | — | (324,954 | ) | — | 74,662,954 | ||||||||||||||
ProShares UltraShort Gold
|
7,999,566 | (280,540 | ) | — | (1,244,969 | ) | 6,474,057 | |||||||||||||
ProShares UltraShort Silver
|
— | (215,165 | ) | — | (383,831 | ) | (598,996 | ) | ||||||||||||
ProShares UltraShort Yen
|
20,998,047 | — | (532,990 | ) | — | 20,465,057 | ||||||||||||||
ProShares VIX
Mid-Term
Futures ETF
|
32,994,750 | 1,389,815 | — | — | 34,384,565 | |||||||||||||||
ProShares VIX Short-Term Futures ETF
|
62,989,867 | 646,187 | — | — | 63,636,054 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Trust
|
$
|
651,893,780
|
|
$
|
376,161,528
|
|
$
|
(832,774
|
)
|
$
|
22,007,808
|
|
$
|
1,049,230,342
|
|
* |
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
|
Level I - Quoted Prices
|
Level II - Other Significant
Observable Inputs |
|||||||||||||||||||
Fund
|
Short-Term U.S.
Government and Agencies |
Futures
Contracts
*
|
Foreign
Currency Forward Contracts |
Swap
Agreements |
Total
|
|||||||||||||||
ProShares Short Euro
|
$ | 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.
|
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 | $ | 9,011,878 |
*
|
$ | — | |||||||||
ProShares Ultra VIX Short-Term Futures ETF | 39,494,012 |
*
|
65,579,015 |
*
|
||||||||||
ProShares VIX
Mid-Term
Futures ETF
|
1,619,785 |
*
|
229,970 |
*
|
||||||||||
ProShares VIX Short-Term Futures ETF | 4,227,596 |
*
|
3,581,409 |
*
|
||||||||||
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 | 361,645,656 |
*
|
294,368 |
*
|
||||||||||
ProShares Ultra Bloomberg Natural Gas |
1,683,304
|
*
|
— | |||||||||||
ProShares Ultra Gold | 14,939,176 |
*
|
— | |||||||||||
ProShares Ultra Silver | 13,666,553 |
*
|
— | |||||||||||
ProShares UltraShort Bloomberg Crude Oil | 341,288 |
*
|
6,111,114 |
*
|
||||||||||
ProShares UltraShort Bloomberg Natural Gas | 1,233,628 |
*
|
— | |||||||||||
ProShares UltraShort Gold | — | 1,525,509 |
*
|
|||||||||||
ProShares UltraShort Silver | — | 598,996 |
*
|
|||||||||||
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 | 32,520 |
*
|
–— | |||||||||||
ProShares Ultra Euro | 530 | 14,459 | ||||||||||||
ProShares Ultra Yen | 39,430 | 331 | ||||||||||||
ProShares UltraShort Australian Dollar | — |
65,387
|
*
|
|||||||||||
ProShares UltraShort Euro | — | 324,954 | ||||||||||||
ProShares UltraShort Yen
|
— | 532,990 | ||||||||||||
|
|
|
|
|||||||||||
Total Trust
|
$
|
447,935,356
|
*
|
$
|
78,858,502
|
*
|
* |
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 | $ | 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
|
*
|
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
|
$ | 54,615,763 | $ | (22,216,796 | ) | |||||||
ProShares Ultra VIX Short-Term Futures ETF
|
(107,880,791 | ) | (125,352,239 | ) | ||||||||
ProShares VIX
Mid-Term
Futures ETF
|
13,196,415 | (12,292,490 | ) | |||||||||
ProShares VIX Short-Term Futures ETF
|
(845,717 | ) | (51,742,832 | ) | ||||||||
Commodities Contracts
|
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
|
|||||||||||
ProShares Ultra Bloomberg Crude Oil
|
$ | (671,542,557 | ) | $ | 661,547,673 | |||||||
ProShares Ultra Bloomberg Natural Gas
|
(16,111,161 | ) | 4,884,617 | |||||||||
ProShares Ultra Gold
|
4,365,328 | 25,953,698 | ||||||||||
ProShares Ultra Silver
|
11,386,313 | 69,421,367 | ||||||||||
ProShares UltraShort Bloomberg Crude Oil
|
(6,947,347 | ) | (75,195,436 | ) | ||||||||
ProShares UltraShort Bloomberg Natural Gas
|
5,236,641 | (2,773,687 | ) | |||||||||
ProShares UltraShort Gold
|
(2,089,271 | ) | (2,636,926 | ) | ||||||||
ProShares UltraShort Silver
|
(3,877,739 | ) | (2,753,182 | ) | ||||||||
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
|
$ | (20,020 | ) | $ | (20,804 | ) | ||||||
ProShares Ultra Euro
|
(18,635 | ) | 97,408 | |||||||||
ProShares Ultra Yen
|
(106,753 | ) | 68,867 | |||||||||
ProShares UltraShort Australian Dollar
|
(1,037,904 | ) | (562,236 | ) | ||||||||
ProShares UltraShort Euro
|
(2,285,868 | ) | (1,212,465 | ) | ||||||||
ProShares UltraShort Yen
|
110,748 | 70,456 | ||||||||||
|
|
|
|
|||||||||
Total Trust
|
$
|
(723,852,555)
|
|
$
|
465,284,993
|
|
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
|
$ | (189,684,841 | ) | $ | (1,242,994 | ) | ||||||
ProShares Ultra VIX Short-Term Futures ETF
|
618,204,440 | 51,029,622 | ||||||||||
ProShares VIX
Mid-Term
Futures ETF
|
20,952,940 | 3,670,640 | ||||||||||
ProShares VIX Short-Term Futures ETF
|
324,892,071 | 16,040,198 | ||||||||||
Commodities Contracts
|
Net realized gain (loss) on futures contracts
, options
and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
|
|||||||||||
ProShares Ultra Bloomberg Crude Oil
|
(1,177,133,823 | ) | 338,771,123 | |||||||||
ProShares Ultra Bloomberg Natural Gas
|
(38,930,766 | ) | 417,794 | |||||||||
ProShares Ultra Gold
|
25,863,384 | 6,800,402 | ||||||||||
ProShares Ultra Silver
|
7,688,659 | (15,751,245 | ) | |||||||||
ProShares UltraPro 3x Crude Oil ETF*
|
(414,693,599 | ) | (7,266,550 | ) | ||||||||
ProShares UltraPro 3x Short Crude Oil ETF*
|
83,293,001 | 8,358,056 | ||||||||||
ProShares UltraShort Bloomberg Crude Oil
|
44,726,675 | 1,382,794 | ||||||||||
ProShares UltraShort Bloomberg Natural Gas
|
10,862,818 | 561,299 | ||||||||||
ProShares UltraShort Gold
|
(8,020,153 | ) | 38,870 | |||||||||
ProShares UltraShort Silver
|
(3,035,499 | ) | 1,437,089 | |||||||||
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
|
(38,658 | ) | 46,520 | |||||||||
ProShares Ultra Euro
|
(71,903 | ) | (123,926 | ) | ||||||||
ProShares Ultra Yen
|
(115,236 | ) | 49,628 | |||||||||
ProShares UltraShort Australian Dollar
|
(366,954 | ) | 385,350 | |||||||||
ProShares UltraShort Euro
|
(1,238,585 | ) | 1,925,466 | |||||||||
ProShares UltraShort Yen
|
(395,772 | ) | (628,889 | ) | ||||||||
|
|
|
|
|||||||||
Total Trust
|
$
|
(697,241,801
|
)
|
$
|
405,901,247
|
|
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
|
$ | 11,427,596 | $ | 4,538,343 | ||||||||
ProShares Ultra VIX Short-Term Futures ETF
|
(54,975,818 | ) | (39,603,173 | ) | ||||||||
ProShares VIX
Mid-Term
Futures ETF
|
(2,853,271 | ) | 1,993,991 | |||||||||
ProShares VIX Short-Term Futures ETF
|
(11,288,249 | ) | (11,833,396 | ) | ||||||||
Commodities Contracts
|
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
|
|||||||||||
ProShares Ultra Bloomberg Crude Oil
|
$ | (25,911,476) | $ | 14,087,183 | ||||||||
ProShares Ultra Bloomberg Natural Gas
|
(7,976,053 | ) | (671,150 | ) | ||||||||
ProShares Ultra Gold
|
3,487,955 | 8,682,329 | ||||||||||
ProShares Ultra Silver
|
(8,015,753 | ) | 8,474,186 | |||||||||
|
|
ProShares UltraPro 3x Crude Oil ETF
|
|
|
3,901,537
|
|
|
|
(13,232,019
|
)
|
||
|
|
ProShares UltraPro 3x Short Crude Oil ETF
|
|
|
1,186,904
|
|
|
|
(1,076,230
|
)
|
||
ProShares UltraShort Bloomberg Crude Oil
|
10,123,122 | (2,551,794 | ) | |||||||||
ProShares UltraShort Bloomberg Natural Gas
|
3,449,841 | (546,368 | ) | |||||||||
ProShares UltraShort Gold
|
(1,901,072 | ) | (1,358,879 | ) | ||||||||
ProShares UltraShort Silver
|
469,453 | (1,068,581 | ) | |||||||||
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
|
$ | 76,518 | $ | (239,858 | ) | |||||||
ProShares Ultra Euro
|
(132,599 | ) | 208,561 | |||||||||
ProShares Ultra Yen
|
171,283 | (16,099 | ) | |||||||||
ProShares UltraShort Australian Dollar
|
250,116 | (74,786 | ) | |||||||||
ProShares UltraShort Euro
|
1,947,377 | (3,873,835 | ) | |||||||||
ProShares UltraShort Yen
|
(2,600,562 | ) | 273,224 | |||||||||
|
|
|
|
|||||||||
Total Trust
|
$
|
(79,163,151
|
)
|
$
|
(37,888,351
|
)
|
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
|
$ | 70,532,950 | $ | 27,115,163 | ||||||||
ProShares Ultra VIX Short-Term Futures ETF
|
(250,199,159 | ) | (78,653,116 | ) | ||||||||
ProShares VIX
Mid-Term
Futures ETF
|
(7,055,291 | ) | (4,431,788 | ) | ||||||||
ProShares VIX Short-Term Futures ETF
|
(66,194,833 | ) | (33,113,187 | ) | ||||||||
Commodities Contracts
|
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
|
|||||||||||
ProShares Ultra Bloomberg Crude Oil
|
50,611,681 | 157,491,546 | ||||||||||
ProShares Ultra Bloomberg Natural Gas
|
(21,277,891 | ) | 9,673,790 | |||||||||
ProShares Ultra Gold
|
7,580,540 | 4,870,890 | ||||||||||
ProShares Ultra Silver
|
5,286,038 | (18,413,484 | ) | |||||||||
|
|
ProShares UltraPro 3x Crude Oil ETF
|
|
|
26,174,406
|
|
|
|
50,924,735
|
|
||
|
|
ProShares UltraPro 3x Short Crude Oil ETF
|
|
|
(1,081,892
|
)
|
|
|
(10,572,583
|
)
|
||
ProShares UltraShort Bloomberg Crude Oil
|
967,963 | (35,468,826 | ) | |||||||||
ProShares UltraShort Bloomberg Natural Gas
|
14,769,166 | (10,862,913 | ) | |||||||||
ProShares UltraShort Gold
|
(3,069,976 | ) | (480,966 | ) | ||||||||
ProShares UltraShort Silver
|
(920,689 | ) | 1,067,064 | |||||||||
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
|
223,624 | (35,721 | ) | |||||||||
ProShares Ultra Euro
|
(359,872 | ) | (16,915 | ) | ||||||||
ProShares Ultra Yen
|
93,976 | (128,696 | ) | |||||||||
ProShares UltraShort Australian Dollar
|
512,861 | (652,001 | ) | |||||||||
ProShares UltraShort Euro
|
5,276,619 | 555,595 | ||||||||||
ProShares UltraShort Yen
|
(2,943,970 | ) | 2,706,941 | |||||||||
|
|
|
|
|||||||||
Total Trust
|
$
|
(171,073,749
|
)
|
$
|
61,575,528
|
|
Fair Values of Derivative Instruments as of June 30, 2020
|
||||||||||||
Assets
|
Liabilities
|
|||||||||||
Fund
|
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
|
Gross Amounts
Offset in the
Statements of
Financial
Condition
|
Net Amounts of
Assets presented in the Statements of Financial Condition |
Gross Amounts
of Recognized Liabilities presented in the Statements of Financial Condition |
Gross Amounts
Offset in the Statements of Financial Condition |
Net Amounts of
Liabilities presented in the Statements of Financial Condition |
||||||
ProShares Ultra Bloomberg Crude Oil Swap agreements
|
$10,038,323 | $— | $10,038,323 | $— | $— | $— | ||||||
ProShares Ultra Euro Foreign currency forward contracts
|
530 | — | 530 | 14,459 | — | 14,459 | ||||||
ProShares Ultra Gold Swap agreements
|
10,650,992 | — | 10,650,992 | — | — | — | ||||||
ProShares Ultra Silver Swap agreements
|
9,002,633 | — | 9,002,633 | — | — | — | ||||||
ProShares Ultra VIX Short-Term Futures ETF Swap agreements
|
— | — | — | 3,959,662 | — | 3,959,662 | ||||||
ProShares Ultra Yen Foreign currency forward contracts
|
39,430 | — | 39,430 | 331 | — | 331 | ||||||
ProShares UltraShort Bloomberg Crude Oil Swap agreements
|
— | — | — | 2,095,678 | — | 2,095,678 | ||||||
ProShares UltraShort Euro Foreign currency forward contracts
|
— | — | — | 324,954 | — | 324,954 | ||||||
ProShares UltraShort Gold Swap agreements
|
— | — | — | 1,244,969 | — | 1,244,969 | ||||||
ProShares UltraShort Silver Swap agreements
|
— | — | — | 383,831 | — | 383,831 | ||||||
ProShares UltraShort Yen Foreign currency forward contracts
|
— | — | — | 532,990 | — | 532,990 |
Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2020
|
|
|||||||||||||||
Fund
|
Amounts of Recognized Assets /
(Liabilities) presented in the Statements of Financial Condition |
Financial Instruments for
the Benefit of (the Funds) /
the Counterparties
|
Cash Collateral for the
Benefit of (the Funds) /the Counterparties |
Net Amount
|
||||||||||||
ProShares Ultra Bloomberg Crude Oil
|
||||||||||||||||
Goldman Sachs International
|
$ | 8,263,529 | $ | (8,263,529 | ) | $ | — | $ | — | |||||||
Morgan Stanley
|
(100,546 | ) | — | 100,546 | — | |||||||||||
Societe Generale
|
1,875,340 | (1,875,340 | ) | — | — | |||||||||||
ProShares Ultra Euro
|
||||||||||||||||
Goldman Sachs International
|
3,899 | — | — | 3,899 | ||||||||||||
UBS AG
|
(17,828 | ) | — | 17,828 | — | |||||||||||
ProShares Ultra Gold
|
||||||||||||||||
Citibank, N.A.
|
3,728,155 | — | (2,740,000 | ) | 988,155 | |||||||||||
Goldman Sachs International
|
3,680,169 | (2,814,590 | ) | — | 865,579 | |||||||||||
UBS AG
|
3,242,668 | (2,607,366 | ) | — | 635,302 | |||||||||||
ProShares Ultra Silver
|
||||||||||||||||
Citibank, N.A.
|
3,546,882 | — | (225,600 | ) | 3,321,282 | |||||||||||
Goldman Sachs International
|
2,744,895 | — | — | 2,744,895 | ||||||||||||
UBS AG
|
2,710,856 | — | — | 2,710,856 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF
|
||||||||||||||||
Goldman Sachs & Co.
|
(3,959,662 | ) | — | 3,959,662 | — | |||||||||||
ProShares Ultra Yen
|
||||||||||||||||
Goldman Sachs International
|
22,496 | — | — | 22,496 | ||||||||||||
UBS AG
|
16,603 | — | — | 16,603 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil
|
||||||||||||||||
Goldman Sachs International
|
(2,095,678 | ) | — | 2,095,678 | — | |||||||||||
ProShares UltraShort Euro
|
||||||||||||||||
Goldman Sachs International
|
(47,617 | ) | 47,617 | — | — | |||||||||||
UBS AG
|
(277,337 | ) | 277,337 | — | — | |||||||||||
ProShares UltraShort Gold
|
||||||||||||||||
Citibank, N.A.
|
(569,683 | ) | — | 569,683 | — | |||||||||||
Goldman Sachs International
|
(426,747 | ) | — | 426,747 | — | |||||||||||
UBS AG
|
(248,539 | ) | — | 248,539 | — | |||||||||||
ProShares UltraShort Silver
|
||||||||||||||||
Citibank, N.A.
|
(175,594 | ) | — | 175,594 | — | |||||||||||
Goldman Sachs International
|
(88,575 | ) | — | 88,575 | — | |||||||||||
UBS AG
|
(119,662 | ) | — | 119,662 | — | |||||||||||
ProShares UltraShort Yen
|
||||||||||||||||
Goldman Sachs International
|
(126,422 | ) | — | 126,422 | — | |||||||||||
UBS AG
|
(406,568 | ) | — | 406,568 | — |
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 | ) | — | — |
Three Months Ended
|
Six Months Ended
|
|||||||
Fund
|
June 30, 2020
|
June 30, 2020
|
||||||
ProShares Short Euro
|
$ | — | $ | — | ||||
ProShares Short VIX Short-Term Futures ETF
|
194,355 | 713,935 | ||||||
ProShares Ultra Bloomberg Crude Oil
|
— | — | ||||||
ProShares Ultra Bloomberg Natural Gas
|
— | — | ||||||
ProShares Ultra Euro
|
— | — | ||||||
ProShares Ultra Gold
|
— | — | ||||||
ProShares Ultra Silver
|
— | — | ||||||
ProShares Ultra VIX Short-Term Futures ETF
|
482,361 | 1,189,587 | ||||||
ProShares Ultra Yen
|
— | — | ||||||
ProShares UltraPro 3x Crude Oil ETF*
|
— | — | ||||||
ProShares UltraPro 3x Short Crude Oil ETF*
|
— | — | ||||||
ProShares UltraShort Australian Dollar
|
— | — | ||||||
ProShares UltraShort Bloomberg Crude Oil
|
— | — | ||||||
ProShares UltraShort Bloomberg Natural Gas
|
— | — | ||||||
ProShares UltraShort Euro
|
— | — | ||||||
ProShares UltraShort Gold
|
— | — | ||||||
ProShares UltraShort Silver
|
— | — | ||||||
ProShares UltraShort Yen
|
— | — | ||||||
ProShares VIX
Mid-Term
Futures ETF
|
13,760 | 27,480 | ||||||
ProShares VIX Short-Term Futures ETF
|
50,731 | 220,751 | ||||||
|
|
|
|
|||||
Total Trust
|
$
|
741,207 |
$
|
2,151,753 |
*
|
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
|
|
Per Share Operating Performance
|
Short Euro
|
Short VIX
Short-Term
Futures ETF |
Ultra Bloomberg
Crude Oil
*
|
Ultra Bloomberg
Natural Gas
*
|
Ultra Euro
|
Ultra Gold
|
||||||||||||||||||
Net asset value, at
March 31, 2020 |
$ | 46.66 | $ | 31.02 | $ | 40.15 | $ | 41.82 | $ | 13.16 | $ | 52.44 | ||||||||||||
Net investment income (loss)
|
(0.11 | ) | (0.10 | ) | (0.08 | ) | (0.13 | ) | (0.03 | ) | (0.12 | ) | ||||||||||||
Net realized and unrealized
gain (loss)# |
(0.82 | ) | 0.48 | (11.48 | ) | (13.38 | ) | 0.43 | 12.66 | |||||||||||||||
Change in net asset value
from operations |
(0.93 | ) | 0.38 | (11.56 | ) | (13.51 | ) | 0.40 | 12.54 | |||||||||||||||
Net asset value, at
June 30, 2020 |
$ | 45.73 | $ | 31.40 | $ | 28.59 | $ | 28.31 | $ | 13.56 | $ | 64.98 | ||||||||||||
Market value per share, at
March 31, 2020
†
|
$ | 45.09 | $ | 31.01 | $ | 39.75 | $ | 42.60 | $ | 13.15 | $ | 52.00 | ||||||||||||
Market value per share, at
June 30, 2020
†
|
$ | 44.83 | $ | 31.50 | $ | 28.68 | $ | 28.36 | $ | 13.57 | $ | 64.83 | ||||||||||||
Total Return, at net asset
value^ |
(2.0 | )% | 1.2 | % | (29.0 | )% | (32.2 | )% | 3.0 | % | 23.9 | % | ||||||||||||
Total Return, at market
value^ |
(0.6 | )% | 1.6 | % | (27.9 | )% | (33.4 | )% | 3.2 | % | 24.7 | % | ||||||||||||
Ratios to Average Net
Assets** |
||||||||||||||||||||||||
Expense ratio
|
0.97 | % | 1.34 | % | 1.47 | % | 1.82 | % | 0.95 | % | 1.00 | % | ||||||||||||
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) |
(0.96 | )% | (1.28 | )% | (1.35 | )% | (1.40 | )% | (0.93 | )% | (0.80 | )% |
* |
See Note 1 of these Notes to Financial Statements.
|
**
|
Percentages are annualized.
|
#
|
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
|
† |
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
^ |
Percentages are not annualized for the period ended June 30, 2020.
|
Per Share Operating
Performance |
Ultra Silver
|
Ultra VIX
Short-Term
Futures ETF |
Ultra Yen
|
UltraShort
Australian Dollar |
UltraShort
Bloomberg Crude Oil |
UltraShort
Bloomberg Natural Gas |
||||||||||||||||||
Net asset value, at
March 31, 2020 |
$ | 18.42 | $ | 58.52 | $ | 56.21 | $ | 72.30 | $ | 49.07 | $ | 63.38 | ||||||||||||
Net investment income (loss)
|
(0.05 | ) | (0.15 | ) | (0.13 | ) | (0.16 | ) | (0.15 | ) | (0.32 | ) | ||||||||||||
Net realized and unrealized
gain (loss)# |
11.19 | (25.44 | ) | (0.76 | ) | (16.00 | ) | (30.62 | ) | 4.15 | ||||||||||||||
Change in net asset value
from operations |
11.14 | (25.59 | ) | (0.89 | ) | (16.16 | ) | (30.77 | ) | 3.83 | ||||||||||||||
Net asset value, at
June 30, 2020 |
$ | 29.56 | $ | 32.93 | $ | 55.32 | $ | 56.14 | $ | 18.30 | $ | 67.21 | ||||||||||||
Market value per share, at
March 31, 2020
†
|
$ | 18.44 | $ | 58.56 | $ | 56.19 | $ | 72.06 | $ | 49.99 | $ | 62.02 | ||||||||||||
Market value per share, at
June 30, 2020
†
|
$ | 29.33 | $ | 32.77 | $ | 55.31 | $ | 56.06 | $ | 18.25 | $ | 67.21 | ||||||||||||
Total Return, at net asset
value^ |
60.5 | % | (43.7 | )% | (1.6 | )% | (22.4 | )% | (62.7 | )% | 6.1 | % | ||||||||||||
Total Return, at market
value^ |
59.1 | % | (44.0 | )% | (1.6 | )% | (22.2 | )% | (63.5 | )% | 8.4 | % | ||||||||||||
Ratios to Average Net
Assets** |
||||||||||||||||||||||||
Expense ratio
|
1.06 | % | 1.61 | % | 0.95 | % | 1.04 | % | 2.14 | % | 2.30 | % | ||||||||||||
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) |
(0.75 | )% | (1.54 | )% | (0.94 | )% | (1.03 | )% | (2.12 | )% | (2.27 | )% |
** |
Percentages are annualized.
|
# |
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
|
† |
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
^ |
Percentages are not annualized for the period ended June 30, 2020.
|
Per Share Operating
Performance |
UltraShort Euro
|
UltraShort Gold
|
UltraShort Silver
|
UltraShort Yen
|
VIX Mid-Term
Futures ETF |
VIX Short-Term
Futures ETF |
||||||||||||||||||
Net asset value, at
March 31, 2020 |
$ | 27.82 | $ | 46.02 | $ | 36.54 | $ | 74.10 | $ | 38.74 | $ | 37.96 | ||||||||||||
Net investment income (loss)
|
(0.04 | ) | (0.09 | ) | (0.07 | ) | (0.16 | ) | (0.09 | ) | (0.07 | ) | ||||||||||||
Net realized and unrealized
gain (loss)# |
(1.05 | ) | (10.47 | ) | (16.85 | ) | 0.66 | 1.75 | (9.96 | ) | ||||||||||||||
Change in net asset value
from operations |
(1.09 | ) | (10.56 | ) | (16.92 | ) | 0.50 | 1.66 | (10.03 | ) | ||||||||||||||
Net asset value, at
June 30, 2020 |
$ | 26.73 | $ | 35.46 | $ | 19.62 | $ | 74.60 | $ | 40.40 | $ | 27.93 | ||||||||||||
Market value per share, at
March 31, 2020
†
|
$ | 27.76 | $ | 46.28 | $ | 36.66 | $ | 74.11 | $ | 38.44 | $ | 37.93 | ||||||||||||
Market value per share, at
June 30, 2020
†
|
$ | 26.73 | $ | 35.57 | $ | 19.77 | $ | 74.58 | $ | 40.24 | $ | 27.76 | ||||||||||||
Total Return, at net asset
value^ |
(3.9 | )% | (22.9 | )% | (46.3 | )% | 0.7 | % | 4.3 | % | (26.4 | )% | ||||||||||||
Total Return, at market
value^ |
(3.7 | )% | (23.1 | )% | (46.1 | )% | 0.6 | % | 4.7 | % | (26.8 | )% | ||||||||||||
Ratios to Average Net
Assets** |
||||||||||||||||||||||||
Expense ratio
|
0.95 | % | 1.02 | % | 1.17 | % | 0.95 | % | 1.10 | % | 1.21 | % | ||||||||||||
Expense ratio, excluding non-
recurring fees and expenses, and brokerage commissions and fees |
0.95 | % | 0.95 | % | 0.96 | % | 0.95 | % | 0.85 | % | 0.85 | % | ||||||||||||
Net investment income
gain (loss) |
(0.65 | )% | (0.97 | )% | (1.14 | )% | (0.88 | )% | (0.91 | )% | (0.95 | )% |
** |
Percentages are annualized.
|
# |
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
|
† |
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
^ |
Percentages are not annualized for the period ended June 30, 2020.
|
Per Share Operating
Performance |
Short Euro
|
Short VIX
Short-Term
Futures ETF |
Ultra
Bloomberg Crude Oil
*
|
Ultra
Bloomberg Natural Gas
*
|
Ultra Euro
|
Ultra Gold
|
||||||||||||||||||
Net asset value, at
March 31, 2019 |
$ | 44.43 | $ | 52.31 | $ | 538.03 | $ | 203.28 | $ | 14.29 | $ | 37.32 | ||||||||||||
Net investment income (loss)
|
0.14 | 0.10 | 1.70 | 0.33 | 0.04 | 0.11 | ||||||||||||||||||
Net realized and unrealized
gain (loss)# |
(0.32 | ) | 2.10 | (49.04 | ) | (65.08 | ) | 0.17 | 6.35 | |||||||||||||||
Change in net asset value
from operations |
(0.18 | ) | 2.20 | (47.34 | ) | (64.75 | ) | 0.21 | 6.46 | |||||||||||||||
Net asset value, at
June 30, 2019 |
$ | 44.25 | $ | 54.51 | $ | 490.69 | $ | 138.53 | $ | 14.50 | $ | 43.78 | ||||||||||||
Market value per share, at
March 31, 2019
†
|
$ | 44.41 | $ | 52.36 | $ | 538.25 | $ | 204.20 | $ | 14.31 | $ | 37.24 | ||||||||||||
Market value per share, at
June 30, 2019
†
|
$ | 44.26 | $ | 53.87 | $ | 483.00 | $ | 139.20 | $ | 14.51 | $ | 43.80 | ||||||||||||
Total Return, at net asset
value^ |
(0.4 | )% | 4.2 | % | (8.8 | )% | (31.9 | )% | 1.5 | % | 17.3 | % | ||||||||||||
Total Return, at market
value^ |
(0.3 | )% | 2.9 | % | (10.3 | )% | (31.8 | )% | 1.4 | % | 17.6 | % | ||||||||||||
Ratios to Average Net
Assets** |
||||||||||||||||||||||||
Expense ratio
|
0.96 | % | 1.17 | % | 0.99 | % | 1.39 | % | 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) |
1.29 | % | 0.73 | % | 1.30 | % | 0.78 | % | 1.09 | % | 1.21 | % |
* |
See Note 1 of these Notes to Financial Statements.
|
** |
Percentages are annualized.
|
# |
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
|
† |
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
^ |
Percentages are not annualized for the period ended June 30, 2019.
|
Per Share Operating
Performance |
Ultra Silver
|
Ultra VIX
Short-Term
Futures ETF |
Ultra Yen
|
UltraPro 3x
Crude Oil ETF |
UltraPro 3x
Short Crude
Oil ETF
*
|
UltraShort
Australian Dollar |
||||||||||||||||||
Net asset value, at
March 31, 2019 |
$ | 24.52 | $ | 39.00 | $ | 55.65 | $ | 26.95 | $ | 20.62 | $ | 54.42 | ||||||||||||
Net investment income (loss)
|
0.07 | 0.03 | 0.14 | 0.06 | 0.04 | 0.17 | ||||||||||||||||||
Net realized and unrealized
gain (loss)# |
0.03 | (8.66 | ) | 2.30 | (4.47 | ) | (0.86 | ) | 1.17 | |||||||||||||||
Change in net asset value
from operations |
0.10 | (8.63 | ) | 2.44 | (4.41 | ) | (0.82 | ) | 1.34 | |||||||||||||||
Net asset value, at
June 30, 2019 |
$ | 24.62 | $ | 30.37 | $ | 58.09 | $ | 22.54 | $ | 19.80 | $ | 55.76 | ||||||||||||
Market value per share, at
March 31, 2019
†
|
$ | 24.48 | $ | 38.90 | $ | 55.64 | $ | 26.97 | $ | 20.60 | $ | 54.41 | ||||||||||||
Market value per share, at
June 30, 2019
†
|
$ | 24.65 | $ | 31.49 | $ | 58.09 | $ | 22.00 | $ | 20.28 | $ | 55.76 | ||||||||||||
Total Return, at net asset
value^ |
0.4 | % | (22.1 | )% | 4.4 | % | (16.4 | )% | (4.0 | )% | 2.5 | % | ||||||||||||
Total Return, at market
value^ |
0.7 | % | (19.0 | )% | 4.4 | % | (18.4 | )% | (1.6 | )% | 2.5 | % | ||||||||||||
Ratios to Average Net
Assets** |
||||||||||||||||||||||||
Expense ratio
|
0.97 | % | 1.52 | % | 0.95 | % | 1.25 | % | 1.40 | % | 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) |
1.19 | % | 0.36 | % | 1.00 | % | 0.90 | % | 0.76 | % | 1.24 | % |
** |
Percentages are annualized.
|
# |
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
|
† |
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
^ |
Percentages are not annualized for the period ended June 30, 2019.
|
Per Share Operating
Performance |
UltraShort
Bloomberg Crude Oil |
UltraShort
Bloomberg Natural Gas |
UltraShort Euro
|
UltraShort Gold
|
UltraShort Silver
|
UltraShort Yen
|
||||||||||||||||||
Net asset value, at
March 31, 2019 |
$ | 16.89 | $ | 22.65 | $ | 25.67 | $ | 72.42 | $ | 39.18 | $ | 76.47 | ||||||||||||
Net investment income (loss)
|
0.04 | 0.03 | 0.09 | 0.19 | 0.10 | 0.26 | ||||||||||||||||||
Net realized and unrealized
gain (loss)# |
(0.07 | ) | 8.07 | (0.37 | ) | (11.47 | ) | (1.06 | ) | (3.27 | ) | |||||||||||||
Change in net asset value
from operations |
(0.03 | ) | 8.10 | (0.28 | ) | (11.28 | ) | (0.96 | ) | (3.01 | ) | |||||||||||||
Net asset value, at
June 30, 2019 |
$ | 16.86 | $ | 30.75 | $ | 25.39 | $ | 61.14 | $ | 38.22 | $ | 73.46 | ||||||||||||
Market value per share, at
March 31, 2019
†
|
$ | 16.88 | $ | 22.51 | $ | 25.67 | $ | 72.61 | $ | 39.24 | $ | 76.44 | ||||||||||||
Market value per share, at
June 30, 2019
†
|
$ | 17.12 | $ | 30.58 | $ | 25.34 | $ | 61.10 | $ | 38.18 | $ | 73.46 | ||||||||||||
Total Return, at net asset
value^ |
(0.2 | )% | 35.8 | % | (1.1 | )% | (15.6 | )% | (2.5 | )% | (3.9 | )% | ||||||||||||
Total Return, at market
value^ |
1.4 | % | 35.9 | % | (1.3 | )% | (15.9 | )% | (2.7 | )% | (3.9 | )% | ||||||||||||
Ratios to Average Net
Assets** |
||||||||||||||||||||||||
Expense ratio
|
1.04 | % | 1.70 | % | 0.95 | % | 0.98 | % | 1.01 | % | 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) |
1.08 | % | 0.55 | % | 1.34 | % | 1.04 | % | 0.97 | % | 1.36 | % |
** |
Percentages are annualized.
|
# |
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
|
† |
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
^ |
Percentages are not annualized for the period ended June 30, 2019.
|
Per Share Operating Performance
|
VIX Mid-Term Futures ETF
|
VIX Short-Term Futures ETF
|
||||||
Net asset value, at March 31, 2019
|
$ | 21.64 | $ | 24.08 | ||||
Net investment income (loss)
|
0.07 | 0.07 | ||||||
Net realized and unrealized gain (loss)#
|
(0.29 | ) | (3.29 | ) | ||||
Change in net asset value from operations
|
(0.22 | ) | (3.22 | ) | ||||
Net asset value, at June 30, 2019
|
$ | 21.42 | $ | 20.86 | ||||
Market value per share, at March 31, 2019
†
|
$ | 21.59 | $ | 24.02 | ||||
Market value per share, at June 30, 2019
†
|
$ | 21.63 | $ | 21.40 | ||||
Total Return, at net asset value^
|
(1.0 | )% | (13.4 | )% | ||||
Total Return, at market value^
|
0.2 | % | (10.9 | )% | ||||
Ratios to Average Net Assets**
|
||||||||
Expense ratio
|
0.95 | % | 0.98 | % | ||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees
|
0.85 | % | 0.85 | % | ||||
Net investment income gain (loss)
|
1.37 | % | 1.27 | % |
** |
Percentages are annualized.
|
# |
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
|
† |
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
^ |
Percentages are not annualized for the period ended June 30, 2019.
|
Per Share Operating
Performance |
Short Euro
|
Short VIX
Short-Term
Futures ETF |
Ultra Bloomberg
Crude Oil* |
Ultra Bloomberg
Natural Gas* |
Ultra Euro
|
Ultra Gold
|
||||||||||||||||||
Net asset value, at
December 31, 2019 |
$ | 45.64 | $ | 65.62 | $ | 509.23 | $ | 83.97 | $ | 13.79 | $ | 49.21 | ||||||||||||
Net investment income (loss)
|
(0.07 | ) | (0.17 | ) | (0.14 | ) | (0.16 | ) | (0.02 | ) | (0.07 | ) | ||||||||||||
Net realized and unrealized
gain (loss)# |
0.16 | (34.05 | ) | (480.50 | ) | (55.50 | ) | (0.21 | ) | 15.84 | ||||||||||||||
Change in net asset value
from operations |
0.09 | (34.22 | ) | (480.64 | ) | (55.66 | ) | (0.23 | ) | 15.77 | ||||||||||||||
Net asset value, at
June 30, 2020 |
$ | 45.73 | $ | 31.40 | $ | 28.59 | $ | 28.31 | $ | 13.56 | $ | 64.98 | ||||||||||||
Market value per share, at
December 31, 2019
†
|
$ | 45.69 | $ | 65.23 | $ | 511.50 | $ | 83.40 | $ | 13.77 | $ | 49.05 | ||||||||||||
Market value per share, at
June 30, 2020
†
|
$ | 44.83 | $ | 31.50 | $ | 28.68 | $ | 28.36 | $ | 13.57 | $ | 64.83 | ||||||||||||
Total Return, at net asset
value^ |
0.2 | % | (52.1 | )% | (94.4 | )% | (66.3 | )% | (1.7 | )% | 32.0 | % | ||||||||||||
Total Return, at market
value^ |
(1.9 | )% | (51.7 | )% | (94.4 | )% | (66.0 | )% | (1.5 | )% | 32.2 | % | ||||||||||||
Ratios to Average Net
Assets** |
||||||||||||||||||||||||
Expense ratio
|
0.97 | % | 1.29 | % | 1.38 | % | 1.59 | % | 0.95 | % | 0.99 | % | ||||||||||||
Expense ratio, excluding brokerage commissions and fees
|
0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income gain (loss)
|
(0.31 | )% | (0.96 | )% | (0.92 | )% | (0.66 | )% | (0.24 | )% | (0.26 | )% |
* |
See Note 1 of these Notes to Financial Statements.
|
** |
Percentages are annualized.
|
# |
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
|
† |
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
^ |
Percentages are not annualized for the period ended June 30, 2020.
|
Per Share Operating
Performance |
Ultra Silver
|
Ultra VIX
Short-Term
Futures ETF |
Ultra Yen
|
UltraShort
Australian Dollar |
UltraShort
Bloomberg Crude Oil |
UltraShort
Bloomberg Natural Gas |
||||||||||||||||||
Net asset value, at
December 31, 2019 |
$ | 31.70 | $ | 12.67 | $ | 55.83 | $ | 56.09 | $ | 12.19 | $ | 38.53 | ||||||||||||
Net investment income (loss)
|
(0.01 | ) | (0.12 | ) | (0.09 | ) | (0.13 | ) | (0.16 | ) | (0.40 | ) | ||||||||||||
Net realized and unrealized
gain (loss)# |
(2.13 | ) | 20.38 | (0.42 | ) | 0.18 | 6.27 | 29.08 | ||||||||||||||||
Change in net asset value
from operations |
(2.14 | ) | 20.26 | (0.51 | ) | 0.05 | 6.11 | 28.68 | ||||||||||||||||
Net asset value, at
June 30, 2020 |
$ | 29.56 | $ | 32.93 | $ | 55.32 | $ | 56.14 | $ | 18.30 | $ | 67.21 | ||||||||||||
Market value per share, at
December 31, 2019
†
|
$ | 31.65 | $ | 12.89 | $ | 55.83 | $ | 55.88 | $ | 12.15 | $ | 38.82 | ||||||||||||
Market value per share, at
June 30, 2020
†
|
$ | 29.33 | $ | 32.77 | $ | 55.31 | $ | 56.06 | $ | 18.25 | $ | 67.21 | ||||||||||||
Total Return, at net asset
value^ |
(6.8 | )% | 159.8 | % | (0.9 | )% | 0.1 | % | 50.1 | % | 74.5 | % | ||||||||||||
Total Return, at market
value^ |
(7.3 | )% | 154.2 | % | (0.9 | )% | 0.3 | % | 50.2 | % | 73.1 | % | ||||||||||||
Ratios to Average Net
Assets** |
||||||||||||||||||||||||
Expense ratio
|
1.02 | % | 1.54 | % | 0.95 | % | 1.04 | % | 1.83 | % | 2.11 | % | ||||||||||||
Expense ratio, excluding brokerage commissions and fees
|
0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income gain (loss)
|
(0.06 | )% | (1.00 | )% | (0.34 | )% | (0.40 | )% | (1.40 | )% | (1.51 | )% |
** |
Percentages are annualized.
|
# |
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
|
† |
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
^ |
Percentages are not annualized for the period ended June 30, 2020.
|
Per Share Operating
Performance |
UltraShort Euro
|
UltraShort Gold
|
UltraShort Silver
|
UltraShort Yen
|
VIX Mid-Term
Futures ETF |
VIX Short-Term
Futures ETF |
||||||||||||||||||
Net asset value, at
December 31, 2019 |
$ | 26.80 | $ | 53.02 | $ | 26.76 | $ | 76.37 | $ | 21.27 | $ | 12.30 | ||||||||||||
Net investment income (loss)
|
0.00 |
(1)
|
(0.06 | ) | (0.06 | ) | (0.04 | ) | (0.05 | ) | (0.02 | ) | ||||||||||||
Net realized and unrealized
gain (loss)# |
(0.07 | ) | (17.50 | ) | (7.08 | ) | (1.73 | ) | 19.18 | 15.65 | ||||||||||||||
Change in net asset value
from operations |
(0.07 | ) | (17.56 | ) | (7.14 | ) | (1.77 | ) | 19.13 | 15.63 | ||||||||||||||
Net asset value, at
June 30, 2020 |
$ | 26.73 | $ | 35.46 | $ | 19.62 | $ | 74.60 | $ | 40.40 | $ | 27.93 | ||||||||||||
Market value per share, at
December 31, 2019
†
|
$ | 26.80 | $ | 53.21 | $ | 26.80 | $ | 76.35 | $ | 21.29 | $ | 12.43 | ||||||||||||
Market value per share, at
June 30, 2020
†
|
$ | 26.73 | $ | 35.57 | $ | 19.77 | $ | 74.58 | $ | 40.24 | $ | 27.76 | ||||||||||||
Total Return, at net asset
value^ |
(0.3 | )% | (33.1 | )% | (26.7 | )% | (2.3 | )% | 90.0 | % | 127.1 | % | ||||||||||||
Total Return, at market
value^ |
(0.3 | )% | (33.2 | )% | (26.2 | )% | (2.3 | )% | 89.0 | % | 123.3 | % | ||||||||||||
Ratios to Average Net
Assets** |
||||||||||||||||||||||||
Expense ratio
|
0.95 | % | 1.01 | % | 1.10 | % | 0.95 | % | 1.06 | % | 1.15 | % | ||||||||||||
Expense ratio, excluding brokerage commissions and fees
|
0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.85 | % | 0.85 | % | ||||||||||||
Net investment income gain (loss)
|
(0.02 | )% | (0.29 | )% | (0.41 | )% | (0.11 | )% | (0.33 | )% | (0.25 | )% |
** |
Percentages are annualized.
|
# |
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
|
† |
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
^ |
Percentages are not annualized for the period ended June 30, 2020.
|
(1) |
Amount represents greater than $(0.005).
|
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 | $ | 326.46 | $ | 252.83 | $ | 15.09 | $ | 37.12 | ||||||||||||
Net investment income (loss)
|
0.29 | 0.10 | 2.76 | 0.74 | 0.08 | 0.21 | ||||||||||||||||||
Net realized and unrealized
gain (loss)# |
0.86 | 12.05 | 161.47 | (115.04 | ) | (0.67 | ) | 6.45 | ||||||||||||||||
Change in net asset value
from operations |
1.15 | 12.15 | 164.23 | (114.30 | ) | (0.59 | ) | 6.66 | ||||||||||||||||
Net asset value, at
June 30, 2019 |
$ | 44.25 | $ | 54.51 | $ | 490.69 | $ | 138.53 | $ | 14.50 | $ | 43.78 | ||||||||||||
Market value per share, at
December 31, 2018
†
|
$ | 43.08 | $ | 42.30 | $ | 332.50 | $ | 258.20 | $ | 15.12 | $ | 37.41 | ||||||||||||
Market value per share, at
June 30, 2019
†
|
$ | 44.26 | $ | 53.87 | $ | 483.00 | $ | 139.20 | $ | 14.51 | $ | 43.80 | ||||||||||||
Total Return, at net asset
value^ |
2.7 | % | 28.7 | % | 50.3 | % | (45.2 | )% | (3.9 | )% | 17.9 | % | ||||||||||||
Total Return, at
market
value^ |
2.8 | % | 27.4 | % | 45.3 | % | (46.1 | )% | (4.1 | )% | 17.1 | % | ||||||||||||
Ratios to Average Net
Assets** |
||||||||||||||||||||||||
Expense ratio
|
0.97 | % | 1.36 | %^^ | 0.98 | % | 1.34 | % | 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)
|
1.30 | % | 0.39 | % | 1.15 | % | 0.77 | % | 1.07 | % | 1.10 | % |
** |
Percentages are annualized.
|
# |
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
|
† |
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
^ |
Percentages are not annualized for the period ended June 30, 2019.
|
^^ |
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)
|
0.13 | 0.03 | 0.30 | 0.10 | 0.08 | 0.33 | ||||||||||||||||||
Net realized and unrealized
gain (loss)# |
(1.90 | ) | (51.12 | ) | 0.26 | 9.36 | (30.07 | ) | 0.13 | |||||||||||||||
Change in net asset value
from operations |
(1.77 | ) | (51.09 | ) | 0.56 | 9.46 | (29.99 | ) | 0.46 | |||||||||||||||
Net asset value, at
June 30, 2019 |
$ | 24.62 | $ | 30.37 | $ | 58.09 | $ | 22.54 | $ | 19.80 | $ | 55.76 | ||||||||||||
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
June 30, 2019
†
|
$ | 24.65 | $ | 31.49 | $ | 58.09 | $ | 22.00 | $ | 20.28 | $ | 55.76 | ||||||||||||
Total Return, at net asset
value^ |
(6.7 | )% | (62.7 | )% | 1.0 | % | 72.3 | % | (60.2 | )% | 0.8 | % | ||||||||||||
Total Return, at market
value^ |
(6.5 | )% | (61.5 | )% | 0.9 | % | 63.3 | % | (58.1 | )% | 1.5 | % | ||||||||||||
Ratios to Average Net
Assets** |
||||||||||||||||||||||||
Expense ratio
|
0.97 | % | 1.53 | %^^ | 0.95 | % | 1.20 | % | 1.36 | % | 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)
|
1.05 | % | 0.15 | % | 1.06 | % | 0.85 | % | 0.72 | % | 1.20 | % |
** |
Percentages are annualized.
|
# |
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
|
† |
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
^ |
Percentages are not annualized for the period ended June 30, 2019.
|
^^ |
Expense ratio, excluding
non-recurring
fees and expense is 1.52%.
|
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)
|
0.10 | 0.07 | 0.16 | 0.35 | 0.17 | 0.49 | ||||||||||||||||||
Net realized and unrealized
gain (loss)# |
(13.03 | ) | 9.07 | 0.96 | (12.49 | ) | 0.92 | (0.92 | ) | |||||||||||||||
Change in net asset value
from operations |
(12.93 | ) | 9.14 | 1.12 | (12.14 | ) | 1.09 | (0.43 | ) | |||||||||||||||
Net asset value, at
June 30, 2019 |
$ | 16.86 | $ | 30.75 | $ | 25.39 | $ | 61.14 | $ | 38.22 | $ | 73.46 | ||||||||||||
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
June 30, 2019
†
|
$ | 17.12 | $ | 30.58 | $ | 25.34 | $ | 61.10 | $ | 38.18 | $ | 73.46 | ||||||||||||
Total Return, at net asset
value^ |
(43.4 | )% | 42.3 | % | 4.6 | % | (16.6 | )% | 2.9 | % | (0.6 | )% | ||||||||||||
Total Return, at market
value^ |
(41.5 | )% | 44.1 | % | 4.5 | % | (16.1 | )% | 2.9 | % | (0.5 | )% | ||||||||||||
Ratios to Average Net
Assets** |
||||||||||||||||||||||||
Expense ratio
|
1.03 | % | 1.49 | % | 0.95 | % | 0.97 | % | 1.00 | % | 0.95 | % | ||||||||||||
Expense ratio, excluding brokerage commissions and fees
|
0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income gain (loss)
|
1.07 | % | 0.60 | % | 1.28 | % | 1.00 | % | 0.89 | % | 1.32 | % |
** |
Percentages are annualized.
|
# |
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
|
† |
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
^ |
Percentages are not annualized for the period ended June 30, 2019.
|
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)
|
0.14 | 0.15 | ||||||
Net realized and unrealized
gain (loss)# |
(5.37 | ) | (17.87 | ) | ||||
Change in net asset value
from operations |
(5.23 | ) | (17.72 | ) | ||||
Net asset value, at
June 30, 2019 |
$ | 21.42 | $ | 20.86 | ||||
Market value per share, at
December 31, 2018
†
|
$ | 26.74 | $ | 38.61 | ||||
Market value per share, at
June 30, 2019
†
|
$ | 21.63 | $ | 21.40 | ||||
Total Return, at net asset
value^ |
(19.6 | )% | (45.9 | )% | ||||
Total Return, at market
value^ |
(19.1 | )% | (44.6 | )% | ||||
Ratios to Average Net
Assets** |
||||||||
Expense ratio
|
0.94 | % | 0.94 | % | ||||
Expense ratio, excluding brokerage commissions and fees
|
0.85 | % | 0.85 | % | ||||
Net investment income gain (loss)
|
1.28 | % | 1.20 | % |
** |
Percentages are annualized.
|
# |
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
|
† |
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
|
^ |
Percentages are not annualized for the period ended June 30, 2019.
|
• |
By the close of business on Tuesday, June 30, 2020, each Oil Fund had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020.
|
• |
In addition, by the close of business on Wednesday, July 1, 2020, each Oil Fund had transitioned the remaining portion of its exposure to the September 2020 WTI crude oil futures contract into exposure to the November 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the November 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Wednesday, July 1, 2020.
|
Fund
|
Interest Income
Three Months Ended June 30, 2020
*
|
Interest Income
Three Months Ended June 30, 2019
*
|
Interest Income
Six Months Ended June 30, 2020
*
|
Interest Income
Six Months Ended June 30, 2019
*
|
||||||||||||
ProShares Short Euro
|
$ | 54 | $ | 125,445 | $ | 7,649 | $ | 190,623 | ||||||||
ProShares Short VIX Short-Term Futures ETF
|
106,023 | 1,883,798 | 855,884 | 3,468,359 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil
|
365,747 | 2,163,795 | 1,767,207 | 4,304,180 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas
|
36,474 | 139,008 | 175,813 | 256,843 | ||||||||||||
ProShares Ultra Euro
|
192 | 35,464 | 15,993 | 74,967 | ||||||||||||
ProShares Ultra Gold
|
69,857 | 409,424 | 484,541 | 825,009 | ||||||||||||
ProShares Ultra Silver
|
138,315 | 931,284 | 914,602 | 1,835,738 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF
|
101,523 | 2,683,047 | 1,513,263 | 4,101,153 | ||||||||||||
ProShares Ultra Yen
|
62 | 18,875 | 8,929 | 45,884 | ||||||||||||
ProShares UltraPro 3x Crude Oil ETF
|
— | 623,652 |
346,326
|
1,238,995 | ||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF
|
— | 105,502 |
166,789
|
177,007 | ||||||||||||
ProShares UltraShort Australian Dollar
|
42 | 47,222 | 20,096 | 95,764 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil
|
6,209 | 424,765 | 254,918 | 786,536 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas
|
1,371 | 48,278 | 43,803 | 108,153 | ||||||||||||
ProShares UltraShort Euro
|
68,027 | 805,304 | 467,684 | 1,579,922 | ||||||||||||
ProShares UltraShort Gold
|
2,259 | 102,278 | 63,280 | 197,489 | ||||||||||||
ProShares UltraShort Silver
|
651 | 86,447 | 45,187 | 156,561 | ||||||||||||
ProShares UltraShort Yen
|
5,143 | 298,433 | 131,326 | 590,801 | ||||||||||||
ProShares VIX
Mid-Term
Futures ETF
|
27,603 | 225,718 | 185,901 | 491,131 | ||||||||||||
ProShares VIX Short-Term Futures ETF
|
122,772 | 1,284,160 | 1,082,847 | 2,136,366 |
* |
The operations include the activity of
ProShares UltraPro 3x Crude Oil ETF
through
April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13
, 2020, the date
of
liquidation
, respectively
.
|
• |
executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;
|
• |
limiting the outstanding amounts due from counterparties to the Funds;
|
• |
not posting margin directly with a counterparty;
|
• |
requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;
|
• |
limiting the amount of margin or premium posted at a FCM; and
|
• |
ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.
|
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 2,332,843 | $ | 22,213,438 | ||||
NAV end of period
|
$ | 2,286,467 | $ | 22,127,403 | ||||
Percentage change in NAV
|
(2.0 | )% | (0.4 | )% | ||||
Shares outstanding beginning of period
|
50,000 | 500,000 | ||||||
Shares outstanding end of period
|
50,000 | 500,000 | ||||||
Percentage change in shares outstanding
|
— | % | — | % | ||||
Shares created
|
— | — | ||||||
Shares redeemed
|
— | — | ||||||
Per share NAV beginning of period
|
$ | 46.66 | $ | 44.43 | ||||
Per share NAV end of period
|
$ | 45.73 | $ | 44.25 | ||||
Percentage change in per share NAV
|
(2.0 | )% | (0.4 | )% | ||||
Percentage change in benchmark
|
1.90 | % | 1.4 | % | ||||
Benchmark annualized volatility
|
7.40 | % | 4.5 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (5,552 | ) | $ | 71,866 | |||
Management fee
|
5,516 | 52,792 | ||||||
Brokerage commission
|
90 | 787 | ||||||
Net realized gain (loss)
|
(20,020 | ) | 76,518 | |||||
Change in net unrealized appreciation (depreciation)
|
(20,804 | ) | (234,419 | ) | ||||
Net Income (loss)
|
$ | (46,376 | ) | $ | (86,035 | ) |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 809,257,658 | $ | 441,188,509 | ||||
NAV end of period
|
$ | 509,811,853 | $ | 337,102,327 | ||||
Percentage change in NAV
|
(37.0 | )% | (23.6 | )% | ||||
Shares outstanding beginning of period
|
26,084,307 | 8,434,307 | ||||||
Shares outstanding end of period
|
16,234,307 | 6,184,307 | ||||||
Percentage change in shares outstanding
|
(37.8 | )% | (26.7 | )% | ||||
Shares created
|
1,000,000 | — | ||||||
Shares redeemed
|
10,850,000 | 2,250,000 | ||||||
Per share NAV beginning of period
|
$ | 31.02 | $ | 52.31 | ||||
Per share NAV end of period
|
$ | 31.40 | $ | 54.51 | ||||
Percentage change in per share NAV
|
1.2 | % | 4.2 | % | ||||
Percentage change in benchmark
|
(26.1 | )% | (13.2 | )% | ||||
Benchmark annualized volatility
|
122.3 | % | 59.9 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (2,142,980 | ) | $ | 725,505 | |||
Management fee
|
1,589,036 | 938,696 | ||||||
Brokerage commission
|
228,176 | 219,597 | ||||||
Non-recurring
fees and expenses
|
— | — | ||||||
Net realized gain (loss)
|
54,615,005 | 11,427,588 | ||||||
Change in net unrealized appreciation (depreciation)
|
(22,301,329 | ) | 4,568,486 | |||||
Net Income (loss)
|
$ | 30,170,696 | $ | 16,721,579 |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 435,593,381 | $ | 425,287,296 | ||||
NAV end of period
|
$ | 1,508,661,459 | $ | 381,980,628 | ||||
Percentage change in NAV
|
246.3 | % | (10.2 | )% | ||||
Shares outstanding beginning of period
|
10,848,453 | 790,453 | ||||||
Shares outstanding end of period
|
52,760,774 | 778,453 | ||||||
Percentage change in shares outstanding
|
386.3 | % | (1.5 | )% | ||||
Shares created
|
77,482,000 | 284,000 | ||||||
Shares redeemed
|
35,569,679 | 296,000 | ||||||
Per share NAV beginning of period
|
$ | 40.15 | $ | 538.03 | ||||
Per share NAV end of period
|
$ | 28.59 | $ | 490.69 | ||||
Percentage change in per share NAV
|
(28.8 | )% | (8.8 | )% | ||||
Percentage change in benchmark
|
23.6 | % | (2.8 | )% | ||||
Benchmark annualized volatility
|
116.3 | % | 31.5 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (3,994,835 | ) | $ | 1,231,167 | |||
Management fee
|
2,806,288 | 898,556 | ||||||
Brokerage commission
|
1,017,545 | 34,072 | ||||||
Net realized gain (loss)
|
(671,420,708 | ) | (25,907,850 | ) | ||||
Change in net unrealized appreciation (depreciation)
|
661,178,846 | 14,161,522 | ||||||
Net Income (loss)
|
$ | (14,236,697 | ) | $ | (10,515,161 | ) |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 26,671,617 | $ | 20,900,095 | ||||
NAV end of period
|
$ | 50,599,783 | $ | 33,637,758 | ||||
Percentage change in NAV
|
89.7 | % | 60.9 | % | ||||
Shares outstanding beginning of period
|
637,815 | 102,815 | ||||||
Shares outstanding end of period
|
1,787,527 | 242,815 | ||||||
Percentage change in shares outstanding
|
180.3 | % | 136.2 | % | ||||
Shares created
|
1,260,000 | 155,000 | ||||||
Shares redeemed
|
110,288 | 15,000 | ||||||
Per share NAV beginning of period
|
$ | 41.82 | $ | 203.28 | ||||
Per share NAV end of period
|
$ | 28.31 | $ | 138.53 | ||||
Percentage change in per share NAV
|
(32.3 | )% | (31.9 | )% | ||||
Percentage change in benchmark
|
(14.2 | )% | (16.2 | )% | ||||
Benchmark annualized volatility
|
56.4 | % | 27.9 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (121,296 | ) | $ | 49,884 | |||
Management fee
|
81,904 | 60,844 | ||||||
Brokerage commission
|
63,224 | 28,280 | ||||||
Net realized gain (loss)
|
(16,111,238 | ) | (7,975,969 | ) | ||||
Change in net unrealized appreciation (depreciation)
|
4,853,272 | (670,693 | ) | |||||
Net Income (loss)
|
$ | (11,379,262 | ) | $ | (8,596,778 | ) |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 3,949,142 | $ | 7,857,207 | ||||
NAV end of period
|
$ | 4,067,686 | $ | 5,801,170 | ||||
Percentage change in NAV
|
3.0 | % | (26.2 | )% | ||||
Shares outstanding beginning of period
|
300,000 | 550,000 | ||||||
Shares outstanding end of period
|
300,000 | 400,000 | ||||||
Percentage change in shares outstanding
|
— | % | (27.3 | )% | ||||
Shares created
|
50,000 | — | ||||||
Shares redeemed
|
50,000 | 150,000 | ||||||
Per share NAV beginning of period
|
$ | 13.16 | $ | 14.29 | ||||
Per share NAV end of period
|
$ | 13.56 | $ | 14.50 | ||||
Percentage change in per share NAV
|
3.0 | % | 1.5 | % | ||||
Percentage change in benchmark
|
1.9 | % | 1.4 | % | ||||
Benchmark annualized volatility
|
7.4 | % | 4.5 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (8,702 | ) | $ | 18,923 | |||
Management fee
|
8,894 | 16,541 | ||||||
Net realized gain (loss)
|
(18,635 | ) | (132,599 | ) | ||||
Change in net unrealized appreciation (depreciation)
|
97,408 | 208,577 | ||||||
Net Income (loss)
|
$ | 70,071 | $ | 94,901 |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 128,481,796 | $ | 72,777,302 | ||||
NAV end of period
|
$ | 165,689,050 | $ | 85,377,335 | ||||
Percentage change in NAV
|
29.0 | % | 17.3 | % | ||||
Shares outstanding beginning of period
|
2,450,000 | 1,950,000 | ||||||
Shares outstanding end of period
|
2,550,000 | 1,950,000 | ||||||
Percentage change in shares outstanding
|
4.1 | % | — | % | ||||
Shares created
|
300,000 | 350,000 | ||||||
Shares redeemed
|
200,000 | 350,000 | ||||||
Per share NAV beginning of period
|
$ | 52.44 | $ | 37.32 | ||||
Per share NAV end of period
|
$ | 64.98 | $ | 43.78 | ||||
Percentage change in per share NAV
|
23.9 | % | 17.3 | % | ||||
Percentage change in benchmark
|
12.1 | % | 9.0 | % | ||||
Benchmark annualized volatility
|
19.7 | % | 11.5 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (279,921 | ) | $ | 228,086 | |||
Management fee
|
333,463 | 178,772 | ||||||
Brokerage commission
|
6,119 | 2,566 | ||||||
Net realized gain (loss)
|
4,365,328 | 3,488,357 | ||||||
Change in net unrealized appreciation (depreciation)
|
25,893,012 | 8,697,049 | ||||||
Net Income (loss)
|
$ | 29,978,419 | $ | 12,413,492 |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 129,785,535 | $ | 171,571,571 | ||||
NAV end of period
|
$ | 249,671,968 | $ | 178,444,838 | ||||
Percentage change in NAV
|
92.4 | % | 4.0 | % | ||||
Shares outstanding beginning of period
|
7,046,526 | 6,996,526 | ||||||
Shares outstanding end of period
|
8,446,526 | 7,246,526 | ||||||
Percentage change in shares outstanding
|
19.9 | % | 3.6 | % | ||||
Shares created
|
1,500,000 | 900,000 | ||||||
Shares redeemed
|
100,000 | 650,000 | ||||||
Per share NAV beginning of period
|
$ | 18.42 | $ | 24.52 | ||||
Per share NAV end of period
|
$ | 29.56 | $ | 24.62 | ||||
Percentage change in per share NAV
|
60.5 | % | 0.4 | % | ||||
Percentage change in benchmark
|
29.2 | % | 1.0 | % | ||||
Benchmark annualized volatility
|
37.1 | % | 15.6 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (335,243 | ) | $ | 512,068 | |||
Management fee
|
425,646 | 410,131 | ||||||
Brokerage commission
|
26,966 | 9,085 | ||||||
Net realized gain (loss)
|
11,386,313 | (8,015,752 | ) | |||||
Change in net unrealized appreciation (depreciation)
|
69,302,060 | 8,501,389 | ||||||
Net Income (loss)
|
$ | 80,353,130 | $ | 997,705 |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 592,820,492 | $ | 547,243,246 | ||||
NAV end of period
|
$ | 992,156,607 | $ | 529,341,464 | ||||
Percentage change in NAV
|
67.4 | % | (3.3 | )% | ||||
Shares outstanding beginning of period
|
10,130,912 | 14,030,912 | ||||||
Shares outstanding end of period
|
30,130,912 | 17,430,912 | ||||||
Percentage change in shares outstanding
|
197.4 | % | 24.2 | % | ||||
Shares created
|
24,850,000 | 17,050,000 | ||||||
Shares redeemed
|
4,850,000 | 13,650,000 | ||||||
Per share NAV beginning of period
|
$ | 58.52 | $ | 39.00 | ||||
Per share NAV end of period
|
$ | 32.93 | $ | 30.37 | ||||
Percentage change in per share NAV
|
(43.7 | )% | (22.1 | )% | ||||
Percentage change in benchmark
|
(26.1 | )% | (13.2 | )% | ||||
Benchmark annualized volatility
|
122.3 | % | 59.9 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (2,085,756 | ) | $ | 507,125 | |||
Management fee
|
1,293,878 | 1,356,237 | ||||||
Brokerage commission
|
438,851 | 819,685 | ||||||
Net realized gain (loss)
|
(107,880,791 | ) | (54,976,168 | ) | ||||
Change in net unrealized appreciation (depreciation)
|
(125,500,879 | ) | (39,563,092 | ) | ||||
Net Income (loss)
|
$ | (235,467,426 | ) | $ | (94,032,135 | ) |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 2,808,780 | $ | 5,563,510 | ||||
NAV end of period
|
$ | 2,764,355 | $ | 5,807,397 | ||||
Percentage change in NAV
|
(1.6 | )% | 4.4 | % | ||||
Shares outstanding beginning of period
|
49,970 | 99,970 | ||||||
Shares outstanding end of period
|
49,970 | 99,970 | ||||||
Percentage change in shares outstanding
|
— | % | — | % | ||||
Shares created
|
— | 50,000 | ||||||
Shares redeemed
|
— | 50,000 | ||||||
Per share NAV beginning of period
|
$ | 56.21 | $ | 55.65 | ||||
Per share NAV end of period
|
$ | 55.32 | $ | 58.09 | ||||
Percentage change in per share NAV
|
(1.6 | )% | 4.4 | % | ||||
Percentage change in benchmark
|
(0.4 | )% | 2.8 | % | ||||
Benchmark annualized volatility
|
6.2 | % | 4.8 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (6,539 | ) | $ | 9,668 | |||
Management fee
|
6,601 | 9,207 | ||||||
Net realized gain (loss)
|
(106,753 | ) | 171,283 | |||||
Change in net unrealized appreciation (depreciation)
|
68,867 | (16,451 | ) | |||||
Net Income (loss)
|
$ | (44,425 | ) | $ | 164,500 |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 7,230,367 | $ | 8,162,647 | ||||
NAV end of period
|
$ | 5,614,042 | $ | 8,364,065 | ||||
Percentage change in NAV
|
(22.4 | )% | 2.5 | % | ||||
Shares outstanding beginning of period
|
100,000 | 150,000 | ||||||
Shares outstanding end of period
|
100,000 | 150,000 | ||||||
Percentage change in shares outstanding
|
— | % | — | % | ||||
Shares created
|
— | — | ||||||
Shares redeemed
|
— | — | ||||||
Per share NAV beginning of period
|
$ | 72.30 | $ | 54.42 | ||||
Per share NAV end of period
|
$ | 56.14 | $ | 55.76 | ||||
Percentage change in per share NAV
|
(22.4 | )% | 2.5 | % | ||||
Percentage change in benchmark
|
12.3 | % | (1.1 | )% | ||||
Benchmark annualized volatility
|
14.2 | % | 6.3 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (16,185 | ) | $ | 25,895 | |||
Management fee
|
14,888 | 19,898 | ||||||
Brokerage commission
|
1,339 | 1,429 | ||||||
Net realized gain (loss)
|
(1,037,904 | ) | 250,116 | |||||
Change in net unrealized appreciation (depreciation)
|
(562,236 | ) | (74,593 | ) | ||||
Net Income (loss)
|
$ | (1,616,325 | ) | $ | 201,418 |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 100,094,023 | $ | 75,826,687 | ||||
NAV end of period
|
$ | 117,821,898 | $ | 68,096,767 | ||||
Percentage change in NAV
|
17.7 | % | (10.2 | )% | ||||
Shares outstanding beginning of period
|
2,039,884 | 4,489,884 | ||||||
Shares outstanding end of period
|
6,439,884 | 4,039,884 | ||||||
Percentage change in shares outstanding
|
215.7 | % | (10.0 | )% | ||||
Shares created
|
19,000,000 | 4,850,000 | ||||||
Shares redeemed
|
14,600,000 | 5,300,000 | ||||||
Per share NAV beginning of period
|
$ | 49.07 | $ | 16.89 | ||||
Per share NAV end of period
|
$ | 18.30 | $ | 16.86 | ||||
Percentage change in per share NAV
|
(62.7 | )% | (0.2 | )% | ||||
Percentage change in benchmark
|
23.6 | % | (2.8 | )% | ||||
Benchmark annualized volatility
|
116.3 | % | 31.5 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (782,726 | ) | $ | 215,797 | |||
Management fee
|
348,900 | 190,096 | ||||||
Brokerage commission
|
346,732 | 18,872 | ||||||
Net realized gain (loss)
|
(6,947,347 | ) | 10,124,322 | |||||
Change in net unrealized appreciation (depreciation)
|
(75,201,725 | ) | (2,543,494 | ) | ||||
Net Income (loss)
|
$ | (82,931,798 | ) | $ | 7,796,625 |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 17,419,933 | $ | 13,019,491 | ||||
NAV end of period
|
$ | 28,552,210 | $ | 3,838,842 | ||||
Percentage change in NAV
|
63.9 | % | (70.5 | )% | ||||
Shares outstanding beginning of period
|
274,832 | 574,832 | ||||||
Shares outstanding end of period
|
424,832 | 124,832 | ||||||
Percentage change in shares outstanding
|
54.6 | % | (78.3 | )% | ||||
Shares created
|
650,000 | 250,000 | ||||||
Shares redeemed
|
500,000 | 700,000 | ||||||
Per share NAV beginning of period
|
$ | 63.38 | $ | 22.65 | ||||
Per share NAV end of period
|
$ | 67.21 | $ | 30.75 | ||||
Percentage change in per share NAV
|
6.0 | % | 35.8 | % | ||||
Percentage change in benchmark
|
(14.2 | )% | (16.2 | )% | ||||
Benchmark annualized volatility
|
56.4 | % | 27.9 | % |
Three Months Ended
June 30, 2020
|
Three Months Ended
June 30, 2019
|
|||||||
Net investment income (loss)
|
$ | (87,047 | ) | $ | 11,719 | |||
Management fee
|
36,607 | 20,378 | ||||||
Brokerage commission
|
46,462 | 16,181 | ||||||
Net realized gain (loss)
|
5,236,091 | 3,449,841 | ||||||
Change in net unrealized appreciation (depreciation)
|
(2,774,639 | ) | (546,185 | ) | ||||
Net Income (loss)
|
$ | 2,374,405 | $ | 2,915,375 |
Three Months Ended
June 30, 2020
|
Three Months Ended
June 30, 2019
|
|||||||
NAV beginning of period
|
$ | 93,194,599 | $ | 151,445,608 | ||||
NAV end of period
|
$ | 78,848,965 | $ | 134,573,471 | ||||
Percentage change in NAV
|
(15.4 | )% | (11.1 | )% | ||||
Shares outstanding beginning of period
|
3,350,000 | 5,900,000 | ||||||
Shares outstanding end of period
|
2,950,000 | 5,300,000 | ||||||
Percentage change in shares outstanding
|
(11.9 | )% | (10.2 | )% | ||||
Shares created
|
150,000 | 100,000 | ||||||
Shares redeemed
|
550,000 | 700,000 | ||||||
Per share NAV beginning of period
|
$ | 27.82 | $ | 25.67 | ||||
Per share NAV end of period
|
$ | 26.73 | $ | 25.39 | ||||
Percentage change in per share NAV
|
(3.9 | )% | (1.1 | )% | ||||
Percentage change in benchmark
|
1.9 | % | 1.4 | % | ||||
Benchmark annualized volatility
|
7.4 | % | 4.5 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (145,604 | ) | $ | 471,256 | |||
Management fee
|
213,631 | 334,048 | ||||||
Net realized gain (loss)
|
(2,285,868 | ) | 1,947,370 | |||||
Change in net unrealized appreciation (depreciation)
|
(1,269,683 | ) | (3,843,749 | ) | ||||
Net Income (loss)
|
$ | (3,701,155 | ) | $ | (1,425,123 | ) |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 20,569,044 | $ | 21,506,707 | ||||
NAV end of period
|
$ | 15,851,043 | $ | 18,158,403 | ||||
Percentage change in NAV
|
(22.9 | )% | (15.6 | )% | ||||
Shares outstanding beginning of period
|
446,977 | 296,977 | ||||||
Shares outstanding end of period
|
446,977 | 296,977 | ||||||
Percentage change in shares outstanding
|
0.0 | % | — | % | ||||
Shares created
|
150,000 | 300,000 | ||||||
Shares redeemed
|
150,000 | 300,000 | ||||||
Per share NAV beginning of period
|
$ | 46.02 | $ | 72.42 | ||||
Per share NAV end of period
|
$ | 35.46 | $ | 61.14 | ||||
Percentage change in per share NAV
|
(22.9 | )% | (15.6 | )% | ||||
Percentage change in benchmark
|
12.1 | % | 9.0 | % | ||||
Benchmark annualized volatility
|
19.7 | % | 11.5 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (41,386 | ) | $ | 52,582 | |||
Management fee
|
40,621 | 48,056 | ||||||
Brokerage commission
|
1,659 | 1,640 | ||||||
Net realized gain (loss)
|
(2,089,271 | ) | (1,900,735 | ) | ||||
Change in net unrealized appreciation (depreciation)
|
(2,638,931 | ) | (1,357,012 | ) | ||||
Net Income (loss)
|
$ | (4,769,588 | ) | $ | (3,205,165 | ) |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 18,887,831 | $ | 20,253,916 | ||||
NAV end of period
|
$ | 10,145,625 | $ | 14,026,041 | ||||
Percentage change in NAV
|
(46.3 | )% | (30.7 | )% | ||||
Shares outstanding beginning of period
|
516,976 | 516,976 | ||||||
Shares outstanding end of period
|
516,976 | 366,976 | ||||||
Percentage change in shares outstanding
|
— | % | (29.0 | )% | ||||
Shares created
|
600,000 | 250,000 | ||||||
Shares redeemed
|
600,000 | 400,000 | ||||||
Per share NAV beginning of period
|
$ | 36.54 | $ | 39.18 | ||||
Per share NAV end of period
|
$ | 19.62 | $ | 38.22 | ||||
Percentage change in per share NAV
|
(46.3 | )% | (2.5 | )% | ||||
Percentage change in benchmark
|
29.2 | % | 1.0 | % | ||||
Benchmark annualized volatility
|
37.1 | % | 15.6 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (30,713 | ) | $ | 42,177 | |||
Management fee
|
25,749 | 41,444 | ||||||
Brokerage commission
|
3,940 | 2,826 | ||||||
Net realized gain (loss)
|
(3,877,739 | ) | 469,531 | |||||
Change in net unrealized appreciation (depreciation)
|
(2,754,071 | ) | (1,066,289 | ) | ||||
Net Income (loss)
|
$ | (6,662,523 | ) | $ | (554,581 | ) |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 29,586,170 | $ | 49,650,541 | ||||
NAV end of period
|
$ | 29,787,034 | $ | 47,695,345 | ||||
Percentage change in NAV
|
0.7 | % | (3.9 | )% | ||||
Shares outstanding beginning of period
|
399,290 | 649,290 | ||||||
Shares outstanding end of period
|
399,290 | 649,290 | ||||||
Percentage change in shares outstanding
|
— | % | — | % | ||||
Shares created
|
50,000 | 50,000 | ||||||
Shares redeemed
|
50,000 | 50,000 | ||||||
Per share NAV beginning of period
|
$ | 74.10 | $ | 76.47 | ||||
Per share NAV end of period
|
$ | 74.60 | $ | 73.46 | ||||
Percentage change in per share NAV
|
0.7 | % | (3.9 | )% | ||||
Percentage change in benchmark
|
(0.4 | )% | 2.8 | % | ||||
Benchmark annualized volatility
|
6.2 | % | 4.8 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (59,287 | ) | $ | 175,443 | |||
Management fee
|
64,430 | 122,990 | ||||||
Net realized gain (loss)
|
110,748 | (2,600,562 | ) | |||||
Change in net unrealized appreciation (depreciation)
|
66,461 | 283,682 | ||||||
Net Income (loss)
|
$ | 117,922 | $ | (2,141,437 | ) |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 45,034,386 | $ | 51,126,469 | ||||
NAV end of period
|
$ | 59,085,470 | $ | 37,756,409 | ||||
Percentage change in NAV
|
31.2 | % | (26.2 | )% | ||||
Shares outstanding beginning of period
|
1,162,403 | 2,362,403 | ||||||
Shares outstanding end of period
|
1,462,403 | 1,762,403 | ||||||
Percentage change in shares outstanding
|
25.8 | % | (25.4 | )% | ||||
Shares created
|
725,000 | 275,000 | ||||||
Shares redeemed
|
425,000 | 875,000 | ||||||
Per share NAV beginning of period
|
$ | 38.74 | $ | 21.64 | ||||
Per share NAV end of period
|
$ | 40.40 | $ | 21.42 | ||||
Percentage change in per share NAV
|
4.3 | % | (1.0 | )% | ||||
Percentage change in benchmark
|
4.6 | % | (0.8 | )% | ||||
Benchmark annualized volatility
|
61.3 | % | 24.4 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (133,713 | ) | $ | 133,606 | |||
Management fee
|
124,276 | 82,759 | ||||||
Brokerage commission
|
16,684 | 9,353 | ||||||
Net realized gain (loss)
|
13,196,415 | (2,853,263 | ) | |||||
Change in net unrealized appreciation (depreciation)
|
(12,313,533 | ) | 2,001,125 | |||||
Net Income (loss)
|
$ | 749,169 | $ | (718,532 | ) |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 223,055,354 | $ | 203,503,203 | ||||
NAV end of period
|
$ | 221,343,175 | $ | 240,473,128 | ||||
Percentage change in NAV
|
(0.8 | )% | 18.2 | % | ||||
Shares outstanding beginning of period
|
5,876,317 | 8,451,317 | ||||||
Shares outstanding end of period
|
7,926,317 | 11,526,317 | ||||||
Percentage change in shares outstanding
|
34.9 | % | 36.4 | % | ||||
Shares created
|
3,875,000 | 5,900,000 | ||||||
Shares redeemed
|
1,825,000 | 2,825,000 | ||||||
Per share NAV beginning of period
|
$ | 37.96 | $ | 24.08 | ||||
Per share NAV end of period
|
$ | 27.93 | $ | 20.86 | ||||
Percentage change in per share NAV
|
(26.4 | )% | (13.4 | )% | ||||
Percentage change in benchmark
|
(26.1 | )% | (13.2 | )% | ||||
Benchmark annualized volatility
|
122.3 | % | 59.9 | % |
Three Months Ended
June 30, 2020 |
Three Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (443,622 | ) | $ | 724,602 | |||
Management fee
|
398,044 | 486,543 | ||||||
Brokerage commission
|
60,097 | 70,747 | ||||||
Net realized gain (loss)
|
(845,717 | ) | (11,286,520 | ) | ||||
Change in net unrealized appreciation (depreciation)
|
(51,868,970 | ) | (11,796,301 | ) | ||||
Net Income (loss)
|
$ | (53,158,309 | ) | $ | (22,358,219 | ) |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 2,282,195 | $ | 8,619,686 | ||||
NAV end of period
|
$ | 2,286,467 | $ | 22,127,403 | ||||
Percentage change in NAV
|
0.2 | % | 156.7 | % | ||||
Shares outstanding beginning of period
|
50,000 | 200,000 | ||||||
Shares outstanding end of period
|
50,000 | 500,000 | ||||||
Percentage change in shares outstanding
|
— | % | 150.0 | % | ||||
Shares created
|
— | 300,000 | ||||||
Shares redeemed
|
— | — | ||||||
Per share NAV beginning of period
|
$ | 45.64 | $ | 43.10 | ||||
Per share NAV end of period
|
$ | 45.73 | $ | 44.25 | ||||
Percentage change in per share NAV
|
0.2 | % | 2.7 | % | ||||
Percentage change in benchmark
|
0.2 | % | (0.8 | )% | ||||
Benchmark annualized volatility
|
8.7 | % | 5.5 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (3,560 | ) | $ | 109,491 | |||
Management fee
|
11,019 | 79,777 | ||||||
Brokerage commission
|
190 | 1,355 | ||||||
Net realized gain (loss)
|
(38,658 | ) | 223,624 | |||||
Change in net unrealized appreciation (depreciation)
|
46,490 | (30,548 | ) | |||||
Net Income (loss)
|
$ | 4,272 | $ | 302,567 |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 284,437,179 | $ | 344,596,263 | ||||
NAV end of period
|
$ | 509,811,853 | $ | 337,102,327 | ||||
Percentage change in NAV
|
79.2 | % | (2.2 | )% | ||||
Shares outstanding beginning of period
|
4,334,307 | 8,134,307 | ||||||
Shares outstanding end of period
|
16,234,307 | 6,184,307 | ||||||
Percentage change in shares outstanding
|
274.6 | % | (24.0 | )% | ||||
Shares created
|
25,850,000 | 300,000 | ||||||
Shares redeemed
|
13,950,000 | 2,250,000 | ||||||
Per share NAV beginning of period
|
$ | 65.62 | $ | 42.36 | ||||
Per share NAV end of period
|
$ | 31.40 | $ | 54.51 | ||||
Percentage change in per share NAV
|
(52.1 | )% | 28.7 | % | ||||
Percentage change in benchmark
|
128.5 | % | (45.7 | )% | ||||
Benchmark annualized volatility
|
132.5 | % | 55.9 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (2,498,576 | ) | $ | 770,941 | |||
Management fee
|
2,475,233 | 1,890,823 | ||||||
Brokerage commission
|
417,708 | 408,021 | ||||||
Non-recurring
fees and expenses
|
— | 398,550 | ||||||
Net realized gain (loss)
|
(189,685,599 | ) | 70,532,942 | |||||
Change in net unrealized appreciation (depreciation)
|
(1,245,671 | ) | 27,139,946 | |||||
Net Income (loss)
|
$ | (193,429,846 | ) | $ | 98,443,829 |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 309,844,582 | $ | 368,399,654 | ||||
NAV end of period
|
$ | 1,508,661,459 | $ | 381,980,628 | ||||
Percentage change in NAV
|
386.9 | % | 3.7 | % | ||||
Shares outstanding beginning of period
|
608,453 | 1,128,453 | ||||||
Shares outstanding end of period
|
52,760,774 | 778,453 | ||||||
Percentage change in shares outstanding
|
8,571.3 | % | (31.0 | )% | ||||
Shares created
|
88,162,000 | 416,000 | ||||||
Shares redeemed
|
36,009,679 | 766,000 | ||||||
Per share NAV beginning of period
|
$ | 509.23 | $ | 326.46 | ||||
Per share NAV end of period
|
$ | 28.59 | $ | 490.69 | ||||
Percentage change in per share NAV
|
(94.4 | )% | 50.3 | % | ||||
Percentage change in benchmark
|
(58.6 | )% | 26.5 | % | ||||
Benchmark annualized volatility
|
109.8 | % | 29.2 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (3,589,951 | ) | $ | 2,327,111 | |||
Management fee
|
3,676,527 | 1,923,750 | ||||||
Brokerage commission
|
1,143,882 | 53,319 | ||||||
Net realized gain (loss)
|
(1,176,974,505 | ) | 50,615,554 | |||||
Change in net unrealized appreciation (depreciation)
|
338,757,185 | 157,560,555 | ||||||
Net Income (loss)
|
$ | (841,807,271 | ) | $ | 210,503,220 |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 45,160,205 | $ | 14,617,440 | ||||
NAV end of period
|
$ | 50,599,783 | $ | 33,637,758 | ||||
Percentage change in NAV
|
12.0 | % | 130.1 | % | ||||
Shares outstanding beginning of period
|
537,815 | 57,815 | ||||||
Shares outstanding end of period
|
1,787,527 | 242,815 | ||||||
Percentage change in shares outstanding
|
232.4 | % | 320.0 | % | ||||
Shares created
|
1,485,000 | 285,000 | ||||||
Shares redeemed
|
235,288 | 100,000 | ||||||
Per share NAV beginning of period
|
$ | 83.97 | $ | 252.83 | ||||
Per share NAV end of period
|
$ | 28.31 | $ | 138.53 | ||||
Percentage change in per share NAV
|
(66.3 | )% | (45.2 | )% | ||||
Percentage change in benchmark
|
(37.8 | )% | (22.8 | )% | ||||
Benchmark annualized volatility
|
50.5 | % | 35.7 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (123,647 | ) | $ | 93,929 | |||
Management fee
|
179,012 | 115,695 | ||||||
Brokerage commission
|
107,806 | 47,219 | ||||||
Net realized gain (loss)
|
(38,929,789 | ) | (21,277,866 | ) | ||||
Change in net unrealized appreciation (depreciation)
|
416,235 | 9,674,305 | ||||||
Net Income (loss)
|
$ | (38,637,201 | ) | $ | (11,509,632 | ) |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 6,204,424 | $ | 7,544,569 | ||||
NAV end of period
|
$ | 4,067,686 | $ | 5,801,170 | ||||
Percentage change in NAV
|
(34.4 | )% | (23.1 | )% | ||||
Shares outstanding beginning of period
|
450,000 | 500,000 | ||||||
Shares outstanding end of period
|
300,000 | 400,000 | ||||||
Percentage change in shares outstanding
|
(33.3 | )% | (20.0 | )% | ||||
Shares created
|
100,000 | 50,000 | ||||||
Shares redeemed
|
250,000 | 150,000 | ||||||
Per share NAV beginning of period
|
$ | 13.79 | $ | 15.09 | ||||
Per share NAV end of period
|
$ | 13.56 | $ | 14.50 | ||||
Percentage change in per share NAV
|
(1.7 | )% | (3.9 | )% | ||||
Percentage change in benchmark
|
0.2 | % | (0.8 | )% | ||||
Benchmark annualized volatility
|
8.7 | % | 5.5 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (5,455 | ) | $ | 39,752 | |||
Management fee
|
21,448 | 35,215 | ||||||
Net realized gain (loss)
|
(71,903 | ) | (359,872 | ) | ||||
Change in net unrealized appreciation (depreciation)
|
(124,134 | ) | (16,908 | ) | ||||
Net Income (loss)
|
$ | (201,492 | ) | $ | (337,028 | ) |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 110,726,032 | $ | 83,523,294 | ||||
NAV end of period
|
$ | 165,689,050 | $ | 85,377,335 | ||||
Percentage change in NAV
|
49.6 | % | 2.2 | % | ||||
Shares outstanding beginning of period
|
2,250,000 | 2,250,000 | ||||||
Shares outstanding end of period
|
2,550,000 | 1,950,000 | ||||||
Percentage change in shares outstanding
|
13.3 | % | (13.3 | )% | ||||
Shares created
|
1,450,000 | 400,000 | ||||||
Shares redeemed
|
1,150,000 | 700,000 | ||||||
Per share NAV beginning of period
|
$ | 49.21 | $ | 37.12 | ||||
Per share NAV end of period
|
$ | 64.98 | $ | 43.78 | ||||
Percentage change in per share NAV
|
32.0 | % | 17.9 | % | ||||
Percentage change in benchmark
|
17.1 | % | 10.0 | % | ||||
Benchmark annualized volatility
|
50.5 | % | 10.8 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (171,013 | ) | $ | 440,872 | |||
Management fee
|
628,874 | 380,350 | ||||||
Brokerage commission
|
16,484 | 3,787 | ||||||
Net realized gain (loss)
|
25,863,384 | 7,580,942 | ||||||
Change in net unrealized appreciation (depreciation)
|
6,795,652 | 4,884,290 | ||||||
Net Income (loss)
|
$ | 32,488,023 | $ | 12,906,104 |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 239,254,842 | $ | 201,824,376 | ||||
NAV end of period
|
$ | 249,671,968 | $ | 178,444,838 | ||||
Percentage change in NAV
|
4.4 | % | (11.6 | )% | ||||
Shares outstanding beginning of period
|
7,546,526 | 7,646,526 | ||||||
Shares outstanding end of period
|
8,446,526 | 7,246,526 | ||||||
Percentage change in shares outstanding
|
11.9 | % | (5.2 | )% | ||||
Shares created
|
2,250,000 | 1,300,000 | ||||||
Shares redeemed
|
1,350,000 | 1,700,000 | ||||||
Per share NAV beginning of period
|
$ | 31.70 | $ | 26.39 | ||||
Per share NAV end of period
|
$ | 29.56 | $ | 24.62 | ||||
Percentage change in per share NAV
|
(6.8 | )% | (6.7 | )% | ||||
Percentage change in benchmark
|
1.9 | % | (1.8 | )% | ||||
Benchmark annualized volatility
|
43.3 | % | 15.4 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (58,411 | ) | $ | 957,627 | |||
Management fee
|
906,893 | 864,406 | ||||||
Brokerage commission
|
45,174 | 13,702 | ||||||
Net realized gain (loss)
|
7,688,659 | 5,286,170 | ||||||
Change in net unrealized appreciation (depreciation)
|
(15,759,771 | ) | (18,388,937 | ) | ||||
Net Income (loss)
|
$ | (8,129,523 | ) | $ | (12,145,140 | ) |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 527,636,003 | $ | 214,304,871 | ||||
NAV end of period
|
$ | 992,156,607 | $ | 529,341,464 | ||||
Percentage change in NAV
|
88.0 | % | 147.0 | % | ||||
Shares outstanding beginning of period
|
41,630,912 | 2,630,912 | ||||||
Shares outstanding end of period
|
30,130,912 | 17,430,912 | ||||||
Percentage change in shares outstanding
|
(27.6 | )% | 562.5 | % | ||||
Shares created
|
34,750,000 | 32,200,000 | ||||||
Shares redeemed
|
46,250,000 | 17,400,000 | ||||||
Per share NAV beginning of period
|
$ | 12.67 | $ | 81.46 | ||||
Per share NAV end of period
|
$ | 32.93 | $ | 30.37 | ||||
Percentage change in per share NAV
|
159.8 | % | (62.7 | )% | ||||
Percentage change in benchmark
|
128.5 | % | (45.7 | )% | ||||
Benchmark annualized volatility
|
132.5 | % | 55.9 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (2,815,021 | ) | $ | 356,496 | |||
Management fee
|
2,677,153 | 2,321,769 | ||||||
Brokerage commission
|
1,179,860 | 1,395,316 | ||||||
Non-recurring
fees and expenses
|
— | 27,508 | ||||||
Net realized gain (loss)
|
618,204,440 | (250,199,509 | ) | |||||
Change in net unrealized appreciation (depreciation)
|
51,016,036 | (78,621,075 | ) | |||||
Net Income (loss)
|
$ | 666,405,455 | $ | (328,464,088 | ) |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 5,580,964 | $ | 5,751,716 | ||||
NAV end of period
|
$ | 2,764,355 | $ | 5,807,397 | ||||
Percentage change in NAV
|
(50.5 | )% | 1.0 | % | ||||
Shares outstanding beginning of period
|
99,970 | 99,970 | ||||||
Shares outstanding end of period
|
49,970 | 99,970 | ||||||
Percentage change in shares outstanding
|
(50.0 | )% | — | % | ||||
Shares created
|
— | 100,000 | ||||||
Shares redeemed
|
50,000 | 100,000 | ||||||
Per share NAV beginning of period
|
$ | 55.83 | $ | 57.53 | ||||
Per share NAV end of period
|
$ | 55.32 | $ | 58.09 | ||||
Percentage change in per share NAV
|
(0.9 | )% | 1.0 | % | ||||
Percentage change in benchmark
|
0.6 | % | 1.7 | % | ||||
Benchmark annualized volatility
|
11.8 | % | 5.5 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (4,913 | ) | $ | 24,239 | |||
Management fee
|
13,842 | 21,645 | ||||||
Net realized gain (loss)
|
(115,236 | ) | 93,976 | |||||
Change in net unrealized appreciation (depreciation)
|
49,554 | (129,048 | ) | |||||
Net Income (loss)
|
$ | (70,595 | ) | $ | (10,833 | ) |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 5,608,612 | $ | 11,060,333 | ||||
NAV end of period
|
$ | 5,614,042 | $ | 8,364,065 | ||||
Percentage change in NAV
|
0.1 | % | (24.4 | )% | ||||
Shares outstanding beginning of period
|
100,000 | 200,000 | ||||||
Shares outstanding end of period
|
100,000 | 150,000 | ||||||
Percentage change in shares outstanding
|
— | % | (25.0 | )% | ||||
Shares created
|
— | — | ||||||
Shares redeemed
|
— | 50,000 | ||||||
Per share NAV beginning of period
|
$ | 56.09 | $ | 55.30 | ||||
Per share NAV end of period
|
$ | 56.14 | $ | 55.76 | ||||
Percentage change in per share NAV
|
0.1 | % | 0.8 | % | ||||
Percentage change in benchmark
|
(1.6 | )% | (0.3 | )% | ||||
Benchmark annualized volatility
|
14.6 | % | 7.5 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (12,760 | ) | $ | 51,684 | |||
Management fee
|
30,018 | 40,978 | ||||||
Brokerage commission
|
2,838 | 3,102 | ||||||
Net realized gain (loss)
|
(366,954 | ) | 512,861 | |||||
Change in net unrealized appreciation (depreciation)
|
385,144 | (651,797 | ) | |||||
Net Income (loss)
|
$ | 5,430 | $ | (87,252 | ) |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 125,451,681 | $ | 114,377,311 | ||||
NAV end of period
|
$ | 117,821,898 | $ | 68,096,767 | ||||
Percentage change in NAV
|
(6.1 | )% | (40.5 | )% | ||||
Shares outstanding beginning of period
|
10,289,884 | 3,839,884 | ||||||
Shares outstanding end of period
|
6,439,884 | 4,039,884 | ||||||
Percentage change in shares outstanding
|
(37.4 | )% | 5.2 | % | ||||
Shares created
|
22,350,000 | 8,250,000 | ||||||
Shares redeemed
|
26,200,000 | 8,050,000 | ||||||
Per share NAV beginning of period
|
$ | 12.19 | $ | 29.79 | ||||
Per share NAV end of period
|
$ | 18.30 | $ | 16.86 | ||||
Percentage change in per share NAV
|
50.1 | % | (43.4 | )% | ||||
Percentage change in benchmark
|
(58.6 | )% | 26.5 | % | ||||
Benchmark annualized volatility
|
109.8 | % | 29.2 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (813,439 | ) | $ | 401,612 | |||
Management fee
|
551,269 | 356,422 | ||||||
Brokerage commission
|
423,785 | 28,502 | ||||||
Net realized gain (loss)
|
44,726,655 | 969,163 | ||||||
Change in net unrealized appreciation (depreciation)
|
1,379,632 | (35,461,728 | ) | |||||
Net Income (loss)
|
$ | 45,292,848 | $ | (34,090,953 | ) |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 12,515,603 | $ | 17,825,441 | ||||
NAV end of period
|
$ | 28,552,210 | $ | 3,838,842 | ||||
Percentage change in NAV
|
128.1 | % | (78.5 | )% | ||||
Shares outstanding beginning of period
|
324,832 | 824,832 | ||||||
Shares outstanding end of period
|
424,832 | 124,832 | ||||||
Percentage change in shares outstanding
|
30.8 | % | (84.9 | )% | ||||
Shares created
|
1,200,000 | 500,000 | ||||||
Shares redeemed
|
1,100,000 | 1,200,000 | ||||||
Per share NAV beginning of period
|
$ | 38.53 | $ | 21.61 | ||||
Per share NAV end of period
|
$ | 67.21 | $ | 30.75 | ||||
Percentage change in per share NAV
|
74.5 | % | 42.3 | % | ||||
Percentage change in benchmark
|
(37.8 | )% | (22.8 | )% | ||||
Benchmark annualized volatility
|
50.5 | % | 35.7 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (109,326 | ) | $ | 31,203 | |||
Management fee
|
69,037 | 49,069 | ||||||
Brokerage commission
|
78,743 | 27,881 | ||||||
Net realized gain (loss)
|
10,862,268 | 14,769,166 | ||||||
Change in net unrealized appreciation (depreciation)
|
560,972 | (10,862,796 | ) | |||||
Net Income (loss)
|
$ | 11,313,914 | $ | 3,937,573 |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 120,581,173 | $ | 154,120,159 | ||||
NAV end of period
|
$ | 78,848,965 | $ | 134,573,471 | ||||
Percentage change in NAV
|
(34.6 | )% | (12.7 | )% | ||||
Shares outstanding beginning of period
|
4,500,000 | 6,350,000 | ||||||
Shares outstanding end of period
|
2,950,000 | 5,300,000 | ||||||
Percentage change in shares outstanding
|
(34.4 | )% | (16.5 | )% | ||||
Shares created
|
350,000 | 350,000 | ||||||
Shares redeemed
|
1,900,000 | 1,400,000 | ||||||
Per share NAV beginning of period
|
$ | 26.80 | $ | 24.27 | ||||
Per share NAV end of period
|
$ | 26.73 | $ | 25.39 | ||||
Percentage change in per share NAV
|
(0.3 | )% | 4.6 | % | ||||
Percentage change in benchmark
|
0.2 | % | (0.8 | )% | ||||
Benchmark annualized volatility
|
8.7 | % | 5.5 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (9,389 | ) | $ | 905,729 | |||
Management fee
|
477,073 | 674,193 | ||||||
Net realized gain (loss)
|
(1,238,585 | ) | 5,276,612 | |||||
Change in net unrealized appreciation (depreciation)
|
1,920,568 | 581,064 | ||||||
Net Income (loss)
|
$ | 672,594 | $ | 6,763,405 |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 21,047,560 | $ | 18,098,997 | ||||
NAV end of period
|
$ | 15,851,043 | $ | 18,158,403 | ||||
Percentage change in NAV
|
(24.7 | )% | 0.3 | % | ||||
Shares outstanding beginning of period
|
396,977 | 246,978 | ||||||
Shares outstanding end of period
|
446,977 | 296,977 | ||||||
Percentage change in shares outstanding
|
12.6 | % | 20.2 | % | ||||
Shares created
|
350,000 | 400,000 | ||||||
Shares redeemed
|
300,000 | 350,001 | ||||||
Per share NAV beginning of period
|
$ | 53.02 | $ | 73.28 | ||||
Per share NAV end of period
|
$ | 35.46 | $ | 61.14 | ||||
Percentage change in per share NAV
|
(33.1 | )% | (16.6 | )% | ||||
Percentage change in benchmark
|
17.1 | % | 10.0 | % | ||||
Benchmark annualized volatility
|
24.2 | % | 10.8 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (25,708 | ) | $ | 100,053 | |||
Management fee
|
83,860 | 95,018 | ||||||
Brokerage commission
|
3,763 | 2,418 | ||||||
Net realized gain (loss)
|
(8,020,153 | ) | (3,069,639 | ) | ||||
Change in net unrealized appreciation (depreciation)
|
38,043 | (478,986 | ) | |||||
Net Income (loss)
|
$ | (8,007,818 | ) | $ | (3,448,572 | ) |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 13,834,163 | $ | 11,768,863 | ||||
NAV end of period
|
$ | 10,145,625 | $ | 14,026,041 | ||||
Percentage change in NAV
|
(26.7 | )% | 19.2 | % | ||||
Shares outstanding beginning of period
|
516,976 | 316,976 | ||||||
Shares outstanding end of period
|
516,976 | 366,976 | ||||||
Percentage change in shares outstanding
|
— | % | 15.8 | % | ||||
Shares created
|
800,000 | 550,000 | ||||||
Shares redeemed
|
800,000 | 500,000 | ||||||
Per share NAV beginning of period
|
$ | 26.76 | $ | 37.13 | ||||
Per share NAV end of period
|
$ | 19.62 | $ | 38.22 | ||||
Percentage change in per share NAV
|
(26.7 | )% | 2.9 | % | ||||
Percentage change in benchmark
|
1.9 | % | (1.8 | )% | ||||
Benchmark annualized volatility
|
43.3 | % | 15.4 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (27,294 | ) | $ | 73,731 | |||
Management fee
|
62,885 | 78,655 | ||||||
Brokerage commission
|
7,921 | 4,175 | ||||||
Net realized gain (loss)
|
(3,035,499 | ) | (920,611 | ) | ||||
Change in net unrealized appreciation (depreciation)
|
1,436,385 | 1,069,178 | ||||||
Net Income (loss)
|
$ | (1,626,408 | ) | $ | 222,298 |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 38,132,320 | $ | 55,363,675 | ||||
NAV end of period
|
$ | 29,787,034 | $ | 47,695,345 | ||||
Percentage change in NAV
|
(21.9 | )% | (13.9 | )% | ||||
Shares outstanding beginning of period
|
499,290 | 749,290 | ||||||
Shares outstanding end of period
|
399,290 | 649,290 | ||||||
Percentage change in shares outstanding
|
(20.0 | )% | (13.3 | )% | ||||
Shares created
|
100,000 | 450,000 | ||||||
Shares redeemed
|
200,000 | 550,000 | ||||||
Per share NAV beginning of period
|
$ | 76.37 | $ | 73.89 | ||||
Per share NAV end of period
|
$ | 74.60 | $ | 73.46 | ||||
Percentage change in per share NAV
|
(2.3 | )% | (0.6 | )% | ||||
Percentage change in benchmark
|
0.6 | % | 1.7 | % | ||||
Benchmark annualized volatility
|
11.8 | % | 5.5 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (17,541 | ) | $ | 343,017 | |||
Management fee
|
148,867 | 247,784 | ||||||
Net realized gain (loss)
|
(395,772 | ) | (2,944,042 | ) | ||||
Change in net unrealized appreciation (depreciation)
|
(630,608 | ) | 2,717,362 | |||||
Net Income (loss)
|
$ | (1,043,921 | ) | $ | 116,337 |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 45,986,584 | $ | 56,299,121 | ||||
NAV end of period
|
$ | 59,085,470 | $ | 37,756,409 | ||||
Percentage change in NAV
|
28.5 | % | (32.9 | )% | ||||
Shares outstanding beginning of period
|
2,162,403 | 2,112,403 | ||||||
Shares outstanding end of period
|
1,462,403 | 1,762,403 | ||||||
Percentage change in shares outstanding
|
(32.4 | )% | (16.6 | )% | ||||
Shares created
|
1,100,000 | 775,000 | ||||||
Shares redeemed
|
1,800,000 | 1,125,000 | ||||||
Per share NAV beginning of period
|
$ | 21.27 | $ | 26.65 | ||||
Per share NAV end of period
|
$ | 40.40 | $ | 21.42 | ||||
Percentage change in per share NAV
|
90.0 | % | (19.6 | )% | ||||
Percentage change in benchmark
|
90.9 | % | (19.2 | )% | ||||
Benchmark annualized volatility
|
75.1 | % | 23.4 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (85,793 | ) | $ | 282,872 | |||
Management fee
|
218,560 | 188,570 | ||||||
Brokerage commission
|
32,623 | 19,689 | ||||||
Net realized gain (loss)
|
20,952,940 | (7,055,283 | ) | |||||
Change in net unrealized appreciation (depreciation)
|
3,669,337 | (4,425,324 | ) | |||||
Net Income (loss)
|
$ | 24,536,484 | $ | (11,197,735 | ) |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
NAV beginning of period
|
$ | 279,792,503 | $ | 149,547,115 | ||||
NAV end of period
|
$ | 221,343,175 | $ | 240,473,128 | ||||
Percentage change in NAV
|
(20.9 | )% | 60.8 | % | ||||
Shares outstanding beginning of period
|
22,751,317 | 3,876,317 | ||||||
Shares outstanding end of period
|
7,926,317 | 11,526,317 | ||||||
Percentage change in shares outstanding
|
(65.2 | )% | 197.4 | % | ||||
Shares created
|
10,675,000 | 12,125,000 | ||||||
Shares redeemed
|
25,500,000 | 4,475,000 | ||||||
Per share NAV beginning of period
|
$ | 12.30 | $ | 38.58 | ||||
Per share NAV end of period
|
$ | 27.93 | $ | 20.86 | ||||
Percentage change in per share NAV
|
127.1 | % | (45.9 | )% | ||||
Percentage change in benchmark
|
128.5 | % | (45.7 | )% | ||||
Benchmark annualized volatility
|
132.5 | % | 55.9 | % |
Six Months Ended
June 30, 2020 |
Six Months Ended
June 30, 2019 |
|||||||
Net investment income (loss)
|
$ | (299,597 | ) | $ | 1,201,304 | |||
Management fee
|
1,024,560 | 848,246 | ||||||
Brokerage commission
|
244,857 | 83,182 | ||||||
Net realized gain (loss)
|
324,892,071 | (66,193,104 | ) | |||||
Change in net unrealized appreciation (depreciation)
|
16,033,274 | (33,080,532 | ) | |||||
Net Income (loss)
|
$ | 340,625,748 | $ | (98,072,332 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
Euro Fx Currency Futures (CME)
|
Long | September 2020 | 16 | $ | 1.13 | 125,000 | $ | 2,250,500 |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
Euro Fx Currency Futures (CME)
|
Short | September 2019 | 154 | $ | 1.14 | 125,000 | $ | (22,034,513 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
VIX Futures (Cboe)
|
Short | July 2020 | 4,764 | $ | 30.88 | 1,000 | $ | (147,088,500 | ) | |||||||||||
VIX Futures (Cboe)
|
Short | August 2020 | 3,411 | 31.83 | 1,000 | (108,555,075 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
VIX Futures (Cboe)
|
Short | July 2019 | 6,094 | $ | 15.53 | 1,000 | $ | (94,609,350 | ) | |||||||||||
VIX Futures (Cboe)
|
Short | August 2019 | 4,424 | 16.58 | 1,000 | (73,327,800 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
WTI Crude Oil (NYMEX)
|
Long | September 2020 | 17,132 | $ | 39.34 | 1,000 | $ | 673,972,880 | ||||||||||||
WTI Crude Oil (NYMEX)
|
Long | October 2020 | 22,205 | 39.48 | 1,000 | 876,653,400 | ||||||||||||||
WTI Crude Oil (NYMEX)
|
Long | December 2020 | 25,357 | 39.68 | 1,000 | 1,006,165,760 |
Reference Index
|
Counterparty
|
Long or Short
|
Index Close
|
Notional Amount
at Value |
||||||||
Bloomberg WTI Crude Oil Subindex
|
Goldman Sachs International | Long | $ | 37.2575 | $ | 225,096,897 | ||||||
Morgan Stanley WTI Crude Oil Subindex
|
Morgan Stanley | Long | 287.8039 | 129,511,755 | ||||||||
Bloomberg WTI Crude Oil Subindex
|
Societe Generale | Long | 37.2575 | 107,081,626 |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
WTI Crude Oil (NYMEX)
|
Long | September 2019 | 2,120 | $ | 58.52 | 1,000 | $ | 124,062,400 |
Reference Index
|
Counterparty
|
Long or Short
|
Index Close
|
Notional Amount
at Value |
||||||||
Bloomberg WTI Crude Oil Subindex
|
Citibank, N.A. | Long | $ | 85.8165 | $ | 202,875,259 | ||||||
Bloomberg WTI Crude Oil Subindex
|
Goldman Sachs International | Long | 85.8165 | 129,203,915 | ||||||||
Bloomberg WTI Crude Oil Subindex
|
Royal Bank of Canada | Long | 85.8165 | 131,120,750 | ||||||||
Bloomberg WTI Crude Oil Subindex
|
Societe Generale | Long | 85.8165 | 61,063,068 | ||||||||
Bloomberg WTI Crude Oil Subindex
|
UBS AG | Long | 85.8165 | 115,790,770 |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
Natural Gas (NYMEX)
|
Long | September 2020 | 5,659 | $ | 1.79 | 10,000 | $ | 101,239,510 |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
Natural Gas (NYMEX)
|
Long | September 2019 | 2,948 | $ | 2.28 | 10,000 | $ | 67,273,360 |
Reference
Currency |
Counterparty
|
Long or
Short |
Settlement
Date |
Local
Currency |
Forward
Rate |
Market
Value USD |
||||||||||||||
Euro
|
Goldman Sachs International | Long | 07/10/20 | 3,440,921 | 1.1227 | $ | 3,862,950 | |||||||||||||
Euro
|
UBS AG | Long | 07/10/20 | 4,020,302 | 1.1283 | 4,536,305 | ||||||||||||||
Euro
|
UBS AG | Short | 07/10/20 | (203,000 | ) | 1.1264 | (228,659 | ) |
Reference
Currency |
Counterparty
|
Long or
Short |
Settlement
Date |
Local
Currency |
Forward
Rate |
Market Value
USD |
||||||||||||||
Euro
|
Goldman Sachs International | Long | 07/12/19 | 5,708,031 | 1.1342 | $ | 6,474,107 | |||||||||||||
Euro
|
UBS AG | Long | 07/12/19 | 5,921,240 | 1.1344 | 6,717,044 | ||||||||||||||
Euro
|
Goldman Sachs International | Short | 07/12/19 | (71,266 | ) | 1.1314 | (80,633 | ) | ||||||||||||
Euro
|
UBS AG | Short | 07/12/19 | (1,362,265 | ) | 1.1369 | (1,548,778 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
Gold Futures (COMEX)
|
Long | August 2020 | 721 | $ | 1,800.50 | 100 | $ | 129,816,050 |
Reference Index
|
Counterparty
|
Long or Short
|
Index Close
|
Notional Amount
at Value |
||||||||
Bloomberg Gold Subindex
|
Citibank, N.A. | Long | $ | 203.8550 | $ | 70,552,163 | ||||||
Bloomberg Gold Subindex
|
Goldman Sachs International | Long | 203.8550 | 69,644,070 | ||||||||
Bloomberg Gold Subindex
|
UBS AG | Long | 203.8550 | 61,364,755 |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
Gold Futures (COMEX)
|
Long | August 2019 | 309 | $ | 1,413.70 | 100 | $ | 43,683,330 |
Reference Index
|
Counterparty
|
Long or Short
|
Index Close
|
Notional Amount
at Value |
||||||||
Bloomberg Gold Subindex
|
Citibank, N.A. | Long | $ | 164.2928 | $ | 43,120,440 | ||||||
Bloomberg Gold Subindex
|
Goldman Sachs International | Long | 164.2928 | 39,623,699 | ||||||||
Bloomberg Gold Subindex
|
UBS AG | Long | 164.2928 | 44,338,615 |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
Silver Futures (COMEX)
|
Long | September 2020 | 1,928 | $ | 18.64 | 5,000 | $ | 179,660,680 |
Reference Index
|
Counterparty
|
Long or Short
|
Index Close
|
Notional Amount
at Value |
||||||||
Bloomberg Silver Subindex
|
Citibank, N.A. | Long | $ | 172.6990 | $ | 135,066,136 | ||||||
Bloomberg Silver Subindex
|
Goldman Sachs International | Long | 172.6990 | 93,005,691 | ||||||||
Bloomberg Silver Subindex
|
UBS AG | Long | 172.6990 | 91,761,402 |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
Silver Futures (COMEX)
|
Long | September 2019 | 633 | $ | 15.34 | 5,000 | $ | 48,554,265 |
Reference Index
|
Counterparty
|
Long or Short
|
Index Close
|
Notional Amount
at Value |
||||||||
Bloomberg Silver Subindex
|
Citibank, N.A. | Long | $ | 148.0529 | $ | 110,291,099 | ||||||
Bloomberg Silver Subindex
|
Goldman Sachs International | Long | 148.0529 | 95,340,020 | ||||||||
Bloomberg Silver Subindex
|
UBS AG | Long | 148.0529 | 102,655,024 |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
VIX Futures (Cboe)
|
Long | July 2020 | 26,764 | $ | 30.88 | 1,000 | $ | 826,338,500 | ||||||||||||
VIX Futures (Cboe)
|
Long | August 2020 | 19,103 | 31.83 | 1,000 | 607,952,975 |
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 | $ | 34.0592 | $ | 52,525,586 |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
VIX Futures (Cboe)
|
Long | July 2019 | 27,397 | $ | 15.53 | 1,000 | $ | 425,338,425 | ||||||||||||
VIX Futures (Cboe)
|
Long | August 2019 | 19,933 | 16.58 | 1,000 | 330,389,475 |
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 International | Long | $ | 25.3687 | $ | 39,123,255 |
Reference
Currency |
Counterparty
|
Long or
Short |
Settlement
Date |
Local
Currency |
Forward
Rate |
Market
Value USD |
||||||||||||||
Yen
|
Goldman Sachs International | Long | 07/10/20 | 336,014,517 | 0.009196 | $ | 3,089,931 | |||||||||||||
Yen
|
UBS AG | Long | 07/10/20 | 274,932,756 | 0.009201 | 2,529,705 | ||||||||||||||
Yen
|
UBS AG | Short | 07/10/20 | (12,240,000 | ) | 0.009236 | (113,045 | ) |
Reference
Currency |
Counterparty
|
Long or
Short |
Settlement
Date |
Local
Currency |
Forward
Rate |
Market
Value USD |
||||||||||||||
Yen
|
Goldman Sachs International | Long | 07/12/19 | 336,548,449 | 0.009246 | $ | 3,111,764 | |||||||||||||
Yen
|
UBS AG | Long | 07/12/19 | 921,532,970 | 0.009243 | 8,517,925 | ||||||||||||||
Yen
|
UBS AG | Short | 07/12/19 | (6,364,462 | ) | 0.009286 | (59,101 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
Australian Dollar Fx Currency Futures (CME)
|
Short | September 2020 | 163 | $ | 69.01 | 1,000 | $ | (11,255,150 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
Australian Dollar Fx Currency Futures (CME)
|
Short | September 2019 | 238 | $ | 70.37 | 1,000 | $ | (16,745,680 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
WTI Crude Oil (NYMEX)
|
Short | September 2020 | 919 | $ | 39.34 | 1,000 | $ | (36,153,460 | ) | |||||||||||
WTI Crude Oil (NYMEX)
|
Short | October 2020 | 1,990 | 39.48 | 1,000 | (78,565,200 | ) | |||||||||||||
WTI Crude Oil (NYMEX)
|
Short | December 2020 | 1,980 | 39.68 | 1,000 | (78,566,400 | ) |
Reference Index
|
Counterparty
|
Long or Short
|
Index Close
|
Notional Amount
at Value |
||||||||
Bloomberg WTI Crude Oil Subindex
|
Goldman Sachs International | Short | $ | 37.2575 | $ | (42,317,531 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
WTI Crude Oil (NYMEX)
|
Short | September 2019 | 612 | $ | 58.52 | 1,000 | $ | (35,814,240 | ) |
Reference Index
|
Counterparty
|
Long or
Short |
Index Close
|
Notional Amount
at Value |
||||||||
Bloomberg WTI Crude Oil Subindex
|
Citibank, N.A. | Short | $ | 85.8165 | $ | (32,391,415 | ) | |||||
Bloomberg WTI Crude Oil Subindex
|
Goldman Sachs International | Short | 85.8165 | (18,892,963 | ) | |||||||
Bloomberg WTI Crude Oil Subindex
|
Royal Bank of Canada | Short | 85.8165 | (21,105,665 | ) | |||||||
Bloomberg WTI Crude Oil Subindex
|
Societe Generale | Short | 85.8165 | (8,748,167 | ) | |||||||
Bloomberg WTI Crude Oil Subindex
|
UBS AG | Short | 85.8165 | (19,251,456 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
Natural Gas (NYMEX)
|
Short |
September
2020 |
3,192 | $ | 1.79 | 10,000 | $ | (57,104,880 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
Natural Gas (NYMEX)
|
Short |
September
2019 |
336 | $ | 2.28 | 10,000 | $ | (7,667,520 | ) |
Reference
Currency |
Counterparty
|
Long or
Short |
Settlement
Date |
Local
Currency |
Forward
Rate |
Market Value
USD |
||||||||||||||
Euro
|
UBS AG | Long | 07/10/20 | 24,450,000 | 1.1306 | $ | 27,643,554 | |||||||||||||
Euro
|
Goldman Sachs International | Short | 07/10/20 | (42,027,263 | ) | 1.1227 | (47,181,907 | ) | ||||||||||||
Euro
|
UBS AG | Short | 07/10/20 | (123,240,199 | ) | 1.1229 | (138,384,964 | ) |
Reference
Currency |
Counterparty
|
Long or
Short |
Settlement
Date |
Local
Currency |
Forward
Rate |
Market Value
USD |
||||||||||||||
Euro
|
Goldman Sachs International | Long | 07/12/19 | 5,149,992 | 1.1299 | $ | 5,818,958 | |||||||||||||
Euro
|
UBS AG | Long | 07/12/19 | 4,521,641 | 1.1389 | 5,149,650 | ||||||||||||||
Euro
|
Goldman Sachs International | Short | 07/12/19 | (113,562,310 | ) | 1.1342 | (128,802,111 | ) | ||||||||||||
Euro
|
UBS AG | Short | 07/12/19 | (132,301,410 | ) | 1.1339 | (150,013,121 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||||
Gold Futures (COMEX)
|
Short | August 2020 | 46 | $ | 1,800.50 | 100 | $ | (8,282,300 | ) |
Reference Index
|
Counterparty
|
Long or
Short |
Index Close
|
Notional Amount
at Value |
||||||||
Bloomberg Gold Subindex
|
Citibank, N.A. | Short | $ | 203.8550 | $ | (10,722,833 | ) | |||||
Bloomberg Gold Subindex
|
Goldman Sachs International | Short | 203.8550 | (8,036,739 | ) | |||||||
Bloomberg Gold Subindex
|
UBS AG | Short | 203.8550 | (4,678,097 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||||
Gold Futures (COMEX)
|
Short | August 2019 | 91 | $ | 1,413.70 | 100 | $ | (12,864,670 | ) |
Reference Index
|
Counterparty
|
Long or
Short |
Index Close
|
Notional Amount
at Value |
||||||||
Bloomberg Gold Subindex
|
Citibank, N.A. | Short | $ | 164.2928 | $ | (9,390,533 | ) | |||||
Bloomberg Gold Subindex
|
Goldman Sachs International | Short | 164.2928 | (7,443,910 | ) | |||||||
Bloomberg Gold Subindex
|
UBS AG | Short | 164.2928 | (6,675,900 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||||
Silver Futures (COMEX)
|
Short | September 2020 | 74 | $ | 18.64 | 5,000 | $ | (6,895,690 | ) |
Reference Index
|
Counterparty
|
Long or
Short |
Index Close
|
Notional Amount
at Value |
||||||||||
Bloomberg Silver Subindex
|
Citibank, N.A. | Short | $ | 172.6990 | $ | (5,885,533 | ) | |||||||
Bloomberg Silver Subindex
|
Goldman Sachs International | Short | 172.6990 | (3,503,375 | ) | |||||||||
Bloomberg Silver Subindex
|
UBS AG | Short | 172.6990 | (4,010,780 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||||
Silver Futures (COMEX)
|
Short | September 2019 | 60 | $ | 15.34 | 5,000 | $ | (4,602,299 | ) |
Reference Index
|
Counterparty
|
Long or
Short |
Index Close
|
Notional Amount
at Value |
||||||||
Bloomberg Silver Subindex
|
Citibank, N.A. | Short | $ | 148.0529 | $ | (8,558,305 | ) | |||||
Bloomberg Silver Subindex
|
Goldman Sachs International | Short | 148.0529 | (7,593,488 | ) | |||||||
Bloomberg Silver Subindex
|
UBS AG | Short | 148.0529 | (7,293,546 | ) |
Reference
Currency |
Counterparty
|
Long or
Short |
Settlement
Date |
Local Currency
|
Forward
Rate |
Market
Value USD |
||||||||||||
Yen
|
UBS AG | Long | 07/10/20 | 667,860,000 | 0.009305 | $ | 6,214,279 | |||||||||||
Yen
|
Goldman Sachs International | Short | 07/10/20 | (1,888,338,165 | ) | 0.009196 | (17,364,827 | ) | ||||||||||
Yen
|
UBS AG | Short | 07/10/20 | (5,209,742,875 | ) | 0.009190 | (47,878,145 | ) |
Reference
Currency |
Counterparty
|
Long or
Short |
Settlement
Date |
Local Currency
|
Forward
Rate |
Market
Value USD |
||||||||||||
Yen
|
Goldman Sachs International | Long | 07/12/19 | 322,672,886 | 0.009313 | $ | 3,005,168 | |||||||||||
Yen
|
Goldman Sachs International | Short | 07/12/19 | (5,474,654,493 | ) | 0.009244 | (50,605,080 | ) | ||||||||||
Yen
|
UBS AG | Short | 07/12/19 | (5,105,752,383 | ) | 0.009245 | (47,200,208 | ) |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
VIX Futures (Cboe)
|
Long | October 2020 | 378 | $ | 33.18 | 1,000 | $ | 12,540,150 | ||||||||||||
VIX Futures (Cboe)
|
Long | November 2020 | 647 | 30.58 | 1,000 | 19,782,025 | ||||||||||||||
VIX Futures (Cboe)
|
Long | December 2020 | 647 | 29.08 | 1,000 | 18,811,525 | ||||||||||||||
VIX Futures (Cboe)
|
Long | January 2021 | 270 | 29.43 | 1,000 | 7,944,750 |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
VIX Futures (Cboe)
|
Long | October 2019 | 428 | $ | 17.08 | 1,000 | $ | 7,308,100 | ||||||||||||
VIX Futures (Cboe)
|
Long | November 2019 | 739 | 17.08 | 1,000 | 12,618,425 | ||||||||||||||
VIX Futures (Cboe)
|
Long | December 2019 | 739 | 16.83 | 1,000 | 12,433,675 | ||||||||||||||
VIX Futures (Cboe)
|
Long | January 2020 | 311 | 17.33 | 1,000 | 5,388,075 |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
VIX Futures (Cboe)
|
Long | July 2020 | 4,125 | $ | 30.88 | 1,000 | $ | 127,359,375 | ||||||||||||
VIX Futures (Cboe)
|
Long | August 2020 | 2,943 | 31.83 | 1,000 | 93,660,975 |
Contract
|
Long or
Short |
Expiration
|
Contracts
|
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||||||
VIX Futures (Cboe)
|
Long | July 2019 | 8,727 | $ | 15.53 | 1,000 | $ | 135,486,675 | ||||||||||||
VIX Futures (Cboe)
|
Long | August 2019 | 6,343 | 16.58 | 1,000 | 105,135,225 |
Item 2.
|
Unregistered Sales of Equity Securities and Use of Proceeds.
|
Title of Securities Registered
|
Amount Registered as of
June 30, 2020 |
Shares Sold For the
Three Months Ended June 30, 2020 |
Sale Price of
Shares Sold For the Three Months Ended June 30, 2020 |
Shares Sold
For the Six Months Ended June 30, 2020
**
|
Sale Price of
Shares Sold For the Six Months Ended June 30, 2020
**
|
|||||||||||||||
ProShares Short Euro
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 155,213,786 | — | $ | — | — | $ | — | ||||||||||||
ProShares Short VIX Short-Term Futures ETF
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 5,078,471,529 | 1,000,000 | $ | 30,843,161 | 25,850,000 | $ | 914,411,669 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 5,694,352,935 | 77,482,000 | $ | 1,895,200,511 | 88,162,000 | $ | 2,953,530,675 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 504,114,682 | 1,260,000 | $ | 38,571,988 | 1,485,000 | $ | 54,252,228 | ||||||||||||
ProShares Ultra Euro
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 90,298,450 | 50,000 | $ | 698,183 | 100,000 | $ | 1,368,038 | ||||||||||||
ProShares Ultra Gold
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 490,972,448 | 300,000 | $ | 18,995,286 | 1,450,000 | $ | 83,989,061 | ||||||||||||
ProShares Ultra Silver
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 781,618,810 | 1,500,000 | $ | 42,297,617 | 2,250,000 | $ | 56,459,730 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 4,248,678,024 | 24,850,000 | $ | 850,559,658 | 34,750,000 | $ | 1,209,649,869 | ||||||||||||
ProShares Ultra Yen
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 131,792,144 | — | $ | — | — | $ | — | ||||||||||||
ProShares UltraPro 3x Crude Oil ETF
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | — | * | — | $ | — | 184,600,000 | $ | 414,019,676 | |||||||||||
ProShares UltraPro 3x Short Crude Oil ETF
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | — | * | — | $ | — | 2,850,000 | $ | 59,484,110 | |||||||||||
ProShares UltraShort Australian Dollar
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 159,935,804 | — | $ | — | — | $ | — | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 1,448,244,035 | 19,000,000 | $ | 597,199,474 | 22,350,000 | $ | 668,428,949 |
|
Title of Securities Registered
|
Amount Registered as of
June 30, 2020 |
Shares Sold For the
Three Months Ended June 30, 2020 |
Sale Price of
Shares Sold For the Three Months Ended June 30, 2020 |
Shares Sold
For the Six Months Ended June 30, 2020
**
|
Sale Price of
Shares Sold For the Six Months Ended June 30, 2020
**
|
|||||||||||||||
ProShares UltraShort Bloomberg Natural Gas
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 668,643,299 | 650,000 | $ | 39,170,642 | 1,200,000 | $ | 68,275,223 | ||||||||||||
ProShares UltraShort Euro
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 725,653,500 | 150,000 | $ | 4,304,184 | 350,000 | $ | 10,058,250 | ||||||||||||
ProShares UltraShort Gold
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 197,323,724 | 150,000 | $ | 5,742,206 | 350,000 | $ | 15,431,847 | ||||||||||||
ProShares UltraShort Silver
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 855,075,292 | 600,000 | $ | 14,344,359 | 800,000 | $ | 20,307,202 | ||||||||||||
ProShares UltraShort Yen
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 902,455,476 | 50,000 | $ | 3,849,992 | 100,000 | $ | 7,806,745 | ||||||||||||
ProShares VIX
Mid-Term
Futures ETF
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 438,649,194 | 725,000 | $ | 29,558,030 | 1,100,000 | $ | 40,266,091 | ||||||||||||
ProShares VIX Short-Term Futures ETF
|
||||||||||||||||||||
Common Units of Beneficial Interest
|
$ | 1,278,376,358 | 3,875,000 | $ | 108,202,585 | 10,675,000 | $ | 186,459,674 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Trust:
|
|
23,849,869,490
|
|
|
131,642,000
|
|
$
|
3,679,537,876
|
|
|
378,422,000
|
|
$
|
6,764,199,037
|
|
* |
The liquidated funds’ shares were
de-registered
prior to March 31, 2020.
|
** |
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
|
Item 3.
|
Defaults Upon Senior Securities.
|
Item 4.
|
Mine Safety Disclosures.
|
Item 5.
|
Other Information.
|
Item 6.
|
Exhibits.
|
PROSHARES TRUST II
|
/s/ Todd Johnson
|
By: Todd Johnson
|
Principal Executive Officer
|
Date: August 10, 2020
|
/s/ Edward Karpowicz
|
By: Edward Karpowicz
|
Principal Financial and Accounting Officer
|
Date: August 10, 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 Quarterly Report on Form 10-Q of ProShares Trust II and each of its Funds; |
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: August 10, 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 Quarterly Report on Form 10-Q of ProShares Trust II and each of its Funds; |
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: August 10, 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 Quarterly Report on Form 10-Q for the quarter ended June 30, 2020 (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: August 10, 2020 | By: | /s/ Todd Johnson | ||||
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 Quarterly Report on Form 10-Q for the quarter ended June 30, 2020 (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 and Accounting 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: August 10, 2020 | By: | /s/ Edward Karpowicz | ||||
Name: | Edward Karpowicz | |||||
Title: |
Principal Financial and Accounting Officer ProShares Trust II |