21 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
+Added: June 30, 2024
Short-term U.S.
19 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
Short-term U.S.
4 unchanged sentences
5.321 % due 09/05/24
−Removed: 5.352 % due 06/18/24
−Removed: 5.349 % due 07/09/24
Total short-term U.S.
3 unchanged sentences
(Depreciation)/Value
−Removed: VIX Futures - Cboe, expires April 2024
−Removed: VIX Futures - Cboe, expires May 2024
+Added: VIX Futures - Cboe, expires July 2024
+Added: VIX Futures - Cboe, expires August 2024
Rates shown represent discount rate at the time of purchase.
3 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
20 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
3 unchanged sentences
( 167,152,149
+Added: ( 353,306,210
Net addition (redemption) of ( 700,000 ), ( 2,600,000 ), ( 300,000 ) and ( 4,900,000 ) shares, respectively (Note 1)
+Added: ( 167,986,722
Net investment income (loss)
6 unchanged sentences
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
4 unchanged sentences
( 316,469,775
+Added: ( 278,358,687
Proceeds from sales or maturities of short-term U.S.
16 unchanged sentences
Net cash provided by (used in) financing activities
+Added: ( 173,848,536
Net increase (decrease) in cash
4 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
+Added: June 30, 2024
Short-term U.S.
21 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
Principal Amount
6 unchanged sentences
5.310 % due 09/05/24 †
−Removed: 5.352 % due 06/18/24 †
−Removed: 5.349 % due 07/09/24
Total short-term U.S.
4 unchanged sentences
(Depreciation)/Value
−Removed: WTI Crude Oil - NYMEX, expires June 2024
+Added: WTI Crude Oil - NYMEX, expires September 2024
WTI Crude Oil - NYMEX, expires December 2024
12 unchanged sentences
All or partial amount pledged as collateral for swap agreements.
−Removed: The positions and counterparties herein are as of March 31, 2024.
+Added: The positions and counterparties herein are as of June 30, 2024.
The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.
1 unchanged sentence
Rates shown represent discount rate at the time of purchase.
−Removed: Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
+Added: Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
Total Return Swap Agreements payment is due at termination/maturity.
5 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
7 unchanged sentences
Swap agreements
+Added: ( 105,727,226
Short-term U.S.
4 unchanged sentences
Swap agreements
−Removed: ( 141,361,963
Short-term U.S.
1 unchanged sentence
Change in net unrealized appreciation (depreciation)
−Removed: ( 138,210,442
Net realized and unrealized gain (loss)
4 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
3 unchanged sentences
( 400,000,450
+Added: ( 554,319,667
+Added: ( 858,385,774
Net addition (redemption) of ( 2,250,000 ), 500,000 , ( 9,100,000 ) and 2,700,000 shares, respectively
3 unchanged sentences
Change in net unrealized appreciation (depreciation)
−Removed: ( 138,210,442
Net income (loss)
3 unchanged sentences
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
27 unchanged sentences
( 314,151,603
+Added: ( 150,691,163
Cash, beginning of period
3 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
+Added: June 30, 2024
Short-term U.S.
20 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
Futures Contracts Purchased
1 unchanged sentence
(Depreciation)/Value
−Removed: Natural Gas - NYMEX, expires May 2024
+Added: Natural Gas - NYMEX, expires September 2024
1,081,079,760
+Added: ( 153,035,669
See accompanying notes to financial statements.
2 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
1 unchanged sentence
Brokerage commissions
−Removed: Futures accounts fees
+Added: Futures account fees
Total expenses
29 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
−Removed: Addition of 40,100,000 and 18,972,500 shares, respectively (Note 1)
1,139,983,773
−Removed: Redemption of 21,450,000 and 5,132,500 shares, respectively (Note 1)
+Added: Addition of 24,350,000 , 13,792,500 , 64,450,000 and 32,765,000 shares, respectively
1,118,271,219
3,160,825,013
−Removed: Net addition (redemption) of 18,650,000 and 13,840,000 shares, respectively (Note 1)
+Added: Redemption of 33,900,000 , 12,825,000 , 55,350,000 and 17,957,500 shares, respectively
( 583,616,052
+Added: ( 859,929,761
+Added: ( 1,088,922,017
+Added: ( 1,542,891,022
+Added: Net addition (redemption) of ( 9,550,000 ), 967,500 , 9,100,000 and 14,807,500 shares, respectively
+Added: ( 195,862,600
+Added: 1,617,933,991
Net investment income (loss)
9 unchanged sentences
1,141,021,278
+Added: 1,141,021,278
See accompanying notes to financial statements.
1 unchanged sentence
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
20 unchanged sentences
( 1,115,027,371
−Removed: ( 1,191,161,155
Cash flow from financing activities
1 unchanged sentence
1,043,810,566
+Added: 3,160,825,013
Payment on shares redeemed
10 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
−Removed: December 31, 2023
+Added: June 30, 2024
Segregated cash balances with brokers for foreign currency forward contracts
15 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
Foreign Currency Forward Contracts ^
11 unchanged sentences
Total Unrealized
−Removed: The positions and counterparties herein are as of March 31, 2024.
+Added: The positions and counterparties herein are as of June 30, 2024.
The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.
4 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
15 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
10 unchanged sentences
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
15 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
−Removed: December 31, 2023
+Added: June 30, 2024
Short-term U.S.
3 unchanged sentences
Unrealized appreciation on swap agreements
−Removed: Receivable from capital shares sold
Receivable on open futures contracts
3 unchanged sentences
Payable to Sponsor
+Added: Unrealized depreciation on swap agreements
Total liabilities
9 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
Short-term U.S.
5 unchanged sentences
5.315 % due 09/05/24 †
−Removed: 5.390 % due 06/18/24 †
−Removed: 5.349 % due 07/09/24
Total short-term U.S.
3 unchanged sentences
Notional Amount
−Removed: (Depreciation)
−Removed: Gold Futures - COMEX, expires June 2024
+Added: (Depreciation)/Value
+Added: Gold Futures - COMEX, expires August 2024
Total Return Swap Agreements ^
7 unchanged sentences
All or partial amount pledged as collateral for swap agreements.
−Removed: The positions and counterparties herein are as of March 31, 2024.
+Added: The positions and counterparties herein are as of June 30, 2024.
The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.
1 unchanged sentence
Rates shown represent discount rate at the time of purchase.
−Removed: Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
+Added: Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
Total Return Swap Agreements payment is due at termination/maturity.
5 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
22 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
10 unchanged sentences
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
21 unchanged sentences
Net increase (decrease) in cash
+Added: ( 100,542,981
Cash, beginning of period
3 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
−Removed: December 31, 2023
+Added: June 30, 2024
Short-term U.S.
2 unchanged sentences
Segregated cash balances with brokers for swap agreements
−Removed: Unrealized appreciation on swap agreements
Receivable from capital shares sold
16 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
Principal Amount
6 unchanged sentences
5.326 % due 09/05/24 †
−Removed: 5.352 % due 06/18/24 †
−Removed: 5.349 % due 07/09/24
Total short-term U.S.
4 unchanged sentences
(Depreciation)/Value
−Removed: Silver Futures - COMEX, expires May 2024
+Added: Silver Futures - COMEX, expires September 2024
Total Return Swap Agreements ^
9 unchanged sentences
All or partial amount pledged as collateral for swap agreements.
−Removed: The positions and counterparties herein are as of March 31, 2024.
+Added: The positions and counterparties herein are as of June 30, 2024.
The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.
1 unchanged sentence
Rates shown represent discount rate at the time of purchase.
−Removed: Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
+Added: Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
Total Return Swap Agreements payment is due at termination/maturity.
5 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
16 unchanged sentences
Change in net unrealized appreciation (depreciation)
+Added: ( 119,017,342
Net realized and unrealized gain (loss)
4 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
1 unchanged sentence
Redemption of 4,050,000 , 1,300,000 , 6,500,000 and 2,450,000 shares, respectively
+Added: ( 157,507,303
+Added: ( 222,319,260
Net addition (redemption) of 1,100,000 , ( 600,000 ), 950,000 and 150,000 shares, respectively
2 unchanged sentences
Change in net unrealized appreciation (depreciation)
+Added: ( 119,017,342
Net income (loss)
3 unchanged sentences
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
17 unchanged sentences
Net cash provided by (used in) operating activities
+Added: ( 145,601,373
Cash flow from financing activities
1 unchanged sentence
Payment on shares redeemed
+Added: ( 222,319,260
Net cash provided by (used in) financing activities
Net increase (decrease) in cash
+Added: ( 120,410,905
Cash, beginning of period
3 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
+Added: June 30, 2024
December 31, 2023
2 unchanged sentences
Segregated cash balances with brokers for futures contracts
−Removed: Receivable from capital shares sold
Receivable on open futures contracts
1 unchanged sentence
Liabilities and shareholders’ equity
−Removed: Payable on open futures contracts
Brokerage commissions and futures account fees payable
11 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
Principal Amount
4 unchanged sentences
5.304 % due 07/09/24
−Removed: % due 07/09/24
Total short-term U.S.
4 unchanged sentences
(Depreciation)/Value
−Removed: VIX Futures - Cboe, expires April 2024
−Removed: VIX Futures - Cboe, expires May 2024
+Added: VIX Futures - Cboe, expires July 2024
+Added: VIX Futures - Cboe, expires August 2024
Rates shown represent discount rate at the time of purchase.
3 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
1 unchanged sentence
Brokerage commissions
−Removed: Futures accounts fees
+Added: Futures account fees
Total expenses
4 unchanged sentences
( 426,304,544
+Added: ( 148,416,415
+Added: ( 608,537,974
Short-term U.S.
2 unchanged sentences
( 426,300,356
+Added: ( 148,405,278
+Added: ( 608,541,564
Change in net unrealized appreciation (depreciation) on
5 unchanged sentences
( 471,615,533
+Added: ( 123,426,269
+Added: ( 651,819,214
Net income (loss)
( 469,034,529
+Added: ( 120,644,835
+Added: ( 647,096,387
See accompanying notes to financial statements.
2 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
−Removed: Addition of 2,820,000 and 1,674,000 shares, respectively (Note 1) (Note 8)
−Removed: Redemption of 2,240,000 and 1,218,000 shares, respectively (Note 1) (Note 8)
+Added: Addition of 7,030,000 , 2,588,000 , 9,850,000 and 4,262,000 shares, respectively (Note 1)
+Added: Redemption of 6,031,248 , 710,000 , 8,271,248 and 1,928,000 shares, respectively (Note 1)
( 198,060,505
−Removed: Net addition (redemption) of 580,000 and 456,000 shares, respectively (Note 1) (Note 8)
+Added: ( 134,212,073
+Added: ( 286,888,403
+Added: ( 495,948,790
+Added: Net addition (redemption) of 998,752 , 1,878,000 , 1,578,752 and 2,334,000 shares, respectively (Note 1)
Net investment income (loss)
1 unchanged sentence
( 426,300,356
+Added: ( 148,405,278
+Added: ( 608,541,564
Change in net unrealized appreciation (depreciation)
1 unchanged sentence
( 469,034,529
+Added: ( 120,644,835
+Added: ( 647,096,387
Shareholders’ equity, end of period
2 unchanged sentences
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
1 unchanged sentence
( 120,644,835
+Added: ( 647,096,387
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
5 unchanged sentences
government and agency obligations
+Added: 1,192,359,088
Net amortization and accretion on short-term U.S.
14 unchanged sentences
( 286,888,403
+Added: ( 495,948,790
Net cash provided by (used in) financing activities
6 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
+Added: June 30, 2024
December 31, 2023
1 unchanged sentence
Unrealized appreciation on foreign currency forward contracts
+Added: Receivable from capital shares sold
Interest receivable
14 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
Foreign Currency Forward Contracts ^
12 unchanged sentences
Yen with UBS AG
−Removed: Total Unrealized
−Removed: The positions and counterparties herein are as of March 31, 2024.
+Added: ( 384,862,000
+Added: Total Unrealized Appreciation
+Added: The positions and counterparties herein are as of June 30, 2024.
The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.
4 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
15 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
10 unchanged sentences
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
15 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
+Added: June 30, 2024
December 31, 2023
2 unchanged sentences
Segregated cash balances with brokers for futures contracts
−Removed: Receivable from capital shares sold
Receivable on open futures contracts
16 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
Principal Amount
5 unchanged sentences
5.327 % due 09/05/24
−Removed: 5.269 % due 06/06/24
−Removed: 5.352 % due 06/18/24
−Removed: 5.349 % due 07/09/24
Total short-term U.S.
−Removed: government and agency obligations (cost $ 123,822,272 )
+Added: government and agency obligations
+Added: (cost $ 104,415,710 )
Futures Contracts Sold
1 unchanged sentence
(Depreciation)/Value
−Removed: WTI Crude Oil - NYMEX, expires June 2024
+Added: WTI Crude Oil - NYMEX, expires September 2024
WTI Crude Oil - NYMEX, expires December 2024
5 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
20 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
2 unchanged sentences
( 202,147,862
+Added: ( 182,672,052
+Added: ( 448,012,080
Net addition (redemption) of ( 1,000,000 ), ( 1,350,000 ), 2,300,000 and ( 4,900,000 ) shares, respectively
8 unchanged sentences
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
17 unchanged sentences
Net cash provided by (used in) operating activities
−Removed: ( 113,088,216
Cash flow from financing activities
11 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
−Removed: December 31, 2023
+Added: June 30, 2024
Short-term U.S.
20 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
Principal Amount
5 unchanged sentences
5.354 % due 09/05/24
−Removed: 5.390 % due 06/18/24
Total short-term U.S.
4 unchanged sentences
(Depreciation)/Value
−Removed: Natural Gas - NYMEX, expires May 2024
+Added: Natural Gas - NYMEX, expires September 2024
Rates shown represent discount rate at the time of purchase.
3 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
1 unchanged sentence
Brokerage commissions
−Removed: Futures accounts fees
+Added: Futures account fees
Total expenses
8 unchanged sentences
Futures contracts
+Added: ( 106,199,730
Short-term U.S.
1 unchanged sentence
Change in net unrealized appreciation (depreciation)
+Added: ( 106,209,898
Net realized and unrealized gain (loss)
4 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
3 unchanged sentences
( 451,343,810
−Removed: Net addition (redemption) of ( 1,700,000 ) and ( 5,800,000 ) shares, respectively (Note 8)
( 737,003,743
( 953,578,015
+Added: Net addition (redemption) of 1,750,000 , 1,000,000 , 50,000 and ( 4,800,000 ) shares, respectively (Note 1)
+Added: ( 120,151,318
Net investment income (loss)
1 unchanged sentence
Change in net unrealized appreciation (depreciation)
+Added: ( 106,209,898
Net income (loss)
3 unchanged sentences
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
3 unchanged sentences
government and agency obligations
+Added: ( 188,049,532
+Added: ( 119,017,542
Proceeds from sales or maturities of short-term U.S.
23 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
+Added: June 30, 2024
December 31, 2023
16 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
Foreign Currency Forward Contracts ^
−Removed: Settlement Date
Contract Amount
9 unchanged sentences
Euro with UBS AG
−Removed: Total Unrealized
−Removed: The positions and counterparties herein are as of March 31, 2024.
+Added: Total Unrealized Appreciation
+Added: The positions and counterparties herein are as of June 30, 2024.
The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.
4 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
19 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
10 unchanged sentences
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
22 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
+Added: June 30, 2024
+Added: December 31, 2023
Segregated cash balances with brokers for futures contracts
Segregated cash balances with brokers for swap agreements
−Removed: Receivable from capital shares sold
+Added: Unrealized appreciation on swap agreements
Receivable on open futures contracts
15 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
Futures Contracts Sold
1 unchanged sentence
(Depreciation)/Value
−Removed: Gold Futures - COMEX, expires June 2024
+Added: Gold Futures - COMEX, expires August 2024
Total Return Swap Agreements ^
5 unchanged sentences
Swap agreement with UBS AG based on Bloomberg Gold Subindex
−Removed: Total Unrealized
−Removed: The positions and counterparties herein are as of March 31, 2024.
+Added: Total Unrealized Appreciation
+Added: The positions and counterparties herein are as of June 30, 2024.
The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.
New counterparties can be added at any time.
−Removed: Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
+Added: Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
Total Return Swap Agreements payment is due at termination/maturity.
5 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
18 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
Addition of 450,000 , 300,000 , 650,000 and 600,000 shares, respectively
−Removed: Redemption of –
−Removed: and 200,000 shares, respectively
+Added: Redemption of 350,000 , 350,000 , 350,000 and 550,000 shares, respectively
Net addition (redemption) of 100,000 , ( 50,000 ), 300,000 and 50,000 shares, respectively
7 unchanged sentences
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
17 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
+Added: June 30, 2024
December 31, 2023
1 unchanged sentence
Segregated cash balances with brokers for swap agreements
+Added: Unrealized appreciation on swap agreements
Receivable from capital shares sold
2 unchanged sentences
Liabilities and shareholders’ equity
−Removed: Payable for capital shares redeemed
Payable on open futures contracts
12 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
Futures Contracts Sold
1 unchanged sentence
(Depreciation)/Value
−Removed: Silver Futures - COMEX, expires May 2024
+Added: Silver Futures - COMEX, expires September 2024
Total Return Swap Agreements ^
7 unchanged sentences
Swap agreement with UBS AG based on Bloomberg Silver Subindex
−Removed: Total Unrealized
−Removed: The positions and counterparties herein are as of March 31, 2024.
+Added: Total Unrealized Appreciation
+Added: The positions and counterparties herein are as of June 30, 2024.
The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.
New counterparties can be added at any time.
−Removed: Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
+Added: Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
Total Return Swap Agreements payment is due at termination/maturity.
5 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
7 unchanged sentences
Swap agreements
+Added: Short-term U.S.
+Added: government and agency obligations
Net realized gain (loss)
9 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
10 unchanged sentences
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
1 unchanged sentence
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
+Added: Purchases of short-term U.S.
+Added: government and agency obligations
+Added: Proceeds from sales or maturities of short-term U.S.
+Added: government and agency obligations
+Added: Net amortization and accretion on short-term U.S.
+Added: government and agency obligations
+Added: Net realized (gain) loss on investments
Change in unrealized (appreciation) depreciation on investments
14 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
+Added: June 30, 2024
December 31, 2023
16 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
Foreign Currency Forward Contracts ^
6 unchanged sentences
Yen with UBS AG
+Added: 1,368,727,000
Total Unrealized
5 unchanged sentences
Total Unrealized
−Removed: The positions and counterparties herein are as of March 31, 2024.
+Added: The positions and counterparties herein are as of June 30, 2024.
The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.
4 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
19 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
10 unchanged sentences
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
20 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
+Added: June 30, 2024
December 31, 2023
+Added: Short-term U.S.
+Added: government and agency obligations (Note 3) (cost $ 49,519,896 and $ – , respectively)
Segregated cash balances with brokers for futures contracts
2 unchanged sentences
Liabilities and shareholders’ equity
+Added: Payable for capital shares redeemed
Brokerage commissions and futures account fees payable
11 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
+Added: Principal Amount
+Added: Short-term U.S.
+Added: government and agency obligations
+Added: ( 148 % of shareholders’ equity)
+Added: Treasury Bills ^^
+Added: 5.295 % due 09/05/24
+Added: Total short-term U.S.
+Added: government and agency obligations
+Added: (cost $ 49,519,896 )
Futures Contracts Purchased
+Added: Notional Amount
(Depreciation)/Value
−Removed: VIX Futures - Cboe, expires July 2024
−Removed: VIX Futures - Cboe, expires August 2024
−Removed: VIX Futures - Cboe, expires September 2024
VIX Futures - Cboe, expires October 2024
+Added: VIX Futures - Cboe, expires November 2024
+Added: VIX Futures - Cboe, expires December 2024
+Added: VIX Futures - Cboe, expires January 2025
+Added: Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
2 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
1 unchanged sentence
Brokerage commissions
−Removed: Futures accounts fees
+Added: Futures account fees
Total expenses
17 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
1 unchanged sentence
Redemption of 8,250,000 , 675,000 , 8,550,000 and 1,200,000 shares, respectively
+Added: ( 124,949,446
+Added: ( 129,715,182
Net addition (redemption) of ( 3,000,000 ), ( 100,000 ), 75,000 and ( 350,000 ) shares, respectively
7 unchanged sentences
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
26 unchanged sentences
STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
+Added: June 30, 2024
December 31, 2023
2 unchanged sentences
Segregated cash balances with brokers for futures contracts
−Removed: Receivable from capital shares sold
Receivable on open futures contracts
15 unchanged sentences
SCHEDULE OF INVESTMENTS
−Removed: MARCH 31, 2024
+Added: JUNE 30, 2024
Principal Amount
5 unchanged sentences
5.354 % due 09/05/24
−Removed: 5.349 % due 07/09/24
Total short-term U.S.
2 unchanged sentences
Futures Contracts Purchased
+Added: Notional Amount
(Depreciation)/Value
−Removed: VIX Futures - Cboe, expires April 2024
−Removed: VIX Futures - Cboe, expires May 2024
+Added: VIX Futures - Cboe, expires July 2024
+Added: VIX Futures - Cboe, expires August 2024
Rates shown represent discount rate at the time of purchase.
3 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
1 unchanged sentence
Brokerage commissions
−Removed: Futures accounts fees
+Added: Futures account fees
Total expenses
3 unchanged sentences
Futures contracts
+Added: ( 127,229,299
+Added: ( 173,326,001
Short-term U.S.
1 unchanged sentence
Net realized gain (loss)
+Added: ( 127,239,912
+Added: ( 173,336,606
Change in net unrealized appreciation (depreciation) on
4 unchanged sentences
Net realized and unrealized gain (loss)
+Added: ( 148,543,165
+Added: ( 193,509,833
Net income (loss)
+Added: ( 146,777,823
+Added: ( 190,288,574
See accompanying notes to financial statements.
2 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
−Removed: Addition of 3,800,000 and 2,300,000 shares, respectively (Note 1)
−Removed: Redemption of 1,350,000 and 1,955,000 shares, respectively (Note 1)
+Added: Addition of 3,700,000 , 4,460,000 , 7,500,000 and 6,760,000 shares, respectively
+Added: Redemption of 2,600,000 , 255,000 , 3,950,000 and 2,210,000 shares, respectively
( 113,832,570
−Removed: Net addition (redemption) of 2,450,000 and 345,000 shares, respectively (Note 1)
+Added: Net addition (redemption) of 1,100,000 , 4,205,000 , 3,550,000 and 4,550,000 shares, respectively
Net investment income (loss)
Net realized gain (loss)
+Added: ( 127,239,912
+Added: ( 173,336,606
Change in net unrealized appreciation (depreciation)
Net income (loss)
+Added: ( 146,777,823
+Added: ( 190,288,574
Shareholders’ equity, end of period
2 unchanged sentences
STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
Net income (loss)
+Added: ( 190,288,574
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
15 unchanged sentences
Net cash provided by (used in) operating activities
+Added: ( 139,705,423
Cash flow from financing activities
9 unchanged sentences
COMBINED STATEMENTS OF FINANCIAL CONDITION
−Removed: March 31, 2024
+Added: June 30, 2024
December 31, 2023
34 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Investment Income
10 unchanged sentences
Swap agreements
+Added: ( 127,144,869
Foreign currency forward contracts
8 unchanged sentences
Swap agreements
−Removed: ( 150,345,998
Foreign currency forward contracts
3 unchanged sentences
( 127,143,015
+Added: ( 180,306,004
Net realized and unrealized gain (loss)
8 unchanged sentences
Three Months Ended
+Added: Six Months Ended
Shareholders’ equity, beginning of period
1 unchanged sentence
4,138,630,893
−Removed: Addition of 76,945,000 and 70,821,500 shares, respectively (Note 1) (Note 8)
3,282,832,126
3,887,786,746
−Removed: Redemption of 58,490,000 and 66,280,500 shares, respectively (Note 1) (Note 8)
+Added: Addition of 71,630,000 , 61,415,500 , 148,575,000 and 132,237,000 shares, respectively (Note 1)
1,659,368,580
2,534,087,735
−Removed: Net addition (redemption) of 18,455,000 and 4,541,000 shares, respectively (Note 1) (Note 8)
3,456,902,022
+Added: 6,659,958,056
+Added: Redemption of 77,581,248 , 58,115,000 , 136,071,248 and 124,395,500 shares, respectively (Note 1)
+Added: ( 1,867,042,594
+Added: ( 2,337,146,640
+Added: ( 3,627,140,335
+Added: ( 5,054,205,998
+Added: Net addition (redemption) of ( 5,951,248 ), 3,300,500 , 12,503,752 and 7,841,500 shares, respectively (Note 1)
+Added: ( 207,674,014
+Added: ( 170,238,313
+Added: 1,605,752,058
Net investment income (loss)
4 unchanged sentences
( 127,143,015
+Added: ( 180,306,004
Net income (loss)
4 unchanged sentences
3,753,845,537
+Added: 3,121,155,340
+Added: 3,753,845,537
See accompanying notes to financial statements.
1 unchanged sentence
COMBINED STATEMENTS OF CASH FLOWS
−Removed: Three Months Ended
+Added: Six Months Ended
Cash flow from operating activities
1 unchanged sentence
( 1,739,693,267
−Removed: ( 1,157,966,816
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
28 unchanged sentences
( 191,374,238
+Added: 1,596,557,345
Net increase (decrease) in cash
9 unchanged sentences
NOTES TO FINANCIAL STATEMENTS
−Removed: March 31, 2024
+Added: June 30, 2024
NOTE 1 - ORGANIZATION
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”).
−Removed: As of March 31, 2024, the following sixteen
−Removed: series of the Trust have commenced investment operations:
+Added: As of June 30, 2024, the following sixteen series of the Trust have commenced investment operations:
(i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term
27 unchanged sentences
1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly.
−Removed: The table below includes forward and reverse Share splits for the Funds during the three months March 31, 2024, and during the year ended December 31, 2023.
+Added: Share Splits and Reverse Share Splits
+Added: The table below includes forward and reverse Share splits for the Funds during the six months June 30, 2024, and during the year ended December 31, 2023.
The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable.
2 unchanged sentences
Type of Split
−Removed: Resumed at Post-
+Added: Post-Split Price
ProShares VIX Short-Term Futures
10 unchanged sentences
June 23, 2023
+Added: ProShares Short VIX Short-Term Futures
+Added: April 10, 2024
+Added: 2-for-1 forward Share split
+Added: April 11, 2024
+Added: ProShares UltraShort Bloomberg Natural Gas
+Added: April 10, 2024
+Added: 2-for-1 forward Share split
+Added: April 11, 2024
+Added: ProShares Ultra VIX Short-Term Futures
+Added: April 10, 2024
+Added: 1-for-5 reverse Share split
+Added: April 11, 2024
The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund.
Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.
+Added: The forward splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for each of the Funds, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund.
+Added: Therefore, the forward splits did not change the aggregate net asset value of a shareholder’s investment at the time of the forward split.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
−Removed: Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance.
+Added: Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting
+Added: Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance.
The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements.
18 unchanged sentences
Statements of Cash Flows
−Removed: The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated March 31, 2024 and 2023, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.
+Added: The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated June 30, 2024 and 2023, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.
Final Net Asset Value for Fiscal Period
−Removed: times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 2024 were typically as follows.
+Added: times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the six months ended June 30, 2024 were typically as follows.
All times are Eastern Standard Time:
3 unchanged sentences
Ultra Silver and UltraShort Silver
−Removed: March 28, 2024
+Added: June 28, 2024
Ultra Gold and UltraShort Gold
−Removed: March 28, 2024
+Added: June 28, 2024
Ultra Bloomberg Crude Oil,
2 unchanged sentences
UltraShort Bloomberg Natural Gas
−Removed: March 28, 2024
+Added: June 28, 2024
UltraShort Euro and
UltraShort Yen
−Removed: March 28, 2024
+Added: June 28, 2024
Short VIX Short-Term Futures ETF,
2 unchanged sentences
VIX Short-Term Futures ETF
−Removed: March 28, 2024
−Removed: Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, 2024.
+Added: June 28, 2024
+Added: Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the six months ended June 30, 2024.
Market value per Share is determined at the close of the applicable primary listing exchange and may be from when the Funds’ NAV per Share is calculated.
For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets.
−Removed: Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended March 31, 2024.
+Added: Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the six months ended June 30, 2024.
Investment Valuation
3 unchanged sentences
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate fair value.
+Added: These instruments are classified as Level II in the fair value hierarchy.
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.
26 unchanged sentences
Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.
−Removed: The following table summarizes the valuation of investments at March 31, 2024 using the fair value hierarchy:
+Added: The following table summarizes the valuation of investments at June 30, 2024 using the fair value hierarchy:
Level I - Quoted Prices
2 unchanged sentences
Short-Term U.S.
+Added: Government and
ProShares Short VIX Short-Term Futures ETF
1 unchanged sentence
ProShares Ultra Bloomberg Natural Gas
+Added: ( 153,035,669
+Added: ( 153,035,669
ProShares Ultra Euro
14 unchanged sentences
( 124,170,826
+Added: 1,447,014,694
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.
25 unchanged sentences
Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
−Removed: There were no transfers into or out of Level 3 for the quarter ended March 31, 2024 or the year ended December 31, 2023.
+Added: There were no transfers into or out of Level 3 for the quarter ended June 30, 2024 or the year ended December 31, 2023.
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
42 unchanged sentences
During periods of high demand for repurchase agreements, the Funds may be unable to invest available cash in these instruments to the extent desired by the Advisor.
−Removed: At March 31, 2024, the Trust did not have any open repurchase agreements.
+Added: At June 30, 2024, the Trust did not have any open repurchase agreements.
Accounting for Derivative Instruments
86 unchanged sentences
The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds.
−Removed: All of the outstanding swap agreements at March 31, 2024
+Added: All of the outstanding swap agreements at June 30, 2024
contractually terminate within one month but may be terminated without penalty by either party at any time.
12 unchanged sentences
To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings.
−Removed: As of March 31, 2024, the collateral posted by counterparties consisted of cash and/or U.S.
+Added: As of June 30, 2024, the collateral posted by counterparties consisted of cash and/or U.S.
Treasury securities.
28 unchanged sentences
To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings.
−Removed: As of March 31, 2024, the collateral posted by counterparties consisted of cash and/or U.S.
+Added: As of June 30, 2024, the collateral posted by counterparties consisted of cash and/or U.S.
Treasury securities.
7 unchanged sentences
The following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period.
−Removed: Fair Value of Derivative Instruments as of March 31, 2024
+Added: Fair Value of Derivative Instruments as of June 30, 2024
Asset Derivatives
8 unchanged sentences
VIX Futures Contracts
−Removed: Receivable on open futures contracts, unrealized appreciation on swap agreements
−Removed: Payable on open futures contracts, unrealized depreciation on swap agreements
+Added: Receivable on open
+Added: futures contracts
+Added: Payable on open
+Added: futures contracts
+Added: ProShares Short VIX
+Added: Short-Term Futures ETF
+Added: ProShares Ultra VIX
+Added: Short-Term Futures ETF
+Added: ProShares VIX
+Added: ProShares VIX Short-
+Added: Term Futures ETF
+Added: Commodities Contracts
+Added: Receivables on
+Added: contracts and/or
+Added: appreciation on
+Added: swap agreements
+Added: Payable on open
+Added: futures contracts
+Added: and/or unrealized
+Added: depreciation on
+Added: swap agreements
+Added: ProShares Ultra
+Added: Bloomberg Crude Oil
+Added: ProShares Ultra
+Added: Bloomberg Natural Gas
+Added: ProShares Ultra Gold
+Added: ProShares Ultra Silver
+Added: ProShares UltraShort
+Added: Bloomberg Crude Oil
+Added: ProShares UltraShort
+Added: Bloomberg Natural Gas
+Added: ProShares UltraShort
+Added: ProShares UltraShort
+Added: Foreign Exchange Contracts
+Added: appreciation on
+Added: foreign currency
+Added: forward contracts
+Added: depreciation on
+Added: foreign currency
+Added: forward contracts
+Added: ProShares Ultra Euro
+Added: ProShares Ultra Yen
+Added: ProShares UltraShort
+Added: ProShares UltraShort
+Added: Combined Trust:
+Added: Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.
+Added: Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
+Added: Fair Value of Derivative Instruments as of December 31, 2023
+Added: Asset Derivatives
+Added: Liability Derivatives
+Added: Derivatives Not
+Added: Accounted for as
+Added: Hedging Instruments
+Added: Statements of
+Added: Financial Condition
+Added: Statements of
+Added: VIX Futures Contracts
+Added: Receivable on
+Added: ProShares Short VIX
+Added: Short-Term Futures ETF
+Added: ProShares Ultra VIX
+Added: Short-Term Futures ETF
+Added: ProShares VIX
+Added: ProShares VIX Short-
+Added: Term Futures ETF
+Added: Commodities Contracts
+Added: Receivables on
+Added: contracts and/or
+Added: appreciation on
+Added: swap agreements
+Added: ProShares Ultra
+Added: Bloomberg Crude Oil
+Added: ProShares Ultra
+Added: Bloomberg Natural Gas
+Added: ProShares Ultra Gold
+Added: ProShares Ultra Silver
+Added: ProShares UltraShort
+Added: Bloomberg Crude Oil
+Added: ProShares UltraShort
+Added: Bloomberg Natural Gas
+Added: ProShares UltraShort
+Added: ProShares UltraShort
+Added: Foreign Exchange Contracts
+Added: appreciation on
+Added: foreign currency
+Added: forward contracts
+Added: ProShares Ultra Euro
+Added: ProShares Ultra Yen
+Added: ProShares UltraShort
+Added: ProShares UltraShort
+Added: Combined Trust:
+Added: Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.
+Added: Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
+Added: The Effect of Derivative Instruments on the Statement of Operations
+Added: For the three months ended June 30, 2024
+Added: Derivatives Not Accounted
+Added: for as Hedging Instruments
+Added: Location of Gain
+Added: (Loss) on Derivatives
+Added: Recognized in Income
+Added: Realized Gain
+Added: Recognized in
+Added: (Depreciation) on
+Added: Recognized in
+Added: VIX Futures Contracts
+Added: Net realized gain (loss) on futures contracts changes in unrealized appreciation (depreciation) on futures contracts
ProShares Short VIX Short-Term Futures ETF
3 unchanged sentences
Commodities Contracts
−Removed: Receivables on open futures contracts and/or unrealized appreciation on swap agreements
−Removed: Payable on open futures contracts and/or unrealized depreciation on swap agreements
+Added: Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
ProShares Ultra Bloomberg Crude Oil
7 unchanged sentences
Foreign Exchange Contracts
−Removed: Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts
−Removed: Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
+Added: Net realized gain (loss) on foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on foreign currency forward contracts
ProShares Ultra Euro
3 unchanged sentences
Combined Trust
−Removed: Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.
−Removed: Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
−Removed: Fair Value of Derivative Instruments as of December 31, 2023
−Removed: Asset Derivatives
−Removed: Liability Derivatives
−Removed: Derivatives Not
−Removed: Accounted for as
−Removed: Hedging Instruments
−Removed: Statements of
−Removed: Financial Condition
−Removed: Statements of
−Removed: Financial Condition
+Added: ( 127,202,756
+Added: The Effect of Derivative Instruments on the Statement of Operations
+Added: For the six months ended June 30, 2024
+Added: Derivatives Not Accounted
+Added: for as Hedging Instruments
+Added: Location of Gain
+Added: (Loss) on Derivatives
+Added: Recognized in Income
+Added: Realized Gain
+Added: Recognized in
+Added: (Depreciation)
+Added: Recognized in
VIX Futures Contracts
−Removed: Receivable on open futures contracts, unrealized appreciation on swap agreements
−Removed: Payable on open futures contracts, unrealized depreciation on swap agreements
+Added: Net realized gain (loss) on futures contracts changes in unrealized appreciation (depreciation) on
+Added: futures contracts
ProShares Short VIX Short-Term Futures ETF
ProShares Ultra VIX Short-Term Futures ETF
+Added: ( 148,416,415
ProShares VIX Mid-Term
1 unchanged sentence
Commodities Contracts
−Removed: Receivables on open futures contracts and/or unrealized appreciation on swap agreements
−Removed: Payable on open futures contracts and/or unrealized depreciation on swap agreements
+Added: Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
ProShares Ultra Bloomberg Crude Oil
ProShares Ultra Bloomberg Natural Gas
+Added: ( 196,642,739
ProShares Ultra Gold
5 unchanged sentences
Foreign Exchange Contracts
−Removed: Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts
−Removed: Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
+Added: Net realized gain (loss) on foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on foreign currency
+Added: forward contracts
ProShares Ultra Euro
3 unchanged sentences
Combined Trust:
+Added: ( 180,180,547
The Effect of Derivative Instruments on the Statement of Operations
−Removed: For the three months ended March 31, 2024
+Added: For the three months ended June 30, 2023
Derivatives Not Accounted
11 unchanged sentences
ProShares Ultra VIX Short-Term Futures ETF
+Added: ( 426,304,544
ProShares VIX Mid-Term
ProShares VIX Short-Term Futures ETF
+Added: ( 127,229,299
Commodities Contracts
3 unchanged sentences
( 616,883,269
−Removed: ( 136,379,348
ProShares Ultra Gold
ProShares Ultra Silver
+Added: ( 119,061,722
ProShares UltraShort Bloomberg Crude Oil
10 unchanged sentences
( 1,030,652,205
−Removed: Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.
−Removed: Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
The Effect of Derivative Instruments on the Statement of Operations
−Removed: For the three months ended March 31, 2023
+Added: For the six months ended June 30, 2023
Derivatives Not Accounted
5 unchanged sentences
Recognized in
−Removed: (Depreciation) on
+Added: (Depreciation)
Recognized in
VIX Futures Contracts
−Removed: Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
+Added: Net realized gain (loss) on futures contracts and/or swap
+Added: agreements/ changes in unrealized appreciation (depreciation) on
+Added: futures contracts and/or swap agreements
ProShares Short VIX Short-Term Futures ETF
3 unchanged sentences
ProShares VIX Short-Term Futures ETF
+Added: ( 173,326,001
Commodities Contracts
1 unchanged sentence
ProShares Ultra Bloomberg Crude Oil
−Removed: ( 138,159,516
ProShares Ultra Bloomberg Natural Gas
4 unchanged sentences
ProShares UltraShort Bloomberg Natural Gas
+Added: ( 106,199,730
ProShares UltraShort Gold
8 unchanged sentences
( 2,028,741,895
−Removed: ( 181,490,158
Offsetting Assets and Liabilities
5 unchanged sentences
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition.
−Removed: The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of March 31, 2024.
−Removed: Fair Values of Derivative Instruments as of March 31, 2024
+Added: The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of June 30, 2024.
+Added: Fair Values of Derivative Instruments as of June 30, 2024
Gross Amounts
36 unchanged sentences
Foreign currency forward contracts
−Removed: Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2024.
+Added: Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2024.
These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end.
2 unchanged sentences
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.
−Removed: Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2024
+Added: Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2024
Amounts of Recognized Assets /
5 unchanged sentences
Cash Collateral for the
−Removed: Benefit of (the Funds) /
−Removed: the Counterparties
+Added: Benefit of (the Funds) / the
+Added: Counterparties
ProShares Ultra Bloomberg Crude Oil
30 unchanged sentences
Fair Values of Derivative Instruments as of December 31, 2023
−Removed: Gross Amounts
of Recognized
−Removed: Assets presented
Statements of
−Removed: Gross Amounts
Offset in the
Statements of
−Removed: Net Amounts of
−Removed: Assets presented
Statements of
1 unchanged sentence
of Recognized
−Removed: presented in the
Statements of
3 unchanged sentences
Net Amounts of
−Removed: presented in the
Statements of
27 unchanged sentences
Statements of Financial
−Removed: Financial Instruments
for the Benefit of (the
87 unchanged sentences
The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee.
−Removed: Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds
−Removed: to other investors in the secondary market.
−Removed: Transaction fees three months ended March 31, 2024 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:
+Added: Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.
+Added: Transaction fees three and six months ended June 30, 2024 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:
Three Months Ended
−Removed: March 31, 2024
+Added: Six Months Ended
+Added: June 30, 2024
+Added: June 30, 2024
ProShares Short VIX Short-Term Futures ETF
16 unchanged sentences
NOTE 6 – FINANCIAL HIGHLIGHTS
−Removed: S elected Data for a Share Outstanding Throughout the Three Months Ended March
−Removed: For the Three Months Ended March 31, 2024 (unaudited)
+Added: Selected data for a Share outstanding throughout the three months ended June 30, 2024
+Added: For the Three Months Ended June 30, 2024 (unaudited)
Per Share Operating Performance
Futures ETF *
−Removed: Net asset value, at December 31, 2023
+Added: Net asset value, at March 31, 2024
Net investment income (loss)
1 unchanged sentence
Change in net asset value from operations
+Added: Net asset value, at June 30, 2024
+Added: Market value per share, at March 31, 2024 †
+Added: Market value per share, at June 30, 2024 †
+Added: Total Return, at net asset value^
+Added: Total Return, at market value^
+Added: Ratios to Average Net Assets**
+Added: Expense ratio^^
+Added: Net investment income gain (loss)
+Added: See Note 1 of these Notes to Financial Statements.
+Added: Percentages are annualized.
+Added: The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
+Added: Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
+Added: Percentages are not annualized for the period ended June 30, 2024.
+Added: The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring
+Added: fees and expenses, and brokerage commissions and futures account fees were excluded.
+Added: For the Three Months Ended June 30, 2024 (unaudited)
+Added: Per Share Operating Performance
+Added: Futures ETF *
+Added: Natural Gas *
Net asset value, at March 31, 2024
−Removed: Market value per share, at December 31, 2023 †
+Added: Net investment income (loss)
+Added: Net realized and unrealized gain (loss)#
+Added: Change in net asset value from operations
+Added: Net asset value, at June 30, 2024
Market value per share, at March 31, 2024 †
+Added: Market value per share, at June 30, 2024 †
Total Return, at net asset value^
7 unchanged sentences
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
−Removed: Percentages are not annualized for the period ended March 31, 2024.
+Added: Percentages are not annualized for the period ended June 30, 2024.
+Added: The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded.
+Added: For the Three Months Ended June 30, 2024 (unaudited)
+Added: Per Share Operating Performance
+Added: Net asset value, at March 31, 2024
+Added: Net investment income (loss)
+Added: Net realized and unrealized gain (loss)#
+Added: Change in net asset value from operations
+Added: Net asset value, at June 30, 2024
+Added: Market value per share, at March 31, 2024 †
+Added: Market value per share, at June 30, 2024 †
+Added: Total Return, at net asset value^
+Added: Total Return, at market value^
+Added: Ratios to Average Net Assets**
+Added: Expense ratio^^
+Added: Net investment income gain (loss)
+Added: Percentages are annualized.
+Added: The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
+Added: Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
+Added: Percentages are not annualized for the period ended June 30, 2024.
The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
−Removed: For the Three Months Ended March 31, 2024 (unaudited)
+Added: Selected data for a Share outstanding throughout the three months ended June 30, 2023
+Added: For the Three Months Ended June 30, 2023 (unaudited)
Per Share Operating Performance
1 unchanged sentence
Natural Gas *
−Removed: Net asset value, at December 31, 2023
+Added: Net asset value, at March 31, 2023
Net investment income (loss)
1 unchanged sentence
Change in net asset value from operations
+Added: Net asset value, at June 30, 2023
+Added: Market value per share, at March 31, 2023 †
+Added: Market value per share, at June 30, 2023 †
+Added: Total Return, at net asset value^
+Added: Total Return, at market value^
+Added: Ratios to Average Net Assets**
+Added: Expense ratio^^
+Added: Net investment income gain (loss)
+Added: See Note 1 of these Notes to Financial Statements.
+Added: Percentages are annualized.
+Added: The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
+Added: Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
+Added: Percentages are not annualized for the period ended June 30, 2023.
+Added: The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded.
+Added: For the Three Months Ended June 30, 2023 (unaudited)
+Added: Per Share Operating Performance
+Added: Futures ETF *
+Added: Natural Gas *
Net asset value, at March 31, 2023
−Removed: Market value per share, at December 31, 2023 †
+Added: Net investment income (loss)
+Added: Net realized and unrealized gain (loss)#
+Added: Change in net asset value from operations
+Added: Net asset value, at June 30, 2023
Market value per share, at March 31, 2023 †
+Added: Market value per share, at June 30, 2023 †
Total Return, at net asset value^
7 unchanged sentences
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
−Removed: Percentages are not annualized for the period ended March 31, 2024.
+Added: Percentages are not annualized for the period ended June 30, 2023.
+Added: The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded.
+Added: For the Three Months Ended June 30, 2023 (unaudited)
+Added: Per Share Operating Performance
+Added: Net asset value, at March 31, 2023
+Added: Net investment income (loss)
+Added: Net realized and unrealized gain (loss)#
+Added: Change in net asset value from operations
+Added: Net asset value, at June 30, 2023
+Added: Market value per share, at March 31, 2023 †
+Added: Market value per share, at June 30, 2023 †
+Added: Total Return, at net asset value^
+Added: Total Return, at market value^
+Added: Ratios to Average Net Assets**
+Added: Expense ratio^^
+Added: Net investment income gain (loss)
+Added: See Note 1 of these Notes to Financial Statements.
+Added: Percentages are annualized.
+Added: The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
+Added: Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
+Added: Percentages are not annualized for the period ended June 30, 2023.
+Added: The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if brokerage commissions and futures account fees were excluded.
+Added: S elected Data for a Share Outstanding Throughout the six months Ended June
+Added: For the Six Months Ended June 30, 2024 (unaudited)
+Added: Per Share Operating Performance
+Added: Futures ETF *
+Added: Net asset value, at December 31, 2023
+Added: Net investment income (loss)
+Added: Net realized and unrealized gain (loss)#
+Added: Change in net asset value from operations
+Added: Net asset value, at June 30, 2024
+Added: Market value per share, at December 31, 2023 †
+Added: Market value per share, at June 30, 2024 †
+Added: Total Return, at net asset value^
+Added: Total Return, at market value^
+Added: Ratios to Average Net Assets**
+Added: Expense ratio^^
+Added: Net investment income gain (loss)
+Added: See Note 1 of these Notes to Financial Statements.
+Added: Percentages are annualized.
+Added: The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
+Added: Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
+Added: Percentages are not annualized for the period ended June 30, 2024.
The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
−Removed: For the Three Months Ended March 31, 2024 (unaudited)
+Added: For the Six Months Ended June 30, 2024 (unaudited)
Per Share Operating Performance
+Added: Futures ETF *
Net asset value, at December 31, 2023
2 unchanged sentences
Change in net asset value from operations
−Removed: Net asset value, at March 31, 2024
+Added: Net asset value, at June 30, 2024
Market value per share, at December 31, 2023 †
−Removed: Market value per share, at March 31, 2024 †
+Added: Market value per share, at June 30, 2024 †
Total Return, at net asset value^
3 unchanged sentences
Net investment income gain (loss)
+Added: See Note 1 of these Notes to Financial Statements.
Percentages are annualized.
1 unchanged sentence
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
−Removed: Percentages are not annualized for the period ended March 31, 2024.
+Added: Percentages are not annualized for the period ended June 30, 2024.
+Added: The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded.
+Added: For the Six Months Ended June 30, 2024 (unaudited)
+Added: Per Share Operating Performance
+Added: Net asset value, at December 31, 2023
+Added: Net investment income (loss)
+Added: Net realized and unrealized gain (loss)#
+Added: Change in net asset value from operations
+Added: Net asset value, at June 30, 2024
+Added: Market value per share, at December 31, 2023 †
+Added: Market value per share, at June 30, 2024 †
+Added: Total Return, at net asset value^
+Added: Total Return, at market value^
+Added: Ratios to Average Net Assets**
+Added: Expense ratio^^
+Added: Net investment income gain (loss)
+Added: Percentages are annualized.
+Added: The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
+Added: Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
+Added: Percentages are not annualized for the period ended June 30, 2024.
The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
−Removed: Selected Data for a Share Outstanding Throughout the Three Months Ended March 31, 2023
−Removed: For the Three Months Ended March 31, 2023 (unaudited)
+Added: Selected Data for a Share Outstanding Throughout the six months Ended June 30, 2023
+Added: For the Six Months Ended June 30, 2023 (unaudited)
Per Share Operating Performance
−Removed: Natural Gas *
Net asset value, at December 31, 2022
2 unchanged sentences
Change in net asset value from operations
−Removed: Net asset value, at March 31, 2023
+Added: Net asset value, at June 30, 2023
Market value per share, at December 31, 2022 †
−Removed: Market value per share, at March 31, 2023 †
+Added: Market value per share, at June 30, 2023 †
Total Return, at net asset value^
4 unchanged sentences
See Note 1 of these Notes to Financial Statements.
−Removed: See Note 8 of these Notes to Financial Statements.
Percentages are annualized.
1 unchanged sentence
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
−Removed: Percentages are not annualized for the period ended March 31, 2023.
+Added: Percentages are not annualized for the period ended June 30, 2023.
The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
−Removed: For the Three Months Ended March 31, 2023 (unaudited)
+Added: For the Six Months Ended June 30, 2023 (unaudited)
Per Share Operating Performance
−Removed: Natural Gas **
Net asset value, at December 31, 2022
2 unchanged sentences
Change in net asset value from operations
−Removed: Net asset value, at March 31, 2023
+Added: Net asset value, at June 30, 2023
Market value per share, at December 31, 2022 †
−Removed: Market value per share, at March 31, 2023 †
+Added: Market value per share, at June 30, 2023 †
Total Return, at net asset value^
3 unchanged sentences
Net investment income gain (loss)
−Removed: See Note 1 and Note 8 of these Notes to Financial Statements.
See Note 1 of these Notes to Financial Statements.
2 unchanged sentences
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
−Removed: Percentages are not annualized for the period ended March 31, 2023.
+Added: Percentages are not annualized for the period ended June 30, 2023.
The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
−Removed: For the Three Months Ended March 31, 2023 (unaudited)
+Added: For the Six Months Ended June 30, 2023 (unaudited)
Per Share Operating Performance
3 unchanged sentences
Change in net asset value from operations
−Removed: Net asset value, at March 31, 2023
+Added: Net asset value, at June 30, 2023
Market value per share, at December 31, 2022 †
−Removed: Market value per share, at March 31, 2023 †
+Added: Market value per share, at June 30, 2023 †
Total Return, at net asset value^
7 unchanged sentences
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
−Removed: Percentages are not annualized for the period ended March 31, 2023.
+Added: Percentages are not annualized for the period ended June 30, 2023.
The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if non-recurring
2 unchanged sentences
Correlation and Holding Period Risk
−Removed: Each of the Geared Funds is “geared” which means that each has an investment objective to seek daily investment results, before fees and expenses, that correspond either to one-half the inverse (-0.5x), two times the inverse (-2x), one and one-half times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark (referred to as the “Daily Target”).
+Added: Each of the Geared Funds is “geared” which means that each has an investment objective to seek daily investment results, before fees and expenses, that correspond either to one-half
+Added: the inverse (-0.5x),
+Added: two times the inverse (-2x),
+Added: one and one-half
+Added: times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark (referred to as the “Daily Target”).
The Geared Funds do not seek to achieve their Daily Target for any period of time other than a single day (as measured from NAV calculation time to NAV calculation time).
−Removed: The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ from one-half the inverse (-0.5x), two times the inverse (-2x), one and one-half times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the same period.
+Added: The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ from one-half
+Added: the inverse (-0.5x),
+Added: two times the inverse (-2x),
+Added: one and one-half
+Added: times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the same period.
This difference may be significant.
16 unchanged sentences
Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark.
−Removed: For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and one-half or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark.
−Removed: The daily return of an UltraShort Fund is designed to return two times the inverse (-2x) of the return that would be expected of a fund with an objective of matching the same benchmark.
+Added: For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and one-half
+Added: or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark.
+Added: The daily return of an UltraShort Fund is designed to return two times the inverse (-2x)
+Added: of the return that would be expected of a fund with an objective of matching the same benchmark.
The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds.
8 unchanged sentences
(2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark;
−Removed: (3) bid-ask spreads on such Financial Instruments;
+Added: spreads on such Financial Instruments;
(4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs;
5 unchanged sentences
(10) accounting standards;
−Removed: and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.
+Added: (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark;
+Added: (12) large movements of assets into and/or out of a Fund, particularly late in the day;
+Added: (13) significant and/or rapid increases in the size of the Fund as a result of an increase in creation activity that cause the Fund to approach or reach position or accountability limits or other portfolio limits;
+Added: and (14) events such as natural disasters (including disease, epidemics and pandemics) that can be highly disruptive to economies, markets and companies including, but not limited to, the Sponsor and third party service providers.
A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation.
4 unchanged sentences
The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day.
−Removed: Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio.
−Removed: Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -0.5x, -2x, 1.5x, or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.
+Added: The target amount of portfolio exposure is impacted dynamically by a benchmark’s movements, including intraday movements.
+Added: Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -0.5x,
+Added: 1.5x, or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.
Each Geared Fund seeks to rebalance its portfolio on a daily basis.
The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor.
+Added: If for any reason a Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund’s investment exposure may not be consistent with the Fund’s investment objective.
+Added: In these instances, the Fund may have investment exposure to its benchmark that is significantly greater or less than its stated multiple.
+Added: As a result, the Fund may be more or less exposed to leverage risk than if it had been properly rebalanced and may not achieve its investment objective.
Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.
80 unchanged sentences
The futures contracts held by the Funds may experience a period of extraordinary contango or backwardation in the future.
−Removed: If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment.
+Added: If all or a significant portion of the futures contracts held by
+Added: an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment.
Conversely, investors in an UltraShort Fund could suffer significant losses or lose their entire investment if prices reversed or were subject to extraordinary backwardation.
12 unchanged sentences
These conditions have led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses.
−Removed: Such natural disaster and health crises could
−Removed: exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, civil unrest, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments.
−Removed: To attempt to curb the spread of COVID-19,
−Removed: federal, state, and local governments introduced various forms of vaccine and mask mandates, lockdowns, curfews, and other policy initiatives.
−Removed: However, several of the federal mandates were rolled back or eliminated entirely due to actions taken within the courts.
−Removed: In response to COVID’s shock to the labor market and economy overall.
−Removed: The government drastically increased its federal spending for COVID-related relief packages, which came in the form of increases in unemployment insurance and stimulus packages.
−Removed: A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability potential investment opportunities and accuracy of economic projections.
+Added: Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, civil unrest, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments.
Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments.
5 unchanged sentences
These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.
−Removed: Additionally, public health issues, war and military conflicts (such as Russia’s continued military actions against Ukraine that started in February 2022 and the Israel-Hamas conflict and the ensuing conflict), sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies.
+Added: Additionally, geopolitical conflict, including, war and armed conflicts (such as Russia’s continued military actions against Ukraine that started in February 2022, the Israel-Hamas conflict, the Houthi movement’s attacks on marine vessels in the Red Sea, and the expansion of such conflicts in surrounding areas), sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies.
A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time.
2 unchanged sentences
NOTE 8 – SUBSEQUENT EVENTS
−Removed: On March 20, 2024, the Trust announced a
−Removed: forward split of the shares of beneficial interest of ProShares Short VIX Short-Term Futures (ticker symbol:
−Removed: SVXY) and ProShares UltraShort Bloomberg Natural Gas (ticker symbol:
−Removed: reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures (ticker symbol:
−Removed: The splits were effective prior to market open on April 11, 2024, when the funds began trading at its post-split price.
−Removed: The splits were applied retroactively for all periods presented, reducing (increasing) the number of shares outstanding and resulted in a proportionate increase (decrease) in the price per share and the per share information of the fund.
−Removed: Therefore, the splits did not change the aggregate net asset value of a shareholder’s investment at the time of the splits.
−Removed: For SVXY and KOLD shareholders who hold a quantity of shares that is not an exact multiple of the Forward Split ratio (i.e., not a multiple of 2), the Forward Split will result in the creation of a fractional share.
−Removed: Post-Forward Split fractional shares will be redeemed for cash and sent to the shareholder’s broker of record.
−Removed: This redemption may cause some shareholders to realize gains or losses, which could be a taxable event for those shareholders.
−Removed: For UVXY shareholders who hold a quantity of shares that is not an exact multiple of the Reverse Split ratio (i.e., not a multiple of 5), the Reverse Split will result in the creation of a fractional share.
−Removed: Post-Reverse Split fractional shares will be redeemed for cash and sent to the shareholder’s broker of record.
−Removed: This redemption may cause some shareholders to realize gains or losses, which could be a taxable event for those shareholders.
+Added: Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued.
+Added: Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.
Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.