ProShares Trust II 10-Q

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations. This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions. Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements. Introduction ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2021, the following eighteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds”. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”. On March 15, 2020 ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on or about April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020. On April 3, 2020, the Trust announced a 1-for-25 reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Crude Oil (ticker symbol: UCO) and a 1-for-10 reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Natural Gas (ticker symbol: BOIL). The reverse splits were effective prior to market open on April 21, 2020, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulting in a proportionate increase in the price per share and per share information of these funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits. The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen. The Sponsor also serves as the Trust’s commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended. 132 Table of Contents Groups of Funds are collectively referred to in this Quarterly Report on Form 10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories. As described in each Fund’s prospectus, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments are instruments whose value is derived from the value of an underlying asset, rate or benchmark including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to the VIX Index, natural gas, crude oil, precious metals, or currencies, as applicable. Financial Instruments also are used to produce economically “inverse”, “inverse leveraged” or “leveraged” investment results for the Geared Funds. Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either one-half the inverse (-0.5x) or the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation. Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from -0.5x, -1x, -2x, 1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”). ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public. 133 Table of Contents The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov. Liquidity and Capital Resources In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three months ended March 31, 2021 and 2020, each of the Funds earned interest income as follows: Fund Interest Income Three Months Ended March 31, 2021 Interest Income Three Months Ended March 31, 2020 ProShares Short Euro $ 596 $ 7,595 ProShares Short VIX Short-Term Futures ETF 33,890 749,861 ProShares Ultra Bloomberg Crude Oil 168,075 1,401,460 ProShares Ultra Bloomberg Natural Gas 13,815 139,339 ProShares Ultra Euro 584 15,801 ProShares Ultra Gold 35,827 414,684 ProShares Ultra Silver 98,129 776,287 ProShares Ultra VIX Short-Term Futures ETF 113,969 1,411,740 ProShares Ultra Yen 356 8,867 ProShares UltraPro 3x Crude Oil ETF* — 346,326 ProShares UltraPro 3x Short Crude Oil ETF* — 166,789 ProShares UltraShort Australian Dollar 258 20,054 ProShares UltraShort Bloomberg Crude Oil 10,835 248,709 ProShares UltraShort Bloomberg Natural Gas 7,883 42,432 ProShares UltraShort Euro 7,166 399,657 ProShares UltraShort Gold 2,962 61,021 ProShares UltraShort Silver 3,117 44,536 ProShares UltraShort Yen 3,596 126,183 ProShares VIX Mid-Term Futures ETF 10,224 158,298 ProShares VIX Short-Term Futures ETF 38,460 960,075 * The operations presented here are through March 27, 2020, the date of their liquidation. See Note 1 of the Notes to Financial Statements. Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without 134 Table of Contents the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions. Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person. The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated. Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk). Market Risk Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk. For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q. Credit Risk When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions. Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund. Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank. Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used. 135 Table of Contents The Sponsor attempts to minimize certain of these market and credit risks by normally: • 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. Off-Balance Sheet Arrangements and Contractual Obligations As of May 7, 2021, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position. Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party. Critical Accounting Policies Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used. Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations. The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price). For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended March 31, 2021. Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy. 136 Table of Contents Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements. The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations. Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively. Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions in VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually. 137 Table of Contents Results of Operations for the Three Months Ended March 31, 2021 Compared to the Three Months Ended March 31, 2020 ProShares Short Euro Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 4,191,955 $ 2,282,195 NAV end of period $ 2,184,540 $ 2,332,843 Percentage change in NAV (47.9 )% 2.2 % Shares outstanding beginning of period 100,000 50,000 Shares outstanding end of period 50,000 50,000 Percentage change in shares outstanding (50.0 )% — % Shares created — — Shares redeemed 50,000 — Per share NAV beginning of period $ 41.92 $ 45.64 Per share NAV end of period $ 43.69 $ 46.66 Percentage change in per share NAV 4.2 % 2.2 % Percentage change in benchmark (4.0 )% (1.7 )% Benchmark annualized volatility 6.2 % 9.8 % During the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 100,000 outstanding Shares at December 31, 2020 to 50,000 outstanding Shares at March 31, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to March 31, 2020. For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.2% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 2.2% for the three months ended March 31, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. The benchmark’s decline of 4.0% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 1.7% for the three months ended March 31, 2020, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2021. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: 138 Table of Contents Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (8,638 ) $ 1,992 Management fee 9,053 5,503 Brokerage commission 181 100 Net realized gain (loss) 69,393 (18,638 ) Change in net unrealized appreciation (depreciation) 78,642 67,294 Net Income (loss) $ 139,397 $ 50,648 The Fund’s net income increased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2021. ProShares Short VIX Short-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 409,371,468 $ 284,437,179 NAV end of period $ 527,130,851 $ 809,257,658 Percentage change in NAV 28.8 % 184.5 % Shares outstanding beginning of period 9,884,307 4,334,307 Shares outstanding end of period 11,184,307 26,084,307 Percentage change in shares outstanding 13.2 % 501.8 % Shares created 2,400,000 24,850,000 Shares redeemed 1,100,000 3,100,000 Per share NAV beginning of period $ 41.42 $ 65.62 Per share NAV end of period $ 47.13 $ 31.02 Percentage change in per share NAV 13.8 % (52.7 )% Percentage change in benchmark (32.0 )% 209.3 % Benchmark annualized volatility 81.9 % 140.6 % On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500 ® VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time. As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus. 139 Table of Contents During the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 9,884,307 outstanding Shares at December 31, 2020 to 11,184,307 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,334,307 outstanding Shares at December 31, 2019 to 26,084,307 outstanding Shares at March 31, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 13.8% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 52.7% for the three months ended March 31, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. The benchmark’s decline of 32.0% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 209.3% for the three months ended March 31, 2020, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2021. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (1,442,366 ) $ (355,596 ) Management fee 1,042,569 886,197 Brokerage commission 175,910 189,532 Net realized gain (loss) 24,209,417 (244,300,604 ) Change in net unrealized appreciation (depreciation) 42,125,118 21,055,658 Net Income (loss) $ 64,892,169 $ (223,600,542 ) The Fund’s net income increased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a decrease in the value of futures prices during the three months ended March 31, 2021. 140 Table of Contents ProShares Ultra Bloomberg Crude Oil* Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 902,739,250 $ 309,844,582 NAV end of period $ 1,088,579,093 $ 435,593,381 Percentage change in NAV 20.6 % 40.6 % Shares outstanding beginning of period 24,810,774 608,453 Shares outstanding end of period 20,710,774 10,848,453 Percentage change in shares outstanding (16.5 )% 1,683.0 % Shares created 2,350,000 10,680,000 Shares redeemed 6,450,000 440,000 Per share NAV beginning of period $ 36.38 $ 509.23 Per share NAV end of period $ 52.56 $ 40.15 Percentage change in per share NAV 44.5 % (92.1 )% Percentage change in benchmark 22.0 % (66.5 )% Benchmark annualized volatility 32.3 % 59.5 % On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index SM (ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex SM . The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the New Benchmark. The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date, one-third of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below one-third between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil. During the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index SM . The increase in the Fund’s NAV was offset by a decrease from 24,810,774 outstanding Shares at December 31, 2020 to 20,710,774 outstanding Shares at March 31, 2021. By comparison, during the three months ended March 31, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 608,453 outstanding Shares at December 31, 2019 to 10,848,453 outstanding Shares at March 31, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg WTI Crude Oil Subindex SM . For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 44.5% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 92.1% for the three months ended March 31, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. 141 Table of Contents The new benchmark’s rise of 22.0% for the three months ended March 31, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex SM benchmark’s decline of 66.5% for the three months ended March 31, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period ended March 31, 2021. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (2,759,147 ) $ 404,884 Management fee 2,535,085 870,239 Brokerage commission 293,200 126,337 Net realized gain (loss) 334,351,228 (505,553,797 ) Change in net unrealized appreciation (depreciation) 35,035,656 (322,421,661 ) Net Income (loss) $ 366,627,737 $ (827,570,574 ) The Fund’s net income increased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to an increase in the value of WTI Crude Oil during the three months ended March 31, 2021. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil. ProShares Ultra Bloomberg Natural Gas * Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 169,800,371 $ 45,160,205 NAV end of period $ 74,307,070 $ 26,671,617 Percentage change in NAV (56.2 )% (40.9 )% Shares outstanding beginning of period 8,087,527 537,815 Shares outstanding end of period 3,487,527 637,815 Percentage change in shares outstanding (56.9 )% 18.6 % Shares created 3,400,000 225,000 Shares redeemed 8,000,000 125,000 Per share NAV beginning of period $ 21.00 $ 83.97 Per share NAV end of period $ 21.31 $ 41.82 Percentage change in per share NAV 1.5 % (50.2 )% Percentage change in benchmark 3.0 % (27.5 )% Benchmark annualized volatility 42.1 % 44.0 % 142 Table of Contents During the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 3,487,527 outstanding Shares at March 31, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 537,815 outstanding Shares at December 31, 2019 to 637,815 outstanding Shares at March 31, 2020. For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.5% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 50.2% for the three months ended March 31, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. The benchmark’s rise of 3.0% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 27.5% for the three months ended March 31, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended March 31, 2021. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (415,145 ) $ (2,351 ) Management fee 254,815 97,108 Brokerage commission 92,297 44,582 Net realized gain (loss) 41,582,936 (22,818,551 ) Change in net unrealized appreciation (depreciation) (17,798,868 ) (4,437,037 ) Net Income (loss) $ 23,368,923 $ (27,257,939 ) The Fund’s net income increased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to an increase in the value of Henry Hub Natural Gas during the three months ended March 31, 2021. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas. ProShares Ultra Euro Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: 143 Table of Contents Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 4,737,350 $ 6,204,424 NAV end of period $ 3,611,724 $ 3,949,142 Percentage change in NAV (23.8 )% (36.3 )% Shares outstanding beginning of period 300,000 450,000 Shares outstanding end of period 250,000 300,000 Percentage change in shares outstanding (16.7 )% (33.3 )% Shares created — 50,000 Shares redeemed 50,000 200,000 Per share NAV beginning of period $ 15.79 $ 13.79 Per share NAV end of period $ 14.45 $ 13.16 Percentage change in per share NAV (8.5 )% (4.5 )% Percentage change in benchmark (4.0 )% (1.7 )% Benchmark annualized volatility 6.2 % 9.8 % During the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2020 to 250,000 outstanding Shares at March 31, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 450,000 outstanding Shares at December 31, 2019 to 300,000 outstanding Shares at March 31, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 8.5% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 4.5% for the three months ended March 31, 2020, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. The benchmark’s decline of 4.0% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 1.7% for the three months ended March 31, 2020, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2021. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (9,494 ) $ 3,247 Management fee 10,078 12,554 Net realized gain (loss) (27,342 ) (53,268 ) Change in net unrealized appreciation (depreciation) (311,052 ) (221,542 ) Net Income (loss) $ (347,888 ) $ (271,563 ) 144 Table of Contents The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2021. ProShares Ultra Gold Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 263,540,473 $ 110,726,032 NAV end of period $ 214,548,056 $ 128,481,796 Percentage change in NAV (18.6 )% 16.0 % Shares outstanding beginning of period 3,900,000 2,250,000 Shares outstanding end of period 3,950,000 2,450,000 Percentage change in shares outstanding 1.3 % 8.9 % Shares created 600,000 1,150,000 Shares redeemed 550,000 950,000 Per share NAV beginning of period $ 67.57 $ 49.21 Per share NAV end of period $ 54.32 $ 52.44 Percentage change in per share NAV (19.6 )% 6.6 % Percentage change in benchmark (9.8 )% 4.5 % Benchmark annualized volatility 18.4 % 28.2 % During the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 3,900,000 outstanding Shares at December 31, 2020 to 3,950,000 outstanding Shares at March 31, 2021. By comparison, during the three months ended March 31, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 2,250,000 outstanding Shares at December 31, 2019 to 2,450,000 outstanding Shares at March 31, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 19.6% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 6.6% for the three months ended March 31, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. The benchmark’s decline of 9.8% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 4.5% for the three months ended March 31, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended March 31, 2021. 145 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (579,670 ) $ 108,908 Management fee 568,207 295,411 Brokerage commission 14,888 10,365 Net realized gain (loss) (51,247,887 ) 21,498,056 Change in net unrealized appreciation (depreciation) (1,232,503 ) (19,097,360 ) Net Income (loss) $ (53,060,060 ) $ 2,509,604 The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a decrease in the value of futures prices during the three months ended March 31, 2021. ProShares Ultra Silver Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 745,304,028 $ 239,254,842 NAV end of period $ 572,501,249 $ 129,785,536 Percentage change in NAV (23.2 )% (45.8 )% Shares outstanding beginning of period 14,696,526 7,546,526 Shares outstanding end of period 13,846,526 7,046,526 Percentage change in shares outstanding (5.8 )% (6.6 )% Shares created 2,400,000 750,000 Shares redeemed 3,250,000 1,250,000 Per share NAV beginning of period $ 50.71 $ 31.70 Per share NAV end of period $ 41.35 $ 18.42 Percentage change in per share NAV (18.5 )% (41.9 )% Percentage change in benchmark (7.2 )% (21.1 )% Benchmark annualized volatility 44.4 % 48.3 % During the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV also resulted in part from a decrease from 14,696,526 outstanding Shares at December 31, 2020 to 13,846,526 outstanding Shares at March 31, 2021. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV also resulted in part from a decrease from 7,546,526 outstanding Shares at December 31, 2019 to 7,046,526 outstanding Shares at March 31, 2020. 146 Table of Contents For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 18.5% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 41.9% for the three months ended March 31, 2020, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. The benchmark’s decline of 7.2% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 21.1% for the three months ended March 31, 2020, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended March 31, 2021. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (1,741,775 ) $ 276,832 Management fee 1,631,135 481,247 Brokerage commission 46,582 18,208 Net realized gain (loss) 4,910,742 (3,697,654 ) Change in net unrealized appreciation (depreciation) (137,743,781 ) (85,061,831 ) Net Income (loss) $ (134,574,814 ) $ (88,482,653 ) The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a lesser decrease in the value of futures prices during the three months ended March 31, 2021. ProShares Ultra VIX Short-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 1,356,204,199 $ 527,636,003 NAV end of period $ 1,284,373,170 $ 592,820,492 Percentage change in NAV (5.3 )% 12.4 % Shares outstanding beginning of period 127,130,912 41,630,912 Shares outstanding end of period 228,030,912 10,130,912 Percentage change in shares outstanding 79.4 % (75.7 )% Shares created 196,300,000 9,900,000 Shares redeemed 95,400,000 41,400,000 Per share NAV beginning of period $ 10.67 $ 12.67 Per share NAV end of period $ 5.63 $ 58.52 Percentage change in per share NAV (47.2 )% 361.9 % Percentage change in benchmark — % 209.3 % Benchmark annualized volatility — % 140.6 % 147 Table of Contents On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500 ® VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time. As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus. During the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 127,130,912 outstanding Shares at December 31, 2020 to 228,030,912 outstanding Shares at March 31, 2021. By comparison, during the three months ended March 31, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 41,630,912 outstanding Shares at December 31, 2019 to 10,130,912 outstanding Shares at March 31, 2020. For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 47.2% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 361.9% for the three months ended March 31, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. The benchmark’s decline of 32.0% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 209.3% for the three months ended March 31, 2020, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2021. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (8,069,549 ) $ (729,265 ) Management fee 4,383,077 1,383,275 Brokerage commission 1,956,628 741,009 Net realized gain (loss) (704,499,504 ) 726,085,231 Change in net unrealized appreciation (depreciation) (284,359,331 ) 176,516,915 Net Income (loss) $ (996,928,384 ) $ 901,872,881 The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a decrease in the value of futures prices during the three months ended March 31, 2021. 148 Table of Contents ProShares Ultra Yen Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 2,989,499 $ 5,580,964 NAV end of period $ 2,587,694 $ 2,808,780 Percentage change in NAV (13.4 )% (49.7 )% Shares outstanding beginning of period 49,970 99,970 Shares outstanding end of period 49,970 49,970 Percentage change in shares outstanding — % (50.0 )% Shares created — — Shares redeemed — 50,000 Per share NAV beginning of period $ 59.83 $ 55.83 Per share NAV end of period $ 51.78 $ 56.21 Percentage change in per share NAV (13.4 )% 0.6 % Percentage change in benchmark — % 1.1 % Benchmark annualized volatility — % 15.6 % During the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to March 31, 2021. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 99,970 outstanding Shares at December 31, 2019 to 49,970 outstanding Shares at March 31, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.4% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 0.6% for the three months ended March 31, 2020, was primarily due to [greater/lesser] [appreciation/depreciation] in the value of the assets held by the Fund during the three months ended March 31, 2021. The benchmark’s rise of –% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 1.1% for the three months ended March 31, 2020, can be attributed to a [greater/lesser] [increase/decrease] in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2021. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: 149 Table of Contents Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (6,293 ) $ 1,626 Management fee 6,649 7,241 Net realized gain (loss) (139,467 ) (8,483 ) Change in net unrealized appreciation (depreciation) (256,045 ) (19,313 ) Net Income (loss) $ (401,805 ) $ (26,170 ) The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a [greater/lesser] [increase/decrease] in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2021. ProShares UltraShort Australian Dollar Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 2,222,639 $ 5,608,612 NAV end of period $ 2,258,880 $ 7,230,367 Percentage change in NAV 1.6 % 28.9 % Shares outstanding beginning of period 50,000 100,000 Shares outstanding end of period 50,000 100,000 Percentage change in shares outstanding — % — % Shares created — — Shares redeemed — — Per share NAV beginning of period $ 44.45 $ 56.09 Per share NAV end of period $ 45.18 $ 72.30 Percentage change in per share NAV 1.6 % 28.9 % Percentage change in benchmark — % (12.4 )% Benchmark annualized volatility — % 14.4 % During the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to March 31, 2021. By comparison, during the three months ended March 31, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to March 31, 2020. For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.6% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 28.9% for the three months ended March 31, 2020, was primarily due to [greater/lesser] [appreciation/depreciation] in the value of the assets held by the Fund during the three months ended March 31, 2021. 150 Table of Contents The benchmark’s rise of –% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 12.4% for the three months ended March 31, 2020, can be attributed to an a [greater/lesser] [increase/decrease] in the value of the Australian dollar versus the U.S. dollar during the period ended March 31, 2021. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (5,267 ) $ 3,425 Management fee 5,139 15,130 Brokerage commission 386 1,499 Net realized gain (loss) (164,544 ) 670,950 Change in net unrealized appreciation (depreciation) 206,052 947,380 Net Income (loss) $ 36,241 $ 1,621,755 The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a [greater/lesser] [increase/decrease] in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, 2021. ProShares UltraShort Bloomberg Crude Oil Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 96,839,233 $ 125,451,681 NAV end of period $ 91,718,390 $ 100,094,023 Percentage change in NAV (5.3 )% (20.2 )% Shares outstanding beginning of period 8,339,884 10,289,884 Shares outstanding end of period 12,739,884 2,039,884 Percentage change in shares outstanding 52.8 % (80.2 )% Shares created 7,800,000 3,350,000 Shares redeemed 3,400,000 11,600,000 Per share NAV beginning of period $ 11.61 $ 12.19 Per share NAV end of period $ 7.20 $ 49.07 Percentage change in per share NAV (38.0 )% 302.5 % Percentage change in benchmark — % (66.5 )% Benchmark annualized volatility — % 100.9 % On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil Fund would change its benchmark. The ProShares UltraShort Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund is the Bloomberg Commodity Balanced WTI Crude Oil Index SM (ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex SM . The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the New Benchmark. 151 Table of Contents The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date, one-third of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below one-third between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil. During the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index SM . The decrease in the Fund’s NAV was offset by an increase from 8,339,884 outstanding Shares at December 31, 2020 to 12,739,884 outstanding Shares at March 31, 2021. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,289,884 outstanding Shares at December 31, 2019 to 2,039,884 outstanding Shares at March 31, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg WTI Crude Oil Subindex SM . For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 38.0% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 302.5% for the three months ended March 31, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. The new benchmark’s rise of 22.0% for the three months ended March 31, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex SM benchmark’s decline of 66.5% for the three months ended March 31, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period ended March 31, 2021. 152 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (301,184 ) $ (30,713 ) Management fee 221,263 202,369 Brokerage commission 43,044 77,053 Net realized gain (loss) (49,177,765 ) 51,674,002 Change in net unrealized appreciation (depreciation) 5,638,844 76,581,357 Net Income (loss) $ (43,840,105 ) $ 128,224,646 The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to an increase in the value of WTI Crude Oil during the three months ended March 31, 2021. ProShares UltraShort Bloomberg Natural Gas Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 24,977,745 $ 12,515,603 NAV end of period $ 69,459,275 $ 17,419,933 Percentage change in NAV 178.1 % 39.2 % Shares outstanding beginning of period 524,832 324,832 Shares outstanding end of period 1,774,832 274,832 Percentage change in shares outstanding 238.2 % (15.4 )% Shares created 4,100,000 550,000 Shares redeemed 2,850,000 600,000 Per share NAV beginning of period $ 47.59 $ 38.53 Per share NAV end of period $ 39.14 $ 63.38 Percentage change in per share NAV (17.8 )% 64.5 % Percentage change in benchmark 3.0 % (27.5 )% Benchmark annualized volatility 42.1 % 44.0 % During the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 524,832 outstanding Shares at December 31, 2020 to 1,774,832 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the three months ended March 31, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 324,832 outstanding Shares at December 31, 2019 to 274,832 outstanding Shares at March 31, 2020. For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 17.8% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 64.5% for the three months ended March 31, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. 153 Table of Contents The benchmark’s rise of 3.0% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 27.5% for the three months ended March 31, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended March 31, 2021. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (260,407 ) $ (22,279 ) Management fee 159,337 32,430 Brokerage commission 85,680 32,281 Net realized gain (loss) (6,359,394 ) 5,626,177 Change in net unrealized appreciation (depreciation) 15,895,064 3,335,611 Net Income (loss) $ 9,275,263 $ 8,939,509 The Fund’s net income increased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to an increase in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholders activity, during the three months ended March 31, 2021. ProShares UltraShort Euro Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 52,953,339 $ 120,581,173 NAV end of period $ 54,932,137 $ 93,194,599 Percentage change in NAV 3.7 % (22.7 )% Shares outstanding beginning of period 2,350,000 4,500,000 Shares outstanding end of period 2,250,000 3,350,000 Percentage change in shares outstanding (4.3 )% (25.6 )% Shares created 200,000 200,000 Shares redeemed 300,000 1,350,000 Per share NAV beginning of period $ 22.53 $ 26.80 Per share NAV end of period $ 24.41 $ 27.82 Percentage change in per share NAV 8.4 % 3.8 % Percentage change in benchmark (4.0 )% (1.7 )% Benchmark annualized volatility 6.2 % 9.8 % 154 Table of Contents During the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 2,350,000 outstanding Shares at December 31, 2020 to 2,250,000 outstanding Shares at March 31, 2021. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,500,000 outstanding Shares at December 31, 2019 to 3,350,000 outstanding Shares at March 31, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.4%, for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 3.8% for the three months ended March 31, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. The benchmark’s decline of 4.0% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 1.7% for the three months ended March 31, 2020, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2021. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (116,872 ) $ 136,215 Management fee 124,038 263,442 Net realized gain (loss) 70,527 1,047,283 Change in net unrealized appreciation (depreciation) 4,392,237 3,190,251 Net Income (loss) $ 4,345,892 $ 4,373,749 The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2021. 155 Table of Contents ProShares UltraShort Gold Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 20,337,376 $ 21,047,560 NAV end of period $ 41,243,515 $ 20,569,044 Percentage change in NAV 102.8 % (2.3 )% Shares outstanding beginning of period 646,977 396,977 Shares outstanding end of period 1,096,977 446,977 Percentage change in shares outstanding 69.6 % 12.6 % Shares created 750,000 200,000 Shares redeemed 300,000 150,000 Per share NAV beginning of period $ 31.43 $ 53.02 Per share NAV end of period $ 37.60 $ 46.02 Percentage change in per share NAV 19.6 % (13.2 )% Percentage change in benchmark (9.8 )% 4.5 % Benchmark annualized volatility 18.4 % 28.2 % During the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 646,977 outstanding Shares at December 31, 2020 to 1,096,977 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 396,977 outstanding Shares at December 31, 2019 to 446,977 outstanding Shares at March 31, 2020. For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 19.6% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 13.2% for the three months ended March 31, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. The benchmark’s decline of 9.8% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 4.5% for the three months ended March 31, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended March 31, 2021. 156 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (69,041 ) $ 15,678 Management fee 63,727 43,239 Brokerage commission 3,590 2,104 Net realized gain (loss) 4,003,359 (5,930,882 ) Change in net unrealized appreciation (depreciation) (179,853 ) 2,676,974 Net Income (loss) $ 3,754,465 $ (3,238,230 ) The Fund’s net income increased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a decrease in the value of the futures prices during the three months ended March 31, 2021. ProShares UltraShort Silver Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 28,885,775 $ 13,834,163 NAV end of period $ 45,144,664 $ 18,887,831 Percentage change in NAV 56.3 % 36.5 % Shares outstanding beginning of period 4,166,976 516,976 Shares outstanding end of period 6,466,976 516,976 Percentage change in shares outstanding 55.2 % — % Shares created 9,800,000 200,000 Shares redeemed 7,500,000 200,000 Per share NAV beginning of period $ 6.93 $ 26.76 Per share NAV end of period $ 6.98 $ 36.54 Percentage change in per share NAV 0.7 % 36.5 % Percentage change in benchmark (7.2 )% (21.1 )% Benchmark annualized volatility 44.4 % 48.3 % During the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 4,166,976 outstanding Shares at December 31, 2020 to 6,466,976 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . By comparison, during the three months ended March 31, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . There was no net change in the Fund’s outstanding Shares from December 31, 2019 to March 31, 2020. For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.7% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 36.5% for the three months ended March 31, 2020, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. 157 Table of Contents The benchmark’s decline of 7.2% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 21.1% for the three months ended March 31, 2020, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended March 31, 2021. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (99,063 ) $ 3,419 Management fee 84,745 37,136 Brokerage commission 7,444 3,981 Net realized gain (loss) (2,932,266 ) 842,240 Change in net unrealized appreciation (depreciation) 7,466,511 4,190,456 Net Income (loss) $ 4,435,182 $ 5,036,115 The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a lesser decrease in the value of futures prices during the three months ended March 31, 2021. ProShares UltraShort Yen Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 23,691,070 $ 38,132,320 NAV end of period $ 34,921,840 $ 29,586,170 Percentage change in NAV 47.4 % (22.4 )% Shares outstanding beginning of period 349,290 499,290 Shares outstanding end of period 449,290 399,290 Percentage change in shares outstanding 28.6 % (20.0 )% Shares created 100,000 50,000 Shares redeemed — 150,000 Per share NAV beginning of period $ 67.83 $ 76.37 Per share NAV end of period $ 77.73 $ 74.10 Percentage change in per share NAV 14.7 % (3.0 )% Percentage change in benchmark (6.8 )% 1.1 % Benchmark annualized volatility 5.1 % 15.6 % During the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 349,290 outstanding Shares at December 31, 2020 to 449,290 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also 158 Table of Contents resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 499,290 outstanding Shares at December 31, 2019 to 399,290 outstanding Shares at March 31, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.7% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 3.0% for the three months ended March 31, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. The benchmark’s decline of 6.8% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 1.1% for the three months ended March 31, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2021. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (62,957 ) $ 41,746 Management fee 66,553 84,437 Net realized gain (loss) 1,259,573 (506,520 ) Change in net unrealized appreciation (depreciation) 2,901,742 (697,069 ) Net Income (loss) $ 4,098,358 $ (1,161,843 ) The Fund’s net income increased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2021. 159 Table of Contents ProShares VIX Mid-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 72,075,095 $ 45,986,584 NAV end of period $ 75,122,747 $ 45,034,386 Percentage change in NAV 4.2 % (2.1 )% Shares outstanding beginning of period 1,962,403 2,162,403 Shares outstanding end of period 2,162,403 1,162,403 Percentage change in shares outstanding 10.2 % (46.2 )% Shares created 400,000 375,000 Shares redeemed 200,000 1,375,000 Per share NAV beginning of period $ 36.73 $ 21.27 Per share NAV end of period $ 34.74 $ 38.74 Percentage change in per share NAV (5.4 )% 82.1 % Percentage change in benchmark (5.1 )% 82.5 % Benchmark annualized volatility 30.6 % 86.7 % On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500 ® VIX Short-Term Futures Index, the benchmark for ProShares VIX Mid-Term Futures ETF, to reflect the new settlement time. As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus. During the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 2,162,403 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,162,403 outstanding Shares at December 31, 2019 to 1,162,403 outstanding Shares at March 31, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.4% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 82.1% for the three months ended March 31, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. The benchmark’s decline of 5.1% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 82.5% for the three months ended March 31, 2020, can be attributed to a decrease in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended March 31, 2021. 160 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (204,800 ) $ 47,920 Management fee 178,080 94,284 Brokerage commission 11,312 15,939 Net realized gain (loss) 3,539,316 7,756,525 Change in net unrealized appreciation (depreciation) (8,275,522 ) 15,982,870 Net Income (loss) $ (4,941,006 ) $ 23,787,315 The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a decrease in the value of the futures prices during the three months ended March 31, 2021. ProShares VIX Short-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 NAV beginning of period $ 293,390,549 $ 279,792,503 NAV end of period $ 349,578,758 $ 223,055,354 Percentage change in NAV 19.2 % (20.3 )% Shares outstanding beginning of period 21,326,317 22,751,317 Shares outstanding end of period 37,501,317 5,876,317 Percentage change in shares outstanding 75.8 % (74.2 )% Shares created 25,325,000 6,800,000 Shares redeemed 9,150,000 23,675,000 Per share NAV beginning of period $ 13.76 $ 12.30 Per share NAV end of period $ 9.32 $ 37.96 Percentage change in per share NAV (32.3 )% 208.6 % Percentage change in benchmark (32.0 )% 209.3 % Benchmark annualized volatility 81.9 % 89.7 % On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500 ® VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time. As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus. During the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 21,326,317 outstanding Shares at December 31, 2020 to 37,501,317 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily 161 Table of Contents performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 22,751,317 outstanding Shares at December 31, 2019 to 5,876,317 outstanding Shares at March 31, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 32.0% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 208.6% for the three months ended March 31, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021. The benchmark’s decline of 32.0% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 209.3% for the three months ended March 31, 2020, can be attributed to a decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended March 31, 2021. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 Three Months Ended March 31, 2020 Net investment income (loss) $ (1,224,804 ) $ 144,025 Management fee 825,460 626,516 Brokerage commission 172,658 184,760 Net realized gain (loss) (76,634,593 ) 325,737,788 Change in net unrealized appreciation (depreciation) (53,430,854 ) 67,902,244 Net Income (loss) $ (131,290,251 ) $ 393,784,057 The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a decrease in the value of the futures prices during the three months ended March 31, 2021. 162 Table of Contents