☒ | Annual report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the fiscal year ended December 31, |
☐ | Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from |
Delaware | 87-6284802 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||
ProShares Short Euro | EUFX | NYSE Arca | ||
ProShares Short VIX Short-Term Futures ETF | SVXY | Cboe BZX Exchange | ||
ProShares Ultra Bloomberg Crude Oil | UCO | NYSE Arca | ||
ProShares Ultra Bloomberg Natural Gas | BOIL | NYSE Arca | ||
ProShares Ultra Euro | ULE | NYSE Arca | ||
ProShares Ultra Gold | UGL | NYSE Arca | ||
ProShares Ultra Silver | AGQ | NYSE Arca | ||
ProShares Ultra VIX Short-Term Futures ETF | UVXY | Cboe BZX Exchange | ||
ProShares Ultra Yen | YCL | NYSE Arca | ||
ProShares UltraShort Australian Dollar | CROC | NYSE Arca | ||
ProShares UltraShort Bloomberg Crude Oil | SCO | NYSE Arca | ||
ProShares UltraShort Bloomberg Natural Gas | KOLD | NYSE Arca | ||
ProShares UltraShort Euro | EUO | NYSE Arca | ||
ProShares UltraShort Gold | GLL | NYSE Arca | ||
ProShares UltraShort Silver | ZSL | NYSE Arca | ||
ProShares UltraShort Yen | YCS | NYSE Arca | ||
ProShares VIX Mid-Term Futures ETF | VIXM | Cboe BZX Exchange | ||
ProShares VIX Short-Term Futures ETF | VIXY | Cboe BZX Exchange |
Large Accelerated Filer | ☒ | Accelerated Filer | ☐ | |||
Non-Accelerated Filer | ☐ | Smaller Reporting Company | ☐ | |||
Emerging Growth Company | ☐ |
Fund | Aggregate Market Value of the Fund’s Units Held by Non-Affiliates as of June 30, 2020 | Number of Outstanding Units as of February 11, 2021 | ||||||
ProShares Short Euro | $ | 2,286,467 | 100,000 | |||||
ProShares Short VIX Short-Term Futures ETF | 509,811,853 | 11,234,307 | ||||||
ProShares Ultra Bloomberg Crude Oil | 1,508,661,459 | 21,210,774 | ||||||
ProShares Ultra Bloomberg Natural Gas | 50,599,783 | 4,787,527 | ||||||
ProShares Ultra Euro | 4,067,686 | 300,000 | ||||||
ProShares Ultra Gold | 165,689,050 | 4,050,000 | ||||||
ProShares Ultra Silver | 249,671,968 | 14,296,526 | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 992,156,607 | 244,530,912 | ||||||
ProShares Ultra Yen | 2,764,355 | 49,970 | ||||||
ProShares UltraShort Australian Dollar | 5,614,042 | 50,000 | ||||||
ProShares UltraShort Bloomberg Crude Oil | 117,821,898 | 11,489,884 | ||||||
ProShares UltraShort Bloomberg Natural Gas | 28,552,210 | 2,124,832 | ||||||
ProShares UltraShort Euro | 78,848,965 | 2,300,000 | ||||||
ProShares UltraShort Gold | 15,851,043 | 846,977 | ||||||
ProShares UltraShort Silver | 10,145,625 | 7,566,976 | ||||||
ProShares UltraShort Yen | 29,787,034 | 399,290 | ||||||
ProShares VIX Mid-Term Futures ETF | 59,085,470 | 2,112,403 | ||||||
ProShares VIX Short-Term Futures ETF | 221,343,175 | 31,701,317 |
Fund | Aggregate Market Value of the Fund’s Units Held by Non-Affiliates as ofJune 30, 2021 | Number of Outstanding Units as of February 22 , 2022 | ||||||
ProShares Short Euro | $ | 2,159,102 | 50,000 | |||||
ProShares Short VIX Short-Term Futures ETF | 588,615,946 | 7,434,307 | ||||||
ProShares Ultra Bloomberg Crude Oil | 1,303,530,902 | 10,360,774 | ||||||
ProShares Ultra Bloomberg Natural Gas | 70,213,227 | 4,187,527 | ||||||
ProShares Ultra Euro | 3,668,741 | 700,000 | ||||||
ProShares Ultra Gold | 243,456,703 | 4,500,000 | ||||||
ProShares Ultra Silver | 661,778,727 | 14,046,526 | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 840,870,703 | 52,778,420 | ||||||
ProShares Ultra Yen | 2,560,348 | 49,970 | ||||||
ProShares UltraShort Australian Dollar | 2,304,732 | 50,000 | ||||||
ProShares UltraShort Bloomberg Crude Oil | 79,400,059 | 19,133,799 | ||||||
ProShares UltraShort Bloomberg Natural Gas | 97,525,300 | 7,324,477 | ||||||
ProShares UltraShort Euro | 48,820,440 | 1,900,000 | ||||||
ProShares UltraShort Gold | 32,835,014 | 846,977 | ||||||
ProShares UltraShort Silver | 34,859,763 | 941,329 | ||||||
ProShares UltraShort Yen | $ | 27,231,748 | 299,290 | |||||
ProShares VIX Mid-Term Futures ETF | 92,662,734 | 3,012,403 | ||||||
ProShares VIX Short-Term Futures ETF | 272,352,675 | 18,257,826 |
Page | ||||
23 | ||||
126 | ||||
Item 1. Business. |
Index | Bloomberg Ticker Symbol | |||
S&P 500 VIX Short-Term Futures Index | SPVXSP | |||
S&P 500 VIX Mid-Term Futures Index | SPVXMPID |
Underlying Benchmark | Create/Redeem Cutoff* | NAV Calculation Time | ||||||
Silver | 1:00 p.m. (Eastern | Time) | 1:25 p.m. (Eastern | |||||
Gold | 1:00 p.m. (Eastern | Time) | 1:30 p.m. (Eastern | |||||
S&P 500 VIX Short-Term Futures Index** | 2:00 p.m. (Eastern | Time) | 4:00 p.m. (Eastern | |||||
S&P 500 VIX Mid-Term Futures Index** | 2:00 p.m. (Eastern | Time) | 4:00 p.m. (Eastern | |||||
Bloomberg Commodity Balanced WTI Crude Oil Index SM | 2:00 p.m. (Eastern | Time) | 2:30 p.m. (Eastern | |||||
Bloomberg Natural Gas Subindex SM | 2:00 p.m. (Eastern | Time) | 2:30 p.m. (Eastern | |||||
Australian dollar | 3:00 p.m. (Eastern | Time) | 4:00 p.m. (Eastern | |||||
Euro | 3:00 p.m. (Eastern | Time) | 4:00 p.m. (Eastern | |||||
Yen | 3:00 p.m. (Eastern | Time) | 4:00 p.m. (Eastern |
* | Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the year ended December 31, |
** | Effective Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Please see Note 8 of the Notes to Financial Statements of this Form 10-K for more information. |
Fund | NAV Calculation Time | |
ProShares UltraShort Silver* and ProShares Ultra Silver | 1:25 p.m. (Eastern Time) | |
ProShares UltraShort Gold* and ProShares Ultra Gold | 1:30 p.m. (Eastern Time) | |
ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil | 2:30 p.m. (Eastern Time) | |
ProShares UltraShort Bloomberg Natural Gas and ProShares Ultra Bloomberg Natural Gas | 2:30 p.m. (Eastern Time) | |
ProShares Short Euro, ProShares UltraShort Euro and ProShares Ultra Euro | 4:00 p.m. (Eastern Time) |
ProShares UltraShort Australian Dollar | 4:00 p.m. (Eastern Time) | |
ProShares UltraShort Yen and ProShares Ultra Yen | 4:00 p.m. (Eastern Time) | |
ProShares VIX Short-Term Futures ETF*, ProShares Ultra VIX Short-Term Futures ETF* and | ||
ProShares Short VIX Short-Term Futures ETF* | 4:00 p.m. (Eastern Time) | |
ProShares VIX Mid-Term Futures ETF* | 4:00 p.m. (Eastern Time) |
* | Effective Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Please see Note 8 of the Notes to the Financial Statements of this Form 10-K for more information. |
Item 1A. Risk Factors. |
Benchmark XYZ | Fund XYZ | Benchmark XYZ | Fund XYZ | |||||||||||||||||||||||||||||
Level | Daily Performance | Daily Performance | Net Asset Value | Level | Daily Performance | Daily Performance | Net Asset Value | |||||||||||||||||||||||||
Start | 100.00 | $ | 100.00 | 100.00 | $ | 100.00 | ||||||||||||||||||||||||||
Day 1 | 97.00 | -3.00 | % | -6.00 | % | 94.00 | 97.00 | -3.00 | % | -6.00 | % | 94.00 | ||||||||||||||||||||
Day 2 | 99.91 | 3.00 | % | 6.00 | % | 99.64 | 99.91 | 3.00 | % | 6.00 | % | 99.64 | ||||||||||||||||||||
Day 3 | 96.91 | -3.00 | % | -6.00 | % | 93.66 | 96.91 | -3.00 | % | -6.00 | % | 93.66 | ||||||||||||||||||||
Day 4 | 99.82 | 3.00 | % | 6.00 | % | 99.28 | 99.82 | 3.00 | % | 6.00 | % | 99.28 | ||||||||||||||||||||
Day 5 | 96.83 | -3.00 | % | -6.00 | % | 93.32 | 96.83 | -3.00 | % | -6.00 | % | 93.32 | ||||||||||||||||||||
Day 6 | 99.73 | 3.00 | % | 6.00 | % | 98.92 | 99.73 | 3.00 | % | 6.00 | % | 98.92 | ||||||||||||||||||||
Day 7 | 96.74 | -3.00 | % | -6.00 | % | 92.99 | 96.74 | -3.00 | % | -6.00 | % | 92.99 | ||||||||||||||||||||
Total Return | -3.26 | % | -7.01 | % | -3.26 | % | -7.01 | % | ||||||||||||||||||||||||
Benchmark XYZ | Fund XYZ | Benchmark XYZ | Fund XYZ | |||||||||||||||||||||||||||||
Level | Daily Performance | Daily Performance | Net Asset Value | Level | Daily Performance | Daily Performance | Net Asset Value | |||||||||||||||||||||||||
Start | 100.00 | $ | 100.00 | 100.00 | $ | 100.00 | ||||||||||||||||||||||||||
Day 1 | 103.00 | 3.00 | % | 6.00 | % | 106.00 | 103.00 | 3.00 | % | 6.00 | % | 106.00 | ||||||||||||||||||||
Day 2 | 99.91 | -3.00 | % | -6.00 | % | 99.64 | 99.91 | -3.00 | % | -6.00 | % | 99.64 | ||||||||||||||||||||
Day 3 | 102.91 | 3.00 | % | 6.00 | % | 105.62 | 102.91 | 3.00 | % | 6.00 | % | 105.62 | ||||||||||||||||||||
Day 4 | 99.82 | -3.00 | % | -6.00 | % | 99.28 | 99.82 | -3.00 | % | -6.00 | % | 99.28 | ||||||||||||||||||||
Day 5 | 102.81 | 3.00 | % | 6.00 | % | 105.24 | 102.81 | 3.00 | % | 6.00 | % | 105.24 | ||||||||||||||||||||
Day 6 | 99.73 | -3.00 | % | -6.00 | % | 98.92 | 99.73 | -3.00 | % | -6.00 | % | 98.92 | ||||||||||||||||||||
Day 7 | 102.72 | 3.00 | % | 6.00 | % | 104.86 | 102.72 | 3.00 | % | 6.00 | % | 104.86 | ||||||||||||||||||||
Total Return | 2.72 | % | 4.86 | % | 2.72 | % | 4.86 | % | ||||||||||||||||||||||||
Historical Five-Year Average Volatility Rate As of | ||||||||
Index | Identifier | of December 31, | ||||||
S&P 500 VIX Short-Term Futures Index | SPVXSP | % | ||||||
S&P 500 VIX Mid-Term Futures Index | SPVXMPID | % | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index SM | BCBCLI | % | ||||||
Bloomberg Natural Gas Subindex SM | BCOMNG | % | ||||||
Bloomberg Gold Subindex SM | BCOMGC | % | ||||||
Bloomberg Silver Subindex SM | BCOMSI | % | ||||||
The US dollar price of the euro | USDEUR | % | ||||||
The US dollar price of the Japanese yen | USDJPY | % | ||||||
The US dollar price of the Australian dollar | USDAUD | % |
Index Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Index Performance | One-Half the Invers (-0.5x) One Year Index Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | 75% | |||||||||||||||||||||||||||||||||||||||||||||||||||
-60% | 30.0 | % | 58.1 | % | 58.0 | % | 57.5 | % | 56.8 | % | 55.8 | % | 54.5 | % | 52.9 | % | 51.0 | % | 48.9 | % | 46.6 | % | 44.0 | % | 41.2 | % | 38.1 | % | 34.9 | % | 31.6 | % | 28.0 | % | ||||||||||||||||||||||||||||||||||
-55% | 27.5 | % | 49.1 | % | 48.9 | % | 48.5 | % | 47.8 | % | 46.9 | % | 45.6 | % | 44.1 | % | 42.4 | % | 40.4 | % | 38.2 | % | 35.7 | % | 33.1 | % | 30.2 | % | 27.2 | % | 24.0 | % | 20.7 | % | ||||||||||||||||||||||||||||||||||
-50% | 25.0 | % | 41.4 | % | 41.3 | % | 40.9 | % | 40.2 | % | 39.3 | % | 38.1 | % | 36.7 | % | 35.1 | % | 33.2 | % | 31.1 | % | 28.8 | % | 26.3 | % | 23.6 | % | 20.7 | % | 17.7 | % | 14.5 | % | ||||||||||||||||||||||||||||||||||
-45% | 22.5 | % | 34.8 | % | 34.7 | % | 34.3 | % | 33.7 | % | 32.8 | % | 31.7 | % | 30.4 | % | 28.8 | % | 27.0 | % | 25.0 | % | 22.8 | % | 20.4 | % | 17.8 | % | 15.1 | % | 12.2 | % | 9.2 | % | ||||||||||||||||||||||||||||||||||
-40% | 20.0 | % | 29.1 | % | 29.0 | % | 28.6 | % | 28.0 | % | 27.2 | % | 26.1 | % | 24.8 | % | 23.3 | % | 21.6 | % | 19.7 | % | 17.5 | % | 15.3 | % | 12.8 | % | 10.2 | % | 7.4 | % | 4.5 | % | ||||||||||||||||||||||||||||||||||
-35% | 17.5 | % | 24.0 | % | 23.9 | % | 23.6 | % | 23.0 | % | 22.2 | % | 21.2 | % | 19.9 | % | 18.5 | % | 16.8 | % | 15.0 | % | 12.9 | % | 10.7 | % | 8.4 | % | 5.9 | % | 3.2 | % | 0.4 | % | ||||||||||||||||||||||||||||||||||
-30% | 15.0 | % | 19.5 | % | 19.4 | % | 19.1 | % | 18.5 | % | 17.7 | % | 16.8 | % | 15.6 | % | 14.2 | % | 12.6 | % | 10.8 | % | 8.8 | % | 6.7 | % | 4.4 | % | 2.0 | % | -0.5 | % | -3.2 | % | ||||||||||||||||||||||||||||||||||
-25% | 12.5 | % | 15.5 | % | 15.4 | % | 15.0 | % | 14.5 | % | 13.8 | % | 12.8 | % | 11.6 | % | 10.3 | % | 8.7 | % | 7.0 | % | 5.1 | % | 3.1 | % | 0.9 | % | -1.4 | % | -3.9 | % | -6.5 | % | ||||||||||||||||||||||||||||||||||
-20% | 10.0 | % | 11.8 | % | 11.7 | % | 11.4 | % | 10.9 | % | 10.1 | % | 9.2 | % | 8.1 | % | 6.8 | % | 5.3 | % | 3.6 | % | 1.8 | % | -0.2 | % | -2.3 | % | -4.6 | % | -7.0 | % | -9.5 | % | ||||||||||||||||||||||||||||||||||
-15% | 7.5 | % | 8.5 | % | 8.4 | % | 8.1 | % | 7.6 | % | 6.9 | % | 6.0 | % | 4.9 | % | 3.6 | % | 2.1 | % | 0.5 | % | -1.2 | % | -3.2 | % | -5.2 | % | -7.4 | % | -9.7 | % | -12.2 | % | ||||||||||||||||||||||||||||||||||
-10% | 5.0 | % | 5.4 | % | 5.3 | % | 5.0 | % | 4.5 | % | 3.8 | % | 3.0 | % | 1.9 | % | 0.7 | % | -0.7 | % | -2.3 | % | -4.0 | % | -5.9 | % | -7.9 | % | -10.0 | % | -12.3 | % | -14.6 | % | ||||||||||||||||||||||||||||||||||
-5% | 2.5 | % | 2.6 | % | 2.5 | % | 2.2 | % | 1.7 | % | 1.1 | % | 0.2 | % | -0.8 | % | -2.0 | % | -3.4 | % | -4.9 | % | -6.6 | % | -8.4 | % | -10.4 | % | -12.4 | % | -14.6 | % | -16.9 | % | ||||||||||||||||||||||||||||||||||
0% | 0.0 | % | 0.0 | % | -0.1 | % | -0.4 | % | -0.8 | % | -1.5 | % | -2.3 | % | -3.3 | % | -4.5 | % | -5.8 | % | -7.3 | % | -8.9 | % | -10.7 | % | -12.6 | % | -14.7 | % | -16.8 | % | -19.0 | % | ||||||||||||||||||||||||||||||||||
5% | -2.5 | % | -2.4 | % | -2.5 | % | -2.8 | % | -3.2 | % | -3.9 | % | -4.7 | % | -5.6 | % | -6.8 | % | -8.1 | % | -9.5 | % | -11.1 | % | -12.9 | % | -14.7 | % | -16.7 | % | -18.8 | % | -21.0 | % | ||||||||||||||||||||||||||||||||||
10% | -5.0 | % | -4.7 | % | -4.7 | % | -5.0 | % | -5.5 | % | -6.1 | % | -6.9 | % | -7.8 | % | -8.9 | % | -10.2 | % | -11.6 | % | -13.2 | % | -14.9 | % | -16.7 | % | -18.6 | % | -20.7 | % | -22.8 | % | ||||||||||||||||||||||||||||||||||
15% | -7.5 | % | -6.7 | % | -6.8 | % | �� | -7.1 | % | -7.5 | % | -8.1 | % | -8.9 | % | -9.8 | % | -10.9 | % | -12.2 | % | -13.6 | % | -15.1 | % | -16.7 | % | -18.5 | % | -20.4 | % | -22.4 | % | -24.5 | % | |||||||||||||||||||||||||||||||||
20% | -10.0 | % | -8.7 | % | -8.8 | % | -9.1 | % | -9.5 | % | -10.1 | % | -10.8 | % | -11.7 | % | -12.8 | % | -14.0 | % | -15.4 | % | -16.9 | % | -18.5 | % | -20.2 | % | -22.1 | % | -24.0 | % | -26.1 | % | ||||||||||||||||||||||||||||||||||
25% | -12.5 | % | -10.6 | % | -10.6 | % | -10.9 | % | -11.3 | % | -11.9 | % | -12.6 | % | -13.5 | % | -14.6 | % | -15.8 | % | -17.1 | % | -18.6 | % | -20.1 | % | -21.9 | % | -23.7 | % | -25.6 | % | -27.6 | % | ||||||||||||||||||||||||||||||||||
30% | -15.0 | % | -12.3 | % | -12.4 | % | -12.6 | % | -13.0 | % | -13.6 | % | -14.3 | % | -15.2 | % | -16.2 | % | -17.4 | % | -18.7 | % | -20.1 | % | -21.7 | % | -23.4 | % | -25.1 | % | -27.0 | % | -29.0 | % | ||||||||||||||||||||||||||||||||||
35% | -17.5 | % | -13.9 | % | -14.0 | % | -14.3 | % | -14.7 | % | -15.2 | % | -15.9 | % | -16.8 | % | -17.8 | % | -18.9 | % | -20.2 | % | -21.6 | % | -23.2 | % | -24.8 | % | -26.5 | % | -28.4 | % | -30.3 | % | ||||||||||||||||||||||||||||||||||
40% | -20.0 | % | -15.5 | % | -15.6 | % | -15.8 | % | -16.2 | % | -16.7 | % | -17.4 | % | -18.3 | % | -19.3 | % | -20.4 | % | -21.7 | % | -23.0 | % | -24.5 | % | -26.2 | % | -27.9 | % | -29.7 | % | -31.6 | % | ||||||||||||||||||||||||||||||||||
45% | -22.5 | % | -17.0 | % | -17.0 | % | -17.3 | % | -17.7 | % | -18.2 | % | -18.9 | % | -19.7 | % | -20.7 | % | -21.8 | % | -23.0 | % | -24.4 | % | -25.9 | % | -27.4 | % | -29.1 | % | -30.9 | % | -32.7 | % | ||||||||||||||||||||||||||||||||||
50% | -25.0 | % | -18.4 | % | -18.4 | % | -18.7 | % | -19.0 | % | -19.6 | % | -20.2 | % | -21.1 | % | -22.0 | % | -23.1 | % | -24.3 | % | -25.7 | % | -27.1 | % | -28.7 | % | -30.3 | % | -32.1 | % | -33.9 | % | ||||||||||||||||||||||||||||||||||
55% | -27.5 | % | -19.7 | % | -19.8 | % | -20.0 | % | -20.4 | % | -20.9 | % | -21.5 | % | -22.3 | % | -23.3 | % | -24.4 | % | -25.6 | % | -26.9 | % | -28.3 | % | -29.8 | % | -31.4 | % | -33.2 | % | -35.0 | % | ||||||||||||||||||||||||||||||||||
60% | -30.0 | % | -20.9 | % | -21.0 | % | -21.2 | % | -21.6 | % | -22.1 | % | -22.8 | % | -23.6 | % | -24.5 | % | -25.5 | % | -26.7 | % | -28.0 | % | -29.4 | % | -30.9 | % | -32.5 | % | -34.2 | % | -36.0 | % |
Index Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Index Performance | One-Half the Invers (-0.5x) One Year Index Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | 75% | |||||||||||||||||||||||||||||||||||||||||||||||||||
-60% | 30.0 | % | 58.1 | % | 58.0 | % | 57.5 | % | 56.8 | % | 55.8 | % | 54.5 | % | 52.9 | % | 51.0 | % | 48.9 | % | 46.6 | % | 44.0 | % | 41.2 | % | 38.1 | % | 34.9 | % | 31.6 | % | 28.0 | % | ||||||||||||||||||||||||||||||||||
-55% | 27.5 | % | 49.1 | % | 48.9 | % | 48.5 | % | 47.8 | % | 46.9 | % | 45.6 | % | 44.1 | % | 42.4 | % | 40.4 | % | 38.2 | % | 35.7 | % | 33.1 | % | 30.2 | % | 27.2 | % | 24.0 | % | 20.7 | % | ||||||||||||||||||||||||||||||||||
-50% | 25.0 | % | 41.4 | % | 41.3 | % | 40.9 | % | 40.2 | % | 39.3 | % | 38.1 | % | 36.7 | % | 35.1 | % | 33.2 | % | 31.1 | % | 28.8 | % | 26.3 | % | 23.6 | % | 20.7 | % | 17.7 | % | 14.5 | % | ||||||||||||||||||||||||||||||||||
-45% | 22.5 | % | 34.8 | % | 34.7 | % | 34.3 | % | 33.7 | % | 32.8 | % | 31.7 | % | 30.4 | % | 28.8 | % | 27.0 | % | 25.0 | % | 22.8 | % | 20.4 | % | 17.8 | % | 15.1 | % | 12.2 | % | 9.2 | % | ||||||||||||||||||||||||||||||||||
-40% | 20.0 | % | 29.1 | % | 29.0 | % | 28.6 | % | 28.0 | % | 27.2 | % | 26.1 | % | 24.8 | % | 23.3 | % | 21.6 | % | 19.7 | % | 17.5 | % | 15.3 | % | 12.8 | % | 10.2 | % | 7.4 | % | 4.5 | % | ||||||||||||||||||||||||||||||||||
-35% | 17.5 | % | 24.0 | % | 23.9 | % | 23.6 | % | 23.0 | % | 22.2 | % | 21.2 | % | 19.9 | % | 18.5 | % | 16.8 | % | 15.0 | % | 12.9 | % | 10.7 | % | 8.4 | % | 5.9 | % | 3.2 | % | 0.4 | % | ||||||||||||||||||||||||||||||||||
-30% | 15.0 | % | 19.5 | % | 19.4 | % | 19.1 | % | 18.5 | % | 17.7 | % | 16.8 | % | 15.6 | % | 14.2 | % | 12.6 | % | 10.8 | % | 8.8 | % | 6.7 | % | 4.4 | % | 2.0 | % | -0.5 | % | -3.2 | % | ||||||||||||||||||||||||||||||||||
-25% | 12.5 | % | 15.5 | % | 15.4 | % | 15.0 | % | 14.5 | % | 13.8 | % | 12.8 | % | 11.6 | % | 10.3 | % | 8.7 | % | 7.0 | % | 5.1 | % | 3.1 | % | 0.9 | % | -1.4 | % | -3.9 | % | -6.5 | % | ||||||||||||||||||||||||||||||||||
-20% | 10.0 | % | 11.8 | % | 11.7 | % | 11.4 | % | 10.9 | % | 10.1 | % | 9.2 | % | 8.1 | % | 6.8 | % | 5.3 | % | 3.6 | % | 1.8 | % | -0.2 | % | -2.3 | % | -4.6 | % | -7.0 | % | -9.5 | % | ||||||||||||||||||||||||||||||||||
-15% | 7.5 | % | 8.5 | % | 8.4 | % | 8.1 | % | 7.6 | % | 6.9 | % | 6.0 | % | 4.9 | % | 3.6 | % | 2.1 | % | 0.5 | % | -1.2 | % | -3.2 | % | -5.2 | % | -7.4 | % | -9.7 | % | -12.2 | % | ||||||||||||||||||||||||||||||||||
-10% | 5.0 | % | 5.4 | % | 5.3 | % | 5.0 | % | 4.5 | % | 3.8 | % | 3.0 | % | 1.9 | % | 0.7 | % | -0.7 | % | -2.3 | % | -4.0 | % | -5.9 | % | -7.9 | % | -10.0 | % | -12.3 | % | -14.6 | % | ||||||||||||||||||||||||||||||||||
-5% | 2.5 | % | 2.6 | % | 2.5 | % | 2.2 | % | 1.7 | % | 1.1 | % | 0.2 | % | -0.8 | % | -2.0 | % | -3.4 | % | -4.9 | % | -6.6 | % | -8.4 | % | -10.4 | % | -12.4 | % | -14.6 | % | -16.9 | % | ||||||||||||||||||||||||||||||||||
0% | 0.0 | % | 0.0 | % | -0.1 | % | -0.4 | % | -0.8 | % | -1.5 | % | -2.3 | % | -3.3 | % | -4.5 | % | -5.8 | % | -7.3 | % | -8.9 | % | -10.7 | % | -12.6 | % | -14.7 | % | -16.8 | % | -19.0 | % | ||||||||||||||||||||||||||||||||||
5% | -2.5 | % | -2.4 | % | -2.5 | % | -2.8 | % | -3.2 | % | -3.9 | % | -4.7 | % | -5.6 | % | -6.8 | % | -8.1 | % | -9.5 | % | -11.1 | % | -12.9 | % | -14.7 | % | -16.7 | % | -18.8 | % | -21.0 | % | ||||||||||||||||||||||||||||||||||
10% | -5.0 | % | -4.7 | % | -4.7 | % | -5.0 | % | -5.5 | % | -6.1 | % | -6.9 | % | -7.8 | % | -8.9 | % | -10.2 | % | -11.6 | % | -13.2 | % | -14.9 | % | -16.7 | % | -18.6 | % | -20.7 | % | -22.8 | % | ||||||||||||||||||||||||||||||||||
15% | -7.5 | % | -6.7 | % | -6.8 | % | -7.1 | % | -7.5 | % | -8.1 | % | -8.9 | % | -9.8 | % | -10.9 | % | -12.2 | % | -13.6 | % | -15.1 | % | -16.7 | % | -18.5 | % | -20.4 | % | -22.4 | % | -24.5 | % | ||||||||||||||||||||||||||||||||||
20% | -10.0 | % | -8.7 | % | -8.8 | % | -9.1 | % | -9.5 | % | -10.1 | % | -10.8 | % | -11.7 | % | -12.8 | % | -14.0 | % | -15.4 | % | -16.9 | % | -18.5 | % | -20.2 | % | -22.1 | % | -24.0 | % | -26.1 | % | ||||||||||||||||||||||||||||||||||
25% | -12.5 | % | -10.6 | % | -10.6 | % | -10.9 | % | -11.3 | % | -11.9 | % | -12.6 | % | -13.5 | % | -14.6 | % | -15.8 | % | -17.1 | % | -18.6 | % | -20.1 | % | -21.9 | % | -23.7 | % | -25.6 | % | -27.6 | % | ||||||||||||||||||||||||||||||||||
30% | -15.0 | % | -12.3 | % | -12.4 | % | -12.6 | % | -13.0 | % | -13.6 | % | -14.3 | % | -15.2 | % | -16.2 | % | -17.4 | % | -18.7 | % | -20.1 | % | -21.7 | % | -23.4 | % | -25.1 | % | -27.0 | % | -29.0 | % | ||||||||||||||||||||||||||||||||||
35% | -17.5 | % | -13.9 | % | -14.0 | % | -14.3 | % | -14.7 | % | -15.2 | % | -15.9 | % | -16.8 | % | -17.8 | % | -18.9 | % | -20.2 | % | -21.6 | % | -23.2 | % | -24.8 | % | -26.5 | % | -28.4 | % | -30.3 | % | ||||||||||||||||||||||||||||||||||
40% | -20.0 | % | -15.5 | % | -15.6 | % | -15.8 | % | -16.2 | % | -16.7 | % | -17.4 | % | -18.3 | % | -19.3 | % | -20.4 | % | -21.7 | % | -23.0 | % | -24.5 | % | -26.2 | % | -27.9 | % | -29.7 | % | -31.6 | % | ||||||||||||||||||||||||||||||||||
45% | -22.5 | % | -17.0 | % | -17.0 | % | -17.3 | % | -17.7 | % | -18.2 | % | -18.9 | % | -19.7 | % | -20.7 | % | -21.8 | % | -23.0 | % | -24.4 | % | -25.9 | % | -27.4 | % | -29.1 | % | -30.9 | % | -32.7 | % | ||||||||||||||||||||||||||||||||||
50% | -25.0 | % | -18.4 | % | -18.4 | % | -18.7 | % | -19.0 | % | -19.6 | % | -20.2 | % | -21.1 | % | -22.0 | % | -23.1 | % | -24.3 | % | -25.7 | % | -27.1 | % | -28.7 | % | -30.3 | % | -32.1 | % | -33.9 | % | ||||||||||||||||||||||||||||||||||
55% | -27.5 | % | -19.7 | % | -19.8 | % | -20.0 | % | -20.4 | % | -20.9 | % | -21.5 | % | -22.3 | % | -23.3 | % | -24.4 | % | -25.6 | % | -26.9 | % | -28.3 | % | -29.8 | % | -31.4 | % | -33.2 | % | -35.0 | % | ||||||||||||||||||||||||||||||||||
60% | -30.0 | % | -20.9 | % | -21.0 | % | -21.2 | % | -21.6 | % | -22.1 | % | -22.8 | % | -23.6 | % | -24.5 | % | -25.5 | % | -26.7 | % | -28.0 | % | -29.4 | % | -30.9 | % | -32.5 | % | -34.2 | % | -36.0 | % |
Benchmark Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance | Inverse(-1x) of One Year Benchmark Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% | 60 | % | 150.0 | % | 149.4 | % | 147.5 | % | 144.4 | % | 140.2 | % | 134.9 | % | 128.5 | % | 121.2 | % | 113.0 | % | 104.2 | % | 94.7 | % | 84.7 | % | 74.4 | % | 63.9 | % | 53.2 | % | ||||||||||||||||||||||||||||||||
-55% | 55 | % | 122.2 | % | 121.7 | % | 120.0 | % | 117.3 | % | 113.5 | % | 108.8 | % | 103.1 | % | 96.6 | % | 89.4 | % | 81.5 | % | 73.1 | % | 64.2 | % | 55.0 | % | 45.6 | % | 36.1 | % | ||||||||||||||||||||||||||||||||
-50% | 50 | % | 100.0 | % | 99.5 | % | 98.0 | % | 95.6 | % | 92.2 | % | 87.9 | % | 82.8 | % | 76.9 | % | 70.4 | % | 63.3 | % | 55.8 | % | 47.8 | % | 39.5 | % | 31.1 | % | 22.5 | % | ||||||||||||||||||||||||||||||||
-45% | 45 | % | 81.8 | % | 81.4 | % | 80.0 | % | 77.8 | % | 74.7 | % | 70.8 | % | 66.2 | % | 60.9 | % | 54.9 | % | 48.5 | % | 41.6 | % | 34.4 | % | 26.9 | % | 19.2 | % | 11.4 | % | ||||||||||||||||||||||||||||||||
-40% | 40 | % | 66.7 | % | 66.3 | % | 65.0 | % | 63.0 | % | 60.1 | % | 56.6 | % | 52.3 | % | 47.5 | % | 42.0 | % | 36.1 | % | 29.8 | % | 23.2 | % | 16.3 | % | 9.2 | % | 2.1 | % | ||||||||||||||||||||||||||||||||
-35% | 35 | % | 53.8 | % | 53.5 | % | 52.3 | % | 50.4 | % | 47.8 | % | 44.5 | % | 40.6 | % | 36.1 | % | 31.1 | % | 25.6 | % | 19.8 | % | 13.7 | % | 7.3 | % | 0.8 | % | -5.7 | % | ||||||||||||||||||||||||||||||||
-30% | 30 | % | 42.9 | % | 42.5 | % | 41.4 | % | 39.7 | % | 37.3 | % | 34.2 | % | 30.6 | % | 26.4 | % | 21.7 | % | 16.7 | % | 11.3 | % | 5.6 | % | -0.3 | % | -6.4 | % | -12.5 | % | ||||||||||||||||||||||||||||||||
-25% | 25 | % | 33.3 | % | 33.0 | % | 32.0 | % | 30.4 | % | 28.1 | % | 25.3 | % | 21.9 | % | 18.0 | % | 13.6 | % | 8.9 | % | 3.8 | % | -1.5 | % | -7.0 | % | -12.6 | % | -18.3 | % | ||||||||||||||||||||||||||||||||
-20% | 20 | % | 25.0 | % | 24.7 | % | 23.8 | % | 22.2 | % | 20.1 | % | 17.4 | % | 14.2 | % | 10.6 | % | 6.5 | % | 2.1 | % | -2.6 | % | -7.6 | % | -12.8 | % | -18.1 | % | -23.4 | % | ||||||||||||||||||||||||||||||||
-15% | 15 | % | 17.6 | % | 17.4 | % | 16.5 | % | 15.0 | % | 13.0 | % | 10.5 | % | 7.5 | % | 4.1 | % | 0.3 | % | -3.9 | % | -8.4 | % | -13.1 | % | -17.9 | % | -22.9 | % | -27.9 | % | ||||||||||||||||||||||||||||||||
-10% | 10 | % | 11.1 | % | 10.8 | % | 10.0 | % | 8.6 | % | 6.8 | % | 4.4 | % | 1.5 | % | -1.7 | % | -5.3 | % | -9.3 | % | -13.5 | % | -17.9 | % | -22.5 | % | -27.2 | % | -31.9 | % | ||||||||||||||||||||||||||||||||
-5% | 5 | % | 5.3 | % | 5.0 | % | 4.2 | % | 2.9 | % | 1.1 | % | -1.1 | % | -3.8 | % | -6.9 | % | -10.3 | % | -14.0 | % | -18.0 | % | -22.2 | % | -26.6 | % | -31.0 | % | -35.5 | % | ||||||||||||||||||||||||||||||||
0% | 0 | % | 0.0 | % | -0.2 | % | -1.0 | % | -2.2 | % | -3.9 | % | -6.1 | % | -8.6 | % | -11.5 | % | -14.8 | % | -18.3 | % | -22.1 | % | -26.1 | % | -30.2 | % | -34.5 | % | -38.7 | % | ||||||||||||||||||||||||||||||||
5% | -5 | % | -4.8 | % | -5.0 | % | -5.7 | % | -6.9 | % | -8.5 | % | -10.5 | % | -13.0 | % | -15.7 | % | -18.8 | % | -22.2 | % | -25.8 | % | -29.6 | % | -33.6 | % | -37.6 | % | -41.7 | % | ||||||||||||||||||||||||||||||||
10% | -10 | % | -9.1 | % | -9.3 | % | -10.0 | % | -11.1 | % | -12.7 | % | -14.6 | % | -16.9 | % | -19.6 | % | -22.5 | % | -25.8 | % | -29.2 | % | -32.8 | % | -36.6 | % | -40.4 | % | -44.3 | % | ||||||||||||||||||||||||||||||||
15% | -15 | % | -13.0 | % | -13.3 | % | -13.9 | % | -15.0 | % | -16.5 | % | -18.3 | % | -20.5 | % | -23.1 | % | -25.9 | % | -29.0 | % | -32.3 | % | -35.7 | % | -39.3 | % | -43.0 | % | -46.7 | % | ||||||||||||||||||||||||||||||||
20% | -20 | % | -16.7 | % | -16.9 | % | -17.5 | % | -18.5 | % | -19.9 | % | -21.7 | % | -23.8 | % | -26.3 | % | -29.0 | % | -31.9 | % | -35.1 | % | -38.4 | % | -41.9 | % | -45.4 | % | -48.9 | % | ||||||||||||||||||||||||||||||||
25% | -25 | % | -20.0 | % | -20.2 | % | -20.8 | % | -21.8 | % | -23.1 | % | -24.8 | % | -26.9 | % | -29.2 | % | -31.8 | % | -34.7 | % | -37.7 | % | -40.9 | % | -44.2 | % | -47.6 | % | -51.0 | % | ||||||||||||||||||||||||||||||||
30% | -30 | % | -23.1 | % | -23.3 | % | -23.8 | % | -24.8 | % | -26.1 | % | -27.7 | % | -29.7 | % | -31.9 | % | -34.5 | % | -37.2 | % | -40.1 | % | -43.2 | % | -46.3 | % | -49.6 | % | -52.9 | % | ||||||||||||||||||||||||||||||||
35% | -35 | % | -25.9 | % | -26.1 | % | -26.7 | % | -27.6 | % | -28.8 | % | -30.4 | % | -32.3 | % | -34.5 | % | -36.9 | % | -39.5 | % | -42.3 | % | -45.3 | % | -48.3 | % | -51.5 | % | -54.6 | % | ||||||||||||||||||||||||||||||||
40% | -40 | % | -28.6 | % | -28.7 | % | -29.3 | % | -30.2 | % | -31.4 | % | -32.9 | % | -34.7 | % | -36.8 | % | -39.1 | % | -41.7 | % | -44.4 | % | -47.2 | % | -50.2 | % | -53.2 | % | -56.2 | % | ||||||||||||||||||||||||||||||||
45% | -45 | % | -31.0 | % | -31.2 | % | -31.7 | % | -32.6 | % | -33.7 | % | -35.2 | % | -37.0 | % | -39.0 | % | -41.2 | % | -43.7 | % | -46.3 | % | -49.0 | % | -51.9 | % | -54.8 | % | -57.7 | % | ||||||||||||||||||||||||||||||||
50% | -50 | % | -33.3 | % | -33.5 | % | -34.0 | % | -34.8 | % | -35.9 | % | -37.4 | % | -39.1 | % | -41.0 | % | -43.2 | % | -45.6 | % | -48.1 | % | -50.7 | % | -53.5 | % | -56.3 | % | -59.2 | % | ||||||||||||||||||||||||||||||||
55% | -55 | % | -35.5 | % | -35.6 | % | -36.1 | % | -36.9 | % | -38.0 | % | -39.4 | % | -41.0 | % | -42.9 | % | -45.0 | % | -47.3 | % | -49.8 | % | -52.3 | % | -55.0 | % | -57.7 | % | -60.5 | % | ||||||||||||||||||||||||||||||||
60% | -60 | % | -37.5 | % | -37.7 | % | -38.1 | % | -38.9 | % | -40.0 | % | -41.3 | % | -42.9 | % | -44.7 | % | -46.7 | % | -49.0 | % | -51.3 | % | -53.8 | % | -56.4 | % | -59.0 | % | -61.7 | % |
Benchmark Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance | Two Times Inverse(-2x) of One Year Benchmark Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% | 120 | % | 525.0 | % | 520.3 | % | 506.5 | % | 484.2 | % | 454.3 | % | 418.1 | % | 377.1 | % | 332.8 | % | 286.7 | % | 240.4 | % | 195.2 | % | 152.2 | % | 112.2 | % | 76.0 | % | 43.7 | % | ||||||||||||||||||||||||||||||||
-55% | 110 | % | 393.8 | % | 390.1 | % | 379.2 | % | 361.6 | % | 338.0 | % | 309.4 | % | 277.0 | % | 242.0 | % | 205.6 | % | 169.0 | % | 133.3 | % | 99.3 | % | 67.7 | % | 39.0 | % | 13.5 | % | ||||||||||||||||||||||||||||||||
-50% | 100 | % | 300.0 | % | 297.0 | % | 288.2 | % | 273.9 | % | 254.8 | % | 231.6 | % | 205.4 | % | 177.0 | % | 147.5 | % | 117.9 | % | 88.9 | % | 61.4 | % | 35.8 | % | 12.6 | % | -8.0 | % | ||||||||||||||||||||||||||||||||
-45% | 90 | % | 230.6 | % | 228.1 | % | 220.8 | % | 209.0 | % | 193.2 | % | 174.1 | % | 152.4 | % | 128.9 | % | 104.6 | % | 80.1 | % | 56.2 | % | 33.4 | % | 12.3 | % | -6.9 | % | -24.0 | % | ||||||||||||||||||||||||||||||||
-40% | 80 | % | 177.8 | % | 175.7 | % | 169.6 | % | 159.6 | % | 146.4 | % | 130.3 | % | 112.0 | % | 92.4 | % | 71.9 | % | 51.3 | % | 31.2 | % | 12.1 | % | -5.7 | % | -21.8 | % | -36.1 | % | ||||||||||||||||||||||||||||||||
-35% | 70 | % | 136.7 | % | 134.9 | % | 129.7 | % | 121.2 | % | 109.9 | % | 96.2 | % | 80.7 | % | 63.9 | % | 46.5 | % | 28.9 | % | 11.8 | % | -4.5 | % | -19.6 | % | -33.4 | % | -45.6 | % | ||||||||||||||||||||||||||||||||
-30% | 60 | % | 104.1 | % | 102.6 | % | 98.1 | % | 90.8 | % | 81.0 | % | 69.2 | % | 55.8 | % | 41.3 | % | 26.3 | % | 11.2 | % | -3.6 | % | -17.6 | % | -30.7 | % | -42.5 | % | -53.1 | % | ||||||||||||||||||||||||||||||||
-25% | 50 | % | 77.8 | % | 76.4 | % | 72.5 | % | 66.2 | % | 57.7 | % | 47.4 | % | 35.7 | % | 23.1 | % | 10.0 | % | -3.2 | % | -16.0 | % | -28.3 | % | -39.6 | % | -49.9 | % | -59.1 | % | ||||||||||||||||||||||||||||||||
-20% | 40 | % | 56.3 | % | 55.1 | % | 51.6 | % | 46.1 | % | 38.6 | % | 29.5 | % | 19.3 | % | 8.2 | % | -3.3 | % | -14.9 | % | -26.2 | % | -36.9 | % | -46.9 | % | -56.0 | % | -64.1 | % | ||||||||||||||||||||||||||||||||
-15% | 30 | % | 38.4 | % | 37.4 | % | 34.3 | % | 29.4 | % | 22.8 | % | 14.7 | % | 5.7 | % | -4.2 | % | -14.4 | % | -24.6 | % | -34.6 | % | -44.1 | % | -53.0 | % | -61.0 | % | -68.2 | % | ||||||||||||||||||||||||||||||||
-10% | 20 | % | 23.5 | % | 22.5 | % | 19.8 | % | 15.4 | % | 9.5 | % | 2.3 | % | -5.8 | % | -14.5 | % | -23.6 | % | -32.8 | % | -41.7 | % | -50.2 | % | -58.1 | % | -65.2 | % | -71.6 | % | ||||||||||||||||||||||||||||||||
-5% | 10 | % | 10.8 | % | 10.0 | % | 7.5 | % | 3.6 | % | -1.7 | % | -8.1 | % | -15.4 | % | -23.3 | % | -31.4 | % | -39.6 | % | -47.7 | % | -55.3 | % | -62.4 | % | -68.8 | % | -74.5 | % | ||||||||||||||||||||||||||||||||
0% | 0 | % | 0.0 | % | -0.7 | % | -3.0 | % | -6.5 | % | -11.3 | % | -17.1 | % | -23.7 | % | -30.8 | % | -38.1 | % | -45.5 | % | -52.8 | % | -59.6 | % | -66.0 | % | -71.8 | % | -77.0 | % | ||||||||||||||||||||||||||||||||
5% | -10 | % | -9.3 | % | -10.0 | % | -12.0 | % | -15.2 | % | -19.6 | % | -24.8 | % | -30.8 | % | -37.2 | % | -43.9 | % | -50.6 | % | -57.2 | % | -63.4 | % | -69.2 | % | -74.5 | % | -79.1 | % | ||||||||||||||||||||||||||||||||
10% | -20 | % | -17.4 | % | -18.0 | % | -19.8 | % | -22.7 | % | -26.7 | % | -31.5 | % | -36.9 | % | -42.8 | % | -48.9 | % | -55.0 | % | -61.0 | % | -66.7 | % | -71.9 | % | -76.7 | % | -81.0 | % | ||||||||||||||||||||||||||||||||
15% | -30 | % | -24.4 | % | -25.0 | % | -26.6 | % | -29.3 | % | -32.9 | % | -37.3 | % | -42.3 | % | -47.6 | % | -53.2 | % | -58.8 | % | -64.3 | % | -69.5 | % | -74.3 | % | -78.7 | % | -82.6 | % | ||||||||||||||||||||||||||||||||
20% | -40 | % | -30.6 | % | -31.1 | % | -32.6 | % | -35.1 | % | -38.4 | % | -42.4 | % | -47.0 | % | -51.9 | % | -57.0 | % | -62.2 | % | -67.2 | % | -72.0 | % | -76.4 | % | -80.4 | % | -84.0 | % | ||||||||||||||||||||||||||||||||
25% | -50 | % | -36.0 | % | -36.5 | % | -37.9 | % | -40.2 | % | -43.2 | % | -46.9 | % | -51.1 | % | -55.7 | % | -60.4 | % | -65.1 | % | -69.8 | % | -74.2 | % | -78.3 | % | -82.0 | % | -85.3 | % | ||||||||||||||||||||||||||||||||
30% | -60 | % | -40.8 | % | -41.3 | % | -42.6 | % | -44.7 | % | -47.5 | % | -50.9 | % | -54.8 | % | -59.0 | % | -63.4 | % | -67.8 | % | -72.0 | % | -76.1 | % | -79.9 | % | -83.3 | % | -86.4 | % | ||||||||||||||||||||||||||||||||
35% | -70 | % | -45.1 | % | -45.5 | % | -46.8 | % | -48.7 | % | -51.3 | % | -54.5 | % | -58.1 | % | -62.0 | % | -66.0 | % | -70.1 | % | -74.1 | % | -77.9 | % | -81.4 | % | -84.6 | % | -87.4 | % | ||||||||||||||||||||||||||||||||
40% | -80 | % | -49.0 | % | -49.4 | % | -50.5 | % | -52.3 | % | -54.7 | % | -57.7 | % | -61.1 | % | -64.7 | % | -68.4 | % | -72.2 | % | -75.9 | % | -79.4 | % | -82.7 | % | -85.6 | % | -88.3 | % | ||||||||||||||||||||||||||||||||
45% | -90 | % | -52.4 | % | -52.8 | % | -53.8 | % | -55.5 | % | -57.8 | % | -60.6 | % | -63.7 | % | -67.1 | % | -70.6 | % | -74.1 | % | -77.5 | % | -80.8 | % | -83.8 | % | -86.6 | % | -89.1 | % | ||||||||||||||||||||||||||||||||
50% | -100 | % | -55.6 | % | -55.9 | % | -56.9 | % | -58.5 | % | -60.6 | % | -63.2 | % | -66.1 | % | -69.2 | % | -72.5 | % | -75.8 | % | -79.0 | % | -82.1 | % | -84.9 | % | -87.5 | % | -89.8 | % | ||||||||||||||||||||||||||||||||
55% | -110 | % | -58.4 | % | -58.7 | % | -59.6 | % | -61.1 | % | -63.1 | % | -65.5 | % | -68.2 | % | -71.2 | % | -74.2 | % | -77.3 | % | -80.3 | % | -83.2 | % | -85.9 | % | -88.3 | % | -90.4 | % | ||||||||||||||||||||||||||||||||
60% | -120 | % | -60.9 | % | -61.2 | % | -62.1 | % | -63.5 | % | -65.4 | % | -67.6 | % | -70.2 | % | -73.0 | % | -75.8 | % | -78.7 | % | -81.5 | % | -84.2 | % | -86.7 | % | -89.0 | % | -91.0 | % |
Benchmark Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance | Two Times Inverse(-2x) of One Year Benchmark Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% | 120 | % | 525.0 | % | 520.3 | % | 506.5 | % | 484.2 | % | 454.3 | % | 418.1 | % | 377.1 | % | 332.8 | % | 286.7 | % | 240.4 | % | 195.2 | % | 152.2 | % | 112.2 | % | 76.0 | % | 43.7 | % | ||||||||||||||||||||||||||||||||
-55% | 110 | % | 393.8 | % | 390.1 | % | 379.2 | % | 361.6 | % | 338.0 | % | 309.4 | % | 277.0 | % | 242.0 | % | 205.6 | % | 169.0 | % | 133.3 | % | 99.3 | % | 67.7 | % | 39.0 | % | 13.5 | % | ||||||||||||||||||||||||||||||||
-50% | 100 | % | 300.0 | % | 297.0 | % | 288.2 | % | 273.9 | % | 254.8 | % | 231.6 | % | 205.4 | % | 177.0 | % | 147.5 | % | 117.9 | % | 88.9 | % | 61.4 | % | 35.8 | % | 12.6 | % | -8.0 | % | ||||||||||||||||||||||||||||||||
-45% | 90 | % | 230.6 | % | 228.1 | % | 220.8 | % | 209.0 | % | 193.2 | % | 174.1 | % | 152.4 | % | 128.9 | % | 104.6 | % | 80.1 | % | 56.2 | % | 33.4 | % | 12.3 | % | -6.9 | % | -24.0 | % | ||||||||||||||||||||||||||||||||
-40% | 80 | % | 177.8 | % | 175.7 | % | 169.6 | % | 159.6 | % | 146.4 | % | 130.3 | % | 112.0 | % | 92.4 | % | 71.9 | % | 51.3 | % | 31.2 | % | 12.1 | % | -5.7 | % | -21.8 | % | -36.1 | % | ||||||||||||||||||||||||||||||||
-35% | 70 | % | 136.7 | % | 134.9 | % | 129.7 | % | 121.2 | % | 109.9 | % | 96.2 | % | 80.7 | % | 63.9 | % | 46.5 | % | 28.9 | % | 11.8 | % | -4.5 | % | -19.6 | % | -33.4 | % | -45.6 | % | ||||||||||||||||||||||||||||||||
-30% | 60 | % | 104.1 | % | 102.6 | % | 98.1 | % | 90.8 | % | 81.0 | % | 69.2 | % | 55.8 | % | 41.3 | % | 26.3 | % | 11.2 | % | -3.6 | % | -17.6 | % | -30.7 | % | -42.5 | % | -53.1 | % | ||||||||||||||||||||||||||||||||
-25% | 50 | % | 77.8 | % | 76.4 | % | 72.5 | % | 66.2 | % | 57.7 | % | 47.4 | % | 35.7 | % | 23.1 | % | 10.0 | % | -3.2 | % | -16.0 | % | -28.3 | % | -39.6 | % | -49.9 | % | -59.1 | % | ||||||||||||||||||||||||||||||||
-20% | 40 | % | 56.3 | % | 55.1 | % | 51.6 | % | 46.1 | % | 38.6 | % | 29.5 | % | 19.3 | % | 8.2 | % | -3.3 | % | -14.9 | % | -26.2 | % | -36.9 | % | -46.9 | % | -56.0 | % | -64.1 | % | ||||||||||||||||||||||||||||||||
-15% | 30 | % | 38.4 | % | 37.4 | % | 34.3 | % | 29.4 | % | 22.8 | % | 14.7 | % | 5.7 | % | -4.2 | % | -14.4 | % | -24.6 | % | -34.6 | % | -44.1 | % | -53.0 | % | -61.0 | % | -68.2 | % | ||||||||||||||||||||||||||||||||
-10% | 20 | % | 23.5 | % | 22.5 | % | 19.8 | % | 15.4 | % | 9.5 | % | 2.3 | % | -5.8 | % | -14.5 | % | -23.6 | % | -32.8 | % | -41.7 | % | -50.2 | % | -58.1 | % | -65.2 | % | -71.6 | % | ||||||||||||||||||||||||||||||||
-5% | 10 | % | 10.8 | % | 10.0 | % | 7.5 | % | 3.6 | % | -1.7 | % | -8.1 | % | -15.4 | % | -23.3 | % | -31.4 | % | -39.6 | % | -47.7 | % | -55.3 | % | -62.4 | % | -68.8 | % | -74.5 | % | ||||||||||||||||||||||||||||||||
0% | 0 | % | 0.0 | % | -0.7 | % | -3.0 | % | -6.5 | % | -11.3 | % | -17.1 | % | -23.7 | % | -30.8 | % | -38.1 | % | -45.5 | % | -52.8 | % | -59.6 | % | -66.0 | % | -71.8 | % | -77.0 | % | ||||||||||||||||||||||||||||||||
5% | -10 | % | -9.3 | % | -10.0 | % | -12.0 | % | -15.2 | % | -19.6 | % | -24.8 | % | -30.8 | % | -37.2 | % | -43.9 | % | -50.6 | % | -57.2 | % | -63.4 | % | -69.2 | % | -74.5 | % | -79.1 | % | ||||||||||||||||||||||||||||||||
10% | -20 | % | -17.4 | % | -18.0 | % | -19.8 | % | -22.7 | % | -26.7 | % | -31.5 | % | -36.9 | % | -42.8 | % | -48.9 | % | -55.0 | % | -61.0 | % | -66.7 | % | -71.9 | % | -76.7 | % | -81.0 | % | ||||||||||||||||||||||||||||||||
15% | -30 | % | -24.4 | % | -25.0 | % | -26.6 | % | -29.3 | % | -32.9 | % | -37.3 | % | -42.3 | % | -47.6 | % | -53.2 | % | -58.8 | % | -64.3 | % | -69.5 | % | -74.3 | % | -78.7 | % | -82.6 | % | ||||||||||||||||||||||||||||||||
20% | -40 | % | -30.6 | % | -31.1 | % | -32.6 | % | -35.1 | % | -38.4 | % | -42.4 | % | -47.0 | % | -51.9 | % | -57.0 | % | -62.2 | % | -67.2 | % | -72.0 | % | -76.4 | % | -80.4 | % | -84.0 | % | ||||||||||||||||||||||||||||||||
25% | -50 | % | -36.0 | % | -36.5 | % | -37.9 | % | -40.2 | % | -43.2 | % | -46.9 | % | -51.1 | % | -55.7 | % | -60.4 | % | -65.1 | % | -69.8 | % | -74.2 | % | -78.3 | % | -82.0 | % | -85.3 | % | ||||||||||||||||||||||||||||||||
30% | -60 | % | -40.8 | % | -41.3 | % | -42.6 | % | -44.7 | % | -47.5 | % | -50.9 | % | -54.8 | % | -59.0 | % | -63.4 | % | -67.8 | % | -72.0 | % | -76.1 | % | -79.9 | % | -83.3 | % | -86.4 | % | ||||||||||||||||||||||||||||||||
35% | -70 | % | -45.1 | % | -45.5 | % | -46.8 | % | -48.7 | % | -51.3 | % | -54.5 | % | -58.1 | % | -62.0 | % | -66.0 | % | -70.1 | % | -74.1 | % | -77.9 | % | -81.4 | % | -84.6 | % | -87.4 | % | ||||||||||||||||||||||||||||||||
40% | -80 | % | -49.0 | % | -49.4 | % | -50.5 | % | -52.3 | % | -54.7 | % | -57.7 | % | -61.1 | % | -64.7 | % | -68.4 | % | -72.2 | % | -75.9 | % | -79.4 | % | -82.7 | % | -85.6 | % | -88.3 | % | ||||||||||||||||||||||||||||||||
45% | -90 | % | -52.4 | % | -52.8 | % | -53.8 | % | -55.5 | % | -57.8 | % | -60.6 | % | -63.7 | % | -67.1 | % | -70.6 | % | -74.1 | % | -77.5 | % | -80.8 | % | -83.8 | % | -86.6 | % | -89.1 | % | ||||||||||||||||||||||||||||||||
50% | -100 | % | -55.6 | % | -55.9 | % | -56.9 | % | -58.5 | % | -60.6 | % | -63.2 | % | -66.1 | % | -69.2 | % | -72.5 | % | -75.8 | % | -79.0 | % | -82.1 | % | -84.9 | % | -87.5 | % | -89.8 | % | ||||||||||||||||||||||||||||||||
55% | -110 | % | -58.4 | % | -58.7 | % | -59.6 | % | -61.1 | % | -63.1 | % | -65.5 | % | -68.2 | % | -71.2 | % | -74.2 | % | -77.3 | % | -80.3 | % | -83.2 | % | -85.9 | % | -88.3 | % | -90.4 | % | ||||||||||||||||||||||||||||||||
60% | -120 | % | -60.9 | % | -61.2 | % | -62.1 | % | -63.5 | % | -65.4 | % | -67.6 | % | -70.2 | % | -73.0 | % | -75.8 | % | -78.7 | % | -81.5 | % | -84.2 | % | -86.7 | % | -89.0 | % | -91.0 | % |
Index Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Index Performance | One and One-Half Times (1.5x) One Year Index Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | 75% | |||||||||||||||||||||||||||||||||||||||||||||||||||
-60% | -90.0 | % | -74.7 | % | -74.7 | % | -74.8 | % | -74.9 | % | -75.1 | % | -75.3 | % | -75.5 | % | -75.8 | % | -76.2 | % | -76.6 | % | -77.0 | % | -77.4 | % | -77.9 | % | -78.4 | % | -78.9 | % | -79.5 | % | ||||||||||||||||||||||||||||||||||
-55% | -82.5 | % | -69.8 | % | -69.8 | % | -69.9 | % | -70.1 | % | -70.3 | % | -70.5 | % | -70.8 | % | -71.2 | % | -71.6 | % | -72.0 | % | -72.5 | % | -73.1 | % | -73.6 | % | -74.2 | % | -74.9 | % | -75.6 | % | ||||||||||||||||||||||||||||||||||
-50% | -75.0 | % | -64.6 | % | -64.7 | % | -64.8 | % | -64.9 | % | -65.2 | % | -65.5 | % | -65.8 | % | -66.2 | % | -66.7 | % | -67.2 | % | -67.8 | % | -68.4 | % | -69.1 | % | -69.8 | % | -70.6 | % | -71.4 | % | ||||||||||||||||||||||||||||||||||
-45% | -67.5 | % | -59.2 | % | -59.2 | % | -59.4 | % | -59.6 | % | -59.8 | % | -60.2 | % | -60.6 | % | -61.0 | % | -61.6 | % | -62.2 | % | -62.9 | % | -63.6 | % | -64.4 | % | -65.2 | % | -66.1 | % | -67.0 | % | ||||||||||||||||||||||||||||||||||
-40% | -60.0 | % | -53.5 | % | -53.6 | % | -53.7 | % | -53.9 | % | -54.2 | % | -54.6 | % | -55.1 | % | -55.6 | % | -56.2 | % | -56.9 | % | -57.7 | % | -58.5 | % | -59.4 | % | -60.3 | % | -61.3 | % | -62.4 | % | ||||||||||||||||||||||||||||||||||
-35% | -52.5 | % | -47.6 | % | -47.6 | % | -47.8 | % | -48.0 | % | -48.4 | % | -48.8 | % | -49.3 | % | -49.9 | % | -50.6 | % | -51.4 | % | -52.3 | % | -53.2 | % | -54.2 | % | -55.3 | % | -56.4 | % | -57.6 | % | ||||||||||||||||||||||||||||||||||
-30% | -45.0 | % | -41.4 | % | -41.5 | % | -41.7 | % | -41.9 | % | -42.3 | % | -42.8 | % | -43.4 | % | -44.1 | % | -44.8 | % | -45.7 | % | -46.7 | % | -47.7 | % | -48.8 | % | -50.0 | % | -51.3 | % | -52.6 | % | ||||||||||||||||||||||||||||||||||
-25% | -37.5 | % | -35.0 | % | -35.1 | % | -35.3 | % | -35.6 | % | -36.0 | % | -36.6 | % | -37.2 | % | -38.0 | % | -38.8 | % | -39.8 | % | -40.9 | % | -42.0 | % | -43.3 | % | -44.6 | % | -46.0 | % | -47.4 | % | ||||||||||||||||||||||||||||||||||
-20% | -30.0 | % | -28.4 | % | -28.5 | % | -28.7 | % | -29.0 | % | -29.5 | % | -30.1 | % | -30.8 | % | -31.7 | % | -32.6 | % | -33.7 | % | -34.8 | % | -36.1 | % | -37.5 | % | -38.9 | % | -40.5 | % | -42.1 | % | ||||||||||||||||||||||||||||||||||
-15% | -22.5 | % | -21.6 | % | -21.7 | % | -21.9 | % | -22.3 | % | -22.8 | % | -23.4 | % | -24.2 | % | -25.2 | % | -26.2 | % | -27.4 | % | -28.6 | % | -30.0 | % | -31.5 | % | -33.1 | % | -34.8 | % | -36.5 | % | ||||||||||||||||||||||||||||||||||
-10% | -15.0 | % | -14.6 | % | -14.7 | % | -14.9 | % | -15.3 | % | -15.9 | % | -16.6 | % | -17.5 | % | -18.5 | % | -19.6 | % | -20.9 | % | -22.3 | % | -23.8 | % | -25.4 | % | -27.1 | % | -29.0 | % | -30.9 | % | ||||||||||||||||||||||||||||||||||
-5% | -7.5 | % | -7.4 | % | -7.5 | % | -7.8 | % | -8.2 | % | -8.8 | % | -9.6 | % | -10.5 | % | -11.6 | % | -12.8 | % | -14.2 | % | -15.7 | % | -17.3 | % | -19.1 | % | -21.0 | % | -22.9 | % | -25.0 | % | ||||||||||||||||||||||||||||||||||
0% | 0.0 | % | 0.0 | % | -0.1 | % | -0.4 | % | -0.8 | % | -1.5 | % | -2.3 | % | -3.3 | % | -4.5 | % | -5.8 | % | -7.3 | % | -8.9 | % | -10.7 | % | -12.6 | % | -14.7 | % | -16.8 | % | -19.0 | % | ||||||||||||||||||||||||||||||||||
5% | 7.5 | % | 7.6 | % | 7.5 | % | 7.2 | % | 6.7 | % | 6.0 | % | 5.1 | % | 4.0 | % | 2.8 | % | 1.3 | % | -0.3 | % | -2.0 | % | -3.9 | % | -6.0 | % | -8.2 | % | -10.5 | % | -12.9 | % | ||||||||||||||||||||||||||||||||||
10% | 15.0 | % | 15.4 | % | 15.3 | % | 14.9 | % | 14.4 | % | 13.7 | % | 12.7 | % | 11.5 | % | 10.2 | % | 8.7 | % | 6.9 | % | 5.0 | % | 3.0 | % | 0.8 | % | -1.5 | % | -4.0 | % | -6.6 | % | ||||||||||||||||||||||||||||||||||
15% | 22.5 | % | 23.3 | % | 23.2 | % | 22.9 | % | 22.3 | % | 21.5 | % | 20.5 | % | 19.2 | % | 17.8 | % | 16.1 | % | 14.3 | % | 12.3 | % | 10.1 | % | 7.7 | % | 5.3 | % | 2.6 | % | -0.1 | % | ||||||||||||||||||||||||||||||||||
20% | 30.0 | % | 31.5 | % | 31.3 | % | 31.0 | % | 30.3 | % | 29.5 | % | 28.4 | % | 27.1 | % | 25.6 | % | 23.8 | % | 21.8 | % | 19.7 | % | 17.4 | % | 14.9 | % | 12.2 | % | 9.4 | % | 6.5 | % | ||||||||||||||||||||||||||||||||||
25% | 37.5 | % | 39.8 | % | 39.6 | % | 39.2 | % | 38.6 | % | 37.7 | % | 36.5 | % | 35.1 | % | 33.5 | % | 31.6 | % | 29.5 | % | 27.2 | % | 24.8 | % | 22.1 | % | 19.3 | % | 16.3 | % | 13.2 | % | ||||||||||||||||||||||||||||||||||
30% | 45.0 | % | 48.2 | % | 48.1 | % | 47.7 | % | 47.0 | % | 46.0 | % | 44.8 | % | 43.3 | % | 41.6 | % | 39.6 | % | 37.4 | % | 35.0 | % | 32.3 | % | 29.5 | % | 26.5 | % | 23.3 | % | 20.0 | % | ||||||||||||||||||||||||||||||||||
35% | 52.5 | % | 56.9 | % | 56.7 | % | 56.3 | % | 55.5 | % | 54.5 | % | 53.2 | % | 51.7 | % | 49.8 | % | 47.7 | % | 45.4 | % | 42.8 | % | 40.0 | % | 37.0 | % | 33.9 | % | 30.5 | % | 27.0 | % | ||||||||||||||||||||||||||||||||||
40% | 60.0 | % | 65.7 | % | 65.5 | % | 65.0 | % | 64.3 | % | 63.2 | % | 61.8 | % | 60.2 | % | 58.2 | % | 56.0 | % | 53.5 | % | 50.8 | % | 47.9 | % | 44.7 | % | 41.4 | % | 37.8 | % | 34.1 | % | ||||||||||||||||||||||||||||||||||
45% | 67.5 | % | 74.6 | % | 74.4 | % | 73.9 | % | 73.1 | % | 72.0 | % | 70.6 | % | 68.8 | % | 66.8 | % | 64.4 | % | 61.8 | % | 59.0 | % | 55.9 | % | 52.6 | % | 49.0 | % | 45.3 | % | 41.4 | % | ||||||||||||||||||||||||||||||||||
50% | 75.0 | % | 83.7 | % | 83.5 | % | 83.0 | % | 82.2 | % | 81.0 | % | 79.5 | % | 77.6 | % | 75.5 | % | 73.0 | % | 70.3 | % | 67.3 | % | 64.0 | % | 60.5 | % | 56.8 | % | 52.9 | % | 48.8 | % | ||||||||||||||||||||||||||||||||||
55% | 82.5 | % | 93.0 | % | 92.8 | % | 92.3 | % | 91.4 | % | 90.1 | % | 88.5 | % | 86.6 | % | 84.3 | % | 81.7 | % | 78.9 | % | 75.7 | % | 72.3 | % | 68.6 | % | 64.7 | % | 60.6 | % | 56.3 | % | ||||||||||||||||||||||||||||||||||
60% | 90.0 | % | 102.4 | % | 102.2 | % | 101.6 | % | 100.7 | % | 99.4 | % | 97.7 | % | 95.7 | % | 93.3 | % | 90.6 | % | 87.6 | % | 84.3 | % | 80.7 | % | 76.8 | % | 72.7 | % | 68.4 | % | 63.9 | % |
Index Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Index Performance | One and One-Half Times (1.5x) One Year Index Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | 75% | |||||||||||||||||||||||||||||||||||||||||||||||||||
-60% | -90.0 | % | -74.7 | % | -74.7 | % | -74.8 | % | -74.9 | % | -75.1 | % | -75.3 | % | -75.5 | % | -75.8 | % | -76.2 | % | -76.6 | % | -77.0 | % | -77.4 | % | -77.9 | % | -78.4 | % | -78.9 | % | -79.5 | % | ||||||||||||||||||||||||||||||||||
-55% | -82.5 | % | -69.8 | % | -69.8 | % | -69.9 | % | -70.1 | % | -70.3 | % | -70.5 | % | -70.8 | % | -71.2 | % | -71.6 | % | -72.0 | % | -72.5 | % | -73.1 | % | -73.6 | % | -74.2 | % | -74.9 | % | -75.6 | % | ||||||||||||||||||||||||||||||||||
-50% | -75.0 | % | -64.6 | % | -64.7 | % | -64.8 | % | -64.9 | % | -65.2 | % | -65.5 | % | -65.8 | % | -66.2 | % | -66.7 | % | -67.2 | % | -67.8 | % | -68.4 | % | -69.1 | % | -69.8 | % | -70.6 | % | -71.4 | % | ||||||||||||||||||||||||||||||||||
-45% | -67.5 | % | -59.2 | % | -59.2 | % | -59.4 | % | -59.6 | % | -59.8 | % | -60.2 | % | -60.6 | % | -61.0 | % | -61.6 | % | -62.2 | % | -62.9 | % | -63.6 | % | -64.4 | % | -65.2 | % | -66.1 | % | -67.0 | % | ||||||||||||||||||||||||||||||||||
-40% | -60.0 | % | -53.5 | % | -53.6 | % | -53.7 | % | -53.9 | % | -54.2 | % | -54.6 | % | -55.1 | % | -55.6 | % | -56.2 | % | -56.9 | % | -57.7 | % | -58.5 | % | -59.4 | % | -60.3 | % | -61.3 | % | -62.4 | % | ||||||||||||||||||||||||||||||||||
-35% | -52.5 | % | -47.6 | % | -47.6 | % | -47.8 | % | -48.0 | % | -48.4 | % | -48.8 | % | -49.3 | % | -49.9 | % | -50.6 | % | -51.4 | % | -52.3 | % | -53.2 | % | -54.2 | % | -55.3 | % | -56.4 | % | -57.6 | % | ||||||||||||||||||||||||||||||||||
-30% | -45.0 | % | -41.4 | % | -41.5 | % | -41.7 | % | -41.9 | % | -42.3 | % | -42.8 | % | -43.4 | % | -44.1 | % | -44.8 | % | -45.7 | % | -46.7 | % | -47.7 | % | -48.8 | % | -50.0 | % | -51.3 | % | -52.6 | % | ||||||||||||||||||||||||||||||||||
-25% | -37.5 | % | -35.0 | % | -35.1 | % | -35.3 | % | -35.6 | % | -36.0 | % | -36.6 | % | -37.2 | % | -38.0 | % | -38.8 | % | -39.8 | % | -40.9 | % | -42.0 | % | -43.3 | % | -44.6 | % | -46.0 | % | -47.4 | % | ||||||||||||||||||||||||||||||||||
-20% | -30.0 | % | -28.4 | % | -28.5 | % | -28.7 | % | -29.0 | % | -29.5 | % | -30.1 | % | -30.8 | % | -31.7 | % | -32.6 | % | -33.7 | % | -34.8 | % | -36.1 | % | -37.5 | % | -38.9 | % | -40.5 | % | -42.1 | % | ||||||||||||||||||||||||||||||||||
-15% | -22.5 | % | -21.6 | % | -21.7 | % | -21.9 | % | -22.3 | % | -22.8 | % | -23.4 | % | -24.2 | % | -25.2 | % | -26.2 | % | -27.4 | % | -28.6 | % | -30.0 | % | -31.5 | % | -33.1 | % | -34.8 | % | -36.5 | % | ||||||||||||||||||||||||||||||||||
-10% | -15.0 | % | -14.6 | % | -14.7 | % | -14.9 | % | -15.3 | % | -15.9 | % | -16.6 | % | -17.5 | % | -18.5 | % | -19.6 | % | -20.9 | % | -22.3 | % | -23.8 | % | -25.4 | % | -27.1 | % | -29.0 | % | -30.9 | % | ||||||||||||||||||||||||||||||||||
-5% | -7.5 | % | -7.4 | % | -7.5 | % | -7.8 | % | -8.2 | % | -8.8 | % | -9.6 | % | -10.5 | % | -11.6 | % | -12.8 | % | -14.2 | % | -15.7 | % | -17.3 | % | -19.1 | % | -21.0 | % | -22.9 | % | -25.0 | % | ||||||||||||||||||||||||||||||||||
0% | 0.0 | % | 0.0 | % | -0.1 | % | -0.4 | % | -0.8 | % | -1.5 | % | -2.3 | % | -3.3 | % | -4.5 | % | -5.8 | % | -7.3 | % | -8.9 | % | -10.7 | % | -12.6 | % | -14.7 | % | -16.8 | % | -19.0 | % | ||||||||||||||||||||||||||||||||||
5% | 7.5 | % | 7.6 | % | 7.5 | % | 7.2 | % | 6.7 | % | 6.0 | % | 5.1 | % | 4.0 | % | 2.8 | % | 1.3 | % | -0.3 | % | -2.0 | % | -3.9 | % | -6.0 | % | -8.2 | % | -10.5 | % | -12.9 | % | ||||||||||||||||||||||||||||||||||
10% | 15.0 | % | 15.4 | % | 15.3 | % | 14.9 | % | 14.4 | % | 13.7 | % | 12.7 | % | 11.5 | % | 10.2 | % | 8.7 | % | 6.9 | % | 5.0 | % | 3.0 | % | 0.8 | % | -1.5 | % | -4.0 | % | -6.6 | % | ||||||||||||||||||||||||||||||||||
15% | 22.5 | % | 23.3 | % | 23.2 | % | 22.9 | % | 22.3 | % | 21.5 | % | 20.5 | % | 19.2 | % | 17.8 | % | 16.1 | % | 14.3 | % | 12.3 | % | 10.1 | % | 7.7 | % | 5.3 | % | 2.6 | % | -0.1 | % | ||||||||||||||||||||||||||||||||||
20% | 30.0 | % | 31.5 | % | 31.3 | % | 31.0 | % | 30.3 | % | 29.5 | % | 28.4 | % | 27.1 | % | 25.6 | % | 23.8 | % | 21.8 | % | 19.7 | % | 17.4 | % | 14.9 | % | 12.2 | % | 9.4 | % | 6.5 | % | ||||||||||||||||||||||||||||||||||
25% | 37.5 | % | 39.8 | % | 39.6 | % | 39.2 | % | 38.6 | % | 37.7 | % | 36.5 | % | 35.1 | % | 33.5 | % | 31.6 | % | 29.5 | % | 27.2 | % | 24.8 | % | 22.1 | % | 19.3 | % | 16.3 | % | 13.2 | % | ||||||||||||||||||||||||||||||||||
30% | 45.0 | % | 48.2 | % | 48.1 | % | 47.7 | % | 47.0 | % | 46.0 | % | 44.8 | % | 43.3 | % | 41.6 | % | 39.6 | % | 37.4 | % | 35.0 | % | 32.3 | % | 29.5 | % | 26.5 | % | 23.3 | % | 20.0 | % | ||||||||||||||||||||||||||||||||||
35% | 52.5 | % | 56.9 | % | 56.7 | % | 56.3 | % | 55.5 | % | 54.5 | % | 53.2 | % | 51.7 | % | 49.8 | % | 47.7 | % | 45.4 | % | 42.8 | % | 40.0 | % | 37.0 | % | 33.9 | % | 30.5 | % | 27.0 | % | ||||||||||||||||||||||||||||||||||
40% | 60.0 | % | 65.7 | % | 65.5 | % | 65.0 | % | 64.3 | % | 63.2 | % | 61.8 | % | 60.2 | % | 58.2 | % | 56.0 | % | 53.5 | % | 50.8 | % | 47.9 | % | 44.7 | % | 41.4 | % | 37.8 | % | 34.1 | % | ||||||||||||||||||||||||||||||||||
45% | 67.5 | % | 74.6 | % | 74.4 | % | 73.9 | % | 73.1 | % | 72.0 | % | 70.6 | % | 68.8 | % | 66.8 | % | 64.4 | % | 61.8 | % | 59.0 | % | 55.9 | % | 52.6 | % | 49.0 | % | 45.3 | % | 41.4 | % | ||||||||||||||||||||||||||||||||||
50% | 75.0 | % | 83.7 | % | 83.5 | % | 83.0 | % | 82.2 | % | 81.0 | % | 79.5 | % | 77.6 | % | 75.5 | % | 73.0 | % | 70.3 | % | 67.3 | % | 64.0 | % | 60.5 | % | 56.8 | % | 52.9 | % | 48.8 | % | ||||||||||||||||||||||||||||||||||
55% | 82.5 | % | 93.0 | % | 92.8 | % | 92.3 | % | 91.4 | % | 90.1 | % | 88.5 | % | 86.6 | % | 84.3 | % | 81.7 | % | 78.9 | % | 75.7 | % | 72.3 | % | 68.6 | % | 64.7 | % | 60.6 | % | 56.3 | % | ||||||||||||||||||||||||||||||||||
60% | 90.0 | % | 102.4 | % | 102.2 | % | 101.6 | % | 100.7 | % | 99.4 | % | 97.7 | % | 95.7 | % | 93.3 | % | 90.6 | % | 87.6 | % | 84.3 | % | 80.7 | % | 76.8 | % | 72.7 | % | 68.4 | % | 63.9 | % |
Benchmark Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance | Two Times (2x) One Year Benchmark Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% | -120 | % | -84.0 | % | -84.0 | % | -84.2 | % | -84.4 | % | -84.6 | % | -85.0 | % | -85.4 | % | -85.8 | % | -86.4 | % | -86.9 | % | -87.5 | % | -88.2 | % | -88.8 | % | -89.5 | % | -90.2 | % | ||||||||||||||||||||||||||||||||
-55% | -110 | % | -79.8 | % | -79.8 | % | -80.0 | % | -80.2 | % | -80.5 | % | -81.0 | % | -81.5 | % | -82.1 | % | -82.7 | % | -83.5 | % | -84.2 | % | -85.0 | % | -85.9 | % | -86.7 | % | -87.6 | % | ||||||||||||||||||||||||||||||||
-50% | -100 | % | -75.0 | % | -75.1 | % | -75.2 | % | -75.6 | % | -76.0 | % | -76.5 | % | -77.2 | % | -77.9 | % | -78.7 | % | -79.6 | % | -80.5 | % | -81.5 | % | -82.6 | % | -83.6 | % | -84.7 | % | ||||||||||||||||||||||||||||||||
-45% | -90 | % | -69.8 | % | -69.8 | % | -70.1 | % | -70.4 | % | -70.9 | % | -71.6 | % | -72.4 | % | -73.2 | % | -74.2 | % | -75.3 | % | -76.4 | % | -77.6 | % | -78.9 | % | -80.2 | % | -81.5 | % | ||||||||||||||||||||||||||||||||
-40% | -80 | % | -64.0 | % | -64.1 | % | -64.4 | % | -64.8 | % | -65.4 | % | -66.2 | % | -67.1 | % | -68.2 | % | -69.3 | % | -70.6 | % | -72.0 | % | -73.4 | % | -74.9 | % | -76.4 | % | -77.9 | % | ||||||||||||||||||||||||||||||||
-35% | -70 | % | -57.8 | % | -57.9 | % | -58.2 | % | -58.7 | % | -59.4 | % | -60.3 | % | -61.4 | % | -62.6 | % | -64.0 | % | -65.5 | % | -67.1 | % | -68.8 | % | -70.5 | % | -72.3 | % | -74.1 | % | ||||||||||||||||||||||||||||||||
-30% | -60 | % | -51.0 | % | -51.1 | % | -51.5 | % | -52.1 | % | -52.9 | % | -54.0 | % | -55.2 | % | -56.6 | % | -58.2 | % | -60.0 | % | -61.8 | % | -63.8 | % | -65.8 | % | -67.9 | % | -70.0 | % | ||||||||||||||||||||||||||||||||
-25% | -50 | % | -43.8 | % | -43.9 | % | -44.3 | % | -45.0 | % | -46.0 | % | -47.2 | % | -48.6 | % | -50.2 | % | -52.1 | % | -54.1 | % | -56.2 | % | -58.4 | % | -60.8 | % | -63.1 | % | -65.5 | % | ||||||||||||||||||||||||||||||||
-20% | -40 | % | -36.0 | % | -36.2 | % | -36.6 | % | -37.4 | % | -38.5 | % | -39.9 | % | -41.5 | % | -43.4 | % | -45.5 | % | -47.7 | % | -50.2 | % | -52.7 | % | -55.3 | % | -58.1 | % | -60.8 | % | ||||||||||||||||||||||||||||||||
-15% | -30 | % | -27.8 | % | -27.9 | % | -28.5 | % | -29.4 | % | -30.6 | % | -32.1 | % | -34.0 | % | -36.1 | % | -38.4 | % | -41.0 | % | -43.7 | % | -46.6 | % | -49.6 | % | -52.6 | % | -55.7 | % | ||||||||||||||||||||||||||||||||
-10% | -20 | % | -19.0 | % | -19.2 | % | -19.8 | % | -20.8 | % | -22.2 | % | -23.9 | % | -26.0 | % | -28.3 | % | -31.0 | % | -33.8 | % | -36.9 | % | -40.1 | % | -43.5 | % | -46.9 | % | -50.4 | % | ||||||||||||||||||||||||||||||||
-5% | -10 | % | -9.8 | % | -10.0 | % | -10.6 | % | -11.8 | % | -13.3 | % | -15.2 | % | -17.5 | % | -20.2 | % | -23.1 | % | -26.3 | % | -29.7 | % | -33.3 | % | -37.0 | % | -40.8 | % | -44.7 | % | ||||||||||||||||||||||||||||||||
0% | 0 | % | 0.0 | % | -0.2 | % | -1.0 | % | -2.2 | % | -3.9 | % | -6.1 | % | -8.6 | % | -11.5 | % | -14.8 | % | -18.3 | % | -22.1 | % | -26.1 | % | -30.2 | % | -34.5 | % | -38.7 | % | ||||||||||||||||||||||||||||||||
5% | 10 | % | 10.3 | % | 10.0 | % | 9.2 | % | 7.8 | % | 5.9 | % | 3.6 | % | 0.8 | % | -2.5 | % | -6.1 | % | -10.0 | % | -14.1 | % | -18.5 | % | -23.1 | % | -27.7 | % | -32.5 | % | ||||||||||||||||||||||||||||||||
10% | 20 | % | 21.0 | % | 20.7 | % | 19.8 | % | 18.3 | % | 16.3 | % | 13.7 | % | 10.6 | % | 7.0 | % | 3.1 | % | -1.2 | % | -5.8 | % | -10.6 | % | -15.6 | % | -20.7 | % | -25.9 | % | ||||||||||||||||||||||||||||||||
15% | 30 | % | 32.3 | % | 31.9 | % | 30.9 | % | 29.3 | % | 27.1 | % | 24.2 | % | 20.9 | % | 17.0 | % | 12.7 | % | 8.0 | % | 3.0 | % | -2.3 | % | -7.7 | % | -13.3 | % | -19.0 | % | ||||||||||||||||||||||||||||||||
20% | 40 | % | 44.0 | % | 43.6 | % | 42.6 | % | 40.8 | % | 38.4 | % | 35.3 | % | 31.6 | % | 27.4 | % | 22.7 | % | 17.6 | % | 12.1 | % | 6.4 | % | 0.5 | % | -5.6 | % | -11.8 | % | ||||||||||||||||||||||||||||||||
25% | 50 | % | 56.3 | % | 55.9 | % | 54.7 | % | 52.8 | % | 50.1 | % | 46.8 | % | 42.8 | % | 38.2 | % | 33.1 | % | 27.6 | % | 21.7 | % | 15.5 | % | 9.0 | % | 2.4 | % | -4.3 | % | ||||||||||||||||||||||||||||||||
30% | 60 | % | 69.0 | % | 68.6 | % | 67.3 | % | 65.2 | % | 62.4 | % | 58.8 | % | 54.5 | % | 49.5 | % | 44.0 | % | 38.0 | % | 31.6 | % | 24.9 | % | 17.9 | % | 10.8 | % | 3.5 | % | ||||||||||||||||||||||||||||||||
35% | 70 | % | 82.3 | % | 81.8 | % | 80.4 | % | 78.2 | % | 75.1 | % | 71.2 | % | 66.6 | % | 61.2 | % | 55.3 | % | 48.8 | % | 41.9 | % | 34.7 | % | 27.2 | % | 19.4 | % | 11.7 | % | ||||||||||||||||||||||||||||||||
40% | 80 | % | 96.0 | % | 95.5 | % | 94.0 | % | 91.6 | % | 88.3 | % | 84.1 | % | 79.1 | % | 73.4 | % | 67.0 | % | 60.1 | % | 52.6 | % | 44.8 | % | 36.7 | % | 28.5 | % | 20.1 | % | ||||||||||||||||||||||||||||||||
45% | 90 | % | 110.3 | % | 109.7 | % | 108.2 | % | 105.6 | % | 102.0 | % | 97.5 | % | 92.2 | % | 86.0 | % | 79.2 | % | 71.7 | % | 63.7 | % | 55.4 | % | 46.7 | % | 37.8 | % | 28.8 | % | ||||||||||||||||||||||||||||||||
50% | 100 | % | 125.0 | % | 124.4 | % | 122.8 | % | 120.0 | % | 116.2 | % | 111.4 | % | 105.6 | % | 99.1 | % | 91.7 | % | 83.8 | % | 75.2 | % | 66.3 | % | 57.0 | % | 47.5 | % | 37.8 | % | ||||||||||||||||||||||||||||||||
55% | 110 | % | 140.3 | % | 139.7 | % | 137.9 | % | 134.9 | % | 130.8 | % | 125.7 | % | 119.6 | % | 112.6 | % | 104.7 | % | 96.2 | % | 87.1 | % | 77.5 | % | 67.6 | % | 57.5 | % | 47.2 | % | ||||||||||||||||||||||||||||||||
60% | 120 | % | 156.0 | % | 155.4 | % | 153.5 | % | 150.3 | % | 146.0 | % | 140.5 | % | 134.0 | % | 126.5 | % | 118.1 | % | 109.1 | % | 99.4 | % | 89.2 | % | 78.6 | % | 67.8 | % | 56.8 | % |
Item 1B. Unresolved Staff Comments. |
Item 2. Properties. |
Item 4. Mine Safety Disclosures. |
Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities. |
a) | The Shares of each Fund that has commenced investment operations are listed in the accompanying table. The dates the Shares of each Fund began trading, their symbols and their primary listing exchange are indicated below: |
Fund | Commencement of Operations | Ticker Symbol | Name of each exchange on which registered | |||
ProShares Short Euro | June 26, 2012 | EUFX | NYSE Arca | |||
ProShares Short VIX Short-Term Futures ETF | October 3, 2011 | SVXY | Cboe BZX Exchange | |||
ProShares Ultra Bloomberg Crude Oil | November 25, 2008 | UCO | NYSE Arca | |||
ProShares Ultra Bloomberg Natural Gas | October 4, 2011 | BOIL | NYSE Arca | |||
ProShares Ultra Euro | November 25, 2008 | ULE | NYSE Arca | |||
ProShares Ultra Gold | December 3, 2008 | UGL | NYSE Arca | |||
ProShares Ultra Silver | December 3, 2008 | AGQ | NYSE Arca | |||
ProShares Ultra VIX Short-Term Futures ETF | October 3, 2011 | UVXY | Cboe BZX Exchange | |||
ProShares Ultra Yen | November 25, 2008 | YCL | NYSE Arca | |||
ProShares UltraShort Australian Dollar | July 17, 2012 | CROC | NYSE Arca | |||
ProShares UltraShort Bloomberg Crude Oil | November 25, 2008 | SCO | NYSE Arca | |||
ProShares UltraShort Bloomberg Natural Gas | October 4, 2011 | KOLD | NYSE Arca | |||
ProShares UltraShort Euro | November 25, 2008 | EUO | NYSE Arca | |||
ProShares UltraShort Gold | December 3, 2008 | GLL | NYSE Arca | |||
ProShares UltraShort Silver | December 3, 2008 | ZSL | NYSE Arca | |||
ProShares UltraShort Yen | November 25, 2008 | YCS | NYSE Arca | |||
ProShares VIX Mid-Term Futures ETF | January 3, 2011 | VIXM | Cboe BZX Exchange | |||
ProShares VIX Short-Term Futures ETF | January 3, 2011 | VIXY | Cboe BZX Exchange |
Fund | Number of Holders | |||
ProShares Short Euro | ||||
ProShares Short VIX Short-Term Futures ETF | ||||
ProShares Ultra Bloomberg Crude Oil | ||||
ProShares Ultra Bloomberg Natural Gas | ||||
ProShares Ultra Euro | ||||
ProShares Ultra Gold | ||||
ProShares Ultra Silver | ||||
ProShares Ultra VIX Short-Term Futures ETF | ||||
ProShares Ultra Yen | ||||
ProShares UltraShort Australian Dollar | ||||
ProShares UltraShort Bloomberg Crude Oil | ||||
ProShares UltraShort Bloomberg Natural Gas | ||||
ProShares UltraShort Euro | ||||
ProShares UltraShort Gold | ||||
ProShares UltraShort Silver | ||||
ProShares UltraShort Yen | ||||
ProShares VIX Mid-Term Futures ETF | ||||
ProShares VIX Short-Term Futures ETF | ||||
b) | Not applicable. |
Title of Securities Registered | Amount Registered as of December 31, 2021 | Shares Sold For the Three Months Ended December 31, 2021 | Sale Price of Shares Sold For the Three Months Ended December 31, 2021 | Shares Sold For the Year Ended December 31, 2021 | Sale Price of Shares Sold For the Year Ended December 31, 2021 | |||||||||||||||
ProShares Short Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 53,055,627 | — | $ | — | — | $ | — | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 171,554,024 | 1,700,000 | $ | 92,029,953 | 5,100,000 | $ | 242,419,979 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 895,874,753 | 2,950,000 | $ | 208,741,005 | 7,300,000 | $ | 448,859,664 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,223,856,660 | 10,150,000 | $ | 444,398,676 | 15,350,000 | $ | 613,708,303 | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 35,193,079 | 400,000 | $ | 5,256,681 | 500,000 | $ | 6,745,474 | ||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 256,029,521 | 100,000 | $ | 5,794,791 | 1,350,000 | $ | 80,907,462 | ||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 528,911,308 | 50,000 | $ | 1,579,894 | 4,500,000 | $ | 206,892,549 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 7,840,695,204 | 64,850,000 | $ | 1,028,076,449 | 135,235,000 | $ | 4,325,482,924 | ||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 41,792,144 | — | $ | — | — | $ | — | ||||||||||||
ProShares UltraShort Australian Dollar | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 57,562,542 | — | $ | — | 50,000 | $ | 2,373,262 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 588,293,431 | 6,150,000 | $ | 80,704,098 | 13,387,500 | $ | 244,778,776 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas * | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,123,725,902 | 6,410,000 | $ | 233,162,234 | 12,020,000 | $ | 679,315,441 | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 45,101,099 | 750,000 | $ | 19,353,339 | 1,050,000 | $ | 26,353,725 |
Title of Securities Registered | Amount Registered as of December 31, 2020 | Shares Sold For the Three Months Ended December 31, 2020 | Sale Price of Shares Sold For the Three Months Ended December 31, 2020 | Shares Sold For the Year Ended December 31, 2020 * | Sale Price of Shares Sold For the Year Ended December 31, 2020 * | |||||||||||||||
ProShares Short Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 205,213,786 | 50,000 | $ | 2,158,158 | 50,000 | $ | 2,158,158 | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 3,978,471,529 | 1,200,000 | $ | 47,006,284 | 27,050,000 | $ | 961,417,953 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 3,510,785,278 | 11,150,000 | $ | 298,167,194 | 120,812,000 | $ | 3,910,951,510 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 805,639,097 | 10,850,000 | $ | 263,854,683 | 16,685,000 | $ | 457,281,516 | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 188,930,413 | 50,000 | $ | 777,870 | 250,000 | $ | 3,616,577 | ||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 669,108,699 | 350,000 | $ | 23,524,105 | 3,500,000 | $ | 227,961,338 | ||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,173,264,974 | 3,200,000 | $ | 142,877,572 | 13,500,000 | $ | 582,867,657 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 5,388,427,775 | 76,500,000 | $ | 1,083,367,660 | 154,050,000 | $ | 3,359,993,617 | ||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 201,792,144 | — | $ | — | — | $ | — | ||||||||||||
ProShares UltraPro 3x Crude Oil ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | — | ** | — | $ | — | 184,600,000 | $ | 414,019,676 | |||||||||||
ProShares UltraPro 3x Short Crude Oil ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | — | ** | — | $ | — | 2,850,000 | $ | 59,484,110 | |||||||||||
ProShares UltraShort Australian Dollar | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 159,935,804 | — | $ | — | — | $ | — | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,365,702,348 | 10,850,000 | $ | 156,181,703 | 37,500,000 | $ | 893,616,857 |
Title of Securities Registered | Amount Registered as of December 31, 2020 | Shares Sold For the Three Months Ended December 31, 2020 | Sale Price of Shares Sold For the Three Months Ended December 31, 2020 | Shares Sold For the Year Ended December 31, 2020 * | Sale Price of Shares Sold For the Year Ended December 31, 2020 * | Amount Registered as of December 31, 2021 | Shares Sold For the Three Months Ended December 31, 2021 | Sale Price of Shares Sold For the Three Months Ended December 31, 2021 | Shares Sold For the Year Ended December 31, 2021 | Sale Price of Shares Sold For the Year Ended December 31, 2021 | ||||||||||||||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | ||||||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 577,760,462 | 1,850,000 | $ | 71,740,159 | 6,250,000 | $ | 270,470,683 | ||||||||||||||||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 517,682,464 | 150,000 | $ | 3,508,807 | 1,500,000 | $ | 37,753,355 | ||||||||||||||||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 246,880,625 | 550,000 | $ | 17,947,820 | 1,650,000 | $ | 56,542,664 | $ | 44,569,472 | 350,000 | $ | 11,920,948 | 2,050,000 | $ | 71,200,336 | ||||||||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 821,006,255 | 1,600,000 | $ | 12,954,212 | 13,700,000 | $ | 135,806,096 | $ | 145,973,182 | 900,000 | $ | 25,687,004 | 4,650,000 | $ | 117,038,546 | ||||||||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 494,648,731 | 50,000 | $ | 3,431,362 | 150,000 | $ | 11,238,107 | $ | 50,975,999 | 100,000 | $ | 8,108,958 | 200,000 | $ | 15,241,370 | ||||||||||||||||||||||||
ProShares VIX Mid-Term Futures ETF | ||||||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 388,788,698 | 125,000 | $ | 4,788,456 | 2,375,000 | $ | 90,654,600 | $ | 248,251,356 | 475,000 | $ | 14,813,606 | 3,100,000 | $ | 101,849,396 | ||||||||||||||||||||||||
ProShares VIX Short-Term Futures ETF | ||||||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,124,376,303 | 9,000,000 | $ | 141,815,008 | 26,325,000 | $ | 484,607,638 | $ | 1,277,238,637 | 6,050,000 | $ | 102,222,445 | 22,606,250 | $ | 696,075,984 | ||||||||||||||||||||||||
Total Trust: | 127,525,000 | $ | 2,274,101,053 | 612,797,000 | $ | 11,960,442,112 | ||||||||||||||||||||||||||||||||||
Combined Trust: | $ | 14,628,653,940 | 101,385,000 | $ | 2,281,850,081 | 228,448,750 | $ | 7,879,243,191 |
* | 10-K. |
c) | From October 1, |
Fund | Total Number of Shares Redeemed | Average Price Per Share | ||||||
ProShares Short Euro | ||||||||
10/01/20 to 10/31/20 | — | $ | — | |||||
11/01/20 to 11/30/20 | — | $ | — | |||||
12/01/20 to 12/31/20 | — | $ | — | |||||
ProShares Short VIX Short-Term Futures ETF | ||||||||
10/01/20 to 10/31/20 | 800,000 | $ | 36.25 | |||||
11/01/20 to 11/30/20 | — | $ | — | |||||
12/01/20 to 12/31/20 | — | $ | — | |||||
ProShares Ultra Bloomberg Crude Oil | ||||||||
10/01/20 to 10/31/20 | 6,250,000 | $ | 28.66 | |||||
11/01/20 to 11/30/20 | 16,750,000 | $ | 28.74 | |||||
12/01/20 to 12/31/20 | 4,950,000 | $ | 34,82 | |||||
ProShares Ultra Bloomberg Natural Gas | ||||||||
10/01/20 to 10/31/20 | 1,150,000 | $ | 39.17 | |||||
11/01/20 to 11/30/20 | 1,300,000 | $ | 29.39 | |||||
12/01/20 to 12/31/20 | 3,200,000 | $ | 21.65 | |||||
ProShares Ultra Euro | ||||||||
10/01/20 to 10/31/20 | — | $ | — | |||||
11/01/20 to 11/30/20 | 50,000 | $ | 14.99 | |||||
12/01/20 to 12/31/20 | — | $ | — | |||||
ProShares Ultra Gold | ||||||||
10/01/20 to 10/31/20 | — | $ | — | |||||
11/01/20 to 11/30/20 | 350,000 | $ | 65.09 | |||||
12/01/20 to 12/31/20 | 100,000 | $ | 66.39 | |||||
ProShares Ultra Silver | ||||||||
10/01/20 to 10/31/20 | 1,100,000 | $ | 45,59 | |||||
11/01/20 to 11/30/20 | 1,400,000 | $ | 43,49 | |||||
12/01/20 to 12/31/20 | 700,000 | $ | 46,83 | |||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||
10/01/20 to 10/31/20 | 10,200,000 | $ | 21.41 | |||||
11/01/20 to 11/30/20 | 200,000 | $ | 12.32 | |||||
12/01/20 to 12/31/20 | 3,850,000 | $ | 11.92 | |||||
ProShares Ultra Yen | ||||||||
10/01/20 to 10/31/20 | — | $ | — | |||||
11/01/20 to 11/30/20 | — | $ | — | |||||
12/01/20 to 12/31/20 | — | $ | — | |||||
ProShares UltraShort Australian Dollar | ||||||||
10/01/20 to 10/31/20 | — | $ | — | |||||
11/01/20 to 11/30/20 | — | $ | — | |||||
12/01/20 to 12/31/20 | 50,000 | $ | 48.04 | |||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||
10/01/20 to 10/31/20 | 2,350,000 | $ | 17.54 | |||||
11/01/20 to 11/30/20 | 2,150,000 | $ | 15.17 | |||||
12/01/20 to 12/31/20 | 2,850,000 | $ | 12.61 | |||||
ProShares UltraShort Bloomberg Natural Gas | ||||||||
10/01/20 to 10/31/20 | 600,000 | $ | 32.47 | |||||
11/01/20 to 11/30/20 | 1,100,000 | $ | 38.10 | |||||
12/01/20 to 12/31/20 | 850,000 | $ | 50.86 |
Fund | Total Number of Shares Redeemed | Average Price Per Share | ||||||
ProShares Short Euro | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | — | $ | — | |||||
12/01/21 to 12/31/21 | — | $ | — | |||||
ProShares Short VIX Short-Term Futures ETF | ||||||||
10/01/21 to 10/31/21 | 1,050,000 | $ | 61.72 | |||||
11/01/21 to 11/30/21 | 400,000 | $ | 62.71 | |||||
12/01/21 to 12/31/21 | 500,000 | $ | 60.67 | |||||
ProShares Ultra Bloomberg Crude Oil | ||||||||
10/01/21 to 10/31/21 | 700,000 | $ | 93.00 | |||||
11/01/21 to 11/30/21 | 650,000 | $ | 89.57 | |||||
12/01/21 to 12/31/21 | 1,700,000 | $ | 79.43 | |||||
ProShares Ultra Bloomberg Natural Gas | ||||||||
10/01/21 to 10/31/21 | 600,000 | $ | 82.01 | |||||
11/01/21 to 11/30/21 | 1,800,000 | $ | 60.36 | |||||
12/01/21 to 12/31/21 | 1,900,000 | $ | 27.93 | |||||
ProShares Ultra Euro | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | — | $ | — | |||||
12/01/21 to 12/31/21 | — | $ | — | |||||
ProShares Ultra Gold | ||||||||
10/01/21 to 10/31/21 | 200,000 | $ | 55.76 | |||||
11/01/21 to 11/30/21 | 100,000 | $ | 62.71 | |||||
12/01/21 to 12/31/21 | 50,000 | $ | 57.52 |
Fund | Total Number of Shares Redeemed | Average Price Per Share | ||||||
ProShares UltraShort Euro | ||||||||
10/01/20 to 10/31/20 | 150,000 | $ | 24,80 | |||||
11/01/20 to 11/30/20 | 350,000 | $ | 24,10 | |||||
12/01/20 to 12/31/20 | 100,000 | $ | 22,54 | |||||
ProShares UltraShort Gold | ||||||||
10/01/20 to 10/31/20 | 350,000 | $ | 31.65 | |||||
11/01/20 to 11/30/20 | 200,000 | $ | 31.34 | |||||
12/01/20 to 12/31/20 | 200,000 | $ | 33.46 | |||||
ProShares UltraShort Silver | ||||||||
10/01/20 to 10/31/20 | 800,000 | $ | 8.93 | |||||
11/01/20 to 11/30/20 | 1,600,000 | $ | 8.54 | |||||
12/01/20 to 12/31/20 | 300,000 | $ | 8.50 | |||||
ProShares UltraShort Yen | ||||||||
10/01/20 to 10/31/20 | — | $ | — | |||||
11/01/20 to 11/30/20 | — | $ | — | |||||
12/01/20 to 12/31/20 | 50,000 | $ | 69,20 | |||||
ProShares VIX Mid-Term Futures ETF | ||||||||
10/01/20 to 10/31/20 | — | $ | — | |||||
11/01/20 to 11/30/20 | 450,000 | $ | 37.12 | |||||
12/01/20 to 12/31/20 | 200,000 | $ | 36.44 | |||||
ProShares VIX Short-Term Futures ETF | ||||||||
10/01/20 to 10/31/20 | 925,000 | $ | 22.13 | |||||
11/01/20 to 11/30/20 | — | $ | — | |||||
12/01/20 to 12/31/20 | 350,000 | $ | 14.26 |
PROSHARES SHORT EURO | ||||||||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 4,195,360 | $ | 2,289,155 | $ | 8,631,926 | $ | 8,041,728 | $ | 15,859,440 | ||||||||||
Total shareholders’ equity at end of period | 4,191,955 | 2,282,195 | 8,619,686 | 7,991,880 | 15,770,088 | |||||||||||||||
Net investment income (loss) | (16,777 | ) | 176,251 | 44,457 | (37,627 | ) | (122,728 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (231,621 | ) | 1,002,978 | 583,349 | (1,461,940 | ) | 553,281 | |||||||||||||
Net income (loss) | (248,398 | ) | 1,179,229 | 627,806 | (1,499,567 | ) | 430,553 | |||||||||||||
Net increase (decrease) in net asset value per share | (3.72 | ) | 2.54 | 3.14 | (5.10 | ) | 1.28 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 410,810,068 | $ | 284,649,062 | $ | 360,341,566 | $ | 816,337,770 | $ | 228,630,598 | ||||||||||
Total shareholders’ equity at end of period | 409,371,468 | 284,437,179 | 344,596,263 | 770,163,871 | 228,075,387 | |||||||||||||||
Net investment income (loss) | (5,269,562 | ) | 1,162,163 | (2,209,355 | ) | (5,373,544 | ) | (5,396,850 | ) | |||||||||||
Net realized and unrealized gain (loss) | (74,517,945 | ) | 150,375,598 | (1,917,289,617 | ) | 924,694,573 | 419,316,869 | |||||||||||||
Net income (loss) | (79,787,507 | ) | 151,537,761 | (1,919,498,972 | ) | 919,321,029 | 413,920,019 | |||||||||||||
Net increase (decrease) in net asset value per share | (24.20 | ) | 23.26 | (466.84 | ) | 326.74 | 80.83 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 907,133,181 | $ | 310,368,837 | $ | 441,765,830 | $ | 534,325,767 | $ | 962,419,733 | ||||||||||
Total shareholders’ equity at end of period | 902,739,250 | 309,844,582 | 368,399,654 | 524,445,526 | 933,731,860 | |||||||||||||||
Net investment income (loss) | (11,023,311 | ) | 3,864,584 | 3,022,808 | (1,379,461 | ) | (6,631,380 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (548,084,672 | ) | 253,585,147 | (139,204,737 | ) | 35,389,465 | 225,050,768 | |||||||||||||
Net income (loss) | (559,107,983 | ) | 257,449,731 | (136,181,929 | ) | 34,010,004 | 218,419,388 | |||||||||||||
Net increase (decrease) in net asset value per share | (472.85 | ) | 182.77 | (265.16 | ) | 8.24 | (45.49 | ) |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 181,072,788 | $ | 45,196,991 | $ | 17,951,294 | $ | 67,524,849 | $ | 44,767,860 | ||||||||||
Total shareholders’ equity at end of period | 169,800,371 | 45,160,205 | 14,617,440 | 63,268,950 | 43,203,386 | |||||||||||||||
Net investment income (loss) | (939,900 | ) | 162,388 | 96,319 | (233,762 | ) | (384,486 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (44,174,934 | ) | (24,707,604 | ) | 3,545,801 | (36,107,690 | ) | 13,794,133 | ||||||||||||
Net income (loss) | (45,114,834 | ) | (24,545,216 | ) | 3,642,120 | (36,341,452 | ) | 13,409,647 | ||||||||||||
Net increase (decrease) in net asset value per share | (62.97 | ) | (168.86 | ) | (73.56 | ) | (616.03 | ) | 13.93 |
PROSHARES ULTRA EURO | ||||||||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 4,741,357 | $ | 6,209,342 | $ | 7,554,617 | $ | 9,656,271 | $ | 12,500,772 | ||||||||||
Total shareholders’ equity at end of period | 4,737,350 | 6,204,424 | 7,544,569 | 9,591,516 | 11,914,585 | |||||||||||||||
Net investment income (loss) | (27,606 | ) | 58,528 | 30,823 | (29,782 | ) | (74,522 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 482,566 | (670,417 | ) | (1,269,677 | ) | 3,049,926 | (1,039,312 | ) | ||||||||||||
Net income (loss) | 454,960 | (611,889 | ) | (1,238,854 | ) | 3,020,144 | (1,113,834 | ) | ||||||||||||
Net increase (decrease) in net asset value per share | 2.00 | (1.30 | ) | (2.35 | ) | 3.42 | (1.49 | ) | ||||||||||||
PROSHARES ULTRA GOLD | ||||||||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 263,747,871 | $ | 110,810,975 | $ | 87,308,381 | $ | 93,779,522 | $ | 96,632,172 | ||||||||||
Total shareholders’ equity at end of period | 263,540,473 | 110,726,032 | 83,523,294 | 93,708,748 | 92,127,200 | |||||||||||||||
Net investment income (loss) | (1,424,530 | ) | 902,937 | 625,631 | (136,329 | ) | (650,951 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 35,098,896 | 23,404,029 | (6,664,992 | ) | 19,581,562 | 3,617,098 | ||||||||||||||
Net income (loss) | 33,674,366 | 24,306,966 | (6,039,361 | ) | 19,445,233 | 2,966,147 | ||||||||||||||
Net increase (decrease) in net asset value per share | 18.36 | 12.09 | (2.76 | ) | 6.98 | 3.17 | ||||||||||||||
PROSHARES ULTRA SILVER | ||||||||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 748,159,313 | $ | 239,830,381 | $ | 202,021,571 | $ | 261,786,204 | $ | 296,979,700 | ||||||||||
Total shareholders’ equity at end of period | 745,304,028 | 239,254,842 | 201,824,376 | 258,244,696 | 275,779,940 | |||||||||||||||
Net investment income (loss) | (3,174,045 | ) | 1,856,270 | 1,469,179 | (409,752 | ) | (2,179,392 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 210,297,620 | 38,597,244 | (52,558,544 | ) | 10,949,744 | 63,914,077 | ||||||||||||||
Net income (loss) | 207,123,575 | 40,453,514 | (51,089,365 | ) | 10,539,992 | 61,734,685 | ||||||||||||||
Net increase (decrease) in net asset value per share | 19.01 | 5.31 | (7.16 | ) | 0.11 | 6.38 | ||||||||||||||
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF | ||||||||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 1,380,183,919 | $ | 562,277,336 | $ | 222,583,868 | $ | 394,379,433 | $ | 552,972,566 | ||||||||||
Total shareholders’ equity at end of period | 1,356,204,199 | 527,636,003 | 214,304,871 | 394,035,141 | 515,758,754 | |||||||||||||||
Net investment income (loss) | (13,623,881 | ) | 95,052 | (3,145,671 | ) | (4,896,061 | ) | (8,936,777 | ) | |||||||||||
Net realized and unrealized gain (loss) | (634,192,498 | ) | (690,606,892 | ) | 455,645,412 | (1,047,275,669 | ) | (1,587,220,286 | ) | |||||||||||
Net income (loss) | (647,816,379 | ) | (690,511,840 | ) | 452,499,741 | (1,052,171,730 | ) | (1,596,157,063 | ) | |||||||||||
Net increase (decrease) in net asset value per share | (2.00 | ) | (68.79 | ) | 29.79 | (817.96 | ) | (13,172.38 | ) |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 2,992,042 | $ | 5,595,968 | $ | 5,756,235 | $ | 2,901,405 | $ | 5,887,949 | ||||||||||
Total shareholders’ equity at end of period | 2,989,499 | 5,580,964 | 5,751,716 | 2,864,269 | 5,540,957 | |||||||||||||||
Net investment income (loss) | (18,317 | ) | 38,514 | (983 | ) | (21,882 | ) | (45,847 | ) | |||||||||||
Net realized and unrealized gain (loss) | 172,866 | (129,576 | ) | 41,854 | 260,916 | 113,155 | ||||||||||||||
Net income (loss) | 154,549 | (91,062 | ) | 40,871 | 239,034 | 67,308 | ||||||||||||||
Net increase (decrease) in net asset value per share | 4.00 | (1.70 | ) | 0.21 | 1.89 | 0.68 | ||||||||||||||
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR | ||||||||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 2,234,146 | $ | 5,651,054 | $ | 11,068,693 | $ | 13,766,301 | $ | 16,658,768 | ||||||||||
Total shareholders’ equity at end of period | 2,222,639 | 5,608,612 | 11,060,333 | 13,702,102 | 16,613,473 | |||||||||||||||
Net investment income (loss) | (36,668 | ) | 80,325 | 36,746 | (46,774 | ) | (145,652 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (947,340 | ) | 97,591 | 1,534,232 | (2,943,227 | ) | (1,183,820 | ) | ||||||||||||
Net income (loss) | (984,008 | ) | 177,916 | 1,570,978 | (2,990,001 | ) | (1,329,472 | ) | ||||||||||||
Net increase (decrease) in net asset value per share | (11.64 | ) | 0.79 | 9.63 | (9.71 | ) | (3.08 | ) | ||||||||||||
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL | ||||||||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 97,177,574 | $ | 129,574,044 | $ | 114,514,333 | $ | 257,334,914 | $ | 213,341,677 | ||||||||||
Total shareholders’ equity at end of period | 96,839,233 | 125,451,681 | 114,377,311 | 225,843,284 | 200,958,303 | |||||||||||||||
Net investment income (loss) | (1,468,178 | ) | 709,799 | 1,038,630 | (355,651 | ) | (1,408,964 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 5,461,742 | (45,316,202 | ) | 16,471,427 | (27,449,491 | ) | (90,265,381 | ) | ||||||||||||
Net income (loss) | 3,993,564 | (44,606,403 | ) | 17,510,057 | (27,805,142 | ) | (91,674,345 | ) | ||||||||||||
Net increase (decrease) in net asset value per share | (0.58 | ) | (17.60 | ) | 5.48 | (7.39 | ) | (34.90 | ) | |||||||||||
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS | ||||||||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 29,147,791 | $ | 12,532,289 | $ | 22,163,554 | $ | 7,009,957 | $ | 4,042,309 | ||||||||||
Total shareholders’ equity at end of period | 24,977,745 | 12,515,603 | 17,825,441 | 6,902,743 | 4,038,794 | |||||||||||||||
Net investment income (loss) | (549,591 | ) | 29,417 | (4,454 | ) | (54,451 | ) | (122,172 | ) | |||||||||||
Net realized and unrealized gain (loss) | (272,189 | ) | 9,121,181 | (2,213,011 | ) | 4,146,852 | 2,578,744 | |||||||||||||
Net income (loss) | (821,780 | ) | 9,150,598 | (2,217,465 | ) | 4,092,401 | 2,456,572 | |||||||||||||
Net increase (decrease) in net asset value per share | 9.06 | 16.92 | (17.87 | ) | 16.38 | (23.43 | ) |
PROSHARES ULTRASHORT EURO | ||||||||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 54,139,942 | $ | 123,046,852 | $ | 158,275,753 | $ | 209,513,363 | $ | 356,811,359 | ||||||||||
Total shareholders’ equity at end of period | 52,953,339 | 120,581,173 | 154,120,159 | 202,548,197 | 349,392,650 | |||||||||||||||
Net investment income (loss) | (287,014 | ) | 1,528,830 | 1,324,494 | (396,715 | ) | (2,764,657 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (9,869,401 | ) | 12,993,771 | 23,822,591 | (62,222,928 | ) | 19,174,666 | |||||||||||||
Net income (loss) | (10,156,415 | ) | 14,522,601 | 25,147,085 | (62,619,643 | ) | 16,410,009 | |||||||||||||
Net increase (decrease) in net asset value per share | (4.27 | ) | 2.53 | 3.06 | (5.87 | ) | 1.54 |
PROSHARES ULTRASHORT GOLD | ||||||||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 20,635,430 | $ | 22,262,798 | $ | 19,105,095 | $ | 33,013,345 | $ | 63,709,441 | ||||||||||
Total shareholders’ equity at end of period | 20,337,376 | 21,047,560 | 18,098,997 | 31,497,410 | 63,653,647 | |||||||||||||||
Net investment income (loss) | (123,632 | ) | 186,714 | 171,341 | (60,865 | ) | (461,423 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (10,021,367 | ) | (5,733,559 | ) | 1,796,398 | (11,543,036 | ) | (11,000,717 | ) | |||||||||||
Net income (loss) | (10,144,999 | ) | (5,546,845 | ) | 1,967,739 | (11,603,901 | ) | (11,462,140 | ) | |||||||||||
Net increase (decrease) in net asset value per share | (21.59 | ) | (20.26 | ) | 2.81 | (20.86 | ) | (24.55 | ) | |||||||||||
PROSHARES ULTRASHORT SILVER | ||||||||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 32,195,308 | $ | 15,813,405 | $ | 13,578,709 | $ | 19,713,505 | $ | 23,037,206 | ||||||||||
Total shareholders’ equity at end of period | 28,885,775 | 13,834,163 | 11,768,863 | 14,806,259 | 23,017,656 | |||||||||||||||
Net investment income (loss) | (221,656 | ) | 131,913 | 112,472 | (36,600 | ) | (255,853 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (18,232,071 | ) | (4,741,974 | ) | 4,905,754 | (1,980,408 | ) | (20,928,956 | ) | |||||||||||
Net income (loss) | (18,453,727 | ) | (4,610,061 | ) | 5,018,226 | (2,017,008 | ) | (21,184,809 | ) | |||||||||||
Net increase (decrease) in net asset value per share | (19.83 | ) | (10.37 | ) | 5.42 | (5.60 | ) | (27.27 | ) | |||||||||||
PROSHARES ULTRASHORT YEN | ||||||||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 24,282,486 | $ | 38,165,164 | $ | 59,214,608 | $ | 134,986,033 | $ | 277,139,658 | ||||||||||
Total shareholders’ equity at end of period | 23,691,070 | 38,132,320 | 55,363,675 | 131,077,453 | 276,781,747 | |||||||||||||||
Net investment income (loss) | (129,202 | ) | 555,474 | 607,874 | (355,974 | ) | (1,609,562 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (3,281,606 | ) | 1,240,842 | (2,528,655 | ) | (23,960,625 | ) | 8,431,035 | ||||||||||||
Net income (loss) | (3,410,808 | ) | 1,796,316 | (1,920,781 | ) | (24,316,599 | ) | 6,821,473 | ||||||||||||
Net increase (decrease) in net asset value per share | (8.54 | ) | 2.48 | (1.04 | ) | (5.31 | ) | (7.70 | ) |
PROSHARES VIX MID-TERM FUTURES ETF | ||||||||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 73,050,286 | $ | 47,145,739 | $ | 57,571,528 | $ | 27,429,888 | $ | 47,936,506 | ||||||||||
Total shareholders’ equity at end of period | 72,075,095 | 45,986,584 | 56,299,121 | 26,347,948 | 45,818,914 | |||||||||||||||
Net investment income (loss) | (506,172 | ) | 493,213 | 116,328 | (81,807 | ) | (294,491 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 16,601,434 | (12,266,525 | ) | 10,305,853 | (26,246,741 | ) | (12,029,971 | ) | ||||||||||||
Net income (loss) | 16,095,262 | (11,773,312 | ) | 10,422,181 | (26,328,548 | ) | (12,324,462 | ) | ||||||||||||
Net increase (decrease) in net asset value per share | 15.46 | (5.38 | ) | 5.36 | (20.85 | ) | (11.82 | ) |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||
Total assets | $ | 293,860,130 | $ | 292,836,738 | $ | 155,107,403 | $ | 141,228,210 | $ | 174,247,783 | ||||||||||
Total shareholders’ equity at end of period | 293,390,549 | 279,792,503 | 149,547,115 | 137,741,560 | 174,160,146 | |||||||||||||||
Net investment income (loss) | (1,892,962 | ) | 2,153,399 | 366,665 | (293,186 | ) | (1,436,647 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 165,111,666 | (227,121,451 | ) | 112,056,276 | (198,310,919 | ) | (194,856,158 | ) | ||||||||||||
Net income (loss) | 163,218,704 | (224,968,052 | ) | 112,422,941 | (198,604,105 | ) | (196,292,805 | ) | ||||||||||||
Net increase (decrease) in net asset value per share | 1.46 | (26.28 | ) | 15.24 | (61.52 | ) | (179.98 | ) |
ProShares Ultra Silver | ||||||||
10/01/21 to 10/31/21 | 50,000 | $ | 35.23 | |||||
11/01/21 to 11/30/21 | 150,000 | $ | 35.85 | |||||
12/01/21 to 12/31/21 | 200,000 | $ | 34.41 | |||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||
10/01/21 to 10/31/21 | 2,800,000 | $ | 20.15 | |||||
11/01/21 to 11/30/21 | 25,100,000 | $ | 18.85 | |||||
12/01/21 to 12/31/21 | 12,900,000 | $ | 20.22 | |||||
ProShares Ultra Yen | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | — | $ | — | |||||
12/01/21 to 12/31/21 | — | $ | — | |||||
ProShares UltraShort Australian Dollar | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | 50,000 | $ | 48.42 | |||||
12/01/21 to 12/31/21 | — | $ | — | |||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | 2,500,000 | $ | 14.84 | |||||
12/01/21 to 12/31/21 | 950,000 | $ | 14.90 | |||||
ProShares UltraShort Bloomberg Natural Gas* | ||||||||
10/01/21 to 10/31/21 | 1,380,000 | $ | 38.15 | |||||
11/01/21 to 11/30/21 | 3,170,000 | $ | 41.50 | |||||
12/01/21 to 12/31/21 | 1,890,000 | $ | 60.90 | |||||
ProShares UltraShort Euro | ||||||||
10/01/21 to 10/31/21 | 100,000 | $ | 25.03 | |||||
11/01/21 to 11/30/21 | 250,000 | $ | 24.87 | |||||
12/01/21 to 12/31/21 | 250,000 | $ | 26.46 | |||||
ProShares UltraShort Gold | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | 100,000 | $ | 33.39 | |||||
12/01/21 to 12/31/21 | 200,000 | $ | 32.99 | |||||
ProShares UltraShort Silver | ||||||||
10/01/21 to 10/31/21 | 350,000 | $ | 27.36 | |||||
11/01/21 to 11/30/21 | 400,000 | $ | 25.94 | |||||
12/01/21 to 12/31/21 | 450,000 | $ | 29.47 | |||||
ProShares UltraShort Yen | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | — | $ | — | |||||
12/01/21 to 12/31/21 | 100,000 | $ | 79.74 | |||||
ProShares VIX Mid-Term Futures ETF | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | 400,000 | $ | 30.77 | |||||
12/01/21 to 12/31/21 | 350,000 | $ | 31.96 | |||||
ProShares VIX Short-Term Futures ETF | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | 1,875,000 | $ | 20.51 | |||||
12/01/21 to 12/31/21 | 2,600,000 | $ | 20.79 |
* | See Note 10-K. |
64 | Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations. |
Fund | Interest Income Year Ended December 31, 2020 | Interest Income Year Ended December 31, 2019 | Total Income Year Ended December 31, 2021 | Total Income Year Ended December 31, 2020 | ||||||||||||
ProShares Short Euro | $ | 8,193 | $ | 314,021 | $ | 1,451 | $ | 8,193 | ||||||||
ProShares Short VIX Short-Term Futures ETF | 941,584 | 5,618,666 | 101,467 | 941,584 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | 1,930,769 | 7,627,706 | 488,829 | 1,930,769 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | 206,527 | 589,183 | 50,091 | 206,527 | ||||||||||||
ProShares Ultra Euro | 16,819 | 121,071 | 1,922 | 16,819 | ||||||||||||
ProShares Ultra Gold | 594,847 | 1,798,692 | 92,581 | 594,847 | ||||||||||||
ProShares Ultra Silver | 1,134,396 | 3,823,565 | 261,655 | 1,134,396 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 1,707,491 | 7,903,309 | 249,487 | 1,707,491 | ||||||||||||
ProShares Ultra Yen | 9,427 | 78,463 | 1,187 | 9,427 | ||||||||||||
ProShares UltraPro 3x Crude Oil ETF * | 346,326 | 2,114,130 | — | 346,326 | ||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF * | 166,789 | 562,435 | — | 166,789 | ||||||||||||
ProShares UltraShort Australian Dollar | 20,907 | 159,039 | 1,414 | 20,907 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 268,844 | 1,570,676 | 51,207 | 268,844 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 59,046 | 167,939 | 44,855 | 59,046 | ||||||||||||
ProShares UltraShort Euro | 499,520 | 2,822,207 | 24,790 | 499,520 | ||||||||||||
ProShares UltraShort Gold | 67,722 | 380,158 | 13,048 | 67,722 | ||||||||||||
ProShares UltraShort Silver | 52,402 | 279,294 | 12,422 | 52,402 | ||||||||||||
ProShares UltraShort Yen | 139,822 | 1,007,112 | 12,708 | 139,822 | ||||||||||||
ProShares VIX Mid-Term Futures ETF | 214,449 | 903,643 | 41,362 | 214,449 | ||||||||||||
ProShares VIX Short-Term Futures ETF | 1,152,242 | 4,458,270 | 101,051 | 1,152,242 |
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
NAV beginning of period | $ | 2,282,195 | $ | 8,619,686 | $ | 4,191,955 | $ | 2,282,195 | ||||||||
NAV end of period | $ | 4,191,955 | $ | 2,282,195 | $ | 2,245,421 | $ | 4,191,955 | ||||||||
Percentage change in NAV | 83.7 | % | (73.5 | )% | (46.4 | )% | 83.7 | % | ||||||||
Shares outstanding beginning of period | 50,000 | 200,000 | 100,000 | 50,000 | ||||||||||||
Shares outstanding end of period | 100,000 | 50,000 | 50,000 | 100,000 | ||||||||||||
Percentage change in shares outstanding | 100.0 | % | (75.0 | )% | (50.0 | )% | 100.0 | % | ||||||||
Shares created | 50,000 | 300,000 | — | 50,000 | ||||||||||||
Shares redeemed | — | 450,000 | 50,000 | — | ||||||||||||
Per share NAV beginning of period | $ | 45.64 | $ | 43.10 | $ | 41.92 | $ | 45.64 | ||||||||
Per share NAV end of period | $ | 41.92 | $ | 45.64 | $ | 44.91 | $ | 41.92 | ||||||||
Percentage change in per share NAV | (8.2 | )% | 5.9 | % | 7.1 | % | (8.2 | )% | ||||||||
Percentage change in benchmark | 8.9 | % | (2.1 | )% | (6.9 | )% | 8.9 | % | ||||||||
Benchmark annualized volatility | 7.5 | % | 5.1 | % | 5.8 | % | 7.5 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
Net investment income (loss) | $ | (16,777 | ) | $ | 176,251 | $ | (23,603 | ) | $ | (16,777 | ) | |||||
Management fee | 24,443 | 135,292 | 24,629 | 24,443 | ||||||||||||
Brokerage commissions | 448 | 2,478 | 425 | 448 | ||||||||||||
Non-recurring fees and expenses | 79 | — | — | 79 | ||||||||||||
Net realized gain (loss) | (200,965 | ) | 973,665 | 184,655 | (200,965 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (30,656 | ) | 29,313 | 39,226 | (30,656 | ) | ||||||||||
Net income (loss) | $ | (248,398 | ) | $ | 1,179,229 | $ | 200,278 | $ | (248,398 | ) |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
NAV beginning of period | $ | 284,437,179 | $ | 344,596,263 | $ | 409,371,468 | $ | 284,437,179 | ||||||||
NAV end of period | $ | 409,371,468 | $ | 284,437,179 | $ | 423,812,594 | $ | 409,371,468 | ||||||||
Percentage change in NAV | 43.9 | % | (17.5 | )% | 3.5 | % | 43.9 | % | ||||||||
Shares outstanding beginning of period | 4,334,307 | 8,134,307 | 9,884,307 | 4,334,307 | ||||||||||||
Shares outstanding end of period | 9,884,307 | 4,334,307 | 6,884,307 | 9,884,307 | ||||||||||||
Percentage change in shares outstanding | 128.0 | % | (46.7 | )% | (30.4 | )% | 128.0 | % | ||||||||
Shares created | 27,050,000 | 1,500,000 | 5,100,000 | 27,050,000 | ||||||||||||
Shares redeemed | 21,500,000 | 5,300,000 | 8,100,000 | 21,500,000 | ||||||||||||
Per share NAV beginning of period | $ | 65.62 | $ | 42.36 | $ | 41.42 | $ | 65.62 | ||||||||
Per share NAV end of period | $ | 41.42 | $ | 65.62 | $ | 61.56 | $ | 41.42 | ||||||||
Percentage change in per share NAV | (36.9 | )% | 54.9 | % | 48.6 | % | (36.9 | )% | ||||||||
Percentage change in benchmark | 13.2 | % | (67.8 | )% | (72.2 | )% | 13.2 | % | ||||||||
Benchmark annualized volatility | 102.6 | % | 60.4 | % | 78.0 | % | 102.6 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
Net investment income (loss) | $ | (5,269,562 | ) | $ | 1,162,163 | $ | (6,142,394 | ) | $ | (5,269,562 | ) | |||||
Management fee | 4,469,701 | 3,333,950 | 4,358,107 | 4,469,701 | ||||||||||||
Brokerage commissions | 712,651 | 723,282 | 848,956 | 712,651 | ||||||||||||
Futures account fees | 1,036,798 | 1,005,403 | ||||||||||||||
Non-recurring fees and expenses | 23,391 | 398,550 | — | 23,391 | ||||||||||||
Net realized gain (loss) | (72,610,082 | ) | 125,641,839 | 194,998,324 | (72,610,082 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (1,907,863 | ) | 24,733,759 | 22,890,058 | (1,907,863 | ) | ||||||||||
Net income (loss) | $ | (79,787,507 | ) | $ | 151,537,761 | $ | 211,745,988 | $ | (79,787,507 | ) |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
NAV beginning of period | $ | 309,844,582 | $ | 368,399,654 | $ | 902,739,250 | $ | 309,844,582 | ||||||||
NAV end of period | $ | 902,739,250 | $ | 309,844,582 | $ | 1,103,783,570 | $ | 902,739,250 | ||||||||
Percentage change in NAV | 191.4 | % | (15.9 | )% | 22.3 | % | 191.4 | % | ||||||||
Shares outstanding beginning of period | 608,453 | 1,128,453 | 24,810,774 | 608,453 | ||||||||||||
Shares outstanding end of period | 24,810,774 | 608,453 | 12,810,774 | 24,810,774 | ||||||||||||
Percentage change in shares outstanding | 3,977.7 | % | (46.1 | )% | (48.4 | )% | 3,977.7 | % | ||||||||
Shares created | 120,812,000 | 1,362,000 | 7,300,000 | 120,812,000 | ||||||||||||
Shares redeemed | 96,609,679 | 1,882,000 | 19,300,000 | 96,609,679 | ||||||||||||
Per share NAV beginning of period | $ | 509.23 | $ | 326.46 | $ | 36.38 | $ | 509.23 | ||||||||
Per share NAV end of period | $ | 36.38 | $ | 509.23 | $ | 86.16 | $ | 36.38 | ||||||||
Percentage change in per share NAV | (92.9 | )% | 56.0 | % | 136.8 | % | (92.9 | )% | ||||||||
Percentage change in benchmark | (24.1 | )% | 34.4 | % | 63.1 | % | (24.1 | )% | ||||||||
Benchmark annualized volatility | 80.1 | % | 33.7 | % | 31.2 | % | 80.1 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (11,983,206 | ) | $ | (11,023,311 | ) | ||
Management fee | 10,774,039 | 9,256,478 | ||||||
Brokerage commissions | 871,807 | 2,144,028 | ||||||
Futures account fees | 798,214 | 1,491,895 | ||||||
Non-recurring fees and expenses | 27,975 | 61,679 | ||||||
Net realized gain (loss) | 952,826,131 | (688,299,044 | ) | |||||
Change in net unrealized appreciation (depreciation) | 48,532,601 | 140,214,372 | ||||||
Net income (loss) | $ | 989,375,526 | $ | (559,107,983 | ) |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 169,800,371 | $ | 45,160,205 | ||||
NAV end of period | $ | 193,892,178 | $ | 169,800,371 | ||||
Percentage change in NAV | 14.2 | % | 276.0 | % | ||||
Shares outstanding beginning of period | 8,087,527 | 537,815 | ||||||
Shares outstanding end of period | 7,587,527 | 8,087,527 | ||||||
Percentage change in shares outstanding | (6.2 | )% | 1,403.8 | % | ||||
Shares created | 15,350,000 | 16,685,000 | ||||||
Shares redeemed | 15,850,000 | 9,135,288 | ||||||
Per share NAV beginning of period | $ | 21.00 | $ | 83.97 | ||||
Per share NAV end of period | $ | 25.55 | $ | 21.00 | ||||
Percentage change in per share NAV | 21.7 | % | (75.0 | )% | ||||
Percentage change in benchmark | 28.1 | % | (42.0 | )% | ||||
Benchmark annualized volatility | 52.4 | % | 52.7 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
Net investment income (loss) | $ | (11,023,311 | ) | $ | 3,864,584 | |||
Management fee | 9,256,478 | 3,612,580 | ||||||
Brokerage commissions | 2,144,028 | 150,542 | ||||||
Non-recurring fees and expenses | 61,679 | — | ||||||
Net realized gain (loss) | (688,299,044 | ) | 144,188,809 | |||||
Change in net unrealized appreciation (depreciation) | 140,214,372 | 109,396,338 | ||||||
Net income (loss) | $ | (559,107,983 | ) | $ | 257,449,731 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
NAV beginning of period | $ | 45,160,205 | $ | 14,617,440 | ||||
NAV end of period | $ | 169,800,371 | $ | 45,160,205 | ||||
Percentage change in NAV | 276.0 | % | 208.9 | % | ||||
Shares outstanding beginning of period | 537,815 | 57,815 | ||||||
Shares outstanding end of period | 8,087,527 | 537,815 | ||||||
Percentage change in shares outstanding | 1,403.8 | % | 830.2 | % | ||||
Shares created | 16,685,000 | 825,000 | ||||||
Shares redeemed | 9,135,288 | 345,000 | ||||||
Per share NAV beginning of period | $ | 83.97 | $ | 252.83 | ||||
Per share NAV end of period | $ | 21.00 | $ | 83.97 | ||||
Percentage change in per share NAV | (75.0 | )% | (66.8 | )% | ||||
Percentage change in benchmark | (42.0 | )% | (37.2 | )% | ||||
Benchmark annualized volatility | 52.7 | % | 36.1 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
Net investment income (loss) | $ | (939,900 | ) | $ | 162,388 | $ | (1,609,859 | ) | $ | (939,900 | ) | |||||
Management fee | 674,810 | 297,043 | 1,031,508 | 674,810 | ||||||||||||
Brokerage commissions | 377,630 | 129,752 | 352,618 | 377,630 | ||||||||||||
Futures account fees | 275,824 | 92,442 | ||||||||||||||
Non-recurring fees and expenses | 1,545 | — | — | 1,545 | ||||||||||||
Net realized gain (loss) | (53,326,797 | ) | (32,380,218 | ) | (51,850,483 | ) | (53,326,797 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 9,151,863 | 7,672,614 | (14,721,467 | ) | 9,151,863 | |||||||||||
Net income (loss) | $ | (45,114,834 | ) | $ | (24,545,216 | ) | $ | (68,181,809 | ) | $ | (45,114,834 | ) |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
NAV beginning of period | $ | 6,204,424 | $ | 7,544,569 | $ | 4,737,350 | $ | 6,204,424 | ||||||||
NAV end of period | $ | 4,737,350 | $ | 6,204,424 | $ | 8,659,095 | $ | 4,737,350 | ||||||||
Percentage change in NAV | (23.6 | )% | (17.8 | )% | 82.8 | % | (23.6 | )% | ||||||||
Shares outstanding beginning of period | 450,000 | 500,000 | 300,000 | 450,000 | ||||||||||||
Shares outstanding end of period | 300,000 | 450,000 | 650,000 | 300,000 | ||||||||||||
Percentage change in shares outstanding | (33.3 | )% | (10.0 | )% | 116.7 | % | (33.3 | )% | ||||||||
Shares created | 250,000 | 100,000 | 500,000 | 250,000 | ||||||||||||
Shares redeemed | 400,000 | 150,000 | 150,000 | 400,000 | ||||||||||||
Per share NAV beginning of period | $ | 13.79 | $ | 15.09 | $ | 15.79 | $ | 13.79 | ||||||||
Per share NAV end of period | $ | 15.79 | $ | 13.79 | $ | 13.32 | $ | 15.79 | ||||||||
Percentage change in per share NAV | 14.5 | % | (8.6 | )% | (15.6 | )% | 14.5 | % | ||||||||
Percentage change in benchmark | 8.9 | % | (2.1 | )% | (6.9 | )% | 8.9 | % | ||||||||
Benchmark annualized volatility | 7.5 | % | 5.1 | % | 5.8 | % | 7.5 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
Net investment income (loss) | $ | (27,606 | ) | $ | 58,528 | $ | (35,528 | ) | $ | (27,606 | ) | |||||
Management fee | 44,302 | 62,543 | 37,450 | 44,302 | ||||||||||||
Non-recurring fees and expenses | 123 | — | — | 123 | ||||||||||||
Net realized gain (loss) | 504,035 | (722,691 | ) | (498,935 | ) | 504,035 | ||||||||||
Change in net unrealized appreciation (depreciation) | (21,469 | ) | 52,274 | (6,536 | ) | (21,469 | ) | |||||||||
Net income (loss) | $ | 454,960 | $ | (611,889 | ) | $ | (540,999 | ) | $ | 454,960 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
NAV beginning of period | $ | 110,726,032 | $ | 83,523,294 | $ | 263,540,473 | $ | 110,726,032 | ||||||||
NAV end of period | $ | 263,540,473 | $ | 110,726,032 | $ | 232,780,534 | $ | 263,540,473 | ||||||||
Percentage change in NAV | 138.0 | % | 32.6 | % | (11.7 | )% | 138.0 | % | ||||||||
Shares outstanding beginning of period | 2,250,000 | 2,250,000 | 3,900,000 | 2,250,000 | ||||||||||||
Shares outstanding end of period | 3,900,000 | 2,250,000 | 3,900,000 | 3,900,000 | ||||||||||||
Percentage change in shares outstanding | 73.3 | % | — | % | 0 | % | 73.3 | % | ||||||||
Shares created | 3,500,000 | 900,000 | 1,350,000 | 3,500,000 | ||||||||||||
Shares redeemed | 1,850,000 | 900,000 | 1,350,000 | 1,850,000 | ||||||||||||
Per share NAV beginning of period | $ | 49.21 | $ | 37.12 | $ | 67.57 | $ | 49.21 | ||||||||
Per share NAV end of period | $ | 67.57 | $ | 49.21 | $ | 59.69 | $ | 67.57 | ||||||||
Percentage change in per share NAV | 37.3 | % | 32.6 | % | (11.7 | )% | 37.3 | % | ||||||||
Percentage change in benchmark | 20.9 | % | 18.0 | % | (4.3 | )% | 20.9 | % | ||||||||
Benchmark annualized volatility | 21.5 | % | 11.5 | % | 14.9 | % | 21.5 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
Net investment income (loss) | $ | (1,424,530 | ) | $ | 902,937 | $ | (2,288,875 | ) | $ | (1,424,530 | ) | |||||
Management fee | 1,916,092 | 884,410 | 2,262,422 | 1,916,092 | ||||||||||||
Brokerage commissions | 39,462 | 11,345 | 41,241 | 39,462 | ||||||||||||
Futures account fees | 77,793 | 59,069 | ||||||||||||||
Non-recurring fees and expenses | 4,754 | — | — | 4,754 | ||||||||||||
Net realized gain (loss) | 35,452,046 | 19,588,339 | (31,323,946 | ) | 35,452,046 | |||||||||||
Change in net unrealized appreciation (depreciation) | (353,150 | ) | 3,815,690 | 1,497,196 | (353,150 | ) | ||||||||||
Net income (loss) | $ | 33,674,366 | $ | 24,306,966 | $ | (32,115,625 | ) | $ | 33,674,366 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
NAV beginning of period | $ | 239,254,842 | $ | 201,824,376 | $ | 745,304,028 | $ | 239,254,842 | ||||||||
NAV end of period | $ | 745,304,028 | $ | 239,254,842 | $ | 515,453,594 | $ | 745,304,028 | ||||||||
Percentage change in NAV | 211.5 | % | 18.5 | % | (30.8 | )% | 211.5 | % | ||||||||
Shares outstanding beginning of period | 7,546,526 | 7,646,526 | 14,696,526 | 7,546,526 | ||||||||||||
Shares outstanding end of period | 14,696,526 | 7,546,526 | 14,796,526 | 14,696,526 | ||||||||||||
Percentage change in shares outstanding | 94.7 | % | (1.3 | )% | 0.7 | % | 94.7 | % | ||||||||
Shares created | 13,500,000 | 2,300,000 | 4,500,000 | 13,500,000 | ||||||||||||
Shares redeemed | 6,350,000 | 2,400,000 | 4,400,000 | 6,350,000 | ||||||||||||
Per share NAV beginning of period | $ | 31.70 | $ | 26.39 | $ | 50.71 | $ | 31.70 | ||||||||
Per share NAV end of period | $ | 50.71 | $ | 31.70 | $ | 34.84 | $ | 50.71 | ||||||||
Percentage change in per share NAV | 60.0 | % | 20.1 | % | (31.3 | )% | 60.0 | % | ||||||||
Percentage change in benchmark | 42.5 | % | 13.9 | % | (12.3 | )% | 42.5 | % | ||||||||
Benchmark annualized volatility | 46.1 | % | 19.6 | % | 30.8 | % | 46.1 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
Net investment income (loss) | $ | (3,174,045 | ) | $ | 1,856,270 | $ | (6,093,025 | ) | $ | (3,174,045 | ) | |||||
Management fee | 3,944,697 | 1,928,478 | 5,912,386 | 3,944,697 | ||||||||||||
Brokerage commissions | 141,650 | 38,814 | 145,545 | 141,650 | ||||||||||||
Futures account fees | 296,749 | 215,791 | ||||||||||||||
Non-recurring fees and expenses | 6,303 | — | — | 6,303 | ||||||||||||
Net realized gain (loss) | 147,215,471 | 34,374,143 | (172,447,879 | ) | 147,215,471 | |||||||||||
Change in net unrealized appreciation (depreciation) | 63,082,149 | 4,223,101 | (50,874,626 | ) | 63,082,149 | |||||||||||
Net income (loss) | $ | 207,123,575 | $ | 40,453,514 | $ | (229,415,530 | ) | $ | 207,123,575 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
NAV beginning of period | $ | 527,636,003 | $ | 214,304,871 | $ | 1,356,204,199 | $ | 527,636,003 | ||||||||
NAV end of period | $ | 1,356,204,199 | $ | 527,636,003 | $ | 816,679,636 | $ | 1,356,204,199 | ||||||||
Percentage change in NAV | 157.0 | % | 146.2 | % | (39.8 | )% | 157.0 | % | ||||||||
Shares outstanding beginning of period | 41,630,912 | 2,630,912 | 12,713,091 | 4,163,091 | ||||||||||||
Shares outstanding end of period | 127,130,912 | 41,630,912 | 65,828,420 | 12,713,091 | ||||||||||||
Percentage change in shares outstanding | 205.4 | % | 1,482.4 | % | 417.8 | % | 205.4 | % | ||||||||
Shares created | 154,050,000 | 83,750,000 | 135,235,000 | 15,405,000 | ||||||||||||
Shares redeemed | 68,550,000 | 44,750,000 | 82,119,671 | 6,855,000 | ||||||||||||
Per share NAV beginning of period | $ | 12.67 | $ | 81.46 | $ | 106.68 | $ | 126.74 | ||||||||
Per share NAV end of period | $ | 10.67 | $ | 12.67 | $ | 12.41 | $ | 106.68 | ||||||||
Percentage change in per share NAV | (15.8 | )% | (84.4 | )% | (88.4 | )% | (15.8 | )% | ||||||||
Percentage change in benchmark | 13.2 | % | (67.8 | )% | (72.2 | )% | 13.2 | % | ||||||||
Benchmark annualized volatility | 102.6 | % | 60.4 | % | 78.0 | % | 102.6 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
Net investment income (loss) | $ | (13,623,881 | ) | $ | 95,052 | $ | (20,156,985 | ) | $ | (13,623,881 | ) | |||||
Management fee | 8,835,385 | 4,819,171 | 11,128,589 | 8,835,385 | ||||||||||||
Brokerage commissions | 3,620,606 | 2,936,813 | 5,427,481 | 3,620,606 | ||||||||||||
Futures account fees | 3,850,402 | 2,860,084 | ||||||||||||||
Non-recurring fees and expenses | 15,297 | 27,508 | — | 15,297 | ||||||||||||
Net realized gain (loss) | (632,242,038 | ) | (612,840,041 | ) | (1,983,414,849 | ) | (632,242,038 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (1,950,460 | ) | (77,766,851 | ) | (78,354,915 | ) | (1,950,460 | ) | ||||||||
Net income (loss) | $ | (647,816,379 | ) | $ | (690,511,840 | ) | $ | (2,081,926,749 | ) | $ | (647,816,379 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 15 of part IV in this Annual Report on Form 10-K regarding the reverse Share split for the ProShares Ultra VIX Short-Term Futures ETF. |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
NAV beginning of period | $ | 5,580,964 | $ | 5,751,716 | $ | 2,989,499 | $ | 5,580,964 | ||||||||
NAV end of period | $ | 2,989,499 | $ | 5,580,964 | $ | 2,362,849 | $ | 2,989,499 | ||||||||
Percentage change in NAV | (46.4 | )% | (3.0 | )% | (21.0 | )% | (46.4 | )% | ||||||||
Shares outstanding beginning of period | 99,970 | 99,970 | 49,970 | 99,970 | ||||||||||||
Shares outstanding end of period | 49,970 | 99,970 | 49,970 | 49,970 | ||||||||||||
Percentage change in shares outstanding | (50.0 | )% | — | % | 0 | % | (50.0 | )% | ||||||||
Shares created | — | 200,000 | — | — | ||||||||||||
Shares redeemed | 50,000 | 200,000 | �� | 50,000 | ||||||||||||
Per share NAV beginning of period | $ | 55.83 | $ | 57.53 | $ | 59.83 | $ | 55.83 | ||||||||
Per share NAV end of period | $ | 59.83 | $ | 55.83 | $ | 47.29 | $ | 59.83 | ||||||||
Percentage change in per share NAV | 7.2 | % | (3.0 | )% | (21.0 | )% | 7.2 | % | ||||||||
Percentage change in benchmark | 5.2 | % | 0.9 | % | (10.3 | )% | 5.2 | % | ||||||||
Benchmark annualized volatility | 9.3 | % | 5.7 | % | 5.6 | % | 9.3 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
Net investment income (loss) | $ | (18,317 | ) | $ | 38,514 | $ | (23,787 | ) | $ | (18,317 | ) | |||||
Management fee | 27,655 | 39,949 | 24,974 | 27,655 | ||||||||||||
Non-recurring fees and expenses | 89 | — | — | 89 | ||||||||||||
Net realized gain (loss) | 95,324 | 57,990 | (442,664 | ) | 95,324 | |||||||||||
Change in net unrealized appreciation (depreciation) | 77,542 | (187,566 | ) | (160,199 | ) | 77,542 | ||||||||||
Net income (loss) | $ | 154,549 | $ | (91,062 | ) | $ | (626,650 | ) | $ | 154,549 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
NAV beginning of period | $ | 5,608,612 | $ | 11,060,333 | $ | 2,222,639 | $ | 5,608,612 | ||||||||
NAV end of period | $ | 2,222,639 | $ | 5,608,612 | $ | 2,412,623 | $ | 2,222,639 | ||||||||
Percentage change in NAV | (60.4 | )% | (49.3 | )% | 8.5 | % | (60.4 | )% | ||||||||
Shares outstanding beginning of period | 100,000 | 200,000 | 50,000 | 100,000 | ||||||||||||
Shares outstanding end of period | 50,000 | 100,000 | 50,000 | 50,000 | ||||||||||||
Percentage change in shares outstanding | (50.0 | )% | (50.0 | )% | 0 | % | (50.0 | )% | ||||||||
Shares created | — | 50,000 | 50,000 | — | ||||||||||||
Shares redeemed | 50,000 | 150,000 | 50,000 | 50,000 | ||||||||||||
Per share NAV beginning of period | $ | 56.09 | $ | 55.30 | $ | 44.45 | $ | 56.09 | ||||||||
Per share NAV end of period | $ | 44.45 | $ | 56.09 | $ | 48.25 | $ | 44.45 | ||||||||
Percentage change in per share NAV | (20.8 | )% | 1.4 | % | 8.5 | % | (20.8 | )% | ||||||||
Percentage change in benchmark | 9.9 | % | (0.4 | )% | (5.7 | )% | 9.9 | % | ||||||||
Benchmark annualized volatility | 12.1 | % | 6.9 | % | 8.2 | % | 12.1 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
Net investment income (loss) | $ | (36,668 | ) | $ | 80,325 | $ | (29,006 | ) | $ | (36,668 | ) | |||||
Management fee | 52,950 | 72,858 | 27,977 | 52,950 | ||||||||||||
Brokerage commissions | 4,429 | 5,856 | 2,443 | 4,429 | ||||||||||||
Non-recurring fees and expenses | 196 | — | — | 196 | ||||||||||||
Net realized gain (loss) | (1,032,184 | ) | 833,199 | 192,896 | (1,032,184 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 84,844 | (735,608 | ) | 73,801 | 84,844 | |||||||||||
Net income (loss) | $ | (984,008 | ) | $ | 177,916 | $ | 237,691 | $ | (984,008 | ) |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
NAV beginning of period | $ | 125,451,681 | $ | 114,377,311 | $ | 96,839,233 | $ | 125,451,681 | ||||||||
NAV end of period | $ | 96,839,233 | $ | 125,451,681 | $ | 114,167,602 | $ | 96,839,233 | ||||||||
Percentage change in NAV | (22.8 | )% | 9.7 | % | 17.9 | % | (22.8 | )% | ||||||||
Shares outstanding beginning of period | 10,289,884 | 3,839,884 | 2,084,971 | 2,572,471 | ||||||||||||
Shares outstanding end of period | 8,339,884 | 10,289,884 | 8,883,799 | 2,084,971 | ||||||||||||
Percentage change in shares outstanding | (19.0 | )% | 168.0 | % | 326.1 | % | (19.0 | )% | ||||||||
Shares created | 37,500,000 | 25,950,000 | 13,387,500 | 9,375,000 | ||||||||||||
Shares redeemed | 39,450,000 | 19,500,000 | 6,588,672 | 9,862,500 | ||||||||||||
Per share NAV beginning of period | $ | 12.19 | $ | 29.79 | $ | 46.45 | $ | 48.77 | ||||||||
Per share NAV end of period | $ | 11.61 | $ | 12.19 | $ | 12.85 | $ | 46.45 | ||||||||
Percentage change in per share NAV | (4.8 | )% | (59.1 | )% | (72.3 | )% | (4.8 | )% | ||||||||
Percentage change in benchmark | (24.1 | )% | 34.4 | % | 63.1 | % | (24.1 | )% | ||||||||
Benchmark annualized volatility | 80.1 | % | 33.7 | % | 31.2 | % | 80.1 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (1,039,167 | ) | $ | (1,468,178 | ) | ||
Management fee | 847,440 | 1,021,787 | ||||||
Brokerage commissions | 139,273 | 548,380 | ||||||
Futures account fees | 103,661 | 161,612 | ||||||
Non-recurring fees and expenses | — | 5,243 | ||||||
Net realized gain (loss) | (105,294,702 | ) | 12,949,097 | |||||
Change in net unrealized appreciation (depreciation) | 6,211,074 | (7,487,355 | ) | |||||
Net income (loss) | $ | (100,122,795 | ) | $ | 3,993,564 |
* | See Note 1 of the Notes to Financial Statements in Item 15 of part IV in this Annual Report on Form 10-K regarding the reverse Share split for the ProShares UltraShort Bloomberg Crude Oil. |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 24,977,745 | $ | 12,515,603 | ||||
NAV end of period | $ | 242,145,130 | $ | 24,977,745 | ||||
Percentage change in NAV | 869.4 | % | 99.6 | % | ||||
Shares outstanding beginning of period | 104,966 | 64,966 | ||||||
Shares outstanding end of period | 3,914,966 | 104,966 | ||||||
Percentage change in shares outstanding | 3,629.7 | % | 61.6 | % | ||||
Shares created | 12,020,000 | 1,250,000 | ||||||
Shares redeemed | 8,210,000 | 1,210,000 | ||||||
Per share NAV beginning of period | $ | 237.96 | $ | 192.65 | ||||
Per share NAV end of period | $ | 61.85 | $ | 237.96 | ||||
Percentage change in per share NAV | (74.0 | )% | 23.5 | % | ||||
Percentage change in benchmark | 28.1 | % | (42.0 | )% | ||||
Benchmark annualized volatility | 52.4 | % | 52.7 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
Net investment income (loss) | $ | (1,468,178 | ) | $ | 709,799 | |||
Management fee | 1,021,787 | 769,401 | ||||||
Brokerage commissions | 548,380 | 91,476 | ||||||
Non-recurring fees and expenses | 5,243 | — | ||||||
Net realized gain (loss) | 12,949,097 | (14,247,456 | ) | |||||
Change in net unrealized appreciation (depreciation) | (7,487,355 | ) | (31,068,746 | ) | ||||
Net income (loss) | $ | 3,993,564 | $ | (44,606,403 | ) |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
NAV beginning of period | $ | 12,515,603 | $ | 17,825,441 | ||||
NAV end of period | $ | 24,977,745 | $ | 12,515,603 | ||||
Percentage change in NAV | 99.6 | % | (29.8 | )% | ||||
Shares outstanding beginning of period | 324,832 | 824,832 | ||||||
Shares outstanding end of period | 524,832 | 324,832 | ||||||
Percentage change in shares outstanding | 61.6 | % | (60.6 | )% | ||||
Shares created | 6,250,000 | 1,200,000 | ||||||
Shares redeemed | 6,050,000 | 1,700,000 | ||||||
Per share NAV beginning of period | $ | 38.53 | $ | 21.61 | ||||
Per share NAV end of period | $ | 47.59 | $ | 38.53 | ||||
Percentage change in per share NAV | 23.5 | % | 78.3 | % | ||||
Percentage change in benchmark | (42.0 | )% | (37.2 | )% | ||||
Benchmark annualized volatility | 52.7 | % | 36.1 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (1,767,953 | ) | $ | (549,591 | ) | ||
Management fee | 1,104,237 | 308,058 | ||||||
Brokerage commissions | 495,800 | 250,422 | ||||||
Futures account fees | 212,771 | 49,672 | ||||||
Non-recurring fees and expenses | — | 485 | ||||||
Net realized gain (loss) | 9,183,902 | 20,854 | ||||||
Change in net unrealized appreciation (depreciation) | 13,022,687 | (293,043 | ) | |||||
Net income (loss) | $ | 20,438,636 | $ | (821,780 | ) |
* | See Note 9 of the Notes to Financial Statements in Item 15 of part IV in this Annual Report on Form 10-K regarding the reverse Share split for the ProShares UltraShort Bloomberg Natural Gas. |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 52,953,339 | $ | 120,581,173 | ||||
NAV end of period | $ | 54,263,045 | $ | 52,953,339 | ||||
Percentage change in NAV | 2.5 | % | (56.1 | )% | ||||
Shares outstanding beginning of period | 2,350,000 | 4,500,000 | ||||||
Shares outstanding end of period | 2,100,000 | 2,350,000 | ||||||
Percentage change in shares outstanding | (10.6 | )% | (47.8 | )% | ||||
Shares created | 1,050,000 | 1,500,000 | ||||||
Shares redeemed | 1,300,000 | 3,650,000 | ||||||
Per share NAV beginning of period | $ | 22.53 | $ | 26.80 | ||||
Per share NAV end of period | $ | 25.84 | $ | 22.53 | ||||
Percentage change in per share NAV | 14.7 | % | (15.9 | )% | ||||
Percentage change in benchmark | (6.9 | )% | 8.9 | % | ||||
Benchmark annualized volatility | 5.8 | % | 7.5 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
Net investment income (loss) | $ | (549,591 | ) | $ | 29,417 | |||
Management fee | 308,058 | 83,978 | ||||||
Brokerage commissions | 250,422 | 54,544 | ||||||
Non-recurring fees and expenses | 485 | — | ||||||
Net realized gain (loss) | 20,854 | 19,286,567 | ||||||
Change in net unrealized appreciation (depreciation) | (293,043 | ) | (10,165,386 | ) | ||||
Net income (loss) | $ | (821,780 | ) | $ | 9,150,598 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
NAV beginning of period | $ | 120,581,173 | $ | 154,120,159 | ||||
NAV end of period | $ | 52,953,339 | $ | 120,581,173 | ||||
Percentage change in NAV | (56.1 | )% | (21.8 | )% | ||||
Shares outstanding beginning of period | 4,500,000 | 6,350,000 | ||||||
Shares outstanding end of period | 2,350,000 | 4,500,000 | ||||||
Percentage change in shares outstanding | (47.8 | )% | (29.1 | )% | ||||
Shares created | 1,500,000 | 1,050,000 | ||||||
Shares redeemed | 3,650,000 | 2,900,000 | ||||||
Per share NAV beginning of period | $ | 26.80 | $ | 24.27 | ||||
Per share NAV end of period | $ | 22.53 | $ | 26.80 | ||||
Percentage change in per share NAV | (15.9 | )% | 10.4 | % | ||||
Percentage change in benchmark | 8.9 | % | (2.1 | )% | ||||
Benchmark annualized volatility | 7.5 | % | 5.1 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (455,947 | ) | $ | (287,014 | ) | ||
Management fee | 480,737 | 783,692 | ||||||
Non-recurring fees and expenses | — | 2,842 | ||||||
Net realized gain (loss) | 6,311,782 | (10,979,339 | ) | |||||
Change in net unrealized appreciation (depreciation) | 921,251 | 1,109,938 | ||||||
Net income (loss) | $ | 6,777,086 | $ | (10,156,415 | ) |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 20,337,376 | $ | 21,047,560 | ||||
NAV end of period | $ | 26,859,844 | $ | 20,337,376 | ||||
Percentage change in NAV | 32.1 | % | (3.4 | )% | ||||
Shares outstanding beginning of period | 646,977 | 396,977 | ||||||
Shares outstanding end of period | 846,977 | 646,977 | ||||||
Percentage change in shares outstanding | 30.9 | % | 63.0 | % | ||||
Shares created | 2,050,000 | 1,650,000 | ||||||
Shares redeemed | 1,850,000 | 1,400,000 | ||||||
Per share NAV beginning of period | $ | 31.43 | $ | 53.02 | ||||
Per share NAV end of period | $ | 31.71 | $ | 31.43 | ||||
Percentage change in per share NAV | 0.9 | % | (40.7 | )% | ||||
Percentage change in benchmark | (4.3 | )% | 20.9 | % | ||||
Benchmark annualized volatility | 14.9 | % | 21.5 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
Net investment income (loss) | $ | (287,014 | ) | $ | 1,528,830 | |||
Management fee | 783,692 | 1,293,377 | ||||||
Non-recurring fees and expenses | 2,842 | — | ||||||
Net realized gain (loss) | (10,979,339 | ) | 13,747,208 | |||||
Change in net unrealized appreciation (depreciation) | 1,109,938 | (753,437 | ) | |||||
Net income (loss) | $ | (10,156,415 | ) | $ | 14,522,601 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
NAV beginning of period | $ | 21,047,560 | $ | 18,098,997 | ||||
NAV end of period | $ | 20,337,376 | $ | 21,047,560 | ||||
Percentage change in NAV | (3.4 | )% | 16.3 | % | ||||
Shares outstanding beginning of period | 396,977 | 246,978 | ||||||
Shares outstanding end of period | 646,977 | 396,977 | ||||||
Percentage change in shares outstanding | 63.0 | % | 60.7 | % | ||||
Shares created | 1,650,000 | 600,000 | ||||||
Shares redeemed | 1,400,000 | 450,001 | ||||||
Per share NAV beginning of period | $ | 53.02 | $ | 73.28 | ||||
Per share NAV end of period | $ | 31.43 | $ | 53.02 | ||||
Percentage change in per share NAV | (40.7 | )% | (27.6 | )% | ||||
Percentage change in benchmark | 20.9 | % | 18.0 | % | ||||
Benchmark annualized volatility | 21.5 | % | 11.5 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
Net investment income (loss) | $ | (123,632 | ) | $ | 186,714 | $ | (280,600 | ) | $ | (123,632 | ) | |||||
Management fee | 177,762 | 188,089 | 271,758 | 177,762 | ||||||||||||
Brokerage commissions | 7,882 | 5,355 | 11,667 | 7,882 | ||||||||||||
Futures account fees | 10,223 | 5,130 | ||||||||||||||
Non-recurring fees and expenses | 580 | — | — | 580 | ||||||||||||
Net realized gain (loss) | (11,119,478 | ) | (5,192,568 | ) | (2,448,551 | ) | (11,119,478 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 1,098,111 | (540,991 | ) | (372,961 | ) | 1,098,111 | ||||||||||
Net income (loss) | $ | (10,144,999 | ) | $ | (5,546,845 | ) | $ | (3,102,112 | ) | $ | (10,144,999 | ) |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
NAV beginning of period | $ | 13,834,163 | $ | 11,768,863 | $ | 28,885,775 | $ | 13,834,163 | ||||||||
NAV end of period | $ | 28,885,775 | $ | 13,834,163 | $ | 26,537,000 | $ | 28,885,775 | ||||||||
Percentage change in NAV | 108.8 | % | 17.5 | % | (8.1 | )% | 108.8 | % | ||||||||
Shares outstanding beginning of period | 516,976 | 316,976 | 1,041,744 | 129,244 | ||||||||||||
Shares outstanding end of period | 4,166,976 | 516,976 | 991,329 | 1,041,744 | ||||||||||||
Percentage change in shares outstanding | 706.0 | % | 63.1 | % | (4.8 | )% | 706.0 | % | ||||||||
Shares created | 13,700,000 | 1,000,000 | 4,650,000 | 3,425,000 | ||||||||||||
Shares redeemed | 10,050,000 | 800,000 | 4,700,415 | 2,512,500 | ||||||||||||
Per share NAV beginning of period | $ | 26.76 | $ | 37.13 | $ | 27.73 | $ | 107.04 | ||||||||
Per share NAV end of period | $ | 6.93 | $ | 26.76 | $ | 26.77 | $ | 27.73 | ||||||||
Percentage change in per share NAV | (74.1 | )% | (27.9 | )% | (3.5 | )% | (74.1 | )% | ||||||||
Percentage change in benchmark | 42.5 | % | 13.9 | % | (12.3 | )% | 42.5 | % | ||||||||
Benchmark annualized volatility | 46.1 | % | 19.6 | % | 30.8 | % | 46.1 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
Net investment income (loss) | $ | (221,656 | ) | $ | 131,913 | $ | (369,924 | ) | $ | (221,656 | ) | |||||
Management fee | 237,140 | 139,668 | 330,111 | 237,140 | ||||||||||||
Brokerage commissions | 22,323 | 7,713 | 26,469 | 22,323 | ||||||||||||
Futures account fees | 25,766 | 14,141 | ||||||||||||||
Non-recurring fees and expenses | 454 | — | — | 454 | ||||||||||||
Net realized gain (loss) | (16,849,815 | ) | (4,544,543 | ) | (17,795 | ) | (16,849,815 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (1,382,256 | ) | (197,432 | ) | 2,147,856 | (1,382,256 | ) | |||||||||
Net income (loss) | $ | (18,453,727 | ) | $ | (4,610,062 | ) | $ | 1,760,137 | $ | (18,453,727 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 15 of part IV in this Annual Report on Form 10-K regarding the reverse Share split for the ProShares UltraShort Silver. |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
NAV beginning of period | $ | 38,132,320 | $ | 55,363,675 | $ | 23,691,070 | $ | 38,132,320 | ||||||||
NAV end of period | $ | 23,691,070 | $ | 38,132,320 | $ | 24,840,784 | $ | 23,691,070 | ||||||||
Percentage change in NAV | (37.9 | )% | (31.1 | )% | 4.9 | % | (37.9 | )% | ||||||||
Shares outstanding beginning of period | 499,290 | 749,290 | 349,290 | 499,290 | ||||||||||||
Shares outstanding end of period | 349,290 | 499,290 | 299,290 | 349,290 | ||||||||||||
Percentage change in shares outstanding | (30.0 | )% | (33.4 | )% | (14.3 | )% | (30.0 | )% | ||||||||
Shares created | 150,000 | 450,000 | 200,000 | 150,000 | ||||||||||||
Shares redeemed | 300,000 | 700,000 | 250,000 | 300,000 | ||||||||||||
Per share NAV beginning of period | $ | 76.37 | $ | 73.89 | $ | 67.83 | $ | 76.37 | ||||||||
Per share NAV end of period | $ | 67.83 | $ | 76.37 | $ | 83.00 | $ | 67.83 | ||||||||
Percentage change in per share NAV | (11.2 | )% | 3.4 | % | 22.4 | % | (11.2 | )% | ||||||||
Percentage change in benchmark | 5.2 | % | 0.9 | % | (10.3 | )% | 5.2 | % | ||||||||
Benchmark annualized volatility | 9.3 | % | 5.7 | % | 5.6 | % | 9.3 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
Net investment income (loss) | $ | (129,202 | ) | $ | 555,474 | $ | (247,388 | ) | $ | (129,202 | ) | |||||
Management fee | 268,213 | 451,638 | 260,096 | 268,213 | ||||||||||||
Non-recurring fees and expenses | 811 | — | — | 811 | ||||||||||||
Net realized gain (loss) | (2,619,441 | ) | (1,979,679 | ) | 4,126,928 | (2,619,441 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (662,165 | ) | 3,220,521 | 1,432,303 | (662,165 | ) | ||||||||||
Net income (loss) | $ | (3,410,808 | ) | $ | 1,796,316 | $ | 5,311,843 | $ | (3,410,808 | ) |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
NAV beginning of period | $ | 45,986,584 | $ | 56,299,121 | $ | 72,075,095 | $ | 45,986,584 | ||||||||
NAV end of period | $ | 72,075,095 | $ | 45,986,584 | $ | 112,875,680 | $ | 72,075,095 | ||||||||
Percentage change in NAV | 56.7 | % | (18.3 | )% | 56.6 | % | 56.7 | % | ||||||||
Shares outstanding beginning of period | 2,162,403 | 2,112,403 | 1,962,403 | 2,162,403 | ||||||||||||
Shares outstanding end of period | 1,962,403 | 2,162,403 | 3,687,403 | 1,962,403 | ||||||||||||
Percentage change in shares outstanding | (9.2 | )% | 2.4 | % | 87.9 | % | (9.2 | )% | ||||||||
Shares created | 2,375,000 | 1,400,000 | 3,100,000 | 2,375,000 | ||||||||||||
Shares redeemed | 2,575,000 | 1,350,000 | 1,375,000 | 2,575,000 | ||||||||||||
Per share NAV beginning of period | $ | 21.27 | $ | 26.65 | $ | 36.73 | $ | 21.27 | ||||||||
Per share NAV end of period | $ | 36.73 | $ | 21.27 | $ | 30.61 | $ | 36.73 | ||||||||
Percentage change in per share NAV | 72.7 | % | (20.2 | )% | (16.7 | )% | 72.7 | % | ||||||||
Percentage change in benchmark | 74.7 | % | (19.3 | )% | (15.6 | )% | 74.7 | % | ||||||||
Benchmark annualized volatility | 56.3 | % | 25.3 | % | 29.2 | % | 56.3 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
Net investment income (loss) | $ | (506,172 | ) | $ | 493,213 | $ | (1,005,813 | ) | $ | (506,172 | ) | |||||
Management fee | 579,606 | 380,474 | 858,979 | 579,606 | ||||||||||||
Brokerage commissions | 65,093 | 29,956 | 66,076 | 65,093 | ||||||||||||
Futures account fees | 122,120 | 75,922 | ||||||||||||||
Net realized gain (loss) | 15,454,616 | (6,228,644 | ) | (15,245,794 | ) | 15,454,616 | ||||||||||
Change in net unrealized appreciation (depreciation) | 1,146,818 | (6,037,881 | ) | 494,235 | 1,146,818 | |||||||||||
Net income (loss) | $ | 16,095,262 | $ | (11,773,312 | ) | $ | (15,757,372 | ) | $ | 16,095,262 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
NAV beginning of period | $ | 279,792,503 | $ | 149,547,115 | $ | 293,390,549 | $ | 279,792,503 | ||||||||
NAV end of period | $ | 293,390,549 | $ | 279,792,503 | $ | 269,703,164 | $ | 293,390,549 | ||||||||
Percentage change in NAV | 4.9 | % | 87.1 | % | (8.1 | )% | 4.9 | % | ||||||||
Shares outstanding beginning of period | 22,751,317 | 3,876,317 | 5,331,579 | 5,687,829 | ||||||||||||
Shares outstanding end of period | 21,326,317 | 22,751,317 | 17,832,826 | 5,331,579 | ||||||||||||
Percentage change in shares outstanding | (6.3 | )% | 486.9 | % | 234.5 | % | (6.3 | )% | ||||||||
Shares created | 26,325,000 | 30,800,000 | 22,606,250 | 6,581,250 | ||||||||||||
Shares redeemed | 27,750,000 | 11,925,000 | 10,105,003 | 6,937,500 | ||||||||||||
Per share NAV beginning of period | $ | 12.30 | $ | 38.58 | $ | 55.03 | $ | 49.19 | ||||||||
Per share NAV end of period | $ | 13.76 | $ | 12.30 | $ | 15.12 | $ | 55.03 | ||||||||
Percentage change in per share NAV | 11.9 | % | (68.1 | )% | (72.5 | )% | 11.9 | % | ||||||||
Percentage change in benchmark | 13.2 | % | (67.8 | )% | (72.2 | )% | 13.2 | % | ||||||||
Benchmark annualized volatility | 102.6 | % | 60.4 | % | 78.0 | % | 102.6 | % |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
Net investment income (loss) | $ | (1,892,962 | ) | $ | 2,153,399 | $ | (3,922,951 | ) | $ | (1,892,962 | ) | |||||
Management fee | 2,193,275 | 2,038,850 | 2,825,547 | 2,193,275 | ||||||||||||
Brokerage commissions | 376,682 | 253,057 | 459,431 | 376,682 | ||||||||||||
Futures account fees | 739,024 | 475,247 | ||||||||||||||
Net realized gain (loss) | 156,087,060 | (194,350,788 | ) | (360,304,827 | ) | 156,087,060 | ||||||||||
Change in net unrealized appreciation (depreciation) | 9,024,606 | (32,770,663 | ) | (23,793,649 | ) | 9,024,606 | ||||||||||
Net income (loss) | $ | 163,218,704 | $ | (224,968,052 | ) | $ | (388,021,427 | ) | $ | 163,218,704 |
* | See Note 1 of the Notes to Financial Statements in Item 15 of part IV in this Annual Report on Form 10-K regarding the reverse Share split for the ProShares VIX Short-Term Futures ETF. |
101 | Item 7A. Quantitative and Qualitative Disclosures About Market Risk. |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Long or | Valuation | Contract | Notional Amount | |||||||||||||||||
Contract | Short | Expiration | Contracts | Price | Multiplier | at Value | ||||||||||||||
Euro Fx Currency Futures (CME) | Short | March 2021 | 27 | $ | 1.22 | 125,000 | $ | (4,133,025 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||
Euro Fx Currency Futures (CME) | Short | March 2020 | 16 | $ | 1.13 | 125,000 | $ | (2,256,400 | ) | Short | March 2022 | 16 | $ | 1.14 | 125,000 | $ | (2,280,500 | ) |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Euro Fx Currency Futures (CME) | Short | March 2021 | 27 | $ | 1.22 | 125,000 | $ | (4,133,025 | ) |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Short | January 2021 | 4,169 | $ | 23.68 | 1,000 | $ | (98,701,075 | ) | |||||||||||
VIX Futures (Cboe) | Short | February 2021 | 4,161 | 25.58 | 1,000 | (106,417,575 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||
VIX Futures (Cboe) | Short | January 2020 | 5,442 | $ | 14.63 | 1,000 | $ | (79,589,250 | ) | Short | January 2022 | 6,294 | $ | 19.67 | 1,000 | $ | (123,831,303 | ) | ||||||||||||||||||||||
VIX Futures (Cboe) | Short | February 2020 | 3,764 | 16.63 | 1,000 | (62,576,500 | ) | Short | February 2022 | 4,000 | 21.97 | 1,000 | (87,882,000 | ) |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Short | January 2021 | 4,169 | $ | 23.68 | 1,000 | $ | (98,701,075 | ) | |||||||||||
VIX Futures (Cboe) | Short | February 2021 | 4,161 | 25.58 | 1,000 | (106,417,575 | ) |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Long or | Valuation | Contract | Notional Amount | |||||||||||||||||
Contract | Short | Expiration | Contracts | Price | Multiplier | at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | March 2021 | 10,134 | $ | 48.63 | 1,000 | $ | 492,816,420 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2021 | 9,783 | 48.63 | 1,000 | 475,747,290 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2021 | 9,650 | 47.68 | 1,000 | 460,112,000 |
Swap Agreements as of December 31, 2020 | ||||||||||||
Long or | Notional Amount | |||||||||||
Reference Index | Counterparty | Short | Index Close | at Value | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | $ | 40.2599 | $ | 28,462,300 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 40.2599 | 226,338,741 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 40.2599 | 34,593,561 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 40.2599 | 87,117,995 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | March 2022 | 5,530 | $ | 74.88 | 1,000 | $ | 414,086,400 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2022 | 5,709 | 73.37 | 1,000 | 418,869,330 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2022 | 5,924 | 69.83 | 1,000 | 413,672,920 |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | March 2020 | 554 | $ | 60.77 | 1,000 | $ | 33,666,580 |
Swap Agreements as of December 31, 2019 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg WTI Crude Oil Subindex | Citibank, N.A. | Long | $ | 90.3776 | $ | 172,174,920 | ||||||
Bloomberg WTI Crude Oil Subindex | Goldman Sachs International | Long | 90.3776 | 120,411,487 | ||||||||
Bloomberg WTI Crude Oil Subindex | Royal Bank of Canada | Long | 90.3776 | 115,540,626 | ||||||||
Bloomberg WTI Crude Oil Subindex | Societe Generale | Long | 90.3776 | 64,308,537 | ||||||||
Bloomberg WTI Crude Oil Subindex | UBS AG | Long | 90.3776 | 113,574,303 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 65.6654 | $ | 148,013,752 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 65.6654 | 209,403,677 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 65.6654 | 256,365,929 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 65.6654 | 139,690,137 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 65.6654 | 207,959,236 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | March 2021 | 10,134 | $ | 48.63 | 1,000 | $ | 492,816,420 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2021 | 9,783 | 48.63 | 1,000 | 475,747,290 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2021 | 9,650 | 47.68 | 1,000 | 460,112,000 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | $ | 40.2599 | $ | 28,462,300 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 40.2599 | 226,338,741 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 40.2599 | 34,593,561 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 40.2599 | 87,117,995 |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | March 2021 | 13,444 | $ | 2.53 | 10,000 | $ | 339,595,440 |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||
Natural Gas (NYMEX) | Long | March 2020 | 4,185 | $ | 2.16 | 10,000 | $ | 90,312,300 | Long | March 2022 | 10,905 | $ | 3.56 | 10,000 | $ | 387,890,850 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | March 2021 | 13,444 | $ | 2.53 | 10,000 | $ | 339,595,440 |
Foreign Currency Forward Contracts as of December 31, 2020 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 01/15/21 | 2,210,921 | 1.2116 | $ | 2,678,721 | |||||||||||||
Euro | UBS AG | Long | 01/15/21 | 5,664,502 | 1.2103 | 6,855,677 | ||||||||||||||
Euro | UBS AG | Short | 01/15/21 | (122,000 | ) | 1.2190 | (148,713 | ) |
Foreign Currency Forward Contracts as of December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||||||||||||||
Euro | Goldman Sachs International | Long | 01/10/20 | 5,436,377 | 1.1121 | $ | 6,045,958 | Goldman Sachs International | Long | 01/14/22 | 4,308,921 | 1.1356 | $ | 4,893,354 | ||||||||||||||||||||||||||
Euro | UBS AG | Long | 01/10/20 | 5,589,416 | 1.1123 | 6,217,058 | UBS AG | Long | 01/14/22 | 11,055,502 | 1.1313 | 12,507,577 | ||||||||||||||||||||||||||||
Euro | UBS AG | Short | 01/14/22 | (138,000 | ) | 1.1272 | (155,550 | ) |
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 01/15/21 | 2,210,921 | 1.2116 | $ | 2,678,721 | |||||||||||||
Euro | UBS AG | Long | 01/15/21 | 5,664,502 | 1.2103 | 6,855,677 | ||||||||||||||
Euro | UBS AG | Short | 01/15/21 | (122,000 | ) | 1.2190 | (148,713 | ) |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | February 2021 | 995 | $ | 1,895.10 | 100 | $ | 188,562,450 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | February 2022 | 775 | $ | 1,828.60 | 100 | $ | 141,716,500 |
Swap Agreements as of December 31, 2020 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 210.3915 | $ | 116,501,753 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 210.3915 | 100,676,400 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 210.3915 | 121,192,569 |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | February 2020 | 438 | $ | 1,523.10 | 100 | $ | 66,711,780 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 201.3048 | $ | 111,470,102 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 201.3048 | 96,328,238 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 201.3048 | 115,958,326 |
Swap Agreements as of December 31, 2019 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 174.6300 | $ | 60,437,683 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 174.6300 | 44,172,192 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 174.6300 | 50,125,199 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | February 2021 | 995 | $ | 1,895.10 | 100 | $ | 188,562,450 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 210.3915 | $ | 116,501,753 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 210.3915 | 100,676,400 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 210.3915 | 121,192,569 |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | March 2021 | 3,971 | $ | 26.41 | 5,000 | $ | 524,410,259 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | March 2022 | 1,345 | $ | 23.35 | 5,000 | $ | 157,042,200 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 211.7212 | $ | 232,088,114 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 211.7212 | 232,177,948 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 211.7212 | 216,331,853 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 211.7212 | 193,206,858 |
Swap Agreements as of December 31, 2020 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 241.4130 | $ | 294,747,134 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 241.4130 | 211,716,341 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 241.4130 | 239,421,584 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 241.4130 | 220,234,368 |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||
Silver Futures (COMEX) | Long | March 2020 | 1,316 | $ | 17.92 | 5,000 | $ | 117,920,180 | Long | March 2021 | 3,971 | $ | 26.41 | 5,000 | $ | 524,410,259 |
Swap Agreements as of December 31, 2019 | ||||||||||||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 170.1072 | $ | 152,640,569 | Citibank, N.A. | Long | $ | 241.4130 | $ | 294,747,134 | ||||||||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 170.1072 | 83,225,484 | Goldman Sachs International | Long | 241.4130 | 211,716,341 | ||||||||||||||||
Bloomberg Silver Subindex | UBS AG | Long | 170.1072 | 124,680,616 | Morgan Stanley & Co. International PLC | Long | 241.4130 | 239,421,584 | ||||||||||||||||
Bloomberg Silver Subindex | UBS AG | Long | 241.4130 | 220,234,368 |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Long or | Valuation | Contract | Notional Amount | |||||||||||||||||
Contract | Short | Expiration | Contracts | Price | Multiplier | at Value | ||||||||||||||
VIX Futures (Cboe) | Long | January 2021 | 40,738 | $ | 23.68 | 1,000 | $ | 964,472,150 | ||||||||||||
VIX Futures (Cboe) | Long | February 2021 | 40,764 | 25.58 | 1,000 | 1,042,539,300 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | January 2022 | 34,949 | $ | 19.67 | 1,000 | $ | 687,604,101 | ||||||||||||
VIX Futures (Cboe) | Long | February 2022 | 22,236 | 21.97 | 1,000 | 488,536,038 |
Swap Agreements as of December 31, 2020 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | Goldman Sachs & Co. | Long | $ | 16.7951 | $ | 25,901,097 |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | January 2020 | 29,402 | $ | 14.63 | 1,000 | $ | 430,004,250 | ||||||||||||
VIX Futures (Cboe) | Long | February 2020 | 20,358 | 16.63 | 1,000 | 338,451,750 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | Goldman Sachs & Co. | Long | $ | 18.5300 | $ | 48,872,875 |
Swap Agreements as of December 31, 2019 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | Goldman Sachs & Co. | Long | $ | 14.9650 | $ | 23,078,793 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | January 2021 | 40,738 | $ | 23.68 | 1,000 | $ | 964,472,150 | ||||||||||||
VIX Futures (Cboe) | Long | February 2021 | 40,764 | 25.58 | 1,000 | 1,042,539,300 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | Goldman Sachs & Co. | Long | $ | 16.7951 | $ | 25,901,097 |
Foreign Currency Forward Contracts as of December 31, 2020 | ||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Yen | Goldman Sachs International | Long | 01/15/21 | 332,532,517 | 0.009583 | $ | 3,186,670 | |||||||||||
Yen | UBS AG | Long | 01/15/21 | 287,552,756 | 0.009571 | 2,752,288 | ||||||||||||
Yen | UBS AG | Short | 01/15/21 | (2,700,000 | ) | 0.009631 | (26,004 | ) |
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 01/14/22 | 316,556,517 | 0.008863 | $ | 2,805,612 | |||||||||||||
Yen | UBS AG | Long | 01/14/22 | 239,872,756 | 0.008852 | 2,123,370 | ||||||||||||||
Yen | UBS AG | Short | 01/14/22 | (11,776,900 | ) | 0.008759 | (103,156 | ) |
Foreign Currency Forward Contracts as of December 31, 2019 | ||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Yen | Goldman Sachs International | Long | 01/10/20 | 325,804,302 | 0.009213 | $ | 3,001,477 | |||||||||||
Yen | UBS AG | Long | 01/10/20 | 888,782,738 | 0.009214 | 8,189,206 | ||||||||||||
Yen | UBS AG | Short | 01/10/20 | (6,892,531 | ) | 0.009164 | (63,163 | ) |
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 01/15/21 | 332,532,517 | 0.009583 | $ | 3,186,670 | |||||||||||||
Yen | UBS AG | Long | 01/15/21 | 287,552,756 | 0.009571 | 2,752,288 | ||||||||||||||
Yen | UBS AG | Short | 01/15/21 | (2,700,000 | ) | 0.009631 | (26,004 | ) |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Australian Dollar Fx Currency Futures (CME) | Short | March 2021 | 57 | $ | 77.14 | 1,000 | $ | (4,389,000 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||
Australian Dollar Fx Currency Futures (CME) | Short | March 2020 | 160 | $ | 70.31 | 1,000 | $ | (11,260,800 | ) | Short | March 2022 | 67 | $ | 72.68 | 1,000 | $ | (4,876,260 | ) |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Australian Dollar Fx Currency Futures (CME) | Short | March 2021 | 57 | $ | 77.14 | 1,000 | $ | (4,389,000 | ) |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | March 2021 | 1,373 | $ | 48.63 | 1,000 | $ | (66,768,990 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | June 2021 | 1,326 | 48.63 | 1,000 | (64,483,380 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2021 | 1,309 | 47.68 | 1,000 | (62,413,120 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | March 2020 | 1,864 | $ | 60.77 | 1,000 | $ | (113,275,280 | ) |
Swap Agreements as of December 31, 2019 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg WTI Crude Oil Subindex | Citibank, N.A. | Short | $ | 90.3776 | $ | (39,727,981 | ) | |||||
Bloomberg WTI Crude Oil Subindex | Goldman Sachs International | Short | 90.3776 | (37,407,865 | ) | |||||||
Bloomberg WTI Crude Oil Subindex | Royal Bank of Canada | Short | 90.3776 | (31,487,418 | ) | |||||||
Bloomberg WTI Crude Oil Subindex | Societe Generale | Short | 90.3776 | (9,213,127 | ) | |||||||
Bloomberg WTI Crude Oil Subindex | UBS AG | Short | 90.3776 | (19,757,339 | ) |
Futures Positions as of December 31, 2021 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | March 2022 | 1,013 | $ | 74.88 | 1,000 | $ | (75,853,440 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | June 2022 | 1,046 | 73.37 | 1,000 | (76,745,020 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2022 | 1,085 | 69.83 | 1,000 | (75,765,550 | ) |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | March 2021 | 1,373 | $ | 48.63 | 1,000 | $ | (66,768,990 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | June 2021 | 1,326 | 48.63 | 1,000 | (64,483,380 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2021 | 1,309 | 47.68 | 1,000 | (62,413,120 | ) |
Futures Positions as of December 31, 2021 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | March 2022 | 13,619 | $ | 3.56 | 10,000 | $ | (484,427,830 | ) |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | March 2021 | 1,978 | $ | 2.53 | 10,000 | $ | (49,964,280 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | March 2020 | 1,160 | $ | 2.16 | 10,000 | $ | (25,032,800 | ) |
Foreign Currency Forward Contracts as of December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||
Foreign Currency Forward Contracts as of December 31, 2021 | Foreign Currency Forward Contracts as of December 31, 2021 | |||||||||||||||||||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||||||||||||||
Euro | UBS AG | Long | 01/15/21 | 13,080,000 | 1.2215 | $ | 15,977,611 | UBS AG | Long | 01/14/22 | 17,360,000 | 1.1302 | $ | 19,620,976 | ||||||||||||||||||||||||||
Euro | Goldman Sachs International | Short | 01/15/21 | (37,401,263 | ) | 1.2116 | (45,314,846 | ) | Goldman Sachs International | Short | 01/14/22 | (47,563,263 | ) | 1.1363 | (54,044,805 | ) | ||||||||||||||||||||||||
Euro | UBS AG | Short | 01/15/21 | (62,356,199 | ) | 1.2099 | (75,442,991 | ) | UBS AG | Short | 01/14/22 | (65,034,199 | ) | 1.1340 | (73,750,639 | ) |
Foreign Currency Forward Contracts as of December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||
Foreign Currency Forward Contracts as of December 31, 2020 | Foreign Currency Forward Contracts as of December 31, 2020 | |||||||||||||||||||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||||||||||||||
Euro | UBS AG | Long | 01/10/20 | 19,396,955 | 1.1162 | $ | 21,651,280 | UBS AG | Long | 01/15/21 | 13,080,000 | 1.2215 | $ | 15,977,611 | ||||||||||||||||||||||||||
Euro | Goldman Sachs International | Short | 01/10/20 | (112,762,143 | ) | 1.1121 | (125,406,162 | ) | Goldman Sachs International | Short | 01/15/21 | (37,401,263 | ) | 1.2116 | (45,314,846 | ) | ||||||||||||||||||||||||
Euro | UBS AG | Short | 01/10/20 | (122,358,446 | ) | 1.1121 | (136,077,171 | ) | UBS AG | Short | 01/15/21 | (62,356,199 | ) | 1.2099 | (75,442,991 | ) |
Futures Positions as of December 31, 2021 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Short | February 2022 | 93 | $ | 1,828.60 | 100 | $ | (17,005,980 | ) |
Swap Agreements as of December 31, 2021 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 201.3048 | $ | (15,091,478 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 201.3048 | (9,872,954 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 201.3048 | (11,805,955 | ) |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Short | February 2021 | 123 | $ | 1,895.10 | 100 | $ | (23,309,730 | ) |
Swap Agreements as of December 31, 2020 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 210.3915 | $ | (5,159,914 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 210.3915 | (5,337,170 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 210.3915 | (6,832,076 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Short | February 2020 | 76 | $ | 1,523.10 | 100 | $ | (11,575,560 | ) |
Swap Agreements as of December 31, 2019 | ||||||||||||||||||||||||
Swap Agreements as of December 31, 2020 | Swap Agreements as of December 31, 2020 | |||||||||||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 174.6300 | $ | (13,940,590 | ) | Citibank, N.A. | Short | $ | 210.3915 | $ | (5,159,914 | ) | ||||||||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 174.6300 | (6,884,579 | ) | Goldman Sachs International | Short | 210.3915 | (5,337,170 | ) | ||||||||||||||
Bloomberg Gold Subindex | UBS AG | Short | 174.6300 | (9,756,431 | ) | UBS AG | Short | 210.3915 | (6,832,076 | ) |
Futures Positions as of December 31, 2021 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | March 2022 | 103 | $ | 23.35 | 5,000 | $ | (12,026,280 | ) |
Swap Agreements as of December 31, 2021 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 211.7212 | $ | (7,855,856 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 211.7212 | (10,400,384 | ) | |||||||
Morgan Stanley & Co. | ||||||||||||
Bloomberg Silver Subindex | International PLC | Short | 211.7212 | (8,223,463 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 211.7212 | (14,572,793 | ) |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Silver Futures (COMEX) | Short | March 2021 | 89 | $ | 26.41 | 5,000 | $ | (11,753,339 | ) |
Swap Agreements as of December 31, 2020 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 241.4130 | $ | (19,685,715 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 241.4130 | (15,107,629 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 241.4130 | (3,402,233 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 241.4130 | (7,837,258 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | March 2020 | 27 | $ | 17.92 | 5,000 | $ | (2,419,335 | ) |
Swap Agreements as of December 31, 2019 | ||||||||||||||||||||||||
Swap Agreements as of December 31, 2020 | Swap Agreements as of December 31, 2020 | |||||||||||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 170.1072 | $ | (9,595,700 | ) | Citibank, N.A. | Short | $ | 241.4130 | $ | (19,685,715 | ) | ||||||||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 170.1072 | (4,926,137 | ) | Goldman Sachs International | Short | 241.4130 | (15,107,629 | ) | ||||||||||||||
Morgan Stanley & Co. | ||||||||||||||||||||||||
Bloomberg Silver Subindex | UBS AG | Short | 170.1072 | (10,687,683 | ) | International PLC | Short | 241.4130 | (3,402,233 | ) | ||||||||||||||
Bloomberg Silver Subindex | UBS AG | Short | 241.4130 | (7,837,258 | ) |
Foreign Currency Forward Contracts as of December 31, 2020 | ||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Yen | UBS AG | Long | 01/15/21 | 315,800,000 | 0.009664 | $ | 3,051,852 | |||||||||||
Yen | Goldman Sachs International | Short | 01/15/21 | (2,009,085,165 | ) | 0.009583 | (19,253,129 | ) | ||||||||||
Yen | UBS AG | Short | 01/15/21 | (3,196,558,875 | ) | 0.009572 | (30,597,154 | ) |
Foreign Currency Forward Contracts as of December 31, 2019 | ||||||||||||||||||||||||||||||||||||||
Foreign Currency Forward Contracts as of December 31, 2021 | Foreign Currency Forward Contracts as of December 31, 2021 | |||||||||||||||||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||||||||||||
Yen | UBS AG | Long | 01/10/20 | 1,025,624,482 | 0.009170 | $ | 9,404,720 | UBS AG | Long | 01/14/22 | 1,993,400,000 | 0.008874 | $ | 17,689,084 | ||||||||||||||||||||||||
Yen | Goldman Sachs International | Short | 01/10/20 | (4,448,656,033 | ) | 0.009213 | (40,983,307 | ) | Goldman Sachs International | Short | 01/14/22 | (1,825,330,165 | ) | 0.008860 | (16,173,235 | ) | ||||||||||||||||||||||
Yen | UBS AG | Short | 01/10/20 | (4,893,578,348 | ) | 0.009211 | (45,072,829 | ) | UBS AG | Short | 01/14/22 | (5,863,453,575 | ) | 0.008847 | (51,875,027 | ) |
Foreign Currency Forward Contracts as of December 31, 2020 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | UBS AG | Long | 01/15/21 | 315,800,000 | 0.009664 | $ | 3,051,852 | |||||||||||||
Yen | Goldman Sachs International | Short | 01/15/21 | (2,009,085,165 | ) | 0.009583 | (19,253,129 | ) | ||||||||||||
Yen | UBS AG | Short | 01/15/21 | (3,196,558,875 | ) | 0.009572 | (30,597,154 | ) |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||
Futures Positions as of December 31, 2021 | Futures Positions as of December 31, 2021 | |||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | April 2021 | 463 | $ | 25.95 | 1,000 | $ | 12,014,850 | Long | April 2022 | 907 | $ | 24.69 | 1,000 | $ | 22,395,009 | ||||||||||||||||||||||||
VIX Futures (Cboe) | Long | May 2021 | 926 | 25.93 | 1,000 | 24,006,550 | Long | May 2022 | 1,484 | 25.25 | 1,000 | 37,466,251 | ||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | June 2021 | 926 | 25.93 | 1,000 | 24,006,550 | Long | June 2022 | 1,484 | 25.57 | 1,000 | 37,944,099 | ||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | July 2021 | 463 | 26.00 | 1,000 | 12,038,000 | Long | July 2022 | 577 | 26.15 | 1,000 | 15,088,550 |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||
Futures Positions as of December 31, 2020 | Futures Positions as of December 31, 2020 | |||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | April 2020 | 511 | $ | 17.43 | 1,000 | $ | 8,904,175 | Long | April 2021 | 463 | $ | 25.95 | 1,000 | $ | 12,014,850 | ||||||||||||||||||||||||
VIX Futures (Cboe) | Long | May 2020 | 865 | 17.58 | 1,000 | 15,202,375 | Long | May 2021 | 926 | 25.93 | 1,000 | 24,006,550 | ||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | June 2020 | 865 | 17.88 | 1,000 | 15,461,875 | Long | June 2021 | 926 | 25.93 | 1,000 | 24,006,550 | ||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | July 2020 | 354 | 18.13 | 1,000 | 6,416,250 | Long | July 2021 | 463 | 26.00 | 1,000 | 12,038,000 |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Futures Positions as of December 31, 2021 | Futures Positions as of December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | January 2021 | 5,948 | $ | 23.68 | 1,000 | $ | 140,818,900 | Long | January 2022 | 8,015 | $ | 19.67 | 1,000 | $ | 157,691,117 | ||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | February 2021 | 5,953 | 25.58 | 1,000 | 152,247,975 | Long | February 2022 | 5,101 | 21.97 | 1,000 | 112,071,521 |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||||||
Futures Positions as of December 31, 2020 | Futures Positions as of December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | January 2020 | 10,706 | $ | 14.63 | 1,000 | $ | 156,575,250 | Long | January 2021 | 5,948 | $ | 23.68 | 1,000 | $ | 140,818,900 | ||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | February 2020 | 7,415 | 16.63 | 1,000 | 123,274,375 | Long | February 2021 | 5,953 | 25.58 | 1,000 | 152,247,975 |
117 | Item 8. Financial Statements and Supplementary Data. |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,992 | $ | (5,552 | ) | $ | (5,267 | ) | $ | (7,950 | ) | $ | (16,777 | ) | $ | (8,638 | ) | $ | (4,801 | ) | $ | (5,003 | ) | $ | (5,161 | ) | $ | (23,603 | ) | |||||||||||
Net realized and unrealized gain (loss) | $ | 48,656 | $ | (40,824 | ) | $ | (92,556 | ) | $ | (146,897 | ) | $ | (231,621 | ) | $ | 148,035 | $ | (20,637 | ) | $ | 52,719 | $ | 43,764 | $ | 223,881 | |||||||||||||||
Net income (loss) | $ | 50,648 | $ | (46,376 | ) | $ | (97,823 | ) | $ | (154,847 | ) | $ | (248,398 | ) | $ | 139,397 | $ | (25,438 | ) | $ | 47,716 | $ | 38,603 | $ | 200,278 | |||||||||||||||
Net increase (decrease) in net asset value per share | $ | 1.02 | $ | (0.93 | ) | $ | (1.96 | ) | $ | (1.85 | ) | $ | (3.72 | ) | $ | 1.77 | $ | (0.51 | ) | $ | 0.96 | $ | 0.77 | $ | 2.99 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 37,625 | $ | 71,866 | $ | 60,251 | $ | 6,509 | $ | 176,251 | $ | 1,992 | $ | (5,552 | ) | $ | (5,267 | ) | $ | (7,950 | ) | $ | (16,777 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | $ | 350,977 | $ | (157,901 | ) | $ | 963,281 | $ | (153,379 | ) | $ | 1,002,978 | $ | 48,656 | $ | (40,824 | ) | $ | (92,556 | ) | $ | (146,897 | ) | $ | (231,621 | ) | ||||||||||||||
Net income (loss) | $ | 388,602 | $ | (86,035 | ) | $ | 1,023,532 | $ | (146,870 | ) | $ | 1,179,229 | $ | 50,648 | $ | (46,376 | ) | $ | (97,823 | ) | $ | (154,847 | ) | $ | (248,398 | ) | ||||||||||||||
Net increase (decrease) in net asset value per share | $ | 1.33 | $ | (0.18 | ) | $ | 2.38 | $ | (0.99 | ) | $ | 2.54 | $ | 1.02 | $ | (0.93 | ) | $ | (1.96 | ) | $ | (1.85 | ) | $ | (3.72 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (355,596 | ) | $ | (2,142,980 | ) | $ | (1,544,734 | ) | $ | (1,226,252 | ) | $ | (5,269,562 | ) | $ | (1,442,366 | ) | $ | (1,865,757 | ) | $ | (1,466,273 | ) | $ | (1,367,998 | ) | $ | (6,142,394 | ) | ||||||||||
Net realized and unrealized gain (loss) | $ | (223,244,946 | ) | $ | 32,313,676 | $ | 59,129,906 | $ | 57,283,419 | $ | (74,517,945 | ) | $ | 66,334,535 | $ | 96,028,887 | $ | (8,777,241 | ) | $ | 64,302,201 | $ | 217,888,382 | |||||||||||||||||
Net income (loss) | $ | (223,600,542 | ) | $ | 30,170,696 | $ | 57,585,172 | $ | 56,057,167 | $ | (79,787,507 | ) | $ | 64,892,169 | $ | 94,163,130 | $ | (10,243,514 | ) | $ | 62,934,203 | $ | 211,745,988 | |||||||||||||||||
Net increase (decrease) in net asset value per share | $ | (34.60 | ) | $ | 0.38 | $ | 3.97 | $ | 6.05 | $ | (24.20 | ) | $ | 5.71 | $ | 8.48 | $ | (1.15 | ) | $ | 7.10 | $ | 20.14 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 45,436 | $ | 725,505 | $ | 366,033 | $ | 25,189 | $ | 1,162,163 | $ | (355,596 | ) | $ | (2,142,980 | ) | $ | (1,544,734 | ) | $ | (1,226,252 | ) | $ | (5,269,562 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | $ | 81,676,814 | $ | 15,996,074 | $ | (4,250,833 | ) | $ | 56,953,543 | $ | 150,375,598 | $ | (223,244,946 | ) | $ | 32,313,676 | $ | 59,129,906 | $ | 57,283,419 | $ | (74,517,945 | ) | |||||||||||||||||
Net income (loss) | $ | 81,722,250 | $ | 16,721,579 | $ | (3,884,800 | ) | $ | 56,978,732 | $ | 151,537,761 | $ | (223,600,542 | ) | $ | 30,170,696 | $ | 57,585,172 | $ | 56,057,167 | $ | (79,787,507 | ) | |||||||||||||||||
Net increase (decrease) in net asset value per share | $ | 9.95 | $ | 2.20 | $ | (0.58 | ) | $ | 11.69 | $ | 23.26 | $ | (34.60 | ) | $ | 0.38 | $ | 3.97 | $ | 6.05 | $ | (24.20 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 404,884 | $ | (3,994,835 | ) | $ | (4,420,342 | ) | $ | (3,013,018 | ) | $ | (11,023,311 | ) | ||||||
Net realized and unrealized gain (loss) | $ | (827,975,458 | ) | $ | (10,241,862 | ) | $ | 53,323,977 | $ | 236,808,671 | $ | (548,084,672 | ) | |||||||
Net income (loss) | $ | (827,570,574 | ) | $ | (14,236,697 | ) | $ | 48,903,635 | $ | 233,795,653 | $ | (559,107,983 | ) | |||||||
Net increase (decrease) in net asset value per share | $ | (469.08 | ) | $ | (11.56 | ) | $ | 0.15 | $ | 7.64 | $ | (472.85 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,095,944 | $ | 1,231,167 | $ | 964,368 | $ | 573,105 | $ | 3,864,584 | $ | (2,759,147 | ) | $ | (3,210,719 | ) | $ | (3,130,493 | ) | $ | (2,882,847 | ) | $ | (11,983,206 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | $ | 219,922,437 | $ | (11,746,328 | ) | $ | (44,341,886 | ) | $ | 89,750,924 | $ | 253,585,147 | $ | 369,386,884 | $ | 478,424,798 | $ | 89,447,233 | $ | 64,099,817 | $ | 1,001,358,732 | ||||||||||||||||||
Net income (loss) | $ | 221,018,381 | $ | (10,515,161 | ) | $ | (43,377,518 | ) | $ | 90,324,029 | $ | 257,449,731 | $ | 366,627,737 | $ | 475,214,079 | $ | 86,316,740 | $ | 61,216,970 | $ | 989,375,526 | ||||||||||||||||||
Net increase (decrease) in net asset value per share | $ | 211.57 | $ | (47.34 | ) | $ | (88.80 | ) | $ | 107.34 | $ | 182.77 | $ | 16.18 | $ | 25.68 | $ | 6.23 | $ | 1.69 | $ | 49.78 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | �� | September 30, 2020 | December 31, 2020 | ||||||||||||||||
Net investment income (loss) | $ | 404,884 | $ | (3,994,835 | ) | $ | (4,420,342 | ) | $ | (3,013,018 | ) | $ | (11,023,311 | ) | ||||||
Net realized and unrealized gain (loss) | $ | (827,975,458 | ) | $ | (10,241,862 | ) | $ | 53,323,977 | $ | 236,808,671 | $ | (548,084,672 | ) | |||||||
Net income (loss) | $ | (827,570,574 | ) | $ | (14,236,697 | ) | $ | 48,903,635 | $ | 233,795,653 | $ | (559,107,983 | ) | |||||||
Net increase (decrease) in net asset value per share | $ | (469.08 | ) | $ | (11.56 | ) | $ | 0.15 | $ | 7.64 | $ | (472.85 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (2,351 | ) | $ | (121,296 | ) | $ | (323,543 | ) | $ | (492,710 | ) | $ | (939,900 | ) | $ | (415,145 | ) | $ | (217,363 | ) | $ | (212,510 | ) | $ | (764,841 | ) | $ | (1,609,859 | ) | ||||||||||
Net realized and unrealized gain (loss) | $ | (27,255,588 | ) | $ | (11,257,966 | ) | $ | 36,401,329 | $ | (42,062,709 | ) | $ | (44,174,934 | ) | $ | 23,784,068 | $ | 33,249,205 | $ | 59,061,431 | $ | (182,666,654 | ) | $ | (66,571,950 | ) | ||||||||||||||
Net income (loss) | $ | (27,257,939 | ) | $ | (11,379,262 | ) | $ | 36,077,786 | $ | (42,555,419 | ) | $ | (45,114,834 | ) | $ | 23,368,923 | $ | 33,031,842 | $ | 58,848,921 | $ | (183,431,495 | ) | $ | (68,181,809 | ) | ||||||||||||||
Net increase (decrease) in net asset value per share | $ | (42.15 | ) | $ | (13.51 | ) | $ | 6.05 | $ | (13.36 | ) | $ | (62.97 | ) | $ | 0.31 | $ | 14.02 | $ | 48.14 | $ | (57.92 | ) | $ | 4.55 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 44,045 | $ | 49,884 | $ | 64,345 | $ | 4,114 | $ | 162,388 | $ | (2,351 | ) | $ | (121,296 | ) | $ | (323,543 | ) | $ | (492,710 | ) | $ | (939,900 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | $ | (2,956,899 | ) | $ | (8,646,662 | ) | $ | 1,504,321 | $ | (14,608,364 | ) | $ | (24,707,604 | ) | $ | (27,255,588 | ) | $ | (11,257,966 | ) | $ | 36,401,329 | $ | (42,062,709 | ) | $ | (44,174,934 | ) | ||||||||||||
Net income (loss) | $ | (2,912,854 | ) | $ | (8,596,778 | ) | $ | 1,568,666 | $ | (14,604,250 | ) | $ | (24,545,216 | ) | $ | (27,257,939 | ) | $ | (11,379,262 | ) | $ | 36,077,786 | $ | (42,555,419 | ) | $ | (45,114,834 | ) | ||||||||||||
Net increase (decrease) in net asset value per share | $ | (49.55 | ) | $ | (64.75 | ) | $ | (9.80 | ) | $ | (44.76 | ) | $ | (168.86 | ) | $ | (42.15 | ) | $ | (13.51 | ) | $ | 6.05 | $ | (13.36 | ) | $ | (62.97 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 3,247 | $ | (8,702 | ) | $ | (12,155 | ) | $ | (9,996 | ) | $ | (27,606 | ) | $ | (9,494 | ) | $ | (8,978 | ) | $ | (8,271 | ) | $ | (8,785 | ) | $ | (35,528 | ) | |||||||||||
Net realized and unrealized gain (loss) | $ | (274,810 | ) | $ | 78,773 | $ | 357,397 | $ | 321,206 | $ | 482,566 | $ | (338,394 | ) | $ | 82,193 | $ | (181,366 | ) | $ | (67,904 | ) | $ | (505,471 | ) | |||||||||||||||
Net income (loss) | $ | (271,563 | ) | $ | 70,071 | $ | 345,242 | $ | 311,210 | $ | 454,960 | $ | (347,888 | ) | $ | 73,215 | $ | (189,637 | ) | $ | (76,689 | ) | $ | (540,999 | ) | |||||||||||||||
Net increase (decrease) in net asset value per share | $ | (0.63 | ) | $ | 0.40 | $ | 1.10 | $ | 1.13 | $ | 2.00 | $ | (1.34 | ) | $ | 0.22 | $ | (0.75 | ) | $ | (0.60 | ) | $ | (2.47 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 20,829 | $ | 18,923 | $ | 12,333 | $ | 6,443 | $ | 58,528 | $ | 3,247 | $ | (8,702 | ) | $ | (12,155 | ) | $ | (9,996 | ) | $ | (27,606 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | $ | (452,758 | ) | $ | 75,978 | $ | (546,620 | ) | $ | 252,983 | $ | (670,417 | ) | $ | (274,810 | ) | $ | 78,773 | $ | 357,397 | $ | 321,206 | $ | 482,566 | ||||||||||||||||
Net income (loss) | $ | (431,929 | ) | $ | 94,901 | $ | (534,287 | ) | $ | 259,426 | $ | (611,889 | ) | $ | (271,563 | ) | $ | 70,071 | $ | 345,242 | $ | 311,210 | $ | 454,960 | ||||||||||||||||
Net increase (decrease) in net asset value per share | $ | (0.80 | ) | $ | 0.21 | $ | (1.33 | ) | $ | 0.62 | $ | (1.30 | ) | $ | (0.63 | ) | $ | 0.40 | $ | 1.10 | $ | 1.13 | $ | 2.00 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 108,908 | $ | (279,921 | ) | $ | (617,991 | ) | $ | (635,526 | ) | $ | (1,424,530 | ) | ||||||
Net realized and unrealized gain (loss) | $ | 2,400,696 | $ | 30,258,340 | $ | 7,687,705 | $ | (5,247,845 | ) | $ | 35,098,896 | |||||||||
Net income (loss) | $ | 2,509,604 | $ | 29,978,419 | $ | 7,069,714 | $ | (5,883,371 | ) | $ | 33,674,366 | |||||||||
Net increase (decrease) in net asset value per share | $ | 3.23 | $ | 12.54 | $ | 3.88 | $ | (1.29 | ) | $ | 18.36 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 212,786 | $ | 228,086 | $ | 254,636 | $ | 207,429 | $ | 902,937 | $ | (579,670 | ) | $ | (569,965 | ) | $ | (596,194 | ) | $ | (543,046 | ) | $ | (2,288,875 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | $ | 279,826 | $ | 12,185,406 | $ | 4,937,206 | $ | 6,001,591 | $ | 23,404,029 | $ | (52,480,390 | ) | $ | 12,028,064 | $ | (6,283,805 | ) | $ | 16,909,381 | $ | (29,826,750 | ) | |||||||||||||||||
Net income (loss) | $ | 492,612 | $ | 12,413,492 | $ | 5,191,842 | $ | 6,209,020 | $ | 24,306,966 | $ | (53,060,060 | ) | $ | 11,458,099 | $ | (6,879,999 | ) | $ | 16,366,335 | $ | (32,115,625 | ) | |||||||||||||||||
Net increase (decrease) in net asset value per share | $ | 0.20 | $ | 6.46 | $ | 2.75 | $ | 2.68 | $ | 12.09 | $ | (13.25 | ) | $ | 2.96 | $ | (1.64 | ) | $ | 4.05 | $ | (7.88 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 108,908 | $ | (279,921 | ) | $ | (617,991 | ) | $ | (635,526 | ) | $ | (1,424,530 | ) | ||||||
Net realized and unrealized gain (loss) | $ | 2,400,696 | $ | 30,258,340 | $ | 7,687,705 | $ | (5,247,845 | ) | $ | 35,098,896 | |||||||||
Net income (loss) | $ | 2,509,604 | $ | 29,978,419 | $ | 7,069,714 | $ | (5,883,371 | ) | $ | 33,674,366 | |||||||||
Net increase (decrease) in net asset value per share | $ | 3.23 | $ | 12.54 | $ | 3.88 | $ | (1.29 | ) | $ | 18.36 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 276,832 | $ | (335,243 | ) | $ | (1,497,215 | ) | $ | (1,618,419 | ) | $ | (3,174,045 | ) | $ | (1,741,775 | ) | $ | (1,639,236 | ) | $ | (1,424,705 | ) | $ | (1,287,309 | ) | $ | (6,093,025 | ) | |||||||||||
Net realized and unrealized gain (loss) | $ | (88,759,485 | ) | $ | 80,688,373 | $ | 90,925,025 | $ | 127,443,707 | $ | 210,297,620 | $ | (132,833,039 | ) | $ | 67,976,234 | $ | (207,338,320 | ) | $ | 48,872,620 | $ | (223,322,505 | ) | ||||||||||||||||
Net income (loss) | $ | (88,482,653 | ) | $ | 80,353,130 | $ | 89,427,810 | $ | 125,825,288 | $ | 207,123,575 | $ | (134,574,814 | ) | $ | 66,336,998 | $ | (208,763,025 | ) | $ | 47,585,311 | $ | (229,415,530 | ) | ||||||||||||||||
Net increase (decrease) in net asset value per share | $ | (13.28 | ) | $ | 11.14 | $ | 12.69 | $ | 8.46 | $ | 19.01 | $ | (9.36 | ) | $ | 4.62 | $ | (14.26 | ) | $ | 3.13 | $ | (15.87 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 445,559 | $ | 512,068 | $ | 489,406 | $ | 409,237 | $ | 1,856,270 | $ | 276,832 | $ | (335,243 | ) | $ | (1,497,215 | ) | $ | (1,618,419 | ) | $ | (3,174,045 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | $ | (13,588,404 | ) | $ | 485,637 | $ | 33,071,129 | $ | 18,628,882 | $ | 38,597,244 | $ | (88,759,485 | ) | $ | 80,688,373 | $ | 90,925,025 | $ | 127,443,707 | $ | 210,297,620 | ||||||||||||||||||
Net income (loss) | $ | (13,142,845 | ) | $ | 997,705 | $ | 33,560,535 | $ | 19,038,119 | $ | 40,453,514 | $ | (88,482,653 | ) | $ | 80,353,130 | $ | 89,427,810 | $ | 125,825,288 | $ | 207,123,575 | ||||||||||||||||||
Net increase (decrease) in net asset value per share | $ | (1.87 | ) | $ | 0.10 | $ | 4.59 | $ | 2.49 | $ | 5.31 | $ | (13.28 | ) | $ | 11.14 | $ | 12.69 | $ | 8.46 | $ | 19.01 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (729,265 | ) | $ | (2,085,756 | ) | $ | (5,136,994 | ) | $ | (5,671,866 | ) | $ | (13,623,881 | ) | $ | (8,069,549 | ) | $ | (3,975,284 | ) | $ | (3,993,799 | ) | $ | (4,118,353 | ) | $ | (20,156,985 | ) | ||||||||||
Net realized and unrealized gain (loss) | $ | 902,602,146 | $ | (233,381,670 | ) | $ | (544,234,723 | ) | $ | (759,178,251 | ) | $ | (634,192,498 | ) | $ | (988,858,835 | ) | $ | (610,411,676 | ) | $ | (11,638,769 | ) | $ | (450,860,484 | ) | $ | (2,061,769,764 | ) | |||||||||||
Net income (loss) | $ | 901,872,881 | $ | (235,467,426 | ) | $ | (549,371,717 | ) | $ | (764,850,117 | ) | $ | (647,816,379 | ) | $ | (996,928,384 | ) | $ | (614,386,960 | ) | $ | (15,632,568 | ) | $ | (454,978,837 | ) | $ | (2,081,926,749 | ) | |||||||||||
Net increase (decrease) in net asset value per share | $ | 45.85 | $ | (25.59 | ) | $ | (12.78 | ) | $ | (9.48 | ) | $ | (2.00 | ) | $ | (50.36 | ) | $ | (28.41 | ) | $ | (3.48 | ) | $ | (12.02 | ) | $ | (94.27 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (150,629 | ) | $ | 507,125 | $ | 128,125 | $ | (389,569 | ) | $ | 95,052 | $ | (729,265 | ) | $ | (2,085,756 | ) | $ | (5,136,994 | ) | $ | (5,671,866 | ) | $ | (13,623,881 | ) | |||||||||||||
Net realized and unrealized gain (loss) | $ | (234,281,324 | ) | $ | (94,539,260 | ) | $ | (10,108,464 | ) | $ | (351,677,844 | ) | $ | (690,606,892 | ) | $ | 902,602,146 | $ | (233,381,670 | ) | $ | (544,234,723 | ) | $ | (759,178,251 | ) | $ | (634,192,498 | ) | |||||||||||
Net income (loss) | $ | (234,431,953 | ) | $ | (94,032,135 | ) | $ | (9,980,339 | ) | $ | (352,067,413 | ) | $ | (690,511,840 | ) | $ | 901,872,881 | $ | (235,467,426 | ) | $ | (549,371,717 | ) | $ | (764,850,117 | ) | $ | (647,816,379 | ) | |||||||||||
Net increase (decrease) in net asset value per share | $ | (42.46 | ) | $ | (8.63 | ) | $ | (4.99 | ) | $ | (12.71 | ) | $ | (68.79 | ) | $ | 458.42 | $ | (255.88 | ) | $ | (127.74 | ) | $ | (94.86 | ) | $ | (20.06 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 1,626 | $ | (6,539 | ) | $ | (6,720 | ) | $ | (6,684 | ) | $ | (18,317 | ) | ||||||
Net realized and unrealized gain (loss) | $ | (27,796 | ) | $ | (37,886 | ) | $ | 125,045 | $ | 113,503 | $ | 172,866 | ||||||||
Net income (loss) | $ | (26,170 | ) | $ | (44,425 | ) | $ | 118,325 | $ | 106,819 | $ | 154,549 | ||||||||
Net increase (decrease) in net asset value per share | $ | 0.38 | $ | (0.89 | ) | $ | 2.37 | $ | 2.14 | $ | 4.00 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 14,571 | $ | 9,668 | $ | 8,446 | $ | 5,829 | $ | 38,514 | $ | (6,293 | ) | $ | (5,955 | ) | $ | (5,973 | ) | $ | (5,566 | ) | $ | (23,787 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | $ | (189,904 | ) | $ | 154,832 | $ | (38,615 | ) | $ | (55,889 | ) | $ | (129,576 | ) | $ | (395,512 | ) | $ | (21,391 | ) | $ | (14,495 | ) | $ | (171,465 | ) | $ | (602,863 | ) | |||||||||||
Net income (loss) | $ | (175,333 | ) | $ | 164,500 | $ | (30,169 | ) | $ | (50,060 | ) | $ | (91,062 | ) | $ | (401,805 | ) | $ | (27,346 | ) | $ | (20,468 | ) | $ | (177,031 | ) | $ | (626,650 | ) | |||||||||||
Net increase (decrease) in net asset value per share | $ | (1.88 | ) | $ | 2.44 | $ | (1.03 | ) | $ | (1.23 | ) | $ | (1.70 | ) | $ | (8.05 | ) | $ | (0.54 | ) | $ | (0.41 | ) | $ | (3.54 | ) | $ | (12.54 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 1,626 | $ | (6,539 | ) | $ | (6,720 | ) | $ | (6,684 | ) | $ | (18,317 | ) | ||||||
Net realized and unrealized gain (loss) | $ | (27,796 | ) | $ | (37,886 | ) | $ | 125,045 | $ | 113,503 | $ | 172,866 | ||||||||
Net income (loss) | $ | (26,170 | ) | $ | (44,425 | ) | $ | 118,325 | $ | 106,819 | $ | 154,549 | ||||||||
Net increase (decrease) in net asset value per share | $ | 0.38 | $ | (0.89 | ) | $ | 2.37 | $ | 2.14 | $ | 4.00 |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (5,267 | ) | $ | (5,306 | ) | $ | (9,379 | ) | $ | (9,054 | ) | $ | (29,006 | ) | |||||
Net realized and unrealized gain (loss) | $ | 41,508 | $ | 51,158 | $ | 245,654 | $ | (71,623 | ) | $ | 266,697 | |||||||||
Net income (loss) | $ | 36,241 | $ | 45,852 | $ | 236,275 | $ | (80,677 | ) | $ | 237,691 | |||||||||
Net increase (decrease) in net asset value per share | $ | 0.73 | $ | 0.91 | $ | 3.05 | $ | (0.89 | ) | $ | 3.80 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 3,425 | $ | (16,185 | ) | $ | (13,294 | ) | $ | (10,614 | ) | $ | (36,668 | ) | ||||||
Net realized and unrealized gain (loss) | $ | 1,618,330 | $ | (1,600,140 | ) | $ | (427,080 | ) | $ | (538,450 | ) | $ | (947,340 | ) | ||||||
Net income (loss) | $ | 1,621,755 | $ | (1,616,325 | ) | $ | (440,374 | ) | $ | (549,064 | ) | $ | (984,008 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | 16.21 | $ | (16.16 | ) | $ | (4.40 | ) | $ | (7.29 | ) | $ | (11.64 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (301,184 | ) | $ | (208,741 | ) | $ | (241,725 | ) | $ | (287,517 | ) | $ | (1,039,167 | ) | |||||
Net realized and unrealized gain (loss) | $ | (43,538,921 | ) | $ | (35,957,853 | ) | $ | (12,970,455 | ) | $ | (6,616,399 | ) | $ | (99,083,628 | ) | |||||
Net income (loss) | $ | (43,840,105 | ) | $ | (36,166,594 | ) | $ | (13,212,180 | ) | $ | (6,903,916 | ) | $ | (100,122,795 | ) | |||||
Net increase (decrease) in net asset value per share | $ | (17.65 | ) | $ | (10.69 | ) | $ | (2.98 | ) | $ | (2.28 | ) | $ | (33.60 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | (30,713 | ) | $ | (782,726 | ) | $ | (342,320 | ) | $ | (312,419 | ) | $ | (1,468,178 | ) | |||||
Net realized and unrealized gain (loss) | $ | 128,255,359 | $ | (82,149,072 | ) | $ | (10,448,715 | ) | $ | (30,195,830 | ) | $ | 5,461,742 | |||||||
Net income (loss) | $ | 128,224,646 | $ | (82,931,798 | ) | $ | (10,791,035 | ) | $ | (30,508,249 | ) | $ | 3,993,564 | |||||||
Net increase (decrease) in net asset value per share | $ | 147.50 | $ | (123.09 | ) | $ | (6.72 | ) | $ | (20.01 | ) | $ | (2.32 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 3,425 | $ | (16,185 | ) | $ | (13,294 | ) | $ | (10,614 | ) | $ | (36,668 | ) | $ | (260,407 | ) | $ | (313,757 | ) | $ | (358,817 | ) | $ | (834,972 | ) | $ | (1,767,953 | ) | |||||||||||
Net realized and unrealized gain (loss) | $ | 1,618,330 | $ | (1,600,140 | ) | $ | (427,080 | ) | $ | (538,450 | ) | $ | (947,340 | ) | $ | 9,535,670 | $ | (43,999,065 | ) | $ | (113,481,414 | ) | $ | 170,151,398 | $ | 22,206,589 | ||||||||||||||
Net income (loss) | $ | 1,621,755 | $ | (1,616,325 | ) | $ | (440,374 | ) | $ | (549,064 | ) | $ | (984,008 | ) | $ | 9,275,263 | $ | (44,312,822 | ) | $ | (113,840,231 | ) | $ | 169,316,426 | $ | 20,438,636 | ||||||||||||||
Net increase (decrease) in net asset value per share | $ | 16.21 | $ | (16.16 | ) | $ | (4.40 | ) | $ | (7.29 | ) | $ | (11.64 | ) | $ | (42.28 | ) | $ | (87.91 | ) | $ | (72.67 | ) | $ | 26.75 | $ | (176.11 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 25,789 | $ | 25,895 | $ | 19,953 | $ | 8,688 | $ | 80,325 | $ | (22,279 | ) | $ | (87,047 | ) | $ | (249,586 | ) | $ | (190,679 | ) | $ | (549,591 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | $ | (314,459 | ) | $ | 175,523 | $ | 663,547 | $ | (427,020 | ) | $ | 97,591 | $ | 8,961,788 | $ | 2,461,452 | $ | (22,480,855 | ) | $ | 10,785,426 | $ | (272,189 | ) | ||||||||||||||||
Net income (loss) | $ | (288,670 | ) | $ | 201,418 | $ | 683,500 | $ | (418,332 | ) | $ | 177,916 | $ | 8,939,509 | $ | 2,374,405 | $ | (22,730,441 | ) | $ | 10,594,747 | $ | (821,780 | ) | ||||||||||||||||
Net increase (decrease) in net asset value per share | $ | (0.88 | ) | $ | 1.34 | $ | 4.75 | $ | (4.42 | ) | $ | 0.79 | $ | 124.27 | $ | 19.12 | $ | (144.43 | ) | $ | 46.35 | $ | 45.31 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (30,713 | ) | $ | (782,726 | ) | $ | (342,320 | ) | $ | (312,419 | ) | $ | (1,468,178 | ) | $ | (116,872 | ) | $ | (109,040 | ) | $ | (111,725 | ) | $ | (118,310 | ) | $ | (455,947 | ) | ||||||||||
Net realized and unrealized gain (loss) | $ | 128,255,359 | $ | (82,149,072 | ) | $ | (10,448,715 | ) | $ | (30,195,830 | ) | $ | 5,461,742 | $ | 4,462,764 | $ | (1,306,927 | ) | $ | 2,356,508 | $ | 1,720,688 | $ | 7,233,033 | ||||||||||||||||
Net income (loss) | $ | 128,224,646 | $ | (82,931,798 | ) | $ | (10,791,035 | ) | $ | (30,508,249 | ) | $ | 3,993,564 | $ | 4,345,892 | $ | (1,415,967 | ) | $ | 2,244,783 | $ | 1,602,378 | $ | 6,777,086 | ||||||||||||||||
Net increase (decrease) in net asset value per share | $ | 36.88 | $ | (30.77 | ) | $ | (1.68 | ) | $ | (5.01 | ) | $ | (0.58 | ) | $ | 1.88 | $ | (0.60 | ) | $ | 1.13 | $ | 0.90 | $ | 3.31 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 185,815 | $ | 215,797 | $ | 200,283 | $ | 107,904 | $ | 709,799 | $ | 136,215 | $ | (145,604 | ) | $ | (144,828 | ) | $ | (132,797 | ) | $ | (287,014 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | $ | (42,073,393 | ) | $ | 7,580,828 | $ | 10,965,855 | $ | (21,789,492 | ) | $ | (45,316,202 | ) | $ | 4,237,534 | $ | (3,555,551 | ) | $ | (5,985,376 | ) | $ | (4,566,008 | ) | $ | (9,869,401 | ) | |||||||||||||
Net income (loss) | $ | (41,887,578 | ) | $ | 7,796,625 | $ | 11,166,138 | $ | (21,681,588 | ) | $ | (44,606,403 | ) | $ | 4,373,749 | $ | (3,701,155 | ) | $ | (6,130,204 | ) | $ | (4,698,805 | ) | $ | (10,156,415 | ) | |||||||||||||
Net increase (decrease) in net asset value per share | $ | (12.90 | ) | $ | (0.03 | ) | $ | (0.46 | ) | $ | (4.21 | ) | $ | (17.60 | ) | $ | 1.02 | $ | (1.09 | ) | $ | (2.24 | ) | $ | (1.96 | ) | $ | (4.27 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (22,279 | ) | $ | (87,047 | ) | $ | (249,586 | ) | $ | (190,679 | ) | $ | (549,591 | ) | $ | (69,041 | ) | $ | (70,877 | ) | $ | (68,386 | ) | $ | (72,296 | ) | $ | (280,600 | ) | ||||||||||
Net realized and unrealized gain (loss) | $ | 8,961,788 | $ | 2,461,452 | $ | (22,480,855 | ) | $ | 10,785,426 | $ | (272,189 | ) | $ | 3,823,506 | $ | (3,178,494 | ) | $ | (684,698 | ) | $ | (2,781,826 | ) | $ | (2,821,512 | ) | ||||||||||||||
Net income (loss) | $ | 8,939,509 | $ | 2,374,405 | $ | (22,730,441 | ) | $ | 10,594,747 | $ | (821,780 | ) | $ | 3,754,465 | $ | (3,249,371 | ) | $ | (753,084 | ) | $ | (2,854,122 | ) | $ | (3,102,112 | ) | ||||||||||||||
Net increase (decrease) in net asset value per share | $ | 24.85 | $ | 3.83 | $ | (28.89 | ) | $ | 9.27 | $ | 9.06 | $ | 6.17 | $ | (2.93 | ) | $ | 0.13 | $ | (3.09 | ) | $ | 0.28 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 19,484 | $ | 11,719 | $ | 4,656 | $ | (6,442 | ) | $ | 29,417 | $ | 15,678 | $ | (41,386 | ) | $ | (47,471 | ) | $ | (50,453 | ) | $ | (123,632 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | $ | 1,002,714 | $ | 2,903,656 | $ | 723,285 | $ | 4,491,526 | $ | 9,121,181 | $ | (3,253,908 | ) | $ | (4,728,202 | ) | $ | (1,332,476 | ) | $ | (706,781 | ) | $ | (10,021,367 | ) | |||||||||||||||
Net income (loss) | $ | 1,022,198 | $ | 2,915,375 | $ | 727,941 | $ | 4,485,084 | $ | 9,150,598 | $ | (3,238,230 | ) | $ | (4,769,588 | ) | $ | (1,379,947 | ) | $ | (757,234 | ) | $ | (10,144,999 | ) | |||||||||||||||
Net increase (decrease) in net asset value per share | $ | 1.04 | $ | 8.10 | $ | (1.33 | ) | $ | 9.11 | $ | 16.92 | $ | (7.00 | ) | $ | (10.56 | ) | $ | (3.42 | ) | $ | (0.61 | ) | $ | (21.59 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 136,215 | $ | (145,604 | ) | $ | (144,828 | ) | $ | (132,797 | ) | $ | (287,014 | ) | $ | (99,063 | ) | $ | (78,184 | ) | $ | (102,532 | ) | $ | (90,145 | ) | $ | (369,924 | ) | |||||||||||
Net realized and unrealized gain (loss) | $ | 4,237,534 | $ | (3,555,551 | ) | $ | (5,985,376 | ) | $ | (4,566,008 | ) | $ | (9,869,401 | ) | $ | 4,534,245 | $ | (6,801,776 | ) | $ | 10,584,741 | $ | (6,187,149 | ) | $ | 2,130,061 | ||||||||||||||
Net income (loss) | $ | 4,373,749 | $ | (3,701,155 | ) | $ | (6,130,204 | ) | $ | (4,698,805 | ) | $ | (10,156,415 | ) | $ | 4,435,182 | $ | (6,879,960 | ) | $ | 10,482,209 | $ | (6,277,294 | ) | $ | 1,760,137 | ||||||||||||||
Net increase (decrease) in net asset value per share | $ | 1.02 | $ | (1.09 | ) | $ | (2.24 | ) | $ | (1.96 | ) | $ | (4.27 | ) | $ | 0.19 | $ | (4.55 | ) | $ | 7.90 | $ | (4.50 | ) | $ | (0.96 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 434,473 | $ | 471,256 | $ | 371,679 | $ | 251,422 | $ | 1,528,830 | $ | 3,419 | $ | (30,713 | ) | $ | (94,990 | ) | $ | (99,372 | ) | $ | (221,656 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | $ | 7,754,055 | $ | (1,896,379 | ) | $ | 12,977,337 | $ | (5,841,242 | ) | $ | 12,993,771 | $ | 5,032,696 | $ | (6,631,810 | ) | $ | (4,767,086 | ) | $ | (11,865,871 | ) | $ | (18,232,071 | ) | ||||||||||||||
Net income (loss) | $ | 8,188,528 | $ | (1,425,123 | ) | $ | 13,349,016 | $ | (5,589,820 | ) | $ | 14,522,601 | $ | 5,036,115 | $ | (6,662,523 | ) | $ | (4,862,076 | ) | $ | (11,965,243 | ) | $ | (18,453,727 | ) | ||||||||||||||
Net increase (decrease) in net asset value per share | $ | 1.40 | $ | (0.28 | ) | $ | 2.63 | $ | (1.22 | ) | $ | 2.53 | $ | 39.10 | $ | (67.64 | ) | $ | (39.73 | ) | $ | (11.04 | ) | $ | (79.31 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 15,678 | $ | (41,386 | ) | $ | (47,471 | ) | $ | (50,453 | ) | $ | (123,632 | ) | ||||||
Net realized and unrealized gain (loss) | $ | (3,253,908 | ) | $ | (4,728,202 | ) | $ | (1,332,476 | ) | $ | (706,781 | ) | $ | (10,021,367 | ) | |||||
Net income (loss) | $ | (3,238,230 | ) | $ | (4,769,588 | ) | $ | (1,379,947 | ) | $ | (757,234 | ) | $ | (10,144,999 | ) | |||||
Net increase (decrease) in net asset value per share | $ | (7.00 | ) | $ | (10.56 | ) | $ | (3.42 | ) | $ | (0.61 | ) | $ | (21.59 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 47,471 | $ | 52,582 | $ | 53,681 | $ | 32,980 | $ | 186,714 | ||||||||||
Net realized and unrealized gain (loss) | $ | (290,878 | ) | $ | (3,257,747 | ) | $ | (767,290 | ) | $ | (1,417,644 | ) | $ | (5,733,559 | ) | |||||
Net income (loss) | $ | (243,407 | ) | $ | (3,205,165 | ) | $ | (713,609 | ) | $ | (1,384,664 | ) | $ | (5,546,845 | ) | |||||
Net increase (decrease) in net asset value per share | $ | (0.86 | ) | $ | (11.28 | ) | $ | (4.58 | ) | $ | (3.54 | ) | $ | (20.26 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 3,419 | $ | (30,713 | ) | $ | (94,990 | ) | $ | (99,372 | ) | $ | (221,656 | ) | ||||||
Net realized and unrealized gain (loss) | $ | 5,032,696 | $ | (6,631,810 | ) | $ | (4,767,086 | ) | $ | (11,865,871 | ) | $ | (18,232,071 | ) | ||||||
Net income (loss) | $ | 5,036,115 | $ | (6,662,523 | ) | $ | (4,862,076 | ) | $ | (11,965,243 | ) | $ | (18,453,727 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | 9.78 | $ | (16.92 | ) | $ | (9.93 | ) | $ | (2.76 | ) | $ | (19.83 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 31,554 | $ | 42,177 | $ | 40,671 | $ | 17,511 | $ | 131,913 | ||||||||||
Net realized and unrealized gain (loss) | $ | 745,325 | $ | (596,758 | ) | $ | (2,836,930 | ) | $ | (2,053,612 | ) | $ | (4,741,975 | ) | ||||||
Net income (loss) | $ | 776,879 | $ | (554,581 | ) | $ | (2,796,259 | ) | $ | (2,036,100 | ) | $ | (4,610,061 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | 2.05 | $ | (0.96 | ) | $ | (8.35 | ) | $ | (3.11 | ) | $ | (10.37 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 41,746 | $ | (59,287 | ) | $ | (55,870 | ) | $ | (55,791 | ) | $ | (129,202 | ) | $ | (62,957 | ) | $ | (68,876 | ) | $ | (54,645 | ) | $ | (60,910 | ) | $ | (247,388 | ) | |||||||||||
Net realized and unrealized gain (loss) | $ | (1,203,589 | ) | $ | 177,209 | $ | (1,250,130 | ) | $ | (1,005,096 | ) | $ | (3,281,606 | ) | $ | 4,161,315 | $ | (47,391 | ) | $ | 7,512 | $ | 1,437,795 | $ | 5,559,231 | |||||||||||||||
Net income (loss) | $ | (1,161,843 | ) | $ | 117,922 | $ | (1,306,000 | ) | $ | (1,060,887 | ) | $ | (3,410,808 | ) | $ | 4,098,358 | $ | (116,267 | ) | $ | (47,133 | ) | $ | 1,376,885 | $ | 5,311,843 | ||||||||||||||
Net increase (decrease) in net asset value per share | $ | (2.27 | ) | $ | 0.50 | $ | (3.65 | ) | $ | (3.12 | ) | $ | (8.54 | ) | $ | 9.90 | $ | 0.23 | $ | (0.01 | ) | $ | 5.05 | $ | 15.17 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 167,574 | $ | 175,443 | $ | 137,637 | $ | 74,820 | $ | 555,474 | $ | 41,746 | $ | (59,287 | ) | $ | (55,870 | ) | $ | (55,791 | ) | $ | (129,202 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | $ | 2,090,200 | $ | (2,316,880 | ) | $ | 605,022 | $ | 862,500 | $ | 1,240,842 | $ | (1,203,589 | ) | $ | 177,209 | $ | (1,250,130 | ) | $ | (1,005,096 | ) | $ | (3,281,606 | ) | |||||||||||||||
Net income (loss) | $ | 2,257,774 | $ | (2,141,437 | ) | $ | 742,659 | $ | 937,320 | $ | 1,796,316 | $ | (1,161,843 | ) | $ | 117,922 | $ | (1,306,000 | ) | $ | (1,060,887 | ) | $ | (3,410,808 | ) | |||||||||||||||
Net increase (decrease) in net asset value per share | $ | 2.58 | $ | (3.01 | ) | $ | 1.27 | $ | 1.64 | $ | 2.48 | $ | (2.27 | ) | $ | 0.50 | $ | (3.65 | ) | $ | (3.12 | ) | $ | (8.54 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 47,920 | $ | (133,713 | ) | $ | (204,460 | ) | $ | (215,919 | ) | $ | (506,172 | ) | $ | (204,800 | ) | $ | (227,144 | ) | $ | (262,156 | ) | $ | (311,713 | ) | $ | (1,005,813 | ) | |||||||||||
Net realized and unrealized gain (loss) | $ | 23,739,395 | $ | 882,882 | $ | 2,507,925 | $ | (10,528,768 | ) | $ | 16,601,434 | $ | (4,736,206 | ) | $ | (10,833,512 | ) | $ | 6,628,819 | $ | (5,810,660 | ) | $ | (14,751,559 | ) | |||||||||||||||
Net income (loss) | $ | 23,787,315 | $ | 749,169 | $ | 2,303,465 | $ | (10,744,687 | ) | $ | 16,095,262 | $ | (4,941,006 | ) | $ | (11,060,656 | ) | $ | 6,366,663 | $ | (6,122,373 | ) | $ | (15,757,372 | ) | |||||||||||||||
Net increase (decrease) in net asset value per share | $ | 17.47 | $ | 1.66 | $ | 0.59 | $ | (4.26 | ) | $ | 15.46 | $ | (1.99 | ) | $ | (4.23 | ) | $ | 1.71 | $ | (1.61 | ) | $ | (6.12 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 149,266 | $ | 133,606 | $ | 129,497 | $ | 80,844 | $ | 493,213 | ||||||||||
Net realized and unrealized gain (loss) | $ | (10,628,469 | ) | $ | (852,138 | ) | $ | 4,127,635 | $ | (4,913,553 | ) | $ | (12,266,525 | ) | ||||||
Net income (loss) | $ | (10,479,203 | ) | $ | (718,532 | ) | $ | 4,257,132 | $ | (4,832,709 | ) | $ | (11,773,312 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | (5.01 | ) | $ | (0.22 | ) | $ | 2.08 | $ | (2.23 | ) | $ | (5.38 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 47,920 | $ | (133,713 | ) | $ | (204,460 | ) | $ | (215,919 | ) | $ | (506,172 | ) | ||||||
Net realized and unrealized gain (loss) | $ | 23,739,395 | $ | 882,882 | $ | 2,507,925 | $ | (10,528,768 | ) | $ | 16,601,434 | |||||||||
Net income (loss) | $ | 23,787,315 | $ | 749,169 | $ | 2,303,465 | $ | (10,744,687 | ) | $ | 16,095,262 | |||||||||
Net increase (decrease) in net asset value per share | $ | 17.47 | $ | 1.66 | $ | 0.59 | $ | (4.26 | ) | $ | 15.46 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 144,025 | $ | (443,622 | ) | $ | (758,225 | ) | $ | (835,140 | ) | $ | (1,892,962 | ) | $ | (1,224,804 | ) | $ | (897,582 | ) | $ | (897,586 | ) | $ | (902,979 | ) | $ | (3,922,951 | ) | |||||||||||
Net realized and unrealized gain (loss) | $ | 393,640,032 | $ | (52,714,687 | ) | $ | (74,563,669 | ) | $ | (101,250,010 | ) | $ | 165,111,666 | $ | (130,065,447 | ) | $ | (136,854,294 | ) | $ | (9,700,136 | ) | $ | (107,478,599 | ) | $ | (384,098,476 | ) | ||||||||||||
Net income (loss) | $ | 393,784,057 | $ | (53,158,309 | ) | $ | (75,321,894 | ) | $ | (102,085,150 | ) | $ | 163,218,704 | $ | (131,290,251 | ) | $ | (137,751,876 | ) | $ | (10,597,722 | ) | $ | (108,381,578 | ) | $ | (388,021,427 | ) | ||||||||||||
Net increase (decrease) in net asset value per share | $ | 25.66 | $ | (10.03 | ) | $ | (7.40 | ) | $ | (6.77 | ) | $ | 1.46 | $ | (17.74 | ) | $ | (13.20 | ) | $ | (1.41 | ) | $ | (7.56 | ) | $ | (39.91 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 476,702 | $ | 724,602 | $ | 615,421 | $ | 336,674 | $ | 2,153,399 | $ | 144,025 | $ | (443,622 | ) | $ | (758,225 | ) | $ | (835,140 | ) | $ | (1,892,962 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | $ | (76,190,815 | ) | $ | (23,082,821 | ) | $ | (2,496,651 | ) | $ | (125,351,164 | ) | $ | (227,121,451 | ) | $ | 393,640,032 | $ | (52,714,687 | ) | $ | (74,563,669 | ) | $ | (101,250,010 | ) | $ | 165,111,666 | ||||||||||||
Net income (loss) | $ | (75,714,113 | ) | $ | (22,358,219 | ) | $ | (1,881,230 | ) | $ | (125,014,490 | ) | $ | (224,968,052 | ) | $ | 393,784,057 | $ | (53,158,309 | ) | $ | (75,321,894 | ) | $ | (102,085,150 | ) | $ | 163,218,704 | ||||||||||||
Net increase (decrease) in net asset value per share | $ | (14.50 | ) | $ | (3.22 | ) | $ | (1.67 | ) | $ | (6.89 | ) | $ | (26.28 | ) | $ | 102.64 | $ | (40.13 | ) | $ | (29.57 | ) | $ | (27.10 | ) | $ | 5.84 |
* | See Note 1 of the Notes to Financial Statements in Item 15 of Part IV in this Annual Report on Form 10-K. |
** | See Note 9 of the Notes to Financial Statements in Item 15 of Part IV in this Annual Report on Form 10-K. |
Item 9. Changes in and Disagreements With Accountants on Accounting and Financial Disclosure. |
Item 9A. Controls and Procedures. |
Item 10. Directors, Executive Officers and Corporate Governance. |
Name | Position | |
Michael L. Sapir | Chief Executive Officer and Principal of the Sponsor | |
Louis M. Mayberg | Principal of the Sponsor | |
William E. Seale | Principal of the Sponsor | |
Sapir Family Trust | Principal of the Sponsor | |
Northstar Trust | Principal of the Sponsor | |
Timothy N. Coakley | Chief Financial Officer and Principal of the Sponsor | |
Edward J. Karpowicz | Principal Financial Officer of the Trust and Principal of the Sponsor | |
Todd B. Johnson* | Principal Executive Officer of the Trust and Chief Investment Officer and Principal of the Sponsor |
Hratch Najarian | Director, Portfolio Management and Principal of the Sponsor | |
Alexander Ilyasov | Senior Portfolio Manager of the Sponsor | |
James Linneman | Principal and Portfolio Manager of the Sponsor | |
Benjamin McAbee | Principal and Portfolio Manager of the Sponsor | |
Victor M. Frye | Principal of the Sponsor |
* | Denotes principal of the Sponsor who supervises persons who participate in making trading decisions for the Funds. |
129 | Item 11. Executive Compensation. |
Fund | Amount | Amount | ||||||
ProShares Short Euro | $ | 24,443 | $ | 24,629 | ||||
ProShares Short VIX Short-Term Futures ETF | 4,469,701 | 4,358,107 | ||||||
ProShares Ultra Bloomberg Crude Oil | 9,256,478 | 10,774,039 | ||||||
ProShares Ultra Bloomberg Natural Gas | 674,810 | 1,031,508 | ||||||
ProShares Ultra Euro | 44,302 | 37,450 | ||||||
ProShares Ultra Gold | 1,916,092 | 2,262,422 | ||||||
ProShares Ultra Silver | 3,944,697 | 5,912,386 | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 8,835,385 | 11,128,589 | ||||||
ProShares Ultra Yen | 27,655 | 24,974 | ||||||
ProShares UltraPro 3x Crude Oil ETF* | 283,787 | |||||||
ProShares UltraPro 3x Short Crude Oil ETF* | 117,259 | |||||||
ProShares UltraShort Australian Dollar | 52,950 | 27,977 | ||||||
ProShares UltraShort Bloomberg Crude Oil | 1,021,787 | 847,440 | ||||||
ProShares UltraShort Bloomberg Natural Gas | 308,058 | 1,104,237 | ||||||
ProShares UltraShort Euro | 783,692 | 480,737 | ||||||
ProShares UltraShort Gold | 177,762 | 271,758 | ||||||
ProShares UltraShort Silver | 237,140 | 330,111 | ||||||
ProShares UltraShort Yen | 268,213 | 260,096 | ||||||
ProShares VIX Mid-Term Futures ETF | 579,606 | 858,979 | ||||||
ProShares VIX Short-Term Futures ETF | 2,193,275 | 2,825,547 |
Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters. |
Item 13. Certain Relationships and Related Transactions, and Director Independence. |
Item 14. Principal Accounting Fees and Services. |
(1) | to (4). Fees for services performed by PricewaterhouseCoopers LLP (“PwC”) for the years ended December 31, |
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, 2020 | December 31, 2019 | December 31, 2021 | December 31, 2020 | |||||||||||||
Audit Fees | $ | 711,260 | $ | 730,400 | $ | 660,710 | $ | 711,260 | ||||||||
Audit-Related Fees | 57,000 | — | 60,000 | 57,000 | ||||||||||||
Tax Fees | 3,164,300 | 3,158,000 | 3,995,179 | 3,164,300 | ||||||||||||
All Other Fees | — | — | — | — | ||||||||||||
Total Trust: | $ | 3,932,560 | $ | 3,888,400 | ||||||||||||
Combined Trust: | $ | 4,715,889 | $ | 3,932,560 | ||||||||||||
(5) | The Sponsor approved all of the services provided by PwC described above. The Sponsor pre-approves all audit and allowednon-audit services of the Trust’s independent registered public accounting firm, including all engagement fees and terms. |
Item 15. Exhibits and Financial Statement Schedules. |
(1) | Incorporated by reference to the Trust’s Registration Statement, filed on October 18, 2007. |
(2) | Incorporated by reference to the Trust’s Registration Statement, filed on August 15, 2008. |
(3) | Incorporated by reference to the Trust’s Registration Statement, filed on September 18, 2008. |
(4) | Incorporated by reference to the Trust’s Registration Statement, filed on November 17, 2008. |
(5) | Incorporated by reference to the Trust’s Registration Statement, filed on October 22, 2008. |
(6) | Filed herewith. |
Item 16. Form 10-K Summary. |
PROSHARES TRUST II | ||
/s/ Todd Johnson | ||
By: Todd Johnson | ||
Principal Executive Officer | ||
Date: February 25, 2022 | ||
/s/ Edward Karpowicz | ||
By: Edward Karpowicz | ||
Principal Financial and Accounting Officer | ||
Date: February 25, 2022 |
Documents | Page | |||
F-1 | ||||
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity and Statements of Cash Flows: | ||||
F-4 | ||||
F-10 | ||||
F-16 | ||||
F-22 | ||||
F-28 | ||||
F-34 | ||||
F-40 | ||||
F-46 | ||||
F-52 | ||||
F-58 | ||||
F-64 | ||||
F-70 | ||||
F-76 | ||||
F-82 | ||||
F-88 | ||||
F-94 | ||||
F-100 | ||||
F-106 | ||||
F-112 | ||||
ProShares Short Euro (a) | ProShares UltraShort Australian Dollar (a) | |
ProShares Short VIX Short-Term Futures ETF (a) | ProShares UltraShort Bloomberg Crude Oil (a) | |
ProShares Ultra Bloomberg Crude Oil (a) | ProShares UltraShort Bloomberg Natural Gas (a) | |
ProShares Ultra Bloomberg Natural Gas (a) | ProShares UltraShort Euro (a) | |
ProShares Ultra Euro (a) | ProShares UltraShort Gold (a) | |
ProShares Ultra Gold (a) | ProShares UltraShort Silver (a) | |
ProShares Ultra Silver (a) | ProShares UltraShort Yen (a) | |
ProShares Ultra VIX Short-Term Futures ETF (a) | ProShares VIX Mid-Term Futures ETF (a) | |
ProShares Ultra Yen (a) | ProShares VIX Short-Term Futures ETF (a) | |
ProShares Trust II (“combined”) (b) |
(a) | Statements of financial condition, including the schedules of investments, as of December 31, |
(b) | Combined statements of financial condition as of December 31, |
December 31, 2020 | December 31, 2019 | December 31, 2021 | December 31, 2020 | |||||||||||||
Assets | ||||||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ – and $745,775, respectively) | $ | — | $ | 745,805 | ||||||||||||
Cash | 4,105,781 | 1,509,236 | $ | 2,219,932 | $ | 4,105,781 | ||||||||||
Segregated cash balances with brokers for futures contracts | 68,310 | 31,680 | 38,720 | 68,310 | ||||||||||||
Receivable on open futures contracts | 21,094 | — | — | 21,094 | ||||||||||||
Interest receivable | 175 | 2,434 | 93 | 175 | ||||||||||||
Total assets | 4,195,360 | 2,289,155 | 2,258,745 | 4,195,360 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
Payable on open futures contracts | — | 5,100 | 11,500 | — | ||||||||||||
Payable to Sponsor | 3,391 | 1,860 | 1,824 | 3,391 | ||||||||||||
Non-recurring fees and expenses payable | 14 | — | — | 14 | ||||||||||||
Total liabilities | 3,405 | 6,960 | 13,324 | 3,405 | ||||||||||||
Commitments and Contingencies (Note 2) | 0 | 0 | 0 | 0 | ||||||||||||
Shareholders’ equity | ||||||||||||||||
Shareholders’ equity | 4,191,955 | 2,282,195 | 2,245,421 | 4,191,955 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 4,195,360 | $ | 2,289,155 | $ | 2,258,745 | $ | 4,195,360 | ||||||||
Shares outstanding | 100,000 | 50,000 | 50,000 | 100,000 | ||||||||||||
Net asset value per share | $ | 41.92 | $ | 45.64 | $ | 44.91 | $ | 41.92 | ||||||||
Market value per share (Note 2) | $ | 41.35 | $ | 45.69 | $ | 44.92 | $ | 41.35 | ||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Euro Fx Currency Futures—CME, expires March 2022 | 16 | $ | 2,280,500 | $ | (5,400 | ) |
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Euro Fx Currency Futures - CME, expires March 2021 | 27 | $ | 4,133,025 | $ | (44,626 | ) |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Euro Fx Currency Futures—CME, expires March 2021 | 27 | $ | 4,133,025 | $ | (44,626 | ) |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 1,451 | $ | 8,193 | $ | 314,021 | ||||||
Expenses | ||||||||||||
Management fee | 24,629 | 24,443 | 135,292 | |||||||||
Brokerage commissions | 425 | 448 | 2,478 | |||||||||
Non-recurring fees and expenses | — | 79 | — | |||||||||
Total expenses | 25,054 | 24,970 | 137,770 | |||||||||
Net investment income (loss) | (23,603 | ) | (16,777 | ) | 176,251 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 183,708 | (200,965 | ) | 972,479 | ||||||||
Short-term U.S. government and agency obligations | 947 | — | 1,186 | |||||||||
Net realized gain (loss) | 184,655 | (200,965 | ) | 973,665 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 39,226 | (30,626 | ) | 29,281 | ||||||||
Short-term U.S. government and agency obligations | — | (30 | ) | 32 | ||||||||
Change in net unrealized appreciation (depreciation) | 39,226 | (30,656 | ) | 29,313 | ||||||||
Net realized and unrealized gain (loss) | 223,881 | (231,621 | ) | 1,002,978 | ||||||||
Net income (loss) | $ | 200,278 | $ | (248,398 | ) | $ | 1,179,229 | |||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 4,191,955 | $ | 2,282,195 | $ | 8,619,686 | ||||||
Addition of 0, 50,000 and 300,000 shares, respectively | — | 2,158,158 | 13,205,150 | |||||||||
Redemption of 50,000, – and 450,000 shares, respectively | (2,146,812 | ) | — | (20,721,870 | ) | |||||||
Net addition (redemption) of (50,000), 50,000 and (150,000) shares, respectively | (2,146,812 | ) | 2,158,158 | (7,516,720 | ) | |||||||
Net investment income (loss) | (23,603 | ) | (16,777 | ) | 176,251 | |||||||
Net realized gain (loss) | 184,655 | (200,965 | ) | 973,665 | ||||||||
Change in net unrealized appreciation (depreciation) | 39,226 | (30,656 | ) | 29,313 | ||||||||
Net income (loss) | 200,278 | (248,398 | ) | 1,179,229 | ||||||||
Shareholders’ equity, end of period | $ | 2,245,421 | $ | 4,191,955 | $ | 2,282,195 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 200,278 | $ | (248,398 | ) | $ | 1,179,229 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (1,999,562 | ) | — | (411,178,062 | ) | |||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 2,000,947 | 747,000 | 411,237,264 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (438 | ) | (1,225 | ) | (204,360 | ) | ||||||
Net realized ( gain) loss on investments | (947 | ) | — | (1,186 | ) | |||||||
Change in unrealized ( appreciation) depreciation on investments | 0 | 30 | (32 | ) | ||||||||
Decrease (Increase) in receivable on open futures contracts | 21,094 | (21,094 | ) | — | ||||||||
Decrease (Increase) in interest receivable | 82 | 2,259 | 5,207 | |||||||||
Increase (Decrease) in payable to Sponsor | (1,567 | ) | 1,531 | (5,130 | ) | |||||||
Increase (Decrease) in payable on open futures contracts | 11,500 | (5,100 | ) | (150 | ) | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | (14 | ) | 14 | — | ||||||||
Net cash provided by (used in) operating activities | 231,373 | 475,017 | 1,032,780 | |||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 0 | 2,158,158 | 13,205,150 | |||||||||
Payment on shares redeemed | (2,146,812 | ) | — | (20,721,870 | ) | |||||||
Net cash provided by (used in) financing activities | (2,146,812 | ) | 2,158,158 | (7,516,720 | ) | |||||||
Net increase (decrease) in cash | (1,915,439 | ) | 2,633,175 | (6,483,940 | ) | |||||||
Cash, beginning of period | 4,174,091 | 1,540,916 | 8,024,856 | |||||||||
Cash, end of period | $ | 2,258,652 | $ | 4,174,091 | $ | 1,540,916 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $147,851,244 and $69,998,727, respectively) | $ | 147,815,719 | $ | 69,999,639 | ||||
Cash | 44,359,519 | 132,392,153 | ||||||
Segregated cash balances with brokers for futures contracts | 138,651,465 | 134,187,067 | ||||||
Receivable on open futures contracts | 99,544,338 | 74,226,825 | ||||||
Interest receivable | 2,868 | 4,384 | ||||||
Total assets | 430,373,909 | 410,810,068 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 6,125,130 | 0 | ||||||
Payable on open futures contracts | — | 996,159 | ||||||
Brokerage commissions and futures account fees payable | 104,312 | 114,522 | ||||||
Payable to Sponsor | 331,873 | 326,566 | ||||||
Non-recurring fees and expenses payable | — | 1,353 | ||||||
Total liabilities | 6,561,315 | 1,438,600 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 423,812,594 | 409,371,468 | ||||||
Total liabilities and shareholders’ equity | $ | 430,373,909 | $ | 410,810,068 | ||||
Shares outstanding | 6,884,307 | 9,884,307 | ||||||
Net asset value per share | $ | 61.56 | $ | 41.42 | ||||
Market value per share (Note 2) | $ | 61.55 | $ | 41.44 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(33% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.514% due 02/06/20 | $ | 365,000 | $ | 364,469 | ||||
1.519% due 02/13/20 | 382,000 | 381,336 | ||||||
Total short-term U.S. government and agency obligations (cost $745,775) | $ | 745,805 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(35% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.046% due 01/20/22 | $ | 10,000,000 | $ | 9,999,811 | ||||
0.050% due 02/17/22 | 31,000,000 | 30,998,063 | ||||||
0.041% due 03/17/22 | 30,000,000 | 29,996,655 | ||||||
0.223% due 11/03/22 | 77,000,000 | 76,821,190 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $147,851,244) | $ | 147,815,719 | ||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Euro Fx Currency Futures - CME, expires March 2020 | 16 | $ | 2,256,400 | $ | (14,000 | ) |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires January 2022 | 6,294 | $ | 123,831,303 | $ | 28,584,476 | |||||||
VIX Futures—Cboe, expires February 2022 | 4,000 | 87,882,000 | 2,690,802 | |||||||||
$ | 31,275,278 | |||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 8,193 | $ | 314,021 | $ | 123,954 | ||||||
�� | ||||||||||||
Expenses | ||||||||||||
Management fee | 24,443 | 135,292 | 78,253 | |||||||||
Brokerage commissions | 448 | 2,478 | 1,244 | |||||||||
Non-recurring fees and expenses | 79 | — | — | |||||||||
Total expenses | 24,970 | 137,770 | 79,497 | |||||||||
Net investment income (loss) | (16,777 | ) | 176,251 | 44,457 | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (200,965 | ) | 972,479 | 459,984 | ||||||||
Short-term U.S. government and agency obligations | — | 1,186 | — | |||||||||
Net realized gain (loss) | (200,965 | ) | 973,665 | 459,984 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (30,626 | ) | 29,281 | 123,007 | ||||||||
Short-term U.S. government and agency obligations | (30 | ) | 32 | 358 | ||||||||
Change in net unrealized appreciation (depreciation) | (30,656 | ) | 29,313 | 123,365 | ||||||||
Net realized and unrealized gain (loss) | (231,621 | ) | 1,002,978 | 583,349 | ||||||||
Net income (loss) | $ | (248,398 | ) | $ | 1,179,229 | $ | 627,806 | |||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Shareholders’ equity, beginning of period | $ | 2,282,195 | $ | 8,619,686 | $ | 7,991,880 | ||||||
Addition of 50,000, 300,000 and – shares, respectively | 2,158,158 | 13,205,150 | — | |||||||||
Redemption of – , 450,000 and– shares, respectively | — | (20,721,870 | ) | — | ||||||||
Net addition (redemption) of 50,000, (150,000) and – shares, respectively | 2,158,158 | (7,516,720 | ) | — | ||||||||
Net investment income (loss) | (16,777 | ) | 176,251 | 44,457 | ||||||||
Net realized gain (loss) | (200,965 | ) | 973,665 | 459,984 | ||||||||
Change in net unrealized appreciation (depreciation) | (30,656 | ) | 29,313 | 123,365 | ||||||||
Net income (loss) | (248,398 | ) | 1,179,229 | 627,806 | ||||||||
Shareholders’ equity, end of period | $ | 4,191,955 | $ | 2,282,195 | $ | 8,619,686 | ||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (248,398 | ) | $ | 1,179,229 | $ | 627,806 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | — | (411,178,062 | ) | (371,708,641 | ) | |||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 747,000 | 411,237,264 | 378,200,000 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,225 | ) | (204,360 | ) | (94,195 | ) | ||||||
Net realized gain (loss) on investments | — | (1,186 | ) | — | ||||||||
Change in unrealized appreciation (depreciation) on investments | 30 | (32 | ) | (358 | ) | |||||||
Decrease (Increase) in receivable on futures contracts | (21,094 | ) | — | — | ||||||||
Decrease (Increase) in interest receivable | 2,259 | 5,207 | (7,641 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | 1,531 | (5,130 | ) | 453 | ||||||||
Increase (Decrease) in payable on futures contracts | (5,100 | ) | (150 | ) | (38,061 | ) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | 14 | — | — | |||||||||
Net cash provided by (used in) operating activities | 475,017 | 1,032,780 | 6,979,363 | |||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 2,158,158 | 13,205,150 | — | |||||||||
Payment on shares redeemed | — | (20,721,870 | ) | — | ||||||||
Net cash provided by (used in) financing activities | 2,158,158 | (7,516,720 | ) | — | ||||||||
Net increase (decrease) in cash | 2,633,175 | (6,483,940 | ) | 6,979,363 | ||||||||
Cash, beginning of period | 1,540,916 | 8,024,856 | 1,045,493 | |||||||||
Cash, end of period | $ | 4,174,091 | $ | 1,540,916 | $ | 8,024,856 | ||||||
December 31, 2020 | December 31, 2019 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $69,998,727 and $56,926,750, respectively) | $ | 69,999,639 | $ | 56,929,436 | ||||
Cash | 132,392,153 | 113,044,890 | ||||||
Segregated cash balances with brokers for futures contracts | 134,187,067 | 54,499,197 | ||||||
Receivable on open futures contracts | 74,226,825 | 60,052,325 | ||||||
Interest receivable | 4,384 | 123,214 | ||||||
Total assets | 410,810,068 | 284,649,062 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 996,159 | — | ||||||
Brokerage commissions and fees payable | 114,522 | — | ||||||
Payable to Sponsor | 326,566 | 211,883 | ||||||
Non-recurring fees and expenses payable | 1,353 | — | ||||||
Total liabilities | 1,438,600 | 211,883 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 409,371,468 | 284,437,179 | ||||||
Total liabilities and shareholders’ equity | $ | 410,810,068 | $ | 284,649,062 | ||||
Shares outstanding | 9,884,307 | 4,334,307 | ||||||
Net asset value per share | $ | 41.42 | $ | 65.62 | ||||
Market value per share (Note 2) | $ | 41.44 | $ | 65.23 | ||||
Principal Amount | Value | Principal Amount | Value | |||||||||||||
Short-term U.S. government and agency obligations | ||||||||||||||||
(17% of shareholders’ equity) | ||||||||||||||||
U.S. Treasury Bills ^^ : | ||||||||||||||||
0.090% due 01/07/21 | $ | 60,000,000 | $ | 59,999,778 | $ | 60,000,000 | $ | 59,999,778 | ||||||||
0.110% due 01/14/21 | 10,000,000 | 9,999,861 | 10,000,000 | 9,999,861 | ||||||||||||
Total short-term U.S. government and agency obligations (cost $69,998,727) | $ | 69,999,639 | ||||||||||||||
Total short-term U.S. government and agency obligations | ||||||||||||||||
(cost $69,998,727) | $ | 69,999,639 | ||||||||||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires January 2021 | 4,169 | $ | 98,701,075 | $ | 7,057,940 | |||||||
VIX Futures - Cboe, expires February 2021 | 4,161 | 106,417,575 | 1,290,843 | |||||||||
$ | 8,348,783 | |||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires January 2021 | 4,169 | $ | 98,701,075 | $ | 7,057,940 | |||||||
VIX Futures—Cboe, expires February 2021 | 4,161 | 106,417,575 | 1,290,843 | |||||||||
$ | 8,348,783 | |||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(20% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.547% due 01/30/20 † | $ | 42,000,000 | $ | 41,951,238 | ||||
1.462% due 02/06/20 † | 15,000,000 | 14,978,198 | ||||||
Total short-term U.S. government and agency obligations (cost $56,926,750) | $ | 56,929,436 | ||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires January 2020 | 5,442 | $ | 79,589,250 | $ | 10,424,889 | |||||||
VIX Futures - Cboe, expires February 2020 | 3,764 | 62,576,500 | (170,017 | ) | ||||||||
$ | 10,254,872 | |||||||||||
Year Ended December 31, | Year Ended December 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2021 | 2020 | 2019 | |||||||||||||||||||
Investment Income | ||||||||||||||||||||||||
Interest | $ | 941,584 | $ | 5,618,666 | $ | 5,721,966 | $ | 101,467 | $ | 941,584 | $ | 5,618,666 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Management fee | 4,469,701 | 3,333,950 | 5,617,477 | 4,358,107 | 4,469,701 | 3,333,950 | ||||||||||||||||||
Brokerage commissions | 712,651 | 723,282 | 2,162,086 | 848,956 | 712,651 | 723,282 | ||||||||||||||||||
Brokerage fees | 1,005,403 | 721 | 151,758 | |||||||||||||||||||||
Futures account fees | 1,036,798 | 1,005,403 | 721 | |||||||||||||||||||||
Non-recurring fees and expenses | 23,391 | 398,550 | — | — | 23,391 | 398,550 | ||||||||||||||||||
Total expenses | 6,211,146 | 4,456,503 | 7,931,321 | 6,243,861 | 6,211,146 | 4,456,503 | ||||||||||||||||||
Net investment income (loss) | (5,269,562 | ) | 1,162,163 | (2,209,355 | ) | (6,142,394 | ) | (5,269,562 | ) | 1,162,163 | ||||||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||
Futures contracts | (72,609,314 | ) | 125,639,084 | (1,885,564,719 | ) | 194,879,700 | (72,609,314 | ) | 125,639,084 | |||||||||||||||
Short-term U.S. government and agency obligations | (768 | ) | 2,755 | (259,113 | ) | 118,624 | (768 | ) | 2,755 | |||||||||||||||
Net realized gain (loss) | (72,610,082 | ) | 125,641,839 | (1,885,823,832 | ) | 194,998,324 | (72,610,082 | ) | 125,641,839 | |||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||
Futures contracts | (1,906,089 | ) | 24,731,073 | (31,517,650 | ) | 22,926,495 | (1,906,089 | ) | 24,731,073 | |||||||||||||||
Short-term U.S. government and agency obligations | (1,774 | ) | 2,686 | 51,865 | (36,437 | ) | (1,774 | ) | 2,686 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,907,863 | ) | 24,733,759 | (31,465,785 | ) | 22,890,058 | (1,907,863 | ) | 24,733,759 | |||||||||||||||
Net realized and unrealized gain (loss) | (74,517,945 | ) | 150,375,598 | (1,917,289,617 | ) | 217,888,382 | (74,517,945 | ) | 150,375,598 | |||||||||||||||
Net income (loss) | $ | (79,787,507 | ) | $ | 151,537,761 | $ | (1,919,498,972 | ) | $ | 211,745,988 | $ | (79,787,507 | ) | $ | 151,537,761 | |||||||||
Year Ended December 31, | Year Ended December 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2021 | 2020 | 2019 | |||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 284,437,179 | $ | 344,596,263 | $ | 770,163,871 | $ | 409,371,468 | $ | 284,437,179 | $ | 344,596,263 | ||||||||||||
Addition of 27,050,000, 1,500,000 and 19,000,000 shares, respectively | 961,417,953 | 84,372,594 | 2,433,234,181 | |||||||||||||||||||||
Redemption of 21,500,000, 5,300,000 and 12,378,193 shares, respectively | (756,696,157 | ) | (296,069,439 | ) | (939,302,817 | ) | ||||||||||||||||||
Addition of 5,100,000, 27,050,000 and 1,500,000 shares, respectively | 242,419,979 | 961,417,953 | 84,372,594 | |||||||||||||||||||||
Redemption of 8,100,000, 21,500,000 and 5,300,000 shares, respectively | (439,724,841 | ) | (756,696,157 | ) | (296,069,439 | ) | ||||||||||||||||||
Net addition (redemption) of 5,550,000, (3,800,000) and 6,621,807 shares, respectively | 204,721,796 | (211,696,845 | ) | 1,493,931,364 | ||||||||||||||||||||
Net addition (redemption) of (3,000,000 ), 5,550,000 and(3,800,000 ) shares, respectively | (197,304,862 | ) | 204,721,796 | (211,696,845 | ) | |||||||||||||||||||
Net investment income (loss) | (5,269,562 | ) | 1,162,163 | (2,209,355 | ) | (6,142,394 | ) | (5,269,562 | ) | 1,162,163 | ||||||||||||||
Net realized gain (loss) | (72,610,082 | ) | 125,641,839 | (1,885,823,832 | ) | 194,998,324 | (72,610,082 | ) | 125,641,839 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,907,863 | ) | 24,733,759 | (31,465,785 | ) | 22,890,058 | (1,907,863 | ) | 24,733,759 | |||||||||||||||
Net income (loss) | (79,787,507 | ) | 151,537,761 | (1,919,498,972 | ) | 211,745,988 | (79,787,507 | ) | 151,537,761 | |||||||||||||||
Shareholders’ equity, end of period | $ | 409,371,468 | $ | 284,437,179 | $ | 344,596,263 | $ | 423,812,594 | $ | 409,371,468 | $ | 284,437,179 | ||||||||||||
Year Ended December 31, | Year Ended December 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2021 | 2020 | 2019 | |||||||||||||||||||
Cash flow from operating activities | ||||||||||||||||||||||||
Net income (loss) | $ | (79,787,507 | ) | $ | 151,537,761 | $ | (1,919,498,972 | ) | $ | 211,745,988 | $ | (79,787,507 | ) | $ | 151,537,761 | |||||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||||||||||||||
Purchases of short-term U.S. government and agency obligations | (509,581,499 | ) | (5,155,156,465 | ) | (23,270,517,650 | ) | (619,782,627 | ) | (509,581,499 | ) | (5,155,156,465 | ) | ||||||||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 496,998,196 | 5,100,473,064 | 23,768,116,025 | 542,110,382 | 496,998,196 | 5,100,473,064 | ||||||||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (489,442 | ) | (2,240,594 | ) | (2,894,979 | ) | (61,648 | ) | (489,442 | ) | (2,240,594 | ) | ||||||||||||
Net realized gain (loss) on investments | 768 | (2,755 | ) | 259,113 | ||||||||||||||||||||
Change in unrealized appreciation (depreciation) on investments | 1,774 | (2,686 | ) | (51,865 | ) | |||||||||||||||||||
Decrease (Increase) in receivable on futures contracts | (14,174,500 | ) | 3,248,564 | (42,542,039 | ) | |||||||||||||||||||
Net realized ( gain) loss on investments | (118,624 | ) | 768 | (2,755 | ) | |||||||||||||||||||
Change in unrealized ( appreciation) depreciation on investments | 36,437 | 1,774 | (2,686 | ) | ||||||||||||||||||||
Decrease (Increase) in receivable on open futures contracts | (25,317,513 | ) | (14,174,500 | ) | 3,248,564 | |||||||||||||||||||
Decrease (Increase) in interest receivable | 118,830 | 19,008 | (142,222 | ) | 1,516 | 118,830 | 19,008 | |||||||||||||||||
Increase (Decrease) in payable to Sponsor | 114,683 | (85,383 | ) | (530,173 | ) | 5,307 | 114,683 | (85,383 | ) | |||||||||||||||
Increase (Decrease) in brokerage commissions and fees payable | 114,522 | — | — | |||||||||||||||||||||
Increase (Decrease) in payable on futures contracts | 996,159 | (15,448,037 | ) | 14,919,287 | ||||||||||||||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (10,210 | ) | 114,522 | — | ||||||||||||||||||||
Increase (Decrease) in payable on open futures contracts | (996,159 | ) | 996,159 | (15,448,037 | ) | |||||||||||||||||||
Increase (Decrease) in non-recurring fees and expenses payable | 1,353 | — | — | (1,353 | ) | 1,353 | — | |||||||||||||||||
Net cash provided by (used in) operating activities | (105,686,663 | ) | 82,342,477 | (1,452,883,475 | ) | 107,611,496 | (105,686,663 | ) | 82,342,477 | |||||||||||||||
Cash flow from financing activities | ||||||||||||||||||||||||
Proceeds from addition of shares | 961,417,953 | 84,372,594 | 2,433,234,181 | 242,419,979 | 961,417,953 | 84,372,594 | ||||||||||||||||||
Payment on shares redeemed | (756,696,157 | ) | (296,069,439 | ) | (984,120,527 | ) | (433,599,711 | ) | (756,696,157 | ) | (296,069,439 | ) | ||||||||||||
Net cash provided by (used in) financing activities | 204,721,796 | (211,696,845 | ) | 1,449,113,654 | (191,179,732 | ) | 204,721,796 | (211,696,845 | ) | |||||||||||||||
Net increase (decrease) in cash | 99,035,133 | (129,354,368 | ) | (3,769,821 | ) | (83,568,236 | ) | 99,035,133 | (129,354,368 | ) | ||||||||||||||
Cash, beginning of period | 167,544,087 | 296,898,455 | 300,668,276 | 266,579,220 | 167,544,087 | 296,898,455 | ||||||||||||||||||
Cash, end of period | $ | 266,579,220 | $ | 167,544,087 | $ | 296,898,455 | $ | 183,010,984 | $ | 266,579,220 | $ | 167,544,087 | ||||||||||||
December 31, 2020 | December 31, 2019 | December 31, 2021 | December 31, 2020 | |||||||||||||
Assets | ||||||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $219,996,153 and $200,101,525, respectively) | $ | 219,998,394 | $ | 200,115,463 | ||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $848,800,309 and $219,996,153, respectively) | $ | 848,757,567 | $ | 219,998,394 | ||||||||||||
Cash | 491,732,847 | 86,168,083 | 86,582,912 | 491,732,847 | ||||||||||||
Segregated cash balances with brokers for futures contracts | 175,526,749 | 2,147,480 | 130,704,477 | 175,526,749 | ||||||||||||
Unrealized appreciation on swap agreements | 18,242,195 | 21,814,590 | 63,928,293 | 18,242,195 | ||||||||||||
Receivable on open futures contracts | 1,611,608 | — | — | 1,611,608 | ||||||||||||
Interest receivable | 21,388 | 123,221 | 3,523 | 21,388 | ||||||||||||
Total assets | 907,133,181 | 310,368,837 | 1,129,976,772 | 907,133,181 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
Payable for capital shares redeemed | 3,627,934 | — | — | 3,627,934 | ||||||||||||
Payable on open futures contracts | — | 266,056 | 25,317,560 | — | ||||||||||||
Brokerage commissions and futures account fees payable | 24,677 | — | ||||||||||||||
Payable to Sponsor | 728,955 | 258,199 | 850,965 | 728,955 | ||||||||||||
Non-recurring fees and expenses payable | 37,042 | — | — | 37,042 | ||||||||||||
Total liabilities | 4,393,931 | 524,255 | 26,193,202 | 4,393,931 | ||||||||||||
Commitments and Contingencies (Note 2) | 0 | 0 | 0 | 0 | ||||||||||||
Shareholders’ equity | ||||||||||||||||
Shareholders’ equity | 902,739,250 | 309,844,582 | 1,103,783,570 | 902,739,250 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 907,133,181 | $ | 310,368,837 | $ | 1,129,976,772 | $ | 907,133,181 | ||||||||
Shares outstanding (Note 1) | 24,810,774 | 608,453 | ||||||||||||||
Shares outstanding | 12,810,774 | 24,810,774 | ||||||||||||||
Net asset value per share (Note 1) | $ | 36.38 | $ | 509.23 | ||||||||||||
Net asset value per share | $ | 86.16 | $ | 36.38 | ||||||||||||
Market value per share (Note 1) (Note 2) | $ | 36.27 | $ | 511.50 | ||||||||||||
Market value per share (Note 2) | $ | 86.78 | $ | 36.27 | ||||||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(77% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.042% due 01/20/22 † | $ | 175,000,000 | $ | 174,996,693 | ||||
0.048% due 02/17/22 † | 308,000,000 | 307,980,750 | ||||||
0.043% due 03/17/22 | 285,000,000 | 284,968,222 | ||||||
0.223% due 11/03/22 | 81,000,000 | 80,811,902 | ||||||
Total short-term U.S. government and agency obligations (cost $848,800,309) | $ | 848,757,567 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
WTI Crude Oil—NYMEX, expires March 2022 | 5,530 | $ | 414,086,400 | $ | 47,369,777 | |||||||
WTI Crude Oil—NYMEX, expires June 2022 | 5,709 | 418,869,330 | 77,415,002 | |||||||||
WTI Crude Oil—NYMEX, expires December 2022 | 5,924 | 413,672,920 | 22,670,746 | |||||||||
$ | 147,455,525 | |||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | % | 01/06/22 | $ | 148,013,752 | $ | 9,839,441 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 01/06/22 | 209,403,677 | 13,920,431 | ||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 01/06/22 | 256,365,929 | 17,042,319 | ||||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.25 | 01/06/22 | 139,690,137 | 9,295,046 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.30 | 01/06/22 | 207,959,236 | 13,831,056 | ||||||||||||
Total Unrealized Appreciation | | $ | 63,928,293 | |||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of December 31, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Principal Amount | Value | Principal Amount | Value | |||||||||||||
Short-term U.S. government and agency obligations | ||||||||||||||||
(24% of shareholders’ equity) | ||||||||||||||||
U.S. Treasury Bills ^^ : | ||||||||||||||||
0.085% due 01/07/21 † | $ | 200,000,000 | $ | 199,999,260 | ||||||||||||
0.085% due 01/07/2 1† | $ | 200,000,000 | $ | 199,999,260 | ||||||||||||
0.073% due 01/28/21 † | 20,000,000 | 19,999,134 | 20,000,000 | 19,999,134 | ||||||||||||
Total short-term U.S. government and agency obligations (cost $219,996,153) | $ | 219,998,394 | $ | 219,998,394 | ||||||||||||
Futures Contracts Purchased | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires March 2021 | 10,134 | $ | 492,816,420 | $ | 28,561,931 | |||||||
WTI Crude Oil - NYMEX, expires June 2021 | 9,783 | 475,747,290 | 73,681,595 | |||||||||
WTI Crude Oil - NYMEX, expires December 2021 | 9,650 | 460,112,000 | 42,320,513 | |||||||||
$ | 144,564,039 | |||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil—NYMEX, expires March 2021 | 10,134 | $ | 492,816,420 | $ | 28,561,931 | |||||||
WTI Crude Oil—NYMEX, expires June 2021 | 9,783 | 475,747,290 | 73,681,595 | |||||||||
WTI Crude Oil—NYMEX, expires December 2021 | 9,650 | 460,112,000 | 42,320,513 | |||||||||
$ | 144,564,039 | |||||||||||
Total Return Swap Agreements ^ | ||||||||||||||||||||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.50 | % | 01/06/21 | $ | 28,462,300 | $ | 1,377,243 | 0.50 | % | 01/06/21 | $ | 28,462,300 | $ | 1,377,243 | ||||||||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.45 | 01/06/21 | 226,338,741 | 10,959,227 | 0.45 | 01/06/21 | 226,338,741 | 10,959,227 | ||||||||||||||||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.25 | 01/06/21 | 34,593,561 | 1,679,334 | 0.25 | 01/06/21 | 34,593,561 | 1,679,334 | ||||||||||||||||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.30 | 01/06/21 | 87,117,995 | 4,226,391 | 0.30 | 01/06/21 | 87,117,995 | 4,226,391 | ||||||||||||||||||||||||
Total Unrealized Appreciation | $ | 18,242,195 | Total Unrealized Appreciation | $ | 18,242,195 | |||||||||||||||||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of December 31, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 488,829 | $ | 1,930,769 | $ | 7,627,706 | ||||||
Expenses | ||||||||||||
Management fee | 10,774,039 | 9,256,478 | 3,612,580 | |||||||||
Brokerage commissions | 871,807 | 2,144,028 | 150,542 | |||||||||
Futures account fees | 798,214 | 1,491,895 | — | |||||||||
Non-recurring fees and expenses | 27,975 | 61,679 | — | |||||||||
Total expenses | 12,472,035 | 12,954,080 | 3,763,122 | |||||||||
Net investment income (loss) | (11,983,206 | ) | (11,023,311 | ) | 3,864,584 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 696,172,213 | 349,362,849 | 22,428,157 | |||||||||
Swap agreements | 256,577,496 | (1,037,821,211 | ) | 121,742,316 | ||||||||
Short-term U.S. government and agency obligations | 76,422 | 159,318 | 18,336 | |||||||||
Net realized gain (loss) | 952,826,131 | (688,299,044 | ) | 144,188,809 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 2,891,486 | 143,798,464 | 14,805,876 | |||||||||
Swap agreements | 45,686,098 | (3,572,395 | ) | 94,581,715 | ||||||||
Short-term U.S. government and agency obligations | (44,983 | ) | (11,697 | ) | 8,747 | |||||||
Change in net unrealized appreciation (depreciation) | 48,532,601 | 140,214,372 | 109,396,338 | |||||||||
Net realized and unrealized gain (loss) | 1,001,358,732 | (548,084,672 | ) | 253,585,147 | ||||||||
Net income (loss) | $ | 989,375,526 | $ | (559,107,983 | ) | $ | 257,449,731 | |||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 902,739,250 | $ | 309,844,582 | $ | 368,399,654 | ||||||
Addition of 7,300,000, 120,812,000 and 1,362,000 shares, respectively | 448,859,664 | 3,910,951,510 | 569,843,253 | |||||||||
Redemption of 19,300,000, 96,609,679 and 1,882,000 shares, respectively | (1,237,190,870 | ) | (2,758,948,859 | ) | (885,848,056 | ) | ||||||
Net addition (redemption) of (12,000,000), 24,202,321 and (520,000) shares, respectively | (788,331,206 | ) | 1,152,002,651 | (316,004,803 | ) | |||||||
Net investment income (loss) | (11,983,206 | ) | (11,023,311 | ) | 3,864,584 | |||||||
Net realized gain (loss) | 952,826,131 | (688,299,044 | ) | 144,188,809 | ||||||||
Change in net unrealized appreciation (depreciation) | 48,532,601 | 140,214,372 | 109,396,338 | |||||||||
Net income (loss) | 989,375,526 | (559,107,983 | ) | 257,449,731 | ||||||||
Shareholders’ equity, end of period | $ | 1,103,783,570 | $ | 902,739,250 | $ | 309,844,582 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 989,375,526 | $ | (559,107,983 | ) | $ | 257,449,731 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (2,786,468,099 | ) | (629,750,456 | ) | (3,985,480,476 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 2,158,071,076 | 611,325,152 | 4,072,626,713 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (330,711 | ) | (1,310,006 | ) | (6,731,717 | ) | ||||||
Net realized ( gain) loss on investments | (76,422 | ) | (159,318 | ) | (18,336 | ) | ||||||
Change in unrealized ( appreciation) depreciation on investments | (45,641,115 | ) | 3,584,092 | (94,590,462 | ) | |||||||
Decrease (Increase) in receivable on open futures contracts | 1,611,608 | (1,611,608 | ) | 190,440 | ||||||||
Decrease (Increase) in interest receivable | 17,865 | 101,833 | (60,707 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | 122,010 | 470,756 | (29,037 | ) | ||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 24,677 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | 25,317,560 | (266,056 | ) | (45,759 | ) | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | (37,042 | ) | 37,042 | — | ||||||||
Net cash provided by (used in) operating activities | 341,986,933 | (576,686,552 | ) | 243,310,390 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 448,859,664 | 3,910,951,510 | 582,834,917 | |||||||||
Payment on shares redeemed | (1,240,818,804 | ) | (2,755,320,925 | ) | (885,848,056 | ) | ||||||
Net cash provided by (used in) financing activities | (791,959,140 | ) | 1,155,630,585 | (303,013,139 | ) | |||||||
Net increase (decrease) in cash | (449,972,207 | ) | 578,944,033 | (59,702,749 | ) | |||||||
Cash, beginning of period | 667,259,596 | 88,315,563 | 148,018,312 | |||||||||
Cash, end of period | $ | 217,287,389 | $ | 667,259,596 | $ | 88,315,563 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $90,936,719 and $29,999,585, respectively) | $ | 90,922,438 | $ | 29,999,889 | ||||
Cash | 6,846,634 | 92,972,312 | ||||||
Segregated cash balances with brokers for futures contracts | 47,289,091 | 44,320,410 | ||||||
Receivable from capital shares sold | 20,448,741 | — | ||||||
Receivable on open futures contracts | 33,998,620 | 13,775,851 | ||||||
Interest receivable | 1,130 | 4,326 | ||||||
Total assets | 199,506,654 | 181,072,788 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 11,132,546 | ||||||
Payable on open futures contracts | 5,403,658 | — | ||||||
Brokerage commissions and futures account fees payable | 63,628 | — | ||||||
Payable to Sponsor | 147,190 | 139,455 | ||||||
Non-recurring fees and expenses payable | — | 416 | ||||||
Total liabilities | 5,614,476 | 11,272,417 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 193,892,178 | 169,800,371 | ||||||
Total liabilities and shareholders’ equity | $ | 199,506,654 | $ | 181,072,788 | ||||
Shares outstanding | 7,587,527 | 8,087,527 | ||||||
Net asset value per share | $ | 25.55 | $ | 21.00 | ||||
Market value per share (Note 2) | $ | 26.09 | $ | 21.07 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(65% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.609% due 01/09/20 † | $ | 39,000,000 | $ | 38,989,536 | ||||
1.547% due 01/30/20 † | 57,000,000 | 56,933,823 | ||||||
1.514% due 02/06/20 | 50,952,000 | 50,877,941 | ||||||
1.587% due 02/13/20 † | 53,407,000 | 53,314,163 | ||||||
Total short-term U.S. government and agency obligations (cost $200,101,525) | $ | 200,115,463 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(47% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 | $ | 10,000,000 | $ | 9,999,811 | ||||
0.051% due 02/17/22 | 49,000,000 | 48,996,937 | ||||||
0.223% due 11/03/22 | 32,000,000 | 31,925,690 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $90,936,719) | $ | 90,922,438 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas—NYMEX, expires March 2022 | 10,905 | $ | 387,890,850 | $ | (8,206,161 | ) |
Futures Contracts Purchased | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires March 2020 | 554 | $ | 33,666,580 | $ | 765,575 |
^^ | Rates shown represent discount rate at the time of purchase. |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(18% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.085% due 01/07/21 | $ | 30,000,000 | $ | 29,999,889 | ||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $29,999,585) | $ | 29,999,889 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas—NYMEX, expires March 2021 | 13,444 | $ | 339,595,440 | $ | 6,500,721 |
Total Return Swap Agreements ^ | ||||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex | 0.18 | % | 01/06/20 | $ | 172,174,920 | $ | 6,039,121 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/06/20 | 120,411,487 | 4,393,163 | ||||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex | 0.23 | 01/06/20 | 115,540,626 | 4,210,281 | ||||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/06/20 | 64,308,537 | 2,253,037 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/06/20 | 113,574,303 | 4,918,988 | ||||||||||||
Total Unrealized Appreciation | $ | 21,814,590 | ||||||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 50,091 | $ | 206,527 | $ | 589,183 | ||||||
Expenses | ||||||||||||
Management fee | 1,031,508 | 674,810 | 297,043 | |||||||||
Brokerage commissions | 352,618 | 377,630 | 129,752 | |||||||||
Futures account fees | 275,824 | 92,442 | — | |||||||||
Non-recurring fees and expenses | 0 | 1,545 | — | |||||||||
Total expenses | 1,659,950 | 1,146,427 | 426,795 | |||||||||
Net investment income (loss) | (1,609,859 | ) | (939,900 | ) | 162,388 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (51,858,807 | ) | (53,327,855 | ) | (32,380,194 | ) | ||||||
Short-term U.S. government and agency obligations | 8,324 | 1,058 | (24 | ) | ||||||||
Net realized gain (loss) | (51,850,483 | ) | (53,326,797 | ) | (32,380,218 | ) | ||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (14,706,882 | ) | 9,152,949 | 7,670,935 | ||||||||
Short-term U.S. government and agency obligations | (14,585 | ) | (1,086 | ) | 1,679 | |||||||
Change in net unrealized appreciation (depreciation) | (14,721,467 | ) | 9,151,863 | 7,672,614 | ||||||||
Net realized and unrealized gain (loss) | (66,571,950 | ) | (44,174,934 | ) | (24,707,604 | ) | ||||||
Net income (loss) | $ | (68,181,809 | ) | $ | (45,114,834 | ) | $ | (24,545,216 | ) | |||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 169,800,371 | $ | 45,160,205 | $ | 14,617,440 | ||||||
Addition of 15,350,000, 16,685,000 and 825,000 shares, respectively | 613,708,303 | 457,281,516 | 115,544,309 | |||||||||
Redemption of 15,850,000, 9,135,288 and 345,000 shares, respectively | (521,434,687 | ) | (287,526,516 | ) | (60,456,328 | ) | ||||||
Net addition (redemption) of (500,000), 7,549,712 and 480,000 shares, respectively | 92,273,616 | 169,755,000 | 55,087,981 | |||||||||
Net investment income (loss) | (1,609,859 | ) | (939,900 | ) | 162,388 | |||||||
Net realized gain (loss) | (51,850,483 | ) | (53,326,797 | ) | (32,380,218 | ) | ||||||
Change in net unrealized appreciation (depreciation) | (14,721,467 | ) | 9,151,863 | 7,672,614 | ||||||||
Net income (loss) | (68,181,809 | ) | (45,114,834 | ) | (24,545,216 | ) | ||||||
Shareholders’ equity, end of period | $ | 193,892,178 | $ | 169,800,371 | $ | 45,160,205 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (68,181,809 | ) | $ | (45,114,834 | ) | $ | (24,545,216 | ) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (289,900,679 | ) | (115,881,108 | ) | (409,196,437 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 229,000,330 | 113,563,630 | 390,337,650 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (28,461 | ) | (152,125 | ) | (289,445 | ) | ||||||
Net realized ( gain) loss on investments | (8,324 | ) | (1,058 | ) | 24 | |||||||
Change in unrealized ( appreciation) depreciation on investments | 14,585 | 1,086 | (1,679 | ) | ||||||||
Decrease (Increase) in receivable on open futures contracts | (20,222,769 | ) | (13,738,827 | ) | (37,024 | ) | ||||||
Decrease (Increase) in interest receivable | 3,196 | 6,265 | 917 | |||||||||
Increase (Decrease) in payable to Sponsor | 7,735 | 102,669 | 12,673 | |||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 63,628 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | 5,403,658 | — | (3,309,741 | ) | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | (416 | ) | 416 | — | ||||||||
Net cash provided by (used in) operating activities | (143,849,326 | ) | (61,213,886 | ) | (47,028,278 | ) | ||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 593,259,562 | 457,281,516 | 118,073,066 | |||||||||
Payment on shares redeemed | (532,567,233 | ) | (276,393,970 | ) | (60,456,328 | ) | ||||||
Net cash provided by (used in) financing activities | 60,692,329 | 180,887,546 | 57,616,738 | |||||||||
Net increase (decrease) in cash | (83,156,997 | ) | 119,673,660 | 10,588,460 | ||||||||
Cash, beginning of period | 137,292,722 | 17,619,062 | 7,030,602 | |||||||||
Cash, end of period | $ | 54,135,725 | $ | 137,292,722 | $ | 17,619,062 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $998,130 and $—, respectively) | $ | 997,678 | $ | — | ||||
Cash | 6,891,458 | 4,045,092 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 691,000 | 607,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 84,150 | 89,103 | ||||||
Interest receivable | 153 | 162 | ||||||
Total assets | 8,664,439 | 4,741,357 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 3,846 | 3,625 | ||||||
Unrealized depreciation on foreign currency forward contracts | 1,498 | 367 | ||||||
Non-recurring fees and expenses payable | — | 15 | ||||||
Total liabilities | 5,344 | 4,007 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 8,659,095 | 4,737,350 | ||||||
Total liabilities and shareholders’ equity | $ | 8,664,439 | $ | 4,741,357 | ||||
Shares outstanding | 650,000 | 300,000 | ||||||
Net asset value per share | $ | 13.32 | $ | 15.79 | ||||
Market value per share (Note 2) | $ | 13.33 | $ | 15.81 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(12% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.223% due 11/03/22 | $ | 1,000,000 | $ | 997,678 | ||||
Total short-term U.S. government and agency obligations (cost $998,130) | $ | 997,678 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 01/14/22 | 4,308,921 | $ | 4,903,655 | $ | 10,301 | ||||||||||
Euro with UBS AG | 01/14/22 | 11,055,502 | 12,581,426 | 73,849 | ||||||||||||
Total Unrealized Appreciation | | $ | 84,150 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with UBS AG | 01/14/22 | (138,000 | ) | $ | (157,048 | ) | $ | (1,498 | ) | |||||||
Total Unrealized Depreciation | $ | (1,498 | ) | |||||||||||||
^ | The positions and counterparties herein are as of December 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 01/15/21 | 2,210,921 | $ | 2,701,671 | $ | 22,950 | ||||||||||
Euro with UBS AG | 01/15/21 | 5,664,502 | 6,921,830 | 66,153 | ||||||||||||
Total Unrealized Appreciation | | $ | 89,103 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with UBS AG | 01/15/21 | (122,000 | ) | $ | (149,080 | ) | $ | (367 | ) | |||||||
Total Unrealized Depreciation | $ | (367 | ) | |||||||||||||
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 1,922 | $ | 16,819 | $ | 121,071 | ||||||
Expenses | ||||||||||||
Management fee | 37,450 | 44,302 | 62,543 | |||||||||
Non-recurring fees and expenses | — | 123 | — | |||||||||
Total expenses | 37,450 | 44,425 | 62,543 | |||||||||
Net investment income (loss) | (35,528 | ) | (27,606 | ) | 58,528 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Foreign currency forward contracts | (500,185 | ) | 504,035 | (722,691 | ) | |||||||
Short-term U.S. government and agency obligations | 1,250 | — | — | |||||||||
Net realized gain (loss) | (498,935 | ) | 504,035 | (722,691 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Foreign currency forward contracts | (6,084 | ) | (21,261 | ) | 52,059 | |||||||
Short-term U.S. government and agency obligations | (452 | ) | (208 | ) | 215 | |||||||
Change in net unrealized appreciation (depreciation) | (6,536 | ) | (21,469 | ) | 52,274 | |||||||
Net realized and unrealized gain (loss) | (505,471 | ) | 482,566 | (670,417 | ) | |||||||
Net income (loss) | $ | (540,999 | ) | $ | 454,960 | $ | (611,889 | ) | ||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 4,737,350 | $ | 6,204,424 | $ | 7,544,569 | ||||||
Addition of 500,000, 250,000 and 100,000 shares, respectively | 6,745,474 | 3,616,577 | 1,422,682 | |||||||||
Redemption of 150,000, 400,000 and 150,000 shares, respectively | (2,282,730 | ) | (5,538,611 | ) | (2,150,938 | ) | ||||||
Net addition (redemption) of 350,000, (150,000) and (50,000) shares, respectively | 4,462,744 | (1,922,034 | ) | (728,256 | ) | |||||||
Net investment income (loss) | (35,528 | ) | (27,606 | ) | 58,528 | |||||||
Net realized gain (loss) | (498,935 | ) | 504,035 | (722,691 | ) | |||||||
Change in net unrealized appreciation (depreciation) | (6,536 | ) | (21,469 | ) | 52,274 | |||||||
Net income (loss) | (540,999 | ) | 454,960 | (611,889 | ) | |||||||
Shareholders’ equity, end of period | $ | 8,659,095 | $ | 4,737,350 | $ | 6,204,424 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (540,999 | ) | $ | 454,960 | $ | (611,889 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (4,997,449 | ) | (1,395,795 | ) | (69,587,460 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 4,001,250 | 5,375,000 | 67,150,000 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (681 | ) | (9,001 | ) | (36,079 | ) | ||||||
Net realized (gain) loss on investments | (1,250 | ) | — | — | ||||||||
Change in unrealized ( appreciation) depreciation on investments | 6,536 | 21,469 | (52,274 | ) | ||||||||
Decrease (Increase) in interest receivable | 9 | 1,334 | 5,222 | |||||||||
Increase (Decrease) in payable to Sponsor | 221 | (1,293 | ) | (1,097 | ) | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | (15 | ) | 15 | — | ||||||||
Net cash provided by (used in) operating activities | (1,532,378 | ) | 4,446,689 | (3,133,577 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 6,745,474 | 3,616,577 | 1,422,682 | |||||||||
Payment on shares redeemed | (2,282,730 | ) | (5,538,611 | ) | (2,150,938 | ) | ||||||
Net cash provided by (used in) financing activities | 4,462,744 | (1,922,034 | ) | (728,256 | ) | |||||||
Net increase (decrease) in cash | 2,930,366 | 2,524,655 | (3,861,833 | ) | ||||||||
Cash, beginning of period | 4,652,092 | 2,127,437 | 5,989,270 | |||||||||
Cash, end of period | $ | 7,582,458 | $ | 4,652,092 | $ | 2,127,437 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $207,964,168 and $74,998,283, respectively) | $ | 207,956,320 | $ | 74,999,467 | ||||
Cash | 9,328,332 | 164,381,859 | ||||||
Segregated cash balances with brokers for futures contracts | 6,093,750 | 11,581,250 | ||||||
Segregated cash balances with brokers for swap agreements | — | 7,489,000 | ||||||
Unrealized appreciation on swap agreements | 8,639,188 | 5,140,980 | ||||||
Receivable on open futures contracts | 944,644 | 148,784 | ||||||
Interest receivable | 690 | 6,531 | ||||||
Total assets | 232,962,924 | 263,747,871 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Brokerage commissions and futures account fees payable | 4,034 | – | ||||||
Payable to Sponsor | 178,356 | 206,394 | ||||||
Non-recurring fees and expenses payable | — | 1,004 | ||||||
Total liabilities | 182,390 | 207,398 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 232,780,534 | 263,540,473 | ||||||
Total liabilities and shareholders’ equity | $ | 232,962,924 | $ | 263,747,871 | ||||
Shares outstanding | 3,900,000 | 3,900,000 | ||||||
Net asset value per share | $ | 59.69 | $ | 67.57 | ||||
Market value per share (Note 2) | $ | 59.81 | $ | 68.20 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(89% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 † | $ | 50,000,000 | $ | 49,999,055 | ||||
0.043% due 02/17/22 † | 119,000,000 | 118,992,563 | ||||||
0.041% due 03/17/22 | 25,000,000 | 24,997,213 | ||||||
0.223% due 11/03/22 | 14,000,000 | 13,967,489 | ||||||
Total short-term U.S. government and agency obligations (cost $207,964,168) | $ | 207,956,320 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures—COMEX, expires February 2022 | 775 | $ | 141,716,500 | $ | 654,894 |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 01/06/22 | $ | 111,470,102 | $ | 2,974,490 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 01/06/22 | 96,328,238 | 2,570,443 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 01/06/22 | 115,958,326 | 3,094,255 | ||||||||||||
Total Unrealized Appreciation | $ | 8,639,188 | ||||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of December 31, |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 1,930,769 | $ | 7,627,706 | $ | 7,041,517 | ||||||
Expenses | ||||||||||||
Management fee | 9,256,478 | 3,612,580 | 3,918,014 | |||||||||
Brokerage commissions | 2,144,028 | 150,542 | 100,695 | |||||||||
Brokerage fees | 1,491,895 | — | — | |||||||||
Non-recurring fees and expenses | 61,679 | — | — | |||||||||
Total expenses | 12,954,080 | 3,763,122 | 4,018,709 | |||||||||
Net investment income (loss) | (11,023,311 | ) | 3,864,584 | 3,022,808 | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 349,362,849 | 22,428,157 | (3,149,395 | ) | ||||||||
Swap agreements | (1,037,821,211 | ) | 121,742,316 | 24,906,389 | ||||||||
Short-term U.S. government and agency obligations | 159,318 | 18,336 | (2,307 | ) | ||||||||
Net realized gain (loss) | (688,299,044 | ) | 144,188,809 | 21,754,687 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 143,798,464 | 14,805,876 | (25,986,280 | ) | ||||||||
Swap agreements | (3,572,395 | ) | 94,581,715 | (135,005,486 | ) | |||||||
Short-term U.S. government and agency obligations | (11,697 | ) | 8,747 | 32,342 | ||||||||
Change in net unrealized appreciation (depreciation) | 140,214,372 | 109,396,338 | (160,959,424 | ) | ||||||||
Net realized and unrealized gain (loss) | (548,084,672 | ) | 253,585,147 | (139,204,737 | ) | |||||||
Net income (loss) | $ | (559,107,983 | ) | $ | 257,449,731 | $ | (136,181,929 | ) | ||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Shareholders’ equity, beginning of period | $ | 309,844,582 | $ | 368,399,654 | $ | 524,445,526 | ||||||
Addition of 120,812,000, 1,362,000 and 984,000 shares, respectively (Note 1) | 3,910,951,510 | 569,843,253 | 518,136,436 | |||||||||
Redemption of 96,609,679, 1,882,000 and 742,000 shares, respectively (Note 1) | (2,758,948,859 | ) | (885,848,056 | ) | (538,000,379 | ) | ||||||
Net addition (redemption) of 24,202,321, (520,000) and 242,000 shares, respectively (Note 1) | 1,152,002,651 | (316,004,803 | ) | (19,863,943 | ) | |||||||
Net investment income (loss) | (11,023,311 | ) | 3,864,584 | 3,022,808 | ||||||||
Net realized gain (loss) | (688,299,044 | ) | 144,188,809 | 21,754,687 | ||||||||
Change in net unrealized appreciation (depreciation) | 140,214,372 | 109,396,338 | (160,959,424 | ) | ||||||||
Net income (loss) | (559,107,983 | ) | 257,449,731 | (136,181,929 | ) | |||||||
Shareholders’ equity, end of period | $ | 902,739,250 | $ | 309,844,582 | $ | 368,399,654 | ||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (559,107,983 | ) | $ | 257,449,731 | $ | (136,181,929 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (629,750,456 | ) | (3,985,480,476 | ) | (15,528,795,124 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 611,325,152 | 4,072,626,713 | 15,714,465,442 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,310,006 | ) | (6,731,717 | ) | (6,627,281 | ) | ||||||
Net realized gain (loss) on investments | (159,318 | ) | (18,336 | ) | 2,307 | |||||||
Change in unrealized appreciation (depreciation) on investments | 3,584,092 | (94,590,462 | ) | 134,973,144 | ||||||||
Decrease (Increase) in receivable on futures contracts | (1,611,608 | ) | 190,440 | 2,051,561 | ||||||||
Decrease (Increase) in interest receivable | 101,833 | (60,707 | ) | (62,514 | ) | |||||||
Increase (Decrease) in payable to Sponsor | 470,756 | (29,037 | ) | (128,585 | ) | |||||||
Increase (Decrease) in payable on futures contracts | (266,056 | ) | (45,759 | ) | 311,815 | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | 37,042 | — | — | |||||||||
Net cash provided by (used in) operating activities | (576,686,552 | ) | 243,310,390 | 180,008,836 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 3,910,951,510 | 582,834,917 | 505,144,772 | |||||||||
Payment on shares redeemed | (2,755,320,925 | ) | (885,848,056 | ) | (547,464,799 | ) | ||||||
Net cash provided by (used in) financing activities | 1,155,630,585 | (303,013,139 | ) | (42,320,027 | ) | |||||||
Net increase (decrease) in cash | 578,944,033 | (59,702,749 | ) | 137,688,809 | ||||||||
Cash, beginning of period | 88,315,563 | 148,018,312 | 10,329,503 | |||||||||
Cash, end of period | $ | 667,259,596 | $ | 88,315,563 | $ | 148,018,312 | ||||||
December 31, 2020 | December 31, 2019 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $29,999,585 and $27,528,924, respectively) | $ | 29,999,889 | $ | 27,530,314 | ||||
Cash | 92,972,312 | 7,072,257 | ||||||
Segregated cash balances with brokers for futures contracts | 44,320,410 | 10,546,805 | ||||||
Receivable on open futures contracts | 13,775,851 | 37,024 | ||||||
Interest receivable | 4,326 | 10,591 | ||||||
Total assets | 181,072,788 | 45,196,991 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 11,132,546 | — | ||||||
Payable to Sponsor | 139,455 | 36,786 | ||||||
Non-recurring fees and expenses payable | 416 | — | ||||||
Total liabilities | 11,272,417 | 36,786 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 169,800,371 | 45,160,205 | ||||||
Total liabilities and shareholders’ equity | $ | 181,072,788 | $ | 45,196,991 | ||||
Shares outstanding (Note 1) | 8,087,527 | 537,815 | ||||||
Net asset value per share (Note 1) | $ | 21.00 | $ | 83.97 | ||||
Market value per share (Note 1) (Note 2) | $ | 21.07 | $ | 83.40 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(18% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.085% due 01/07/21 | $ | 30,000,000 | $ | 29,999,889 | ||||
Total short-term U.S. government and agency obligations (cost $29,999,585) | $ | 29,999,889 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas - NYMEX, expires March 2021 | 13,444 | $ | 339,595,440 | $ | 6,500,721 |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(61% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 6,000,000 | $ | 5,998,390 | ||||
1.547% due 01/30/20 | 5,500,000 | 5,493,615 | ||||||
1.514% due 02/06/20 | 7,843,000 | 7,831,600 | ||||||
1.519% due 02/13/20 | 8,221,000 | 8,206,709 | ||||||
Total short-term U.S. government and agency obligations (cost $27,528,924) | $ | 27,530,314 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas - NYMEX, expires March 2020 | 4,185 | $ | 90,312,300 | $ | (2,652,228 | ) |
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 206,527 | $ | 589,183 | $ | 489,924 | ||||||
Expenses | ||||||||||||
Management fee | 674,810 | 297,043 | 305,706 | |||||||||
Brokerage commissions | 377,630 | 129,752 | 87,899 | |||||||||
Brokerage fees | 92,442 | — | — | |||||||||
Non-recurring fees and expenses | 1,545 | — | — | |||||||||
Total expenses | 1,146,427 | 426,795 | 393,605 | |||||||||
Net investment income (loss) | (939,900 | ) | 162,388 | 96,319 | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (53,327,855 | ) | (32,380,194 | ) | 21,092,864 | |||||||
Short-term U.S. government and agency obligations | 1,058 | (24 | ) | (31 | ) | |||||||
Net realized gain (loss) | (53,326,797 | ) | (32,380,218 | ) | 21,092,833 | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 9,152,949 | 7,670,935 | (17,548,973 | ) | ||||||||
Short-term U.S. government and agency obligations | (1,086 | ) | 1,679 | 1,941 | ||||||||
Change in net unrealized appreciation (depreciation) | 9,151,863 | 7,672,614 | (17,547,032 | ) | ||||||||
Net realized and unrealized gain (loss) | (44,174,934 | ) | (24,707,604 | ) | 3,545,801 | |||||||
Net income (loss) | $ | (45,114,834 | ) | $ | (24,545,216 | ) | $ | 3,642,120 | ||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Shareholders’ equity, beginning of period | $ | 45,160,205 | $ | 14,617,440 | $ | 63,268,950 | ||||||
Addition of 16,685,000, 825,000 and 160,000 shares, respectively (Note 1) | 457,281,516 | 115,544,309 | 53,884,378 | |||||||||
Redemption of 9,135,288, 345,000 and 296,028 shares, respectively (Note 1) | (287,526,516 | ) | (60,456,328 | ) | (106,178,008 | ) | ||||||
Net addition (redemption) of 7,549,712, 480,000 and (136,028) shares, respectively (Note 1) | 169,755,000 | 55,087,981 | (52,293,630 | ) | ||||||||
Net investment income (loss) | (939,900 | ) | 162,388 | 96,319 | ||||||||
Net realized gain (loss) | (53,326,797 | ) | (32,380,218 | ) | 21,092,833 | |||||||
Change in net unrealized appreciation (depreciation) | 9,151,863 | 7,672,614 | (17,547,032 | ) | ||||||||
Net income (loss) | (45,114,834 | ) | (24,545,216 | ) | 3,642,120 | |||||||
Shareholders’ equity, end of period | $ | 169,800,371 | $ | 45,160,205 | $ | 14,617,440 | ||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (45,114,834 | ) | $ | (24,545,216 | ) | $ | 3,642,120 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (115,881,108 | ) | (409,196,437 | ) | (1,789,009,201 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 113,563,630 | 390,337,650 | 1,831,997,907 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (152,125 | ) | (289,445 | ) | (405,867 | ) | ||||||
Net realized gain (loss) on investments | (1,058 | ) | 24 | 31 | ||||||||
Change in unrealized appreciation (depreciation) on investments | 1,086 | (1,679 | ) | (1,941 | ) | |||||||
Decrease (Increase) in receivable on futures contracts | (13,738,827 | ) | (37,024 | ) | 1,520,156 | |||||||
Decrease (Increase) in interest receivable | 6,265 | 917 | (11,508 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | 102,669 | 12,673 | (19,992 | ) | ||||||||
Increase (Decrease) in payable on futures contracts | — | (3,309,741 | ) | 3,309,741 | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | 416 | — | — | |||||||||
Net cash provided by (used in) operating activities | (61,213,886 | ) | (47,028,278 | ) | 51,021,446 | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 457,281,516 | 118,073,066 | 51,682,061 | |||||||||
Payment on shares redeemed | (276,393,970 | ) | (60,456,328 | ) | (110,389,802 | ) | ||||||
Net cash provided by (used in) financing activities | 180,887,546 | 57,616,738 | (58,707,741 | ) | ||||||||
Net increase (decrease) in cash | 119,673,660 | 10,588,460 | (7,686,295 | ) | ||||||||
Cash, beginning of period | 17,619,062 | 7,030,602 | 14,716,897 | |||||||||
Cash, end of period | $ | 137,292,722 | $ | 17,619,062 | $ | 7,030,602 | ||||||
December 31, 2020 | December 31, 2019 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ – and $3,970,204, respectively) | $ | — | $ | 3,970,412 | ||||
Cash | 4,045,092 | 1,206,437 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 607,000 | 921,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 89,103 | 109,997 | ||||||
Interest receivable | 162 | 1,496 | ||||||
Total assets | 4,741,357 | 6,209,342 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 3,625 | 4,918 | ||||||
Unrealized depreciation on foreign currency forward contracts | 367 | — | ||||||
Non-recurring fees and expenses payable | 15 | — | ||||||
Total liabilities | 4,007 | 4,918 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 4,737,350 | 6,204,424 | ||||||
Total liabilities and shareholders’ equity | $ | 4,741,357 | $ | 6,209,342 | ||||
Shares outstanding | 300,000 | 450,000 | ||||||
Net asset value per share | $ | 15.79 | $ | 13.79 | ||||
Market value per share (Note 2) | $ | 15.81 | $ | 13.77 | ||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 01/15/21 | 2,210,921 | $ | 2,701,671 | $ | 22,950 | ||||||||||
Euro with UBS AG | 01/15/21 | 5,664,502 | 6,921,830 | 66,153 | ||||||||||||
Total Unrealized Appreciation | | $ | 89,103 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with UBS AG | 01/15/21 | (122,000 | ) | $ | (149,080 | ) | $ | (367 | ) | |||||||
Total Unrealized Depreciation | | $ | (367 | ) | ||||||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(64% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 1,000,000 | $ | 999,732 | ||||
1.547% due 01/30/20 | 1,000,000 | 998,839 | ||||||
1.514% due 02/06/20 | 964,000 | 962,599 | ||||||
1.519% due 02/13/20 | 1,011,000 | 1,009,242 | ||||||
Total short-term U.S. government and agency obligations (cost $3,970,204) | $ | 3,970,412 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 01/10/20 | 5,436,377 | $ | 6,100,637 | $ | 54,679 | ||||||||||
Euro with UBS AG | 01/10/20 | 5,589,416 | 6,272,376 | 55,318 | ||||||||||||
Total Unrealized Appreciation | | $ | 109,997 | |||||||||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 16,819 | $ | 121,071 | $ | 112,904 | ||||||
Expenses | ||||||||||||
Management fee | 44,302 | 62,543 | 82,081 | |||||||||
Non-recurring fees and expenses | 123 | — | — | |||||||||
Total expenses | 44,425 | 62,543 | 82,081 | |||||||||
Net investment income (loss) | (27,606 | ) | 58,528 | 30,823 | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Foreign currency forward contracts | 504,035 | (722,691 | ) | (1,063,823 | ) | |||||||
Short-term U.S. government and agency obligations | — | — | 7 | |||||||||
Net realized gain (loss) | 504,035 | (722,691 | ) | (1,063,816 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Foreign currency forward contracts | (21,261 | ) | 52,059 | (206,214 | ) | |||||||
Short-term U.S. government and agency obligations | (208 | ) | 215 | 353 | ||||||||
Change in net unrealized appreciation (depreciation) | (21,469 | ) | 52,274 | (205,861 | ) | |||||||
Net realized and unrealized gain (loss) | 482,566 | (670,417 | ) | (1,269,677 | ) | |||||||
Net income (loss) | $ | 454,960 | $ | (611,889 | ) | $ | (1,238,854 | ) | ||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Shareholders’ equity, beginning of period | $ | 6,204,424 | $ | 7,544,569 | $ | 9,591,516 | ||||||
Addition of 250,000, 100,000 and 150,000 shares, respectively | 3,616,577 | 1,422,682 | 2,653,492 | |||||||||
Redemption of 400,000, 150,000 and 200,000 shares, respectively | (5,538,611 | ) | (2,150,938 | ) | (3,461,585 | ) | ||||||
Net addition (redemption) of (150,000), (50,000) and (50,000) shares, respectively | (1,922,034 | ) | (728,256 | ) | (808,093 | ) | ||||||
Net investment income (loss) | (27,606 | ) | 58,528 | 30,823 | ||||||||
Net realized gain (loss) | 504,035 | (722,691 | ) | (1,063,816 | ) | |||||||
Change in net unrealized appreciation (depreciation) | (21,469 | ) | 52,274 | (205,861 | ) | |||||||
Net income (loss) | 454,960 | (611,889 | ) | (1,238,854 | ) | |||||||
Shareholders’ equity, end of period | $ | 4,737,350 | $ | 6,204,424 | $ | 7,544,569 | ||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 454,960 | $ | (611,889 | ) | $ | (1,238,854 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (1,395,795 | ) | (69,587,460 | ) | (444,810,526 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 5,375,000 | 67,150,000 | 450,399,612 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (9,001 | ) | (36,079 | ) | (89,149 | ) | ||||||
Net realized gain (loss) on investments | — | — | (7 | ) | ||||||||
Change in unrealized appreciation (depreciation) on investments | 21,469 | (52,274 | ) | 205,861 | ||||||||
Decrease (Increase) in interest receivable | 1,334 | 5,222 | (6,718 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | (1,293 | ) | (1,097 | ) | (1,283 | ) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | 15 | — | — | |||||||||
Net cash provided by (used in) operating activities | 4,446,689 | (3,133,577 | ) | 4,458,936 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 3,616,577 | 1,422,682 | 2,653,492 | |||||||||
Payment on shares redeemed | (5,538,611 | ) | (2,150,938 | ) | (3,461,585 | ) | ||||||
Net cash provided by (used in) financing activities | (1,922,034 | ) | (728,256 | ) | (808,093 | ) | ||||||
Net increase (decrease) in cash | 2,524,655 | (3,861,833 | ) | 3,650,843 | ||||||||
Cash, beginning of period | 2,127,437 | 5,989,270 | 2,338,427 | |||||||||
Cash, end of period | $ | 4,652,092 | $ | 2,127,437 | $ | 5,989,270 | ||||||
December 31, 2020 | December 31, 2019 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $74,998,283 and $66,174,584, respectively) | $ | 74,999,467 | $ | 66,177,998 | ||||
Cash | 164,381,859 | 36,455,823 | ||||||
Segregated cash balances with brokers for futures contracts | 11,581,250 | 2,070,900 | ||||||
Segregated cash balances with brokers for swap agreements | 7,489,000 | — | ||||||
Unrealized appreciation on swap agreements | 5,140,980 | 5,890,260 | ||||||
Receivable on open futures contracts | 148,784 | 170,073 | ||||||
Interest receivable | 6,531 | 45,921 | ||||||
Total assets | 263,747,871 | 110,810,975 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 206,394 | 84,943 | ||||||
Non-recurring fees and expenses payable | 1,004 | — | ||||||
Total liabilities | 207,398 | 84,943 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 263,540,473 | 110,726,032 | ||||||
Total liabilities and shareholders’ equity | $ | 263,747,871 | $ | 110,810,975 | ||||
Shares outstanding | 3,900,000 | 2,250,000 | ||||||
Net asset value per share | $ | 67.57 | $ | 49.21 | ||||
Market value per share (Note 2) | $ | 68.20 | $ | 49.05 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(28% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.091% due 01/07/21 † | $ | 50,000,000 | $ | 49,999,815 | ||||
0.110% due 01/14/21 † | 25,000,000 | 24,999,652 | ||||||
Total short-term U.S. government and agency obligations (cost $74,998,283) | $ | 74,999,467 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires February 2021 | 995 | $ | 188,562,450 | $ | 2,646,874 |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures—COMEX, expires February 2021 | 995 | $ | 188,562,450 | $ | 2,646,874 |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 01/06/21 | $ | 116,501,753 | $ | 1,770,050 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 01/06/21 | 100,676,400 | 1,529,612 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 01/06/21 | 121,192,569 | 1,841,318 | ||||||||||||
Total Unrealized Appreciation | $ | 5,140,980 | ||||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of December 31, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 92,581 | $ | 594,847 | $ | 1,798,692 | ||||||
Expenses | ||||||||||||
Management fee | 2,262,422 | 1,916,092 | 884,410 | |||||||||
Brokerage commissions | 41,241 | 39,462 | 11,345 | |||||||||
Futures account fees | 77,793 | 59,069 | — | |||||||||
Non-recurring fees and expenses | — | 4,754 | — | |||||||||
Total expenses | 2,381,456 | 2,019,377 | 895,755 | |||||||||
Net investment income (loss) | (2,288,875 | ) | (1,424,530 | ) | 902,937 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (12,433,003 | ) | 4,738,126 | 2,697,508 | ||||||||
Swap agreements | (18,911,561 | ) | 30,713,920 | 12,099,826 | ||||||||
Forward agreements | — | — | 4,790,603 | |||||||||
Short-term U.S. government and agency obligations | 20,618 | — | 402 | |||||||||
Net realized gain (loss) | (31,323,946 | ) | 35,452,046 | 19,588,339 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (1,991,980 | ) | 398,360 | 2,175,844 | ||||||||
Swap agreements | 3,498,208 | (749,280 | ) | 5,890,260 | ||||||||
Forward agreements | — | — | (4,253,301 | ) | ||||||||
Short-term U.S. government and agency obligations | (9,032 | ) | (2,230 | ) | 2,887 | |||||||
Change in net unrealized appreciation (depreciation) | 1,497,196 | (353,150 | ) | 3,815,690 | ||||||||
Net realized and unrealized gain (loss) | (29,826,750 | ) | 35,098,896 | 23,404,029 | ||||||||
Net income (loss) | $ | (32,115,625 | ) | $ | 33,674,366 | $ | 24,306,966 | |||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 263,540,473 | $ | 110,726,032 | $ | 83,523,294 | ||||||
Addition of 1,350,000, 3,500,000 and 900,000 shares, respectively | 80,907,462 | 227,961,338 | 38,466,355 | |||||||||
Redemption of 1,350,000, 1,850,000 and 900,000 shares, respectively | (79,551,776 | ) | (108,821,263 | ) | (35,570,583 | ) | ||||||
Net addition (redemption) of 0, 1,650,000 and 0 shares, respectively | 1,355,686 | 119,140,075 | 2,895,772 | |||||||||
Net investment income (loss) | (2,288,875 | ) | (1,424,530 | ) | 902,937 | |||||||
Net realized gain (loss) | (31,323,946 | ) | 35,452,046 | 19,588,339 | ||||||||
Change in net unrealized appreciation (depreciation) | 1,497,196 | (353,150 | ) | 3,815,690 | ||||||||
Net income (loss) | (32,115,625 | ) | 33,674,366 | 24,306,966 | ||||||||
Shareholders’ equity, end of period | $ | 232,780,534 | $ | 263,540,473 | $ | 110,726,032 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (32,115,625 | ) | $ | 33,674,366 | $ | 24,306,966 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (630,901,758 | ) | (491,677,717 | ) | (909,144,427 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 498,020,144 | 483,257,000 | 886,380,072 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (63,653 | ) | (402,982 | ) | (1,468,620 | ) | ||||||
Net realized (gain) loss on investments | (20,618 | ) | — | (402 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments | (3,489,176 | ) | 751,510 | (1,639,846 | ) | |||||||
Decrease (Increase) in receivable on open futures contracts | (795,860 | ) | 21,289 | (170,073 | ) | |||||||
Decrease (Increase) in interest receivable | 5,841 | 39,390 | (30,618 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | (28,038 | ) | 121,451 | 20,500 | ||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 4,034 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | — | — | (7,990 | ) | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | (1,004 | ) | 1,004 | — | ||||||||
Net cash provided by (used in) operating activities | (169,385,713 | ) | 25,785,311 | (1,754,438 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 80,907,462 | 227,961,338 | 38,466,355 | |||||||||
Payment on shares redeemed | (79,551,776 | ) | (108,821,263 | ) | (39,283,237 | ) | ||||||
Net cash provided by (used in) financing activities | 1,355,686 | 119,140,075 | (816,882 | ) | ||||||||
Net increase (decrease) in cash | (168,030,027 | ) | 144,925,386 | (2,571,320 | ) | |||||||
Cash, beginning of period | 183,452,109 | 38,526,723 | 41,098,043 | |||||||||
Cash, end of period | $ | 15,422,082 | $ | 183,452,109 | $ | 38,526,723 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $451,896,236 and $244,987,251, respectively) | $ | 451,872,982 | $ | 244,993,989 | ||||
Cash | 10,985,565 | 301,951,458 | ||||||
Segregated cash balances with brokers for futures contracts | 14,502,938 | 66,062,502 | ||||||
Segregated cash balances with brokers for swap agreements | — | 78,388,000 | ||||||
Unrealized appreciation on swap agreements | 40,591,699 | 56,752,666 | ||||||
Receivable on open futures contracts | 1,384,919 | — | ||||||
Interest receivable | 1,582 | 10,698 | ||||||
Total assets | 519,339,685 | 748,159,313 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 3,483,770 | — | ||||||
Payable on open futures contracts | — | 2,312,939 | ||||||
Brokerage commissions and futures account fees payable | 9,833 | — | ||||||
Payable to Sponsor | 392,488 | 539,986 | ||||||
Non-recurring fees and expenses payable | — | 2,360 | ||||||
Total liabilities | 3,886,091 | 2,855,285 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 515,453,594 | 745,304,028 | ||||||
Total liabilities and shareholders’ equity | $ | 519,339,685 | $ | 748,159,313 | ||||
Shares outstanding | 14,796,526 | 14,696,526 | ||||||
Net asset value per share | $ | 34.84 | $ | 50.71 | ||||
Market value per share (Note 2) | $ | 34.74 | $ | 51.28 | ||||
Principal Amount | �� | Value | ||||||
Short-term U.S. government and agency obligations | ||||||||
(60% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 † | $ | 14,000,000 | $ | 13,996,244 | ||||
1.547% due 01/30/20 † | 19,000,000 | 18,977,940 | ||||||
1.514% due 02/06/20 | 16,237,000 | 16,213,400 | ||||||
1.519% due 02/13/20 | 17,020,000 | 16,990,414 | ||||||
Total short-term U.S. government and agency obligations (cost $66,174,584) | $ | 66,177,998 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(88% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.041% due 01/20/22 † | $ | 115,000,000 | $ | 114,997,827 | ||||
0.042% due 02/17/22 † | 159,000,000 | 158,990,062 | ||||||
0.044% due 03/17/22 † | 135,000,000 | 134,984,948 | ||||||
0.223% due 11/03/22 | 43,000,000 | 42,900,145 | ||||||
Total short-term U.S. government and agency obligations (cost $451,896,236) | $ | 451,872,982 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires February 2020 | 438 | $ | 66,711,780 | $ | 2,248,514 |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures—COMEX, expires March 2022 | 1,345 | $ | 157,042,200 | $ | 2,506,545 |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 01/06/20 | $ | 60,437,683 | $ | 2,300,665 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 01/06/20 | 44,172,192 | 1,681,492 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 01/06/20 | 50,125,199 | 1,908,103 | ||||||||||||
Total Unrealized Appreciation | | $ | 5,890,260 | |||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 01/06/22 | $ | 232,088,114 | $ | 10,785,304 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 01/06/22 | 232,177,948 | 10,781,897 | ||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 01/06/22 | 216,331,853 | 10,046,034 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 01/06/22 | 193,206,858 | 8,978,464 | ||||||||||||
Total Unrealized Appreciation | $ | 40,591,699 | ||||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of December 31, |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 594,847 | $ | 1,798,692 | $ | 1,437,347 | ||||||
Expenses | ||||||||||||
Management fee | 1,916,092 | 884,410 | 811,581 | |||||||||
Brokerage commissions | 39,462 | 11,345 | 135 | |||||||||
Brokerage fees | 59,069 | — | — | |||||||||
Non-recurring fees and expenses | 4,754 | — | — | |||||||||
Total expenses | 2,019,377 | 895,755 | 811,716 | |||||||||
Net investment income (loss) | (1,424,530 | ) | 902,937 | 625,631 | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 4,738,126 | 2,697,508 | (21,640 | ) | ||||||||
Swap agreements | 30,713,920 | 12,099,826 | — | |||||||||
Forward agreements | — | 4,790,603 | (7,323,366 | ) | ||||||||
Short-term U.S. government and agency obligations | — | 402 | (172 | ) | ||||||||
Net realized gain (loss) | 35,452,046 | 19,588,339 | (7,345,178 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 398,360 | 2,175,844 | 67,190 | |||||||||
Swap agreements | (749,280 | ) | 5,890,260 | — | ||||||||
Forward agreements | — | (4,253,301 | ) | 606,946 | ||||||||
Short-term U.S. government and agency obligations | (2,230 | ) | 2,887 | 6,050 | ||||||||
Change in net unrealized appreciation (depreciation) | (353,150 | ) | 3,815,690 | 680,186 | ||||||||
Net realized and unrealized gain (loss) | 35,098,896 | 23,404,029 | (6,664,992 | ) | ||||||||
Net income (loss) | $ | 33,674,366 | $ | 24,306,966 | $ | (6,039,361 | ) | |||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Shareholders’ equity, beginning of period | $ | 110,726,032 | $ | 83,523,294 | $ | 93,708,748 | ||||||
Addition of 3,500,000, 900,000 and 550,000 shares, respectively | 227,961,338 | 38,466,355 | 20,994,687 | |||||||||
Redemption of 1,850,000, 900,000 and 650,000 shares, respectively | (108,821,263 | ) | (35,570,583 | ) | (25,140,780 | ) | ||||||
Net addition (redemption) of 1,650,000, 0 and (100,000) shares, respectively | 119,140,075 | 2,895,772 | (4,146,093 | ) | ||||||||
Net investment income (loss) | (1,424,530 | ) | 902,937 | 625,631 | ||||||||
Net realized gain (loss) | 35,452,046 | 19,588,339 | (7,345,178 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (353,150 | ) | 3,815,690 | 680,186 | ||||||||
Net income (loss) | 33,674,366 | 24,306,966 | (6,039,361 | ) | ||||||||
Shareholders’ equity, end of period | $ | 263,540,473 | $ | 110,726,032 | $ | 83,523,294 | ||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 33,674,366 | $ | 24,306,966 | $ | (6,039,361 | ) | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (491,677,717 | ) | (909,144,427 | ) | (4,562,780,642 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 483,257,000 | 886,380,072 | 4,611,119,917 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (402,982 | ) | (1,468,620 | ) | (1,390,287 | ) | ||||||
Net realized gain (loss) on investments | — | (402 | ) | 172 | ||||||||
Change in unrealized appreciation (depreciation) on investments | 751,510 | (1,639,846 | ) | (612,996 | ) | |||||||
Decrease (Increase) in receivable on futures contracts | 21,289 | (170,073 | ) | 2,420 | ||||||||
Decrease (Increase) in interest receivable | 39,390 | (30,618 | ) | (15,303 | ) | |||||||
Increase (Decrease) in payable to Sponsor | 121,451 | 20,500 | (6,331 | ) | ||||||||
Increase (Decrease) in payable on futures contracts | — | (7,990 | ) | 7,990 | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | 1,004 | — | — | |||||||||
Net cash provided by (used in) operating activities | 25,785,311 | (1,754,438 | ) | 40,285,579 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 227,961,338 | 38,466,355 | 20,994,687 | |||||||||
Payment on shares redeemed | (108,821,263 | ) | (39,283,237 | ) | (21,428,126 | ) | ||||||
Net cash provided by (used in) financing activities | 119,140,075 | (816,882 | ) | (433,439 | ) | |||||||
Net increase (decrease) in cash | 144,925,386 | (2,571,320 | ) | 39,852,140 | ||||||||
Cash, beginning of period | 38,526,723 | 41,098,043 | 1,245,903 | |||||||||
Cash, end of period | $ | 183,452,109 | $ | 38,526,723 | $ | 41,098,043 | ||||||
December 31, 2020 | December 31, 2019 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $244,987,251 and $135,537,081, respectively) | $ | 244,993,989 | $ | 135,544,101 | ||||
Cash | 301,951,458 | 71,876,942 | ||||||
Segregated cash balances with brokers for futures contracts | 66,062,502 | 7,181,720 | ||||||
Segregated cash balances with brokers for swap agreements | 78,388,000 | — | ||||||
Unrealized appreciation on swap agreements | 56,752,666 | 25,135,898 | ||||||
Interest receivable | 10,698 | 91,720 | ||||||
Total assets | 748,159,313 | 239,830,381 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 2,312,939 | 398,936 | ||||||
Payable to Sponsor | 539,986 | 176,603 | ||||||
Non-recurring fees and expenses payable | 2,360 | — | ||||||
Total liabilities | 2,855,285 | 575,539 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 745,304,028 | 239,254,842 | ||||||
Total liabilities and shareholders’ equity | $ | 748,159,313 | $ | 239,830,381 | ||||
Shares outstanding | 14,696,526 | 7,546,526 | ||||||
Net asset value per share | $ | 50.71 | $ | 31.70 | ||||
Market value per share (Note 2) | $ | 51.28 | $ | 31.65 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(33% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.094% due 01/07/21 † | $ | 95,000,000 | $ | 94,999,649 | ||||
0.110% due 01/14/21 † | 50,000,000 | 49,999,305 | ||||||
0.113% due 01/28/21 † | 50,000,000 | 49,997,835 | ||||||
0.112% due 02/04/21 † | 50,000,000 | 49,997,200 | ||||||
Total short-term U.S. government and agency obligations (cost $244,987,251) | $ | 244,993,989 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires March 2021 | 3,971 | $ | 524,410,259 | $ | 37,190,212 |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures—COMEX, expires March 2021 | 3,971 | $ | 524,410,259 | $ | 37,190,212 |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 01/06/21 | $ | 294,747,134 | $ | 18,010,776 | 0.25 | % | 01/06/21 | $ | 294,747,134 | $ | 18,010,776 | ||||||||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 01/06/21 | 211,716,341 | 12,930,574 | 0.30 | 01/06/21 | 211,716,341 | 12,930,574 | ||||||||||||||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 01/06/21 | 239,421,584 | 12,353,706 | 0.30 | 01/06/21 | 239,421,584 | 12,353,706 | ||||||||||||||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 01/06/21 | 220,234,368 | 13,457,610 | 0.25 | 01/06/21 | 220,234,368 | 13,457,610 | ||||||||||||||||||||||||
Total Unrealized Appreciation | $ | 56,752,666 | Total Unrealized Appreciation | �� | $ | 56,752,666 | ||||||||||||||||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of December 31, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 261,655 | $ | 1,134,396 | $ | 3,823,565 | ||||||
Expenses | ||||||||||||
Management fee | 5,912,386 | 3,944,697 | 1,928,478 | |||||||||
Brokerage commissions | 145,545 | 141,650 | 38,814 | |||||||||
Futures account fees | 296,749 | 215,791 | 3 | |||||||||
Non-recurring fees and expenses | — | 6,303 | — | |||||||||
Total expenses | 6,354,680 | 4,308,441 | 1,967,295 | |||||||||
Net investment income (loss) | (6,093,025 | ) | (3,174,045 | ) | 1,856,270 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (37,880,546 | ) | 60,388,914 | 2,780,204 | ||||||||
Swap agreements | (134,594,684 | ) | 86,825,518 | (779,534 | ) | |||||||
Forward agreements | — | — | 32,366,374 | |||||||||
Short-term U.S. government and agency obligations | 27,351 | 1,039 | 7,099 | |||||||||
Net realized gain (loss) | (172,447,879 | ) | 147,215,471 | 34,374,143 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (34,683,667 | ) | 31,465,663 | 5,383,813 | ||||||||
Swap agreements | (16,160,967 | ) | 31,616,768 | 25,135,898 | ||||||||
Forward agreements | — | — | (26,301,717 | ) | ||||||||
Short-term U.S. government and agency obligations | (29,992 | ) | (282 | ) | 5,107 | |||||||
Change in net unrealized appreciation (depreciation) | (50,874,626 | ) | 63,082,149 | 4,223,101 | ||||||||
Net realized and unrealized gain (loss) | (223,322,505 | ) | 210,297,620 | 38,597,244 | ||||||||
Net income (loss) | $ | (229,415,530 | ) | $ | 207,123,575 | $ | 40,453,514 | |||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 745,304,028 | $ | 239,254,842 | $ | 201,824,376 | ||||||
Addition of 4,500,000, 13,500,000 and 2,300,000 shares, respectively | 206,892,549 | 582,867,657 | 62,741,459 | |||||||||
Redemption of 4,400,000, 6,350,000 and 2,400,000 shares, respectively | (207,327,453 | ) | (283,942,046 | ) | (65,764,507 | ) | ||||||
Net addition (redemption) of 100,000, 7,150,000 and (100,000) shares, respectively | (434,904 | ) | 298,925,611 | (3,023,048 | ) | |||||||
Net investment income (loss) | (6,093,025 | ) | (3,174,045 | ) | 1,856,270 | |||||||
Net realized gain (loss) | (172,447,879 | ) | 147,215,471 | 34,374,143 | ||||||||
Change in net unrealized appreciation (depreciation) | (50,874,626 | ) | 63,082,149 | 4,223,101 | ||||||||
Net income (loss) | (229,415,530 | ) | 207,123,575 | 40,453,514 | ||||||||
Shareholders’ equity, end of period | $ | 515,453,594 | $ | 745,304,028 | $ | 239,254,842 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (229,415,530 | ) | $ | 207,123,575 | $ | 40,453,514 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (1,706,698,844 | ) | (874,359,829 | ) | (1,737,254,759 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,500,025,772 | 765,701,010 | 1,728,644,437 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (208,562 | ) | (790,312 | ) | (3,125,767 | ) | ||||||
Net realized (gain) loss on investments | (27,351 | ) | (1,039 | ) | (7,099 | ) | ||||||
Change in unrealized (appreciation) depreciation on investments | 16,190,959 | (31,616,486 | ) | 1,160,712 | ||||||||
Decrease (Increase) in receivable on open futures contracts | (1,384,919 | ) | — | — | ||||||||
Decrease (Increase) in interest receivable | 9,116 | 81,022 | (75,414 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | (147,498 | ) | 363,383 | 26,984 | ||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 9,833 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | (2,312,939 | ) | 1,914,003 | 351,360 | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | (2,360 | ) | 2,360 | — | ||||||||
Net cash provided by (used in) operating activities | (423,962,323 | ) | 68,417,687 | 30,173,968 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 206,892,549 | 582,867,657 | 62,741,459 | |||||||||
Payment on shares redeemed | (203,843,683 | ) | (283,942,046 | ) | (65,764,507 | ) | ||||||
Net cash provided by (used in) financing activities | 3,048,866 | 298,925,611 | (3,023,048 | ) | ||||||||
Net increase (decrease) in cash | (420,913,457 | ) | 367,343,298 | 27,150,920 | ||||||||
Cash, beginning of period | 446,401,960 | 79,058,662 | 51,907,742 | |||||||||
Cash, end of period | $ | 25,488,503 | $ | 446,401,960 | $ | 79,058,662 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $221,725,609 and $244,990,791, respectively) | $ | 221,660,593 | $ | 244,995,969 | ||||
Cash | 108,688,034 | 181,991,996 | ||||||
Segregated cash balances with brokers for futures contracts | 463,432,845 | 879,704,000 | ||||||
Segregated cash balances with brokers for swap agreements | — | 7,976,000 | ||||||
Receivable from capital shares sold | — | 49,086,388 | ||||||
Receivable on open futures contracts | 33,597,688 | 16,422,512 | ||||||
Interest receivable | 5,060 | 7,054 | ||||||
Total assets | 827,384,220 | 1,380,183,919 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 9,447,456 | 22,424,475 | ||||||
Brokerage commissions and futures account fees payable | 167,855 | 485,039 | ||||||
Payable to Sponsor | 611,836 | 1,040,582 | ||||||
Unrealized depreciation on swap agreements | 477,437 | 24,807 | ||||||
Non-recurring fees and expenses payable | — | 4,817 | ||||||
Total liabilities | 10,704,584 | 23,979,720 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 816,679,636 | 1,356,204,199 | ||||||
Total liabilities and shareholders’ equity | $ | 827,384,220 | $ | 1,380,183,919 | ||||
Shares outstanding (Note 1) | 65,828,420 | 12,713,091 | ||||||
Net asset value per share (Note 1) | $ | 12.41 | $ | 106.68 | ||||
Market value per share (Note 1)(Note 2) | $ | 12.43 | $ | 106.50 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(57% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 † | $ | 29,000,000 | $ | 28,992,219 | ||||
1.547% due 01/30/20 † | 40,000,000 | 39,953,560 | ||||||
1.514% due 02/06/20 | 32,568,000 | 32,520,662 | ||||||
1.519% due 02/13/20 | 34,137,000 | 34,077,660 | ||||||
Total short-term U.S. government and agency obligations (cost $135,537,081) | $ | 135,544,101 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(27% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.046% due 01/20/22 | $ | 25,000,000 | $ | 24,999,527 | ||||
0.053% due 02/17/22 † | 28,000,000 | 27,998,250 | ||||||
0.051% due 03/17/22 | 25,000,000 | 24,997,213 | ||||||
0.223% due 11/03/22 | 144,000,000 | 143,665,603 | ||||||
Total short-term U.S. government and agency obligations (cost $221,725,609) | $ | 221,660,593 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires March 2020 | 1,316 | $ | 117,920,180 | $ | 5,724,549 |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires January 2022 | 34,949 | $ | 687,604,101 | $ | (112,392,632 | ) | ||||||
VIX Futures—Cboe, expires February 2022 | 22,236 | 488,536,038 | (13,964,125 | ) | ||||||||
$ | (126,356,757 | ) | ||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 01/06/20 | $ | 152,640,569 | $ | 10,329,244 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 01/06/20 | 83,225,484 | 5,925,755 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 01/06/20 | 124,680,616 | 8,880,899 | ||||||||||||
Total Unrealized Appreciation | $ | 25,135,898 | ||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | 0.98 | % | 01/31/22 | $ | 48,872,875 | $ | (477,437 | ) | ||||||||
Total Unrealized Depreciation | $ | (477,437 | ) | |||||||||||||
† | All or partial amount pledged as collateral for swap |
^ | The positions and counterparties herein are as of December 31, |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of December 31, |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 1,134,396 | $ | 3,823,565 | $ | 3,490,072 | ||||||
Expenses | ||||||||||||
Management fee | 3,944,697 | 1,928,478 | 2,020,586 | |||||||||
Brokerage commissions | 141,650 | 38,814 | 307 | |||||||||
Brokerage fees | 215,791 | 3 | — | |||||||||
Non-recurring fees and expenses | 6,303 | — | — | |||||||||
Total expenses | 4,308,441 | 1,967,295 | 2,020,893 | |||||||||
Net investment income (loss) | (3,174,045 | ) | 1,856,270 | 1,469,179 | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 60,388,914 | 2,780,204 | (32,131 | ) | ||||||||
Swap agreements | 86,825,518 | (779,534 | ) | — | ||||||||
Forward agreements | — | 32,366,374 | (57,456,395 | ) | ||||||||
Short-term U.S. government and agency obligations | 1,039 | 7,099 | (1,203 | ) | ||||||||
Net realized gain (loss) | 147,215,471 | 34,374,143 | (57,489,729 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 31,465,663 | 5,383,813 | 339,136 | |||||||||
Swap agreements | 31,616,768 | 25,135,898 | — | |||||||||
Forward agreements | — | (26,301,717 | ) | 4,566,383 | ||||||||
Short-term U.S. government and agency obligations | (282 | ) | 5,107 | 25,666 | ||||||||
Change in net unrealized appreciation (depreciation) | 63,082,149 | 4,223,101 | 4,931,185 | |||||||||
Net realized and unrealized gain (loss) | 210,297,620 | 38,597,244 | (52,558,544 | ) | ||||||||
Net income (loss) | $ | 207,123,575 | $ | 40,453,514 | $ | (51,089,365 | ) | |||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Shareholders’ equity, beginning of period | $ | 239,254,842 | $ | 201,824,376 | $ | 258,244,696 | ||||||
Addition of 13,500,000, 2,300,000 and 2,100,000 shares, respectively | 582,867,657 | 62,741,459 | 56,650,169 | |||||||||
Redemption of 6,350,000, 2,400,000 and 2,150,000 shares, respectively | (283,942,046 | ) | (65,764,507 | ) | (61,981,124 | ) | ||||||
Net addition (redemption) of 7,150,000, (100,000) and (50,000) shares, respectively | 298,925,611 | (3,023,048 | ) | (5,330,955 | ) | |||||||
Net investment income (loss) | (3,174,045 | ) | 1,856,270 | 1,469,179 | ||||||||
Net realized gain (loss) | 147,215,471 | 34,374,143 | (57,489,729 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 63,082,149 | 4,223,101 | 4,931,185 | |||||||||
Net income (loss) | 207,123,575 | 40,453,514 | (51,089,365 | ) | ||||||||
Shareholders’ equity, end of period | $ | 745,304,028 | $ | 239,254,842 | $ | 201,824,376 | ||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 207,123,575 | $ | 40,453,514 | $ | (51,089,365 | ) | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (874,359,829 | ) | (1,737,254,759 | ) | (7,425,415,370 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 765,701,010 | 1,728,644,437 | 7,540,649,737 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (790,312 | ) | (3,125,767 | ) | (3,423,994 | ) | ||||||
Net realized g a in (loss) on investments | (1,039 | ) | (7,099 | ) | 1,203 | |||||||
Change in unrealized appreciation (depreciation) on investments | (31,616,486 | ) | 1,160,712 | (4,592,049 | ) | |||||||
Decrease (Increase) in receivable on futures contracts | — | — | 2,220 | |||||||||
Decrease (Increase) in interest receivable | 81,022 | (75,414 | ) | (16,306 | ) | |||||||
Increase (Decrease) in payable to Sponsor | 363,383 | 26,984 | (37,038 | ) | ||||||||
Increase (Decrease) in payable on futures contracts | 1,914,003 | 351,360 | 47,576 | |||||||||
Increase (Decrease) in non-recurring fees and expenses payable | 2,360 | — | — | |||||||||
Net cash provided by (used in) operating activities | 68,417,687 | 30,173,968 | 56,126,614 | |||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 582,867,657 | 62,741,459 | 56,650,169 | |||||||||
Payment on shares redeemed | (283,942,046 | ) | (65,764,507 | ) | (65,335,975 | ) | ||||||
Net cash provided by (used in) financing activities | 298,925,611 | (3,023,048 | ) | (8,685,806 | ) | |||||||
Net increase (decrease) in cash | 367,343,298 | 27,150,920 | 47,440,808 | |||||||||
Cash, beginning of period | 79,058,662 | 51,907,742 | 4,466,934 | |||||||||
Cash, end of period | $ | 446,401,960 | $ | 79,058,662 | $ | 51,907,742 | ||||||
December 31, 2020 | December 31, 2019 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $244,990,791 and $179,736,532, respectively) | $ | 244,995,969 | $ | 179,749,262 | ||||
Cash | 181,991,996 | 179,318,928 | ||||||
Segregated cash balances with brokers for futures contracts | 879,704,000 | 175,258,401 | ||||||
Segregated cash balances with brokers for swap agreements | 7,976,000 | 6,984,000 | ||||||
Receivable from capital shares sold | 49,086,388 | 87,500 | ||||||
Receivable on open futures contracts | 16,422,512 | 20,666,579 | ||||||
Interest receivable | 7,054 | 212,666 | ||||||
Total assets | 1,380,183,919 | 562,277,336 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 22,424,475 | 34,019,820 | ||||||
Brokerage commissions and fees payable | 485,039 | — | ||||||
Payable to Sponsor | 1,040,582 | 411,729 | ||||||
Unrealized depreciation on swap agreements | 24,807 | 209,784 | ||||||
Non-recurring fees and expenses payable | 4,817 | — | ||||||
Total liabilities | 23,979,720 | 34,641,333 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 1,356,204,199 | 527,636,003 | ||||||
Total liabilities and shareholders’ equity | $ | 1,380,183,919 | $ | 562,277,336 | ||||
Shares outstanding | 127,130,912 | 41,630,912 | ||||||
Net asset value per share | $ | 10.67 | $ | 12.67 | ||||
Market value per share (Note 2) | $ | 10.65 | $ | 12.89 | ||||
Principal Amount | Value | Principal Amount | Value | |||||||||||||
Short-term U.S. government and agency obligations | ||||||||||||||||
(18% of shareholders’ equity) | ||||||||||||||||
U.S. Treasury Bills ^^ : | ||||||||||||||||
0.088% due 01/07/21 | $ | 145,000,000 | $ | 144,999,464 | $ | 145,000,000 | $ | 144,999,464 | ||||||||
0.110% due 01/14/21† | 50,000,000 | 49,999,305 | ||||||||||||||
0.110% due 01/14/21 † | 50,000,000 | 49,999,305 | ||||||||||||||
0.112% due 02/04/21 | 50,000,000 | 49,997,200 | 50,000,000 | 49,997,200 | ||||||||||||
Total short-term U.S. government and agency obligations (cost $244,990,791) | $ | 244,995,969 | $ | 244,995,969 | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires January 2021 | 40,738 | $ | 964,472,150 | $ | (31,701,350 | ) | ||||||
VIX Futures - Cboe, expires February 2021 | 40,764 | 1,042,539,300 | (16,823,316 | ) | ||||||||
$ | (48,524,666 | ) | ||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires January 2021 | 40,738 | $ | 964,472,150 | $ | (31,701,350 | ) | ||||||
VIX Futures—Cboe, expires February 2021 | 40,764 | 1,042,539,300 | (16,823,316 | ) | ||||||||
$ | (48,524,666 | ) | ||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | 1.00 | % | 01/27/21 | $ | 25,901,097 | $ | (24,807 | ) | ||||||||
Total Unrealized Depreciation | $ | (24,807 | ) | |||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | 1.00 | % | 01/27/21 | $ | 25,901,097 | $ | (24,807 | ) | ||||||||
Total Unrealized Depreciation | | $ | (24,807 | ) | ||||||||||||
† | All or partial amount pledged as collateral for futures contracts. |
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of December 31, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(34% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.547% due 01/30/20 † | $ | 83,000,000 | $ | 82,903,637 | ||||
1.462% due 02/06/20 † | 50,000,000 | 49,927,325 | ||||||
1.618% due 02/13/20 † | 47,000,000 | 46,918,300 | ||||||
Total short-term U.S. government and agency obligations (cost $179,736,532) | $ | 179,749,262 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires January 2020 | 29,402 | $ | 430,004,250 | $ | (44,377,309 | ) | ||||||
VIX Futures - Cboe, expires February 2020 | 20,358 | 338,451,750 | (2,019,472 | ) | ||||||||
$ | (46,396,781 | ) | ||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | 2.61 | % | 01/29/20 | $ | 23,078,793 | $ | (209,784 | ) | ||||||||
Total Unrealized Depreciation | $ | (209,784 | ) | |||||||||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 249,487 | $ | 1,707,491 | $ | 7,903,309 | ||||||
Expenses | ||||||||||||
Management fee | 11,128,589 | 8,835,385 | 4,819,171 | |||||||||
Brokerage commissions | 5,427,481 | 3,620,606 | 2,936,813 | |||||||||
Futures account fees | 3,850,402 | 2,860,084 | 24,765 | |||||||||
Non-recurring fees and expenses | — | 15,297 | 27,508 | |||||||||
Total expenses | 20,406,472 | 15,331,372 | 7,808,257 | |||||||||
Net investment income (loss) | (20,156,985 | ) | (13,623,881 | ) | 95,052 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (1,860,561,641 | ) | (634,239,605 | ) | (561,156,010 | ) | ||||||
Swap agreements | (122,952,954 | ) | 1,997,567 | (51,702,622 | ) | |||||||
Short-term U.S. government and agency obligations | 99,746 | — | 18,591 | |||||||||
Net realized gain (loss) | (1,983,414,849 | ) | (632,242,038 | ) | (612,840,041 | ) | ||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (77,832,091 | ) | (2,127,885 | ) | (78,900,746 | ) | ||||||
Swap agreements | (452,630 | ) | 184,977 | 1,121,165 | ||||||||
Short-term U.S. government and agency obligations | (70,194 | ) | (7,552 | ) | 12,730 | |||||||
Change in net unrealized appreciation (depreciation) | (78,354,915 | ) | (1,950,460 | ) | (77,766,851 | ) | ||||||
Net realized and unrealized gain (loss) | (2,061,769,764 | ) | (634,192,498 | ) | (690,606,892 | ) | ||||||
Net income (loss) | $ | (2,081,926,749 | ) | $ | (647,816,379 | ) | $ | (690,511,840 | ) | |||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 1,707,491 | $ | 7,903,309 | $ | 3,853,146 | ||||||
Expenses | ||||||||||||
Management fee | 8,835,385 | 4,819,171 | 3,966,185 | |||||||||
Brokerage commissions | 3,620,606 | 2,936,813 | 3,032,632 | |||||||||
Brokerage fees | 2,860,084 | 24,765 | — | |||||||||
Non-recurring fees and expenses | 15,297 | 27,508 | — | |||||||||
Total expenses | 15,331,372 | 7,808,257 | 6,998,817 | |||||||||
Net investment income (loss) | (13,623,881 | ) | 95,052 | (3,145,671 | ) | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (634,239,605 | ) | (561,156,010 | ) | 379,449,269 | |||||||
Swap agreements | 1,997,567 | (51,702,622 | ) | 10,551,473 | ||||||||
Short-term U.S. government and agency obligations | — | 18,591 | (7,731 | ) | ||||||||
Net realized gain (loss) | (632,242,038 | ) | (612,840,041 | ) | 389,993,011 | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (2,127,885 | ) | (78,900,746 | ) | 66,970,085 | |||||||
Swap agreements | 184,977 | 1,121,165 | (1,330,949 | ) | ||||||||
Short-term U.S. government and agency obligations | (7,552 | ) | 12,730 | 13,265 | ||||||||
Change in net unrealized appreciation (depreciation) | (1,950,460 | ) | (77,766,851 | ) | 65,652,401 | |||||||
Net realized and unrealized gain (loss) | (634,192,498 | ) | (690,606,892 | ) | 455,645,412 | |||||||
Net income (loss) | $ | (647,816,379 | ) | $ | (690,511,840 | ) | $ | 452,499,741 | ||||
Year Ended December 31, | Year Ended December 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2021 | 2020 | 2019 | |||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 527,636,003 | $ | 214,304,871 | $ | 394,035,141 | $ | 1,356,204,199 | $ | 527,636,003 | $ | 214,304,871 | ||||||||||||
Addition of 154,050,000, 83,750,000 and 38,280,000 shares, respectively | 3,359,993,617 | 2,454,259,697 | 2,228,542,993 | |||||||||||||||||||||
Redemption of 68,550,000, 44,750,000 and 43,274,536 shares, respectively | (1,883,609,042 | ) | (1,450,416,725 | ) | (2,860,773,004 | ) | ||||||||||||||||||
Addition of 135,235,000, 15,405,000 and 8,375,000 shares, respectively (Note 1) | 4,325,482,924 | 3,359,993,617 | 2,454,259,697 | |||||||||||||||||||||
Redemption of 82,119,671, 6,855,000 and 4,475,000 shares, respectively (Note 1) | (2,783,080,738 | ) | (1,883,609,042 | ) | (1,450,416,725 | ) | ||||||||||||||||||
Net addition (redemption) of 85,500,000, 39,000,000 and (4,994,536) shares, respectively | 1,476,384,575 | 1,003,842,972 | (632,230,011 | ) | ||||||||||||||||||||
Net addition (redemption) of 53,115,329, 8,550,000 and 3,900,000 shares, respectively (Note 1) | 1,542,402,186 | 1,476,384,575 | 1,003,842,972 | |||||||||||||||||||||
Net investment income (loss) | (13,623,881 | ) | 95,052 | (3,145,671 | ) | (20,156,985 | ) | (13,623,881 | ) | 95,052 | ||||||||||||||
Net realized gain (loss) | (632,242,038 | ) | (612,840,041 | ) | 389,993,011 | (1,983,414,849 | ) | (632,242,038 | ) | (612,840,041 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (1,950,460 | ) | (77,766,851 | ) | 65,652,401 | (78,354,915 | ) | (1,950,460 | ) | (77,766,851 | ) | |||||||||||||
Net income (loss) | (647,816,379 | ) | (690,511,840 | ) | 452,499,741 | (2,081,926,749 | ) | (647,816,379 | ) | (690,511,840 | ) | |||||||||||||
Shareholders’ equity, end of period | $ | 1,356,204,199 | $ | 527,636,003 | $ | 214,304,871 | $ | 816,679,636 | $ | 1,356,204,199 | $ | 527,636,003 | ||||||||||||
Year Ended December 31, | Year Ended December 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2021 | 2020 | 2019 | |||||||||||||||||||
Cash flow from operating activities | ||||||||||||||||||||||||
Net income (loss) | $ | (647,816,379 | ) | $ | (690,511,840 | ) | $ | 452,499,741 | $ | (2,081,926,749 | ) | $ | (647,816,379 | ) | $ | (690,511,840 | ) | |||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||||||||||||||
Purchases of short-term U.S. government and agency obligations | (965,269,478 | ) | (5,261,759,239 | ) | (15,074,656,207 | ) | (1,538,510,892 | ) | (965,269,478 | ) | (5,261,759,239 | ) | ||||||||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 901,000,000 | 5,085,520,200 | 15,363,705,730 | 1,562,047,456 | 901,000,000 | 5,085,520,200 | ||||||||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (984,781 | ) | (3,478,902 | ) | (1,510,857 | ) | (171,636 | ) | (984,781 | ) | (3,478,902 | ) | ||||||||||||
Net realized gain (loss) on investments | — | (18,591 | ) | 7,731 | ||||||||||||||||||||
Change in unrealized appreciation (depreciation) on investments | (177,425 | ) | (1,133,895 | ) | 1,317,684 | |||||||||||||||||||
Decrease (Increase) in receivable on futures contracts | 4,244,067 | (9,259,562 | ) | 6,171,434 | ||||||||||||||||||||
Net realized (gain) loss on investments | (99,746 | ) | — | (18,591 | ) | |||||||||||||||||||
Change in unrealized (appreciation) depreciation on investments | 522,824 | (177,425 | ) | (1,133,895 | ) | |||||||||||||||||||
Decrease (Increase) in receivable on open futures contracts | (17,175,176 | ) | 4,244,067 | (9,259,562 | ) | |||||||||||||||||||
Decrease (Increase) in interest receivable | 205,612 | (106,359 | ) | (106,307 | ) | 1,994 | 205,612 | (106,359 | ) | |||||||||||||||
Increase (Decrease) in payable to Sponsor | 628,853 | 208,827 | (141,390 | ) | (428,746 | ) | 628,853 | 208,827 | ||||||||||||||||
Increase (Decrease) in brokerage commissions and fees payable | 485,039 | — | — | |||||||||||||||||||||
Increase (Decrease) in payable on futures contracts | (11,595,345 | ) | 27,274,674 | 6,745,146 | ||||||||||||||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (317,184 | ) | 485,039 | — | ||||||||||||||||||||
Increase (Decrease) in payable on open futures contracts | (12,977,019 | ) | (11,595,345 | ) | 27,274,674 | |||||||||||||||||||
Increase (Decrease) in non-recurring fees and expenses payable | 4,817 | — | — | (4,817 | ) | 4,817 | — | |||||||||||||||||
Net cash provided by (used in) operating activities | (719,275,020 | ) | (853,264,687 | ) | 754,032,705 | (2,089,039,691 | ) | (719,275,020 | ) | (853,264,687 | ) | |||||||||||||
Cash flow from financing activities | ||||||||||||||||||||||||
Proceeds from addition of shares | 3,310,994,729 | 2,462,322,146 | 2,220,909,974 | 4,374,569,312 | 3,310,994,729 | 2,462,322,146 | ||||||||||||||||||
Payment on shares redeemed | (1,883,609,042 | ) | (1,450,416,725 | ) | (2,860,773,004 | ) | (2,783,080,738 | ) | (1,883,609,042 | ) | (1,450,416,725 | ) | ||||||||||||
Net cash provided by (used in) financing activities | 1,427,385,687 | 1,011,905,421 | (639,863,030 | ) | 1,591,488,574 | 1,427,385,687 | 1,011,905,421 | |||||||||||||||||
Net increase (decrease) in cash | 708,110,667 | 158,640,734 | 114,169,675 | (497,551,117 | ) | 708,110,667 | 158,640,734 | |||||||||||||||||
Cash, beginning of period | 361,561,329 | 202,920,595 | 88,750,920 | 1,069,671,996 | 361,561,329 | 202,920,595 | ||||||||||||||||||
Cash, end of period | $ | 1,069,671,996 | $ | 361,561,329 | $ | 202,920,595 | $ | 572,120,879 | $ | 1,069,671,996 | $ | 361,561,329 | ||||||||||||
December 31, 2020 | December 31, 2019 | December 31, 2021 | December 31, 2020 | |||||||||||||
Assets | ||||||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $1,808,030, respectively) | $ | — | $ | 1,808,104 | ||||||||||||
Cash | 2,618,696 | 3,283,138 | $ | 2,232,820 | $ | 2,618,696 | ||||||||||
Segregated cash balances with brokers for foreign currency forward contracts | 306,000 | 500,000 | 225,000 | 306,000 | ||||||||||||
Unrealized appreciation on foreign currency forward contracts | 67,235 | — | 821 | 67,235 | ||||||||||||
Interest receivable | 111 | 4,726 | 95 | 111 | ||||||||||||
Total assets | 2,992,042 | 5,595,968 | 2,458,736 | 2,992,042 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
Payable to Sponsor | 2,384 | 4,475 | 1,954 | 2,384 | ||||||||||||
Unrealized depreciation on foreign currency forward contracts | 148 | 10,529 | 93,933 | 148 | ||||||||||||
Non-recurring fees and expenses payable | 11 | — | — | 11 | ||||||||||||
Total liabilities | 2,543 | 15,004 | 95,887 | 2,543 | ||||||||||||
Commitments and Contingencies (Note 2) | 0 | 0 | 0 | 0 | ||||||||||||
Shareholders’ equity | ||||||||||||||||
Shareholders’ equity | 2,989,499 | 5,580,964 | 2,362,849 | 2,989,499 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 2,992,042 | $ | 5,595,968 | $ | 2,458,736 | $ | 2,992,042 | ||||||||
Shares outstanding | 49,970 | 99,970 | 49,970 | 49,970 | ||||||||||||
Net asset value per share | $ | 59.83 | $ | 55.83 | $ | 47.29 | $ | 59.83 | ||||||||
Market value per share (Note 2) | $ | 59.82 | $ | 55.83 | $ | 47.29 | $ | 59.82 | ||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with Goldman Sachs International | 01/14/22 | 316,556,517 | $ | 2,750,693 | $ | (54,919 | ) | |||||||||
Yen with UBS AG | 01/14/22 | 239,872,756 | 2,084,356 | (39,014 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (93,933 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with UBS AG | 01/14/22 | (11,776,900 | ) | $ | (102,335 | ) | $ | 821 | ||||||||
Total Unrealized Appreciation | $ | 821 | ||||||||||||||
^ | The positions and counterparties herein are as of December 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||||||||||||||
Contracts to Purchase | ||||||||||||||||||||||||||||||||
Yen with Goldman Sachs International | 01/15/21 | 332,532,517 | $ | 3,220,935 | $ | 34,265 | 01/15/21 | 332,532,517 | $ | 3,220,935 | $ | 34,265 | ||||||||||||||||||||
Yen with UBS AG | 01/15/21 | 287,552,756 | 2,785,258 | 32,970 | 01/15/21 | 287,552,756 | 2,785,258 | 32,970 | ||||||||||||||||||||||||
Total Unrealized Appreciation | | $ | 67,235 | Total Unrealized Appreciation | | $ | 67,235 | |||||||||||||||||||||||||
Contracts to Sell | ||||||||||||||||||||||||||||||||
Yen with UBS AG | 01/15/21 | (2,700,000 | ) | $ | (26,152 | ) | $ | (148 | ) | 01/15/21 | (2,700,000 | ) | $ | (26,152 | ) | $ | (148 | ) | ||||||||||||||
Total Unrealized Depreciation | | $ | (148 | ) | Total Unrealized Depreciation | $ | (148 | ) | ||||||||||||||||||||||||
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 1,187 | $ | 9,427 | $ | 78,463 | ||||||
Expenses | ||||||||||||
Management fee | 24,974 | 27,655 | 39,949 | |||||||||
Non-recurring fees and expenses | — | 89 | — | |||||||||
Total expenses | 24,974 | 27,744 | 39,949 | |||||||||
Net investment income (loss) | (23,787 | ) | (18,317 | ) | 38,514 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Foreign currency forward contracts | (442,767 | ) | 95,324 | 58,152 | ||||||||
Short-term U.S. government and agency obligations | 103 | — | (162 | ) | ||||||||
Net realized gain (loss) | (442,664 | ) | 95,324 | 57,990 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Foreign currency forward contracts | (160,199 | ) | 77,616 | (187,640 | ) | |||||||
Short-term U.S. government and agency obligations | — | (74 | ) | 74 | ||||||||
Change in net unrealized appreciation (depreciation) | (160,199 | ) | 77,542 | (187,566 | ) | |||||||
Net realized and unrealized gain (loss) | (602,863 | ) | 172,866 | (129,576 | ) | |||||||
Net income (loss) | $ | (626,650 | ) | $ | 154,549 | $ | (91,062 | ) | ||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 2,989,499 | $ | 5,580,964 | $ | 5,751,716 | ||||||
Addition of 0, – and 200,000 shares, respectively | — | — | 11,322,305 | |||||||||
Redemption of 0, 50,000 and 200,000 shares, respectively | — | (2,746,014 | ) | (11,401,995 | ) | |||||||
Net addition (redemption) of 0, (50,000) and – shares, respectively | — | (2,746,014 | ) | (79,690 | ) | |||||||
Net investment income (loss) | (23,787 | ) | (18,317 | ) | 38,514 | |||||||
Net realized gain (loss) | (442,664 | ) | 95,324 | 57,990 | ||||||||
Change in net unrealized appreciation (depreciation) | (160,199 | ) | 77,542 | (187,566 | ) | |||||||
Net income (loss) | (626,650 | ) | 154,549 | (91,062 | ) | |||||||
Shareholders’ equity, end of period | $ | 2,362,849 | $ | 2,989,499 | $ | 5,580,964 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (626,650 | ) | $ | 154,549 | $ | (91,062 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (1,499,740 | ) | (99,700 | ) | (42,675,552 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,500,103 | 1,911,000 | 40,888,736 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (260 | ) | (3,270 | ) | (21,376 | ) | ||||||
Net realized (gain) loss on investments | (103 | ) | — | 162 | ||||||||
Change in unrealized (appreciation) depreciation on investments | 160,199 | (77,542 | ) | 187,566 | ||||||||
Decrease (Increase) in interest receivable | 16 | 4,615 | (785 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | (430 | ) | (2,091 | ) | 2,032 | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | (11 | ) | 11 | — | ||||||||
Net cash provided by (used in) operating activities | (466,876 | ) | 1,887,572 | (1,710,279 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | — | — | 14,168,881 | |||||||||
Payment on shares redeemed | — | (2,746,014 | ) | (11,401,995 | ) | |||||||
Net cash provided by (used in) financing activities | — | (2,746,014 | ) | 2,766,886 | ||||||||
Net increase (decrease) in cash | (466,876 | ) | (858,442 | ) | 1,056,607 | |||||||
Cash, beginning of period | 2,924,696 | 3,783,138 | 2,726,531 | |||||||||
Cash, end of period | $ | 2,457,820 | $ | 2,924,696 | $ | 3,783,138 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $1,999,869 and $—, respectively) | $ | 1,999,875 | $ | — | ||||
Cash | 310,565 | 2,133,707 | ||||||
Segregated cash balances with brokers for futures contracts | 117,920 | 100,320 | ||||||
Interest receivable | 16 | 119 | ||||||
Total assets | 2,428,376 | 2,234,146 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 13,735 | 9,118 | ||||||
Payable to Sponsor | 2,018 | 2,370 | ||||||
Non-recurring fees and expenses payable | — | 19 | ||||||
Total liabilities | 15,753 | 11,507 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 2,412,623 | 2,222,639 | ||||||
Total liabilities and shareholders’ equity | $ | 2,428,376 | $ | 2,234,146 | ||||
Shares outstanding | 50,000 | 50,000 | ||||||
Net asset value per share | $ | 48.25 | $ | 44.45 | ||||
Market value per share (Note 2) | $ | 48.41 | $ | 43.89 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(32% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.514% due 02/06/20 | $ | 884,000 | $ | 882,715 | ||||
1.519% due 02/13/20 | 927,000 | 925,389 | ||||||
Total short-term U.S. government and agency obligations (cost $1,808,030) | $ | 1,808,104 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(83% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.050% due 02/17/22 | $ | 2,000,000 | $ | 1,999,875 | ||||
Total short-term U.S. government and agency obligations (cost $1,999,869) | $ | 1,999,875 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Australian Dollar Fx Currency Futures—CME, expires March 2022 | 67 | $ | 4,876,260 | $ | (65,155 | ) |
^^ | Rates shown represent discount rate at the time of purchase. |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Australian Dollar Fx Currency Futures—CME, expires March 2021 | 57 | $ | 4,389,000 | $ | (138,950 | ) |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 1,414 | $ | 20,907 | $ | 159,039 | ||||||
Expenses | ||||||||||||
Management fee | 27,977 | 52,950 | 72,858 | |||||||||
Brokerage commissions | 2,443 | 4,429 | 5,856 | |||||||||
Non-recurring fees and expenses | — | 196 | — | |||||||||
Total expenses | 30,420 | 57,575 | 78,714 | |||||||||
Net investment income (loss) | (29,006 | ) | (36,668 | ) | 80,325 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 191,674 | (1,032,184 | ) | 833,171 | ||||||||
Short-term U.S. government and agency obligations | 1,222 | — | 28 | |||||||||
Net realized gain (loss) | 192,896 | (1,032,184 | ) | 833,199 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 73,795 | 85,050 | (735,825 | ) | ||||||||
Short-term U.S. government and agency obligations | 6 | (206 | ) | 217 | ||||||||
Change in net unrealized appreciation (depreciation) | 73,801 | 84,844 | (735,608 | ) | ||||||||
Net realized and unrealized gain (loss) | 266,697 | (947,340 | ) | 97,591 | ||||||||
Net income (loss) | $ | 237,691 | $ | (984,008 | ) | $ | 177,916 | |||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 2,222,639 | $ | 5,608,612 | $ | 11,060,333 | ||||||
Addition of 50,000, — and 50,000 shares, respectively | 2,373,262 | — | 3,004,977 | |||||||||
Redemption of 50,000, 50,000 and 150,000 shares, respectively | (2,420,969 | ) | (2,401,965 | ) | (8,634,614 | ) | ||||||
Net addition (redemption) of 0, (50,000) and (100,000) shares, respectively | (47,707 | ) | (2,401,965 | ) | (5,629,637 | ) | ||||||
Net investment income (loss) | (29,006 | ) | (36,668 | ) | 80,325 | |||||||
Net realized gain (loss) | 192,896 | (1,032,184 | ) | 833,199 | ||||||||
Change in net unrealized appreciation (depreciation) | 73,801 | 84,844 | (735,608 | ) | ||||||||
Net income (loss) | 237,691 | (984,008 | ) | 177,916 | ||||||||
Shareholders’ equity, end of period | $ | 2,412,623 | $ | 2,222,639 | $ | 5,608,612 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 237,691 | $ | (984,008 | ) | $ | 177,916 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (1,998,458 | ) | (498,498 | ) | (132,612,765 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 4,436,000 | 129,028,715 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (189 | ) | (6,234 | ) | (47,642 | ) | ||||||
Net realized (gain) loss on investments | (1,222 | ) | — | (28 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments | (6 | ) | 206 | (217 | ) | |||||||
Decrease (Increase) in receivable on open futures contracts | — | — | 6,300 | |||||||||
Decrease (Increase) in interest receivable | 103 | 1,588 | 6,768 | |||||||||
Increase (Decrease) in payable to Sponsor | (352 | ) | (2,347 | ) | (3,643 | ) | ||||||
Increase (Decrease) in payable on open futures contracts | 4,617 | (28,607 | ) | 37,725 | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | (19 | ) | 19 | — | ||||||||
Net cash provided by (used in) operating activities | (1,757,835 | ) | 2,918,119 | (3,406,871 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 2,373,262 | — | 3,004,977 | |||||||||
Payment on shares redeemed | (2,420,969 | ) | (2,401,965 | ) | (8,634,614 | ) | ||||||
Net cash provided by (used in) financing activities | (47,707 | ) | (2,401,965 | ) | (5,629,637 | ) | ||||||
Net increase (decrease) in cash | (1,805,542 | ) | 516,154 | (9,036,508 | ) | |||||||
Cash, beginning of period | 2,234,027 | 1,717,873 | 10,754,381 | |||||||||
Cash, end of period | $ | 428,485 | $ | 2,234,027 | $ | 1,717,873 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $55,932,300 and $–, respectively) | $ | 55,916,023 | $ | — | ||||
Cash | 29,602,412 | 74,317,150 | ||||||
Segregated cash balances with brokers for futures contracts | 24,841,141 | 22,608,223 | ||||||
Segregated cash balances with brokers for swap agreements | — | 188,000 | ||||||
Receivable on open futures contracts | 4,064,439 | 60,902 | ||||||
Interest receivable | 1,359 | 3,299 | ||||||
Total assets | 114,425,374 | 97,177,574 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 175,557 | 257,410 | ||||||
Brokerage commissions and futures account fees payable | 7,944 | — | ||||||
Payable to Sponsor | 74,271 | 80,580 | ||||||
Non-recurring fees and expenses payable | — | 351 | ||||||
Total liabilities | 257,772 | 338,341 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 114,167,602 | 96,839,233 | ||||||
Total liabilities and shareholders’ equity | $ | 114,425,374 | $ | 97,177,574 | ||||
Shares outstanding (Note 1) | 8,883,799 | 2,084,971 | ||||||
Net asset value per share (Note 1) | $ | 12.85 | $ | 46.45 | ||||
Market value per share (Note 1)(Note 2) | $ | 12.75 | $ | 46.56 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(49% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 | $ | 20,000,000 | $ | 19,999,622 | ||||
0.223% due 11/03/22 | 36,000,000 | 35,916,401 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $55,932,300) | $ | 55,916,023 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil—NYMEX, expires March 2022 | 1,013 | $ | 75,853,440 | $ | (5,755,191 | ) | ||||||
WTI Crude Oil—NYMEX, expires June 2022 | 1,046 | 76,745,020 | (3,203,554 | ) | ||||||||
WTI Crude Oil—NYMEX, expires December 2022 | 1,085 | 75,765,550 | 549,283 | |||||||||
$ | (8,409,462 | ) | ||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil—NYMEX, expires March 2021 | 1,373 | $ | 66,768,990 | $ | (3,556,290 | ) | ||||||
WTI Crude Oil—NYMEX, expires June 2021 | 1,326 | 64,483,380 | (6,787,790 | ) | ||||||||
WTI Crude Oil—NYMEX, expires December 2021 | 1,309 | 62,413,120 | (4,292,733 | ) | ||||||||
$ | (14,636,813 | ) | ||||||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 51,207 | $ | 268,844 | $ | 1,570,676 | ||||||
Expenses | ||||||||||||
Management fee | 847,440 | 1,021,787 | 769,401 | |||||||||
Brokerage commissions | 139,273 | 548,380 | 91,476 | |||||||||
Futures account fees | 103,661 | 161,612 | — | |||||||||
Non-recurring fees and expenses | — | 5,243 | — | |||||||||
Total expenses | 1,090,374 | 1,737,022 | 860,877 | |||||||||
Net investment income (loss) | (1,039,167 | ) | (1,468,178 | ) | 709,799 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (105,340,654 | ) | (28,626,990 | ) | (13,850,702 | ) | ||||||
Swap agreements | — | 41,576,107 | (400,998 | ) | ||||||||
Short-term U.S. government and agency obligations | 45,952 | (20 | ) | 4,244 | ||||||||
Net realized gain (loss) | (105,294,702 | ) | 12,949,097 | (14,247,456 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 6,227,351 | (11,518,124 | ) | (6,390,844 | ) | |||||||
Swap agreements | — | 4,033,931 | (24,680,657 | ) | ||||||||
Short-term U.S. government and agency obligations | (16,277 | ) | (3,162 | ) | 2,755 | |||||||
Change in net unrealized appreciation (depreciation) | 6,211,074 | (7,487,355 | ) | (31,068,746 | ) | |||||||
Net realized and unrealized gain (loss) | (99,083,628 | ) | 5,461,742 | (45,316,202 | ) | |||||||
Net income (loss) | $ | (100,122,795 | ) | $ | 3,993,564 | $ | (44,606,403 | ) | ||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 96,839,233 | $ | 125,451,681 | $ | 114,377,311 | ||||||
Addition of 13,387,500, 9,375,000 and 6,487,500 shares, respectively (Note 1) | 244,778,776 | 893,616,857 | 397,696,425 | |||||||||
Redemption of 6,588,672, 9,862,500 and 4,875,000 shares, respectively (Note 1) | (127,327,612 | ) | (926,222,869 | ) | (342,015,652 | ) | ||||||
Net addition (redemption) of 6,798,828, (487,500) and 1,612,500 shares, respectively (Note 1) | 117,451,164 | (32,606,012 | ) | 55,680,773 | ||||||||
Net investment income (loss) | (1,039,167 | ) | (1,468,178 | ) | 709,799 | |||||||
Net realized gain (loss) | (105,294,702 | ) | 12,949,097 | (14,247,456 | ) | |||||||
Change in net unrealized appreciation (depreciation) | 6,211,074 | (7,487,355 | ) | (31,068,746 | ) | |||||||
Net income (loss) | (100,122,795 | ) | 3,993,564 | (44,606,403 | ) | |||||||
Shareholders’ equity, end of period | $ | 114,167,602 | $ | 96,839,233 | $ | 125,451,681 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (100,122,795 | ) | $ | 3,993,564 | $ | (44,606,403 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (206,906,890 | ) | (32,897,274 | ) | (1,412,477,845 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 151,041,035 | 95,246,647 | 1,379,275,846 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (20,493 | ) | (153,272 | ) | (1,022,751 | ) | ||||||
Net realized (gain) loss on investments | (45,952 | ) | 20 | (4,244 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments | 16,277 | (4,030,769 | ) | 24,677,902 | ||||||||
Decrease (Increase) in receivable on open futures contracts | (4,003,537 | ) | 1,083,502 | (711,777 | ) | |||||||
Decrease (Increase) in interest receivable | 1,940 | 50,866 | (17,737 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | (6,309 | ) | (7,852 | ) | 10 | |||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 7,944 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | (81,853 | ) | 257,410 | (48,600 | ) | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | (351 | ) | 351 | — | ||||||||
Net cash provided by (used in) operating activities | (160,120,984 | ) | 63,543,193 | (54,935,599 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 244,778,776 | 897,883,872 | 418,888,295 | |||||||||
Payment on shares redeemed | (127,327,612 | ) | (926,222,869 | ) | (342,015,652 | ) | ||||||
Net cash provided by (used in) financing activities | 117,451,164 | (28,338,997 | ) | 76,872,643 | ||||||||
Net increase (decrease) in cash | (42,669,820 | ) | 35,204,196 | 21,937,044 | ||||||||
Cash, beginning of period | 97,113,373 | 61,909,177 | 39,972,133 | |||||||||
Cash, end of period | $ | 54,443,553 | $ | 97,113,373 | $ | 61,909,177 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $123,855,553 and $9,999,612, respectively) | $ | 123,821,548 | $ | 9,999,861 | ||||
Cash | 53,547,476 | 12,600,775 | ||||||
Segregated cash balances with brokers for futures contracts | 59,453,451 | 6,546,607 | ||||||
Receivable on open futures contracts | 30,090,351 | — | ||||||
Interest receivable | 1,749 | 548 | ||||||
Total assets | 266,914,575 | 29,147,791 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 15,986,002 | 2,604,177 | ||||||
Payable on open futures contracts | 8,542,438 | 1,543,700 | ||||||
Brokerage commissions and futures account fees payable | 46,867 | — | ||||||
Payable to Sponsor | 194,138 | 22,029 | ||||||
Non-recurring fees and expenses payable | — | 140 | ||||||
Total liabilities | 24,769,445 | 4,170,046 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 242,145,130 | 24,977,745 | ||||||
Total liabilities and shareholders’ equity | $ | 266,914,575 | $ | 29,147,791 | ||||
Shares outstanding (Note 9) | 3,914,966 | 104,966 | ||||||
Net asset value per share (Note 9) | $ | 61.85 | $ | 237.96 | ||||
Market value per share (Note 2) (Note 9) | $ | 60.55 | $ | 236.90 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(51% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.051% due 02/17/22 | $ | 24,000,000 | $ | 23,998,500 | ||||
0.051% due 03/17/22 | 25,000,000 | 24,997,213 | ||||||
0.223% due 11/03/22 | 75,000,000 | 74,825,835 | ||||||
Total short-term U.S. government and agency obligations (cost $123,855,553) | $ | 123,821,548 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas—NYMEX, expires March 2022 | 13,619 | $ | 484,427,830 | $ | 13,436,251 |
^^ | Rates shown represent discount rate at the time of purchase. |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(40% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.110% due 01/14/21 | $ | 10,000,000 | $ | 9,999,861 | ||||
Total short-term U.S. government and agency obligations (cost $9,999,612) | $ | 9,999,861 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas—NYMEX, expires March 2021 | 1,978 | $ | 49,964,280 | $ | 379,310 |
^^ | Rates shown represent discount rate at the time of purchase. |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 44,855 | $ | 59,046 | $ | 167,939 | ||||||
Expenses | ||||||||||||
Management fee | 1,104,237 | 308,058 | 83,978 | |||||||||
Brokerage commissions | 495,800 | 250,422 | 54,544 | |||||||||
Futures account fees | 212,771 | 49,672 | — | |||||||||
Non-recurring fees and expenses | — | 485 | — | |||||||||
Total expenses | 1,812,808 | 608,637 | 138,522 | |||||||||
Net investment income (loss) | (1,767,953 | ) | (549,591 | ) | 29,417 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 9,180,867 | 21,345 | 19,286,567 | |||||||||
Short-term U.S. government and agency obligations | 3,035 | (491 | ) | — | ||||||||
Net realized gain (loss) | 9,183,902 | 20,854 | 19,286,567 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 13,056,941 | (293,019 | ) | (10,165,660 | ) | |||||||
Short-term U.S. government and agency obligations | (34,254 | ) | (24 | ) | 274 | |||||||
Change in net unrealized appreciation (depreciation) | 13,022,687 | (293,043 | ) | (10,165,386 | ) | |||||||
Net realized and unrealized gain (loss) | 22,206,589 | (272,189 | ) | 9,121,181 | ||||||||
Net income (loss) | $ | 20,438,636 | $ | (821,780 | ) | $ | 9,150,598 | |||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 24,977,745 | $ | 12,515,603 | $ | 17,825,441 | ||||||
Addition of 12,020,000, 1,250,000 and 240,000 shares, respectively (Note 9) | 679,315,441 | 270,470,683 | 30,089,484 | |||||||||
Redemption of 8,210,000, 1,210,000 and 340,000 shares, respectively (Note 9) | (482,586,692 | ) | (257,186,761 | ) | (44,549,920 | ) | ||||||
Net addition (redemption) of 3,810,000, 40,000 and (100,000) shares, respectively (Note 9) | 196,728,749 | 13,283,922 | (14,460,436 | ) | ||||||||
Net investment income (loss) | (1,767,953 | ) | (549,591 | ) | 29,417 | |||||||
Net realized gain (loss) | 9,183,902 | 20,854 | 19,286,567 | |||||||||
Change in net unrealized appreciation (depreciation) | 13,022,687 | (293,043 | ) | (10,165,386 | ) | |||||||
Net income (loss) | 20,438,636 | (821,780 | ) | 9,150,598 | ||||||||
Shareholders’ equity, end of period | $ | 242,145,130 | $ | 24,977,745 | $ | 12,515,603 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 20,438,636 | $ | (821,780 | ) | $ | 9,150,598 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (298,825,010 | ) | (54,978,482 | ) | (202,154,543 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 184,998,514 | 50,159,669 | 197,350,000 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (26,410 | ) | (26,687 | ) | (50,345 | ) | ||||||
Net realized (gain) loss on investments | (3,035 | ) | 491 | — | ||||||||
Change in unrealized (appreciation) depreciation on investments | 34,254 | 24 | (274 | ) | ||||||||
Decrease (Increase) in receivable on open futures contracts | (30,090,351 | ) | — | 3,096,239 | ||||||||
Decrease (Increase) in interest receivable | (1,201 | ) | 5,974 | 4,857 | ||||||||
Increase (Decrease) in payable to Sponsor | 172,109 | 12,169 | (6,665 | ) | ||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 46,867 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | 6,998,738 | 1,536,874 | 6,826 | |||||||||
Increase (Decrease) in non-recurring fees and expenses payable | (140 | ) | 140 | — | ||||||||
Net cash provided by (used in) operating activities | (116,257,029 | ) | (4,111,608 | ) | 7,396,693 | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 679,315,441 | 270,470,683 | 30,089,484 | |||||||||
Payment on shares redeemed | (469,204,867 | ) | (254,582,584 | ) | (48,871,508 | ) | ||||||
Net cash provided by (used in) financing activities | 210,110,574 | 15,888,099 | (18,782,024 | ) | ||||||||
Net increase (decrease) in cash | 93,853,545 | 11,776,491 | (11,385,331 | ) | ||||||||
Cash, beginning of period | 19,147,382 | 7,370,891 | 18,756,222 | |||||||||
Cash, end of period | $ | 113,000,927 | $ | 19,147,382 | $ | 7,370,891 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $46,968,288 and $9,999,612, respectively) | $ | 46,961,125 | $ | 9,999,861 | ||||
Cash | 7,554,065 | 42,133,228 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | — | 1,999,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 135,118 | 5,705 | ||||||
Interest receivable | 603 | 2,148 | ||||||
Total assets | 54,650,911 | 54,139,942 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 44,707 | 43,974 | ||||||
Unrealized depreciation on foreign currency forward contracts | 343,159 | 1,142,409 | ||||||
Non-recurring fees and expenses payable | — | 220 | ||||||
Total liabilities | 387,866 | 1,186,603 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 54,263,045 | 52,953,339 | ||||||
Total liabilities and shareholders’ equity | $ | 54,650,911 | $ | 54,139,942 | ||||
Shares outstanding | 2,100,000 | 2,350,000 | ||||||
Net asset value per share | $ | 25.84 | $ | 22.53 | ||||
Market value per share (Note 2) | $ | 25.86 | $ | 22.52 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(87% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 † | $ | 5,000,000 | $ | 4,999,905 | ||||
0.050% due 02/17/22 † | 26,000,000 | 25,998,375 | ||||||
0.223% due 11/03/22 | 16,000,000 | 15,962,845 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $46,968,288) | $ | 46,961,125 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with Goldman Sachs International | 01/10/20 | 325,804,302 | $ | 2,999,073 | $ | (2,404 | ) | |||||||||
Yen with UBS AG | 01/10/20 | 888,782,738 | 8,181,365 | (7,841 | ) | |||||||||||
$ | (10,245 | ) | ||||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with UBS AG | 01/10/20 | (6,892,531 | ) | $ | (63,447 | ) | $ | (284 | ) | |||||||
$ | (284 | ) | ||||||||||||||
Total Unrealized Depreciation | | $ | (10,529 | ) | ||||||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with UBS AG | 01/14/22 | 17,360,000 | $ | 19,756,094 | $ | 135,118 | ||||||||||
Total Unrealized Appreciation | | $ | 135,118 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 01/14/22 | (47,563,263 | ) | $ | (54,128,130 | ) | $ | (83,325 | ) | |||||||
Euro with UBS AG | 01/14/22 | (65,034,199 | ) | (74,010,473 | ) | (259,834 | ) | |||||||||
Total Unrealized Depreciation | | $ | (343,159 | ) | ||||||||||||
† | All or partial amount pledged as collateral for foreign currency forward contracts. |
^ | The positions and counterparties herein are as of December 31, |
^^ | Rates shown represent discount rate at the time of purchase. |
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 9,427 | $ | 78,463 | $ | 26,930 | ||||||
Expenses | ||||||||||||
Management fee | 27,655 | 39,949 | 27,913 | |||||||||
Non-recurring fees and expenses | 89 | — | — | |||||||||
Total expenses | 27,744 | 39,949 | 27,913 | |||||||||
Net investment income (loss) | (18,317 | ) | 38,514 | (983 | ) | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Foreign currency forward contracts | 95,324 | 58,152 | (170,364 | ) | ||||||||
Short-term U.S. government and agency obligations | — | (162 | ) | — | ||||||||
Net realized gain (loss) | 95,324 | 57,990 | (170,364 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Foreign currency forward contracts | 77,616 | (187,640 | ) | 211,935 | ||||||||
Short-term U.S. government and agency obligations | (74 | ) | 74 | 283 | ||||||||
Change in net unrealized appreciation (depreciation) | 77,542 | (187,566 | ) | 212,218 | ||||||||
Net realized and unrealized gain (loss) | 172,866 | (129,576 | ) | 41,854 | ||||||||
Net income (loss) | $ | 154,549 | $ | (91,062 | ) | $ | 40,871 | |||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Shareholders’ equity, beginning of period | $ | 5,580,964 | $ | 5,751,716 | $ | 2,864,269 | ||||||
Addition of –, 200,000 and 50,000 shares, respectively | — | 11,322,305 | 2,846,576 | |||||||||
Redemption of 50,000, 200,000 and – shares, respectively | (2,746,014 | ) | (11,401,995 | ) | — | |||||||
Net addition (redemption) of (50,000), – and 50,000 shares, respectively | (2,746,014 | ) | (79,690 | ) | 2,846,576 | |||||||
Net investment income (loss) | (18,317 | ) | 38,514 | (983 | ) | |||||||
Net realized gain (loss) | 95,324 | 57,990 | (170,364 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 77,542 | (187,566 | ) | 212,218 | ||||||||
Net income (loss) | 154,549 | (91,062 | ) | 40,871 | ||||||||
Shareholders’ equity, end of period | $ | 2,989,499 | $ | 5,580,964 | $ | 5,751,716 | ||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 154,549 | $ | (91,062 | ) | $ | 40,871 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (99,700 | ) | (42,675,552 | ) | (41,486,414 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,911,000 | 40,888,736 | 43,500,000 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (3,270 | ) | (21,376 | ) | (15,370 | ) | ||||||
Net realized gain (loss) on investments | — | 162 | — | |||||||||
Change in unrealized appreciation (depreciation) on investments | (77,542 | ) | 187,566 | (212,218 | ) | |||||||
Decrease (Increase) in interest receivable | 4,615 | (785 | ) | (3,941 | ) | |||||||
Increase (Decrease) in payable to Sponsor | (2,091 | ) | 2,032 | 131 | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | 11 | — | — | |||||||||
Net cash provided by (used in) operating activities | 1,887,572 | (1,710,279 | ) | 1,823,059 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | — | 14,168,881 | — | |||||||||
Payment on shares redeemed | (2,746,014 | ) | (11,401,995 | ) | — | |||||||
Net cash provided by (used in) financing activities | (2,746,014 | ) | 2,766,886 | — | ||||||||
Net increase (decrease) in cash | (858,442 | ) | 1,056,607 | 1,823,059 | ||||||||
Cash, beginning of period | 3,783,138 | 2,726,531 | 903,472 | |||||||||
Cash, end of period | $ | 2,924,696 | $ | 3,783,138 | $ | 2,726,531 | ||||||
December 31, 2020 | December 31, 2019 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $3,931,268, respectively) | $ | — | $ | 3,931,474 | ||||
Cash | 2,133,707 | 1,506,673 | ||||||
Segregated cash balances with brokers for futures contracts | 100,320 | 211,200 | ||||||
Interest receivable | 119 | 1,707 | ||||||
Total assets | 2,234,146 | 5,651,054 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 9,118 | 37,725 | ||||||
Payable to Sponsor | 2,370 | 4,717 | ||||||
Non-recurring fees and expenses payable | 19 | — | ||||||
Total liabilities | 11,507 | 42,442 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 2,222,639 | 5,608,612 | ||||||
Total liabilities and shareholders’ equity | $ | 2,234,146 | $ | 5,651,054 | ||||
Shares outstanding | 50,000 | 100,000 | ||||||
Net asset value per share | $ | 44.45 | $ | 56.09 | ||||
Market value per share (Note 2) | $ | 43.89 | $ | 55.88 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Australian Dollar Fx Currency Futures - CME, expires March 2021 | 57 | $ | 4,389,000 | $ | (138,950 | ) |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(70% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 1,000,000 | $ | 999,732 | ||||
1.547% due 01/30/20 | 1,000,000 | 998,839 | ||||||
1.514% due 02/06/20 | 945,000 | 943,626 | ||||||
1.519% due 02/13/20 | 991,000 | 989,277 | ||||||
Total short-term U.S. government and agency obligations (cost $3,931,268) | $ | 3,931,474 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Australian Dollar Fx Currency Futures - CME, expires March 2020 | 160 | $ | 11,260,800 | $ | (224,000 | ) |
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 20,907 | $ | 159,039 | $ | 119,098 | ||||||
Expenses | ||||||||||||
Management fee | 52,950 | 72,858 | 75,944 | |||||||||
Brokerage commissions | 4,429 | 5,856 | 6,408 | |||||||||
Non-recurring fees and expenses | 196 | — | — | |||||||||
Total expenses | 57,575 | 78,714 | 82,352 | |||||||||
Net investment income (loss) | (36,668 | ) | 80,325 | 36,746 | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (1,032,184 | ) | 833,171 | 128,451 | ||||||||
Short-term U.S. government and agency obligations | — | 28 | (247 | ) | ||||||||
Net realized gain (loss) | (1,032,184 | ) | 833,199 | 128,204 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 85,050 | (735,825 | ) | 1,405,045 | ||||||||
Short-term U.S. government and agency obligations | (206 | ) | 217 | 983 | ||||||||
Change in net unrealized appreciation (depreciation) | 84,844 | (735,608 | ) | 1,406,028 | ||||||||
Net realized and unrealized gain (loss) | (947,340 | ) | 97,591 | 1,534,232 | ||||||||
Net income (loss) | $ | (984,008 | ) | $ | 177,916 | $ | 1,570,978 | |||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Shareholders’ equity, beginning of period | $ | 5,608,612 | $ | 11,060,333 | $ | 13,702,102 | ||||||
Addition of –, 50,000 and 100,000 shares, respectively | — | 3,004,977 | 5,028,505 | |||||||||
Redemption of 50,000, 150,000 and 200,000 shares, respectively | (2,401,965 | ) | (8,634,614 | ) | (9,241,252 | ) | ||||||
Net addition (redemption) of (50,000), (100,000) and (100,000) shares, respectively | (2,401,965 | ) | (5,629,637 | ) | (4,212,747 | ) | ||||||
Net investment income (loss) | (36,668 | ) | 80,325 | 36,746 | ||||||||
Net realized gain (loss) | (1,032,184 | ) | 833,199 | 128,204 | ||||||||
Change in net unrealized appreciation (depreciation) | 84,844 | (735,608 | ) | 1,406,028 | ||||||||
Net income (loss) | (984,008 | ) | 177,916 | 1,570,978 | ||||||||
Shareholders’ equity, end of period | $ | 2,222,639 | $ | 5,608,612 | $ | 11,060,333 | ||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (984,008 | ) | $ | 177,916 | $ | 1,570,978 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (498,498 | ) | (132,612,765 | ) | (304,025,708 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 4,436,000 | 129,028,715 | 315,798,003 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (6,234 | ) | (47,642 | ) | (87,192 | ) | ||||||
Net realized gain (loss) on investments | — | (28 | ) | 247 | ||||||||
Change in unrealized appreciation (depreciation) on investments | 206 | (217 | ) | (983 | ) | |||||||
Decrease (Increase) in receivable on futures contracts | — | 6,300 | (6,300 | ) | ||||||||
Decrease (Increase) in interest receivable | 1,588 | 6,768 | (8,475 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | (2,347 | ) | (3,643 | ) | (2,889 | ) | ||||||
Increase (Decrease) in payable on futures contracts | (28,607 | ) | 37,725 | (52,950 | ) | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | 19 | — | — | |||||||||
Net cash provided by (used in) operating activities | 2,918,119 | (3,406,871 | ) | 13,184,731 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | — | 3,004,977 | 5,028,505 | |||||||||
Payment on shares redeemed | (2,401,965 | ) | (8,634,614 | ) | (9,241,252 | ) | ||||||
Net cash provided by (used in) financing activities | (2,401,965 | ) | (5,629,637 | ) | (4,212,747 | ) | ||||||
Net increase (decrease) in cash | 516,154 | (9,036,508 | ) | 8,971,984 | ||||||||
Cash, beginning of period | 1,717,873 | 10,754,381 | 1,782,397 | |||||||||
Cash, end of period | $ | 2,234,027 | $ | 1,717,873 | $ | 10,754,381 | ||||||
December 31, 2020 | December 31, 2019 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $62,196,121, respectively) | $ | — | $ | 62,199,283 | ||||
Cash | 74,317,150 | 50,856,757 | ||||||
Segregated cash balances with brokers for futures contracts | 22,608,223 | 7,239,420 | ||||||
Segregated cash balances with brokers for swap agreements | 188,000 | 3,813,000 | ||||||
Receivable from capital shares sold | — | 4,267,015 | ||||||
Receivable on open futures contracts | 60,902 | 1,144,404 | ||||||
Interest receivable | 3,299 | 54,165 | ||||||
Total assets | 97,177,574 | 129,574,044 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 257,410 | — | ||||||
Payable to Sponsor | 80,580 | 88,432 | ||||||
Unrealized depreciation on swap agreements | — | 4,033,931 | ||||||
Non-recurring fees and expenses payable | 351 | — | ||||||
Total liabilities | 338,341 | 4,122,363 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 96,839,233 | 125,451,681 | ||||||
Total liabilities and shareholders’ equity | $ | 97,177,574 | $ | 129,574,044 | ||||
Shares outstanding | 8,339,884 | 10,289,884 | ||||||
Net asset value per share | $ | 11.61 | $ | 12.19 | ||||
Market value per share (Note 2) | $ | 11.64 | $ | 12.15 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires March 2021 | 1,373 | $ | 66,768,990 | $ | (3,556,290 | ) | ||||||
WTI Crude Oil - NYMEX, expires June 2021 | 1,326 | 64,483,380 | (6,787,790 | ) | ||||||||
WTI Crude Oil - NYMEX, expires December 2021 | 1,309 | 62,413,120 | (4,292,733 | ) | ||||||||
$ | (14,636,813 | ) | ||||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(50% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 13,000,000 | $ | 12,996,512 | ||||
1.547% due 01/30/20 † | 15,000,000 | 14,982,585 | ||||||
1.514% due 02/06/20 | 16,734,000 | 16,709,677 | ||||||
1.519% due 02/13/20 † | 17,541,000 | 17,510,509 | ||||||
Total short-term U.S. government and agency obligations (cost $62,196,121) | $ | 62,199,283 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires March 2020 | 1,864 | $ | 113,275,280 | $ | (3,118,689 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex | 0.18 | % | 01/06/20 | $ | (39,727,981 | ) | $ | (1,401,797 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/06/20 | (37,407,865 | ) | (793,395 | ) | ||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex | 0.23 | 01/06/20 | (31,487,418 | ) | (815,341 | ) | ||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/06/20 | (9,213,127 | ) | (325,459 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/06/20 | (19,757,339 | ) | (697,939 | ) | ||||||||||
Total Unrealized Depreciation | | $ | (4,033,931 | ) | ||||||||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 268,844 | $ | 1,570,676 | $ | 2,758,399 | ||||||
Expenses | ||||||||||||
Management fee | 1,021,787 | 769,401 | 1,663,576 | |||||||||
Brokerage commissions | 548,380 | 91,476 | 56,193 | |||||||||
Brokerage fees | 161,612 | — | — | |||||||||
Non-recurring fees and expenses | 5,243 | — | — | |||||||||
Total expenses | 1,737,022 | 860,877 | 1,719,769 | |||||||||
Net investment income (loss) | (1,468,178 | ) | 709,799 | 1,038,630 | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (28,626,990 | ) | (13,850,702 | ) | (3,836,970 | ) | ||||||
Swap agreements | 41,576,107 | (400,998 | ) | (38,203,116 | ) | |||||||
Short-term U.S. government and agency obligations | (20 | ) | 4,244 | 103 | ||||||||
Net realized gain (loss) | 12,949,097 | (14,247,456 | ) | (42,039,983 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (11,518,124 | ) | (6,390,844 | ) | 7,234,803 | |||||||
Swap agreements | 4,033,931 | (24,680,657 | ) | 51,253,868 | ||||||||
Short-term U.S. government and agency obligations | (3,162 | ) | 2,755 | 22,739 | ||||||||
Change in net unrealized appreciation (depreciation) | (7,487,355 | ) | (31,068,746 | ) | 58,511,410 | |||||||
Net realized and unrealized gain (loss) | 5,461,742 | (45,316,202 | ) | 16,471,427 | ||||||||
Net income (loss) | $ | 3,993,564 | $ | (44,606,403 | ) | $ | 17,510,057 | |||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Shareholders’ equity, beginning of period | $ | 125,451,681 | $ | 114,377,311 | $ | 225,843,284 | ||||||
Addition of 37,500,000, 25,950,000 and 13,300,000 shares, respectively | 893,616,857 | 397,696,425 | 247,024,351 | |||||||||
Redemption of 39,450,000, 19,500,000 and 18,750,000 shares, respectively | (926,222,869 | ) | (342,015,652 | ) | (376,000,381 | ) | ||||||
Net addition (redemption) of (1,950,000), 6,450,000 and (5,450,000) shares, respectively | (32,606,012 | ) | 55,680,773 | (128,976,030 | ) | |||||||
Net investment income (loss) | (1,468,178 | ) | 709,799 | 1,038,630 | ||||||||
Net realized gain (loss) | 12,949,097 | (14,247,456 | ) | (42,039,983 | ) | |||||||
Change in net unrealized appreciation (depreciation) | (7,487,355 | ) | (31,068,746 | ) | 58,511,410 | |||||||
Net income (loss) | 3,993,564 | (44,606,403 | ) | 17,510,057 | ||||||||
Shareholders’ equity, end of period | $ | 96,839,233 | $ | 125,451,681 | $ | 114,377,311 | ||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 3,993,564 | $ | (44,606,403 | ) | $ | 17,510,057 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (32,897,274 | ) | (1,412,477,845 | ) | (6,792,763,547 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 95,246,647 | 1,379,275,846 | 7,020,979,617 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (153,272 | ) | (1,022,751 | ) | (2,513,939 | ) | ||||||
Net realized gain (loss) on investments | 20 | (4,244 | ) | (103 | ) | |||||||
Change in unrealized appreciation (depreciation) on investments | (4,030,769 | ) | 24,677,902 | (51,276,607 | ) | |||||||
Decrease (Increase) in receivable on futures contracts | 1,083,502 | (711,777 | ) | (432,627 | ) | |||||||
Decrease (Increase) in interest receivable | 50,866 | (17,737 | ) | (36,428 | ) | |||||||
Increase (Decrease) in payable to Sponsor | (7,852 | ) | 10 | (102,279 | ) | |||||||
Increase (Decrease) in payable on futures contracts | 257,410 | (48,600 | ) | (645,187 | ) | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | 351 | — | — | |||||||||
Net cash provided by (used in) operating activities | 63,543,193 | (54,935,599 | ) | 190,718,957 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 897,883,872 | 418,888,295 | 221,565,466 | |||||||||
Payment on shares redeemed | (926,222,869 | )�� | (342,015,652 | ) | (376,000,381 | ) | ||||||
Net cash provided by (used in) financing activities | (28,338,997 | ) | 76,872,643 | (154,434,915 | ) | |||||||
Net increase (decrease) in cash | 35,204,196 | 21,937,044 | 36,284,042 | |||||||||
Cash, beginning of period | 61,909,177 | 39,972,133 | 3,688,091 | |||||||||
Cash, end of period | $ | 97,113,373 | $ | 61,909,177 | $ | 39,972,133 | ||||||
December 31, 2020 | December 31, 2019 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $9,999,612 and $5,154,603, respectively) | $ | 9,999,861 | $ | 5,154,876 | ||||
Cash | 12,600,775 | 4,438,331 | ||||||
Segregated cash balances with brokers for futures contracts | 6,546,607 | 2,932,560 | ||||||
Interest receivable | 548 | 6,522 | ||||||
Total assets | 29,147,791 | 12,532,289 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 2,604,177 | — | ||||||
Payable on open futures contracts | 1,543,700 | 6,826 | ||||||
Payable to Sponsor | 22,029 | 9,860 | ||||||
Non-recurring fees and expenses payable | 140 | — | ||||||
Total liabilities | 4,170,046 | 16,686 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 24,977,745 | 12,515,603 | ||||||
Total liabilities and shareholders’ equity | $ | 29,147,791 | $ | 12,532,289 | ||||
Shares outstanding | 524,832 | 324,832 | ||||||
Net asset value per share | $ | 47.59 | $ | 38.53 | ||||
Market value per share (Note 2) | $ | 47.38 | $ | 38.82 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(40% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.110% due 01/14/21 | $ | 10,000,000 | $ | 9,999,861 | ||||
Total short-term U.S. government and agency obligations (cost $9,999,612) | $ | 9,999,861 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas - NYMEX, expires March 2021 | 1,978 | $ | 49,964,280 | $ | 379,310 |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(41% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.629% due 01/09/20 | $ | 1,600,000 | $ | 1,599,571 | ||||
1.514% due 02/06/20 | 1,739,000 | 1,736,472 | ||||||
1.519% due 02/13/20 | 1,822,000 | 1,818,833 | ||||||
Total short-term U.S. government and agency obligations (cost $5,154,603) | $ | 5,154,876 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas - NYMEX, expires March 2020 | 1,160 | $ | 25,032,800 | $ | 672,329 |
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 59,046 | $ | 167,939 | $ | 121,027 | ||||||
Expenses | ||||||||||||
Management fee | 308,058 | 83,978 | 84,418 | |||||||||
Brokerage commissions | 250,422 | 54,544 | 41,063 | |||||||||
Brokerage fees | 49,672 | — | — | |||||||||
Non-recurring fees and expenses | 485 | — | — | |||||||||
Total expenses | 608,637 | 138,522 | 125,481 | |||||||||
Net investment income (loss) | (549,591 | ) | 29,417 | (4,454 | ) | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 21,345 | 19,286,567 | (14,147,964 | ) | ||||||||
Short-term U.S. government and agency obligations | (491 | ) | — | — | ||||||||
Net realized gain (loss) | 20,854 | 19,286,567 | (14,147,964 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (293,019 | ) | (10,165,660 | ) | 11,935,038 | |||||||
Short-term U.S. government and agency obligations | (24 | ) | 274 | (85 | ) | |||||||
Change in net unrealized appreciation (depreciation) | (293,043 | ) | (10,165,386 | ) | 11,934,953 | |||||||
Net realized and unrealized gain (loss) | (272,189 | ) | 9,121,181 | (2,213,011 | ) | |||||||
Net income (loss) | $ | (821,780 | ) | $ | 9,150,598 | $ | (2,217,465 | ) | ||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Shareholders’ equity, beginning of period | $ | 12,515,603 | $ | 17,825,441 | $ | 6,902,743 | ||||||
Addition of 6,250,000, 1,200,000 and 2,500,000 shares, respectively | 270,470,683 | 30,089,484 | 53,822,972 | |||||||||
Redemption of 6,050,000, 1,700,000 and 1,850,000 shares, respectively | (257,186,761 | ) | (44,549,920 | ) | (40,682,809 | ) | ||||||
Net addition (redemption) of 200,000, (500,000) and 650,000 shares, respectively | 13,283,922 | (14,460,436 | ) | 13,140,163 | ||||||||
Net investment income (loss) | (549,591 | ) | 29,417 | (4,454 | ) | |||||||
Net realized gain (loss) | 20,854 | 19,286,567 | (14,147,964 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (293,043 | ) | (10,165,386 | ) | 11,934,953 | |||||||
Net income (loss) | (821,780 | ) | 9,150,598 | (2,217,465 | ) | |||||||
Shareholders’ equity, end of period | $ | 24,977,745 | $ | 12,515,603 | $ | 17,825,441 | ||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (821,780 | ) | $ | 9,150,598 | $ | (2,217,465 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (54,978,482 | ) | (202,154,543 | ) | (695,820,495 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 50,159,669 | 197,350,000 | 699,600,000 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (26,687 | ) | (50,345 | ) | (79,553 | ) | ||||||
Net realized gain (loss) on investments | 491 | — | — | |||||||||
Change in unrealized appreciation (depreciation) on investments | 24 | (274 | ) | 85 | ||||||||
Decrease (Increase) in receivable on futures contracts | — | 3,096,239 | (3,096,239 | ) | ||||||||
Decrease (Increase) in interest receivable | 5,974 | 4,857 | (11,379 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | 12,169 | (6,665 | ) | 13,415 | ||||||||
Increase (Decrease) in payable on futures contracts | 1,536,874 | 6,826 | (104,104 | ) | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | 140 | — | — | |||||||||
Net cash provided by (used in) operating activities | (4,111,608 | ) | 7,396,693 | (1,715,735 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 270,470,683 | 30,089,484 | 53,822,972 | |||||||||
Payment on shares redeemed | (254,582,584 | ) | (48,871,508 | ) | (36,361,221 | ) | ||||||
Net cash provided by (used in) financing activities | 15,888,099 | (18,782,024 | ) | 17,461,751 | ||||||||
Net increase (decrease) in cash | 11,776,491 | (11,385,331 | ) | 15,746,016 | ||||||||
Cash, beginning of period | 7,370,891 | 18,756,222 | 3,010,206 | |||||||||
Cash, end of period | $ | 19,147,382 | $ | 7,370,891 | $ | 18,756,222 | ||||||
December 31, 2020 | December 31, 2019 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $9,999,612 and $78,586,073, respectively) | $ | 9,999,861 | $ | 78,590,100 | ||||
Cash | 42,133,228 | 44,280,278 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 1,999,000 | — | ||||||
Unrealized appreciation on foreign currency forward contracts | 5,705 | 115,751 | ||||||
Interest receivable | 2,148 | 60,723 | ||||||
Total assets | 54,139,942 | 123,046,852 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 43,974 | 99,508 | ||||||
Unrealized depreciation on foreign currency forward contracts | 1,142,409 | 2,366,171 | ||||||
Non-recurring fees and expenses payable | 220 | — | ||||||
Total liabilities | 1,186,603 | 2,465,679 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 52,953,339 | 120,581,173 | ||||||
Total liabilities and shareholders’ equity | $ | 54,139,942 | $ | 123,046,852 | ||||
Shares outstanding | 2,350,000 | 4,500,000 | ||||||
Net asset value per share | $ | 22.53 | $ | 26.80 | ||||
Market value per share (Note 2) | $ | 22.52 | $ | 26.80 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(19% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.110% due 01/14/21 † | $ | 10,000,000 | $ | 9,999,861 | ||||
Total short-term U.S. government and agency obligations (cost $9,999,612) | $ | 9,999,861 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||||||||||||||
Contracts to Purchase | ||||||||||||||||||||||||||||||||
Euro with UBS AG | 01/15/21 | 13,080,000 | $ | 15,983,316 | $ | 5,705 | 01/15/21 | 13,080,000 | $ | 15,983,316 | $ | 5,705 | ||||||||||||||||||||
Total Unrealized Appreciation | | $ | 5,705 | Total Unrealized Appreciation | | $ | 5,705 | |||||||||||||||||||||||||
Contracts to Sell | ||||||||||||||||||||||||||||||||
Euro with Goldman Sachs International | 01/15/21 | (37,401,263 | ) | $ | (45,703,079 | ) | $ | (388,233 | ) | 01/15/21 | (37,401,263 | ) | $ | (45,703,079 | ) | $ | (388,233 | ) | ||||||||||||||
Euro with UBS AG | 01/15/21 | (62,356,199 | ) | (76,197,167 | ) | (754,176 | ) | 01/15/21 | (62,356,199 | ) | (76,197,167 | ) | (754,176 | ) | ||||||||||||||||||
Total Unrealized Depreciation | $ | (1,142,409 | ) | Total Unrealized Depreciation | $ | (1,142,409 | ) | |||||||||||||||||||||||||
† | All or partial amount pledged as collateral for foreign currency forward contracts. |
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 24,790 | $ | 499,520 | $ | 2,822,207 | ||||||
Expenses | ||||||||||||
Management fee | 480,737 | 783,692 | 1,293,377 | |||||||||
Non-recurring fees and expenses | — | 2,842 | — | |||||||||
Total expenses | 480,737 | 786,534 | 1,293,377 | |||||||||
Net investment income (loss) | (455,947 | ) | (287,014 | ) | 1,528,830 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Foreign currency forward contracts | 6,280,362 | (10,979,325 | ) | 13,745,299 | ||||||||
Short-term U.S. government and agency obligations | 31,420 | (14 | ) | 1,909 | ||||||||
Net realized gain (loss) | 6,311,782 | (10,979,339 | ) | 13,747,208 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Foreign currency forward contracts | 928,663 | 1,113,716 | (754,616 | ) | ||||||||
Short-term U.S. government and agency obligations | (7,412 | ) | (3,778 | ) | 1,179 | |||||||
Change in net unrealized appreciation (depreciation) | 921,251 | 1,109,938 | (753,437 | ) | ||||||||
Net realized and unrealized gain (loss) | 7,233,033 | (9,869,401 | ) | 12,993,771 | ||||||||
Net income (loss) | $ | 6,777,086 | $ | (10,156,415 | ) | $ | 14,522,601 | |||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 52,953,339 | $ | 120,581,173 | $ | 154,120,159 | ||||||
Addition of 1,050,000, 1,500,000 and 1,050,000 shares, respectively | 26,353,725 | 37,753,355 | 27,861,560 | |||||||||
Redemption of 1,300,000, 3,650,000 and 2,900,000 shares, respectively | (31,821,105 | ) | (95,224,774 | ) | (75,923,147 | ) | ||||||
Net addition (redemption) of (250,000), (2,150,000) and (1,850,000) shares, respectively | (5,467,380 | ) | (57,471,419 | ) | (48,061,587 | ) | ||||||
Net investment income (loss) | (455,947 | ) | (287,014 | ) | 1,528,830 | |||||||
Net realized gain (loss) | 6,311,782 | (10,979,339 | ) | 13,747,208 | ||||||||
Change in net unrealized appreciation (depreciation) | 921,251 | 1,109,938 | (753,437 | ) | ||||||||
Net income (loss) | 6,777,086 | (10,156,415 | ) | 14,522,601 | ||||||||
Shareholders’ equity, end of period | $ | 54,263,045 | $ | 52,953,339 | $ | 120,581,173 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 6,777,086 | $ | (10,156,415 | ) | $ | 14,522,601 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (131,953,354 | ) | (198,751,004 | ) | (1,454,451,994 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 95,031,384 | 267,684,953 | 1,500,077,958 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (15,286 | ) | (347,502 | ) | (2,411,291 | ) | ||||||
Net realized (gain) loss on investments | (31,420 | ) | 14 | (1,909 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments | (921,251 | ) | (1,109,938 | ) | 753,437 | |||||||
Decrease (Increase) in interest receivable | 1,545 | 58,575 | (44,724 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | 733 | (55,534 | ) | (29,188 | ) | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | (220 | ) | 220 | – | ||||||||
Net cash provided by (used in) operating activities | (31,110,783 | ) | 57,323,369 | 58,414,890 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 26,353,725 | 37,753,355 | 27,861,560 | |||||||||
Payment on shares redeemed | (31,821,105 | ) | (95,224,774 | ) | (78,350,167 | ) | ||||||
Net cash provided by (used in) financing activities | (5,467,380 | ) | (57,471,419 | ) | (50,488,607 | ) | ||||||
Net increase (decrease) in cash | (36,578,163 | ) | (148,050 | ) | 7,926,283 | |||||||
Cash, beginning of period | 44,132,228 | 44,280,278 | 36,353,995 | |||||||||
Cash, end of period | $ | 7,554,065 | $ | 44,132,228 | $ | 44,280,278 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $25,984,097 and $–, respectively) | $ | 25,980,516 | $ | — | ||||
Cash | 1,287,229 | 16,935,121 | ||||||
Segregated cash balances with brokers for futures contracts | 703,125 | 1,503,750 | ||||||
Segregated cash balances with brokers for swap agreements | — | 2,194,500 | ||||||
Receivable on open futures contracts | — | 1,317 | ||||||
Interest receivable | 434 | 742 | ||||||
Total assets | 27,971,304 | 20,635,430 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 92,537 | 12,410 | ||||||
Brokerage commissions and futures account fees payable | 294 | — | ||||||
Payable to Sponsor | 25,512 | 16,835 | ||||||
Unrealized depreciation on swap agreements | 993,117 | 268,728 | ||||||
Non-recurring fees and expenses payable | — | 81 | ||||||
Total liabilities | 1,111,460 | 298,054 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 26,859,844 | 20,337,376 | ||||||
Total liabilities and shareholders’ equity | $ | 27,971,304 | $ | 20,635,430 | ||||
Shares outstanding | 846,977 | 646,977 | ||||||
Net asset value per share | $ | 31.71 | $ | 31.43 | ||||
Market value per share (Note 2) | $ | 31.66 | $ | 31.14 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(65% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 16,000,000 | $ | 15,995,707 | ||||
1.547% due 01/30/20 † | 22,000,000 | 21,974,458 | ||||||
1.514% due 02/06/20 | 19,864,000 | 19,835,128 | ||||||
1.519% due 02/13/20 † | 20,821,000 | 20,784,807 | ||||||
Total short-term U.S. government and agency obligations (cost $78,586,073) | $ | 78,590,100 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(97% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 † | $ | 5,000,000 | $ | 4,999,906 | ||||
0.050% due 02/17/22 † | 13,000,000 | 12,999,188 | ||||||
0.223% due 11/03/22 | 8,000,000 | 7,981,422 | ||||||
Total short-term U.S. government and agency obligations (cost $25,984,097) | $ | 25,980,516 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires February 2022 | 93 | $ | 17,005,980 | $ | 158,079 |
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with UBS AG | 01/10/20 | 19,396,955 | $ | 21,767,031 | $ | 115,751 | ||||||||||
Total Unrealized Appreciation | | $ | 115,751 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 01/10/20 | (112,762,143 | ) | $ | (126,540,324 | ) | $ | (1,134,162 | ) | |||||||
Euro with UBS AG | 01/10/20 | (122,358,446 | ) | (137,309,180 | ) | (1,232,009 | ) | |||||||||
Total Unrealized Depreciation | $(2,366,171) | |||||||||||||||
Rate Paid (Received)* | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 01/06/22 | $ | (15,091,478 | ) | $ | (407,735 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 01/06/22 | (9,872,954 | ) | (266,413 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 01/06/22 | (11,805,955 | ) | (318,969 | ) | ||||||||||
Total Unrealized Depreciation | | $ | (993,117 | ) | ||||||||||||
† | All or partial amount pledged as collateral for |
^ | The positions and counterparties herein are as of December 31, |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of December 31, 2021, 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. |
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 499,520 | $ | 2,822,207 | $ | 3,045,321 | ||||||
Expenses | ||||||||||||
Management fee | 783,692 | 1,293,377 | 1,720,827 | |||||||||
Non-recurring fees and expenses | 2,842 | — | — | |||||||||
Total expenses | 786,534 | 1,293,377 | 1,720,827 | |||||||||
Net investment income (loss) | (287,014 | ) | 1,528,830 | 1,324,494 | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Foreign currency forward contracts | (10,979,325 | ) | 13,745,299 | 18,953,455 | ||||||||
Short-term U.S. government and agency obligations | (14 | ) | 1,909 | (219 | ) | |||||||
Net realized gain (loss) | (10,979,339 | ) | 13,747,208 | 18,953,236 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Foreign currency forward contracts | 1,113,716 | (754,616 | ) | 4,848,465 | ||||||||
Short-term U.S. government and agency obligations | (3,778 | ) | 1,179 | 20,890 | ||||||||
Change in net unrealized appreciation (depreciation) | 1,109,938 | (753,437 | ) | 4,869,355 | ||||||||
Net realized and unrealized gain (loss) | (9,869,401 | ) | 12,993,771 | 23,822,591 | ||||||||
Net income (loss) | $ | (10,156,415 | ) | $ | 14,522,601 | $ | 25,147,085 | |||||
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Shareholders’ equity, beginning of period | $ | 120,581,173 | $ | 154,120,159 | $ | 202,548,197 | ||||||
Addition of 1,500,000, 1,050,000 and 1,700,000 shares, respectively | 37,753,355 | 27,861,560 | 37,244,830 | |||||||||
Redemption of 3,650,000, 2,900,000 and 4,900,000 shares, respectively | (95,224,774 | ) | (75,923,147 | ) | (110,819,953 | ) | ||||||
Net addition (redemption) of (2,150,000), (1,850,000) and (3,200,000) shares, respectively | (57,471,419 | ) | (48,061,587 | ) | (73,575,123 | ) | ||||||
Net investment income (loss) | (287,014 | ) | 1,528,830 | 1,324,494 | ||||||||
Net realized gain (loss) | (10,979,339 | ) | 13,747,208 | 18,953,236 | ||||||||
Change in net unrealized appreciation (depreciation) | 1,109,938 | (753,437 | ) | 4,869,355 | ||||||||
Net income (loss) | (10,156,415 | ) | 14,522,601 | 25,147,085 | ||||||||
Shareholders’ equity, end of period | $ | 52,953,339 | $ | 120,581,173 | $ | 154,120,159 | ||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (10,156,415 | ) | $ | 14,522,601 | $ | 25,147,085 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (198,751,004 | ) | (1,454,451,994 | ) | (5,771,042,956 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 267,684,953 | 1,500,077,958 | 5,856,785,001 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (347,502 | ) | (2,411,291 | ) | (2,752,893 | ) | ||||||
Net realized gain (loss) on investments | 14 | (1,909 | ) | 219 | ||||||||
Change in unrealized appreciation (depreciation) on investments | (1,109,938 | ) | 753,437 | (4,869,355 | ) | |||||||
Decrease (Increase) in interest receivable | 58,575 | (44,724 | ) | (15,999 | ) | |||||||
Increase (Decrease) in payable to Sponsor | (55,534 | ) | (29,188 | ) | (42,899 | ) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | 220 | — | — | |||||||||
Net cash provided by (used in) operating activities | 57,323,369 | 58,414,890 | 103,208,203 | |||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 37,753,355 | 27,861,560 | 37,244,830 | |||||||||
Payment on shares redeemed | (95,224,774 | ) | (78,350,167 | ) | (108,392,933 | ) | ||||||
Net cash provided by (used in) financing activities | (57,471,419 | ) | (50,488,607 | ) | (71,148,103 | ) | ||||||
Net increase (decrease) in cash | (148,050 | ) | 7,926,283 | 32,060,100 | ||||||||
Cash, beginning of period | 44,280,278 | 36,353,995 | 4,293,895 | |||||||||
Cash, end of period | $ | 44,132,228 | $ | 44,280,278 | $ | 36,353,995 | ||||||
December 31, 2020 | December 31, 2019 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $12,354,582, respectively) | $ | — | $ | 12,355,192 | ||||
Cash | 16,935,121 | 8,993,715 | ||||||
Segregated cash balances with brokers for futures contracts | 1,503,750 | 358,200 | ||||||
Segregated cash balances with brokers for swap agreements | 2,194,500 | 544,000 | ||||||
Receivable on open futures contracts | 1,317 | — | ||||||
Interest receivable | 742 | 11,691 | ||||||
Total assets | 20,635,430 | 22,262,798 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 12,410 | 25,211 | ||||||
Payable to Sponsor | 16,835 | 17,218 | ||||||
Unrealized depreciation on swap agreements | 268,728 | 1,172,809 | ||||||
Non-recurring fees and expenses payable | 81 | — | ||||||
Total liabilities | 298,054 | 1,215,238 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 20,337,376 | 21,047,560 | ||||||
Total liabilities and shareholders’ equity | $ | 20,635,430 | $ | 22,262,798 | ||||
Shares outstanding | 646,977 | 396,977 | ||||||
Net asset value per share | $ | 31.43 | $ | 53.02 | ||||
Market value per share (Note 2) | $ | 31.14 | $ | 53.21 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires February 2021 | 123 | $ | 23,309,730 | $ | (196,930 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 01/06/21 | $ | (5,159,914 | ) | $ | (80,068 | ) | 0.25 | % | 01/06/21 | $ | (5,159,914 | ) | $ | (80,068 | ) | ||||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 01/06/21 | (5,337,170 | ) | (82,645 | ) | 0.20 | 01/06/21 | (5,337,170 | ) | (82,645 | ) | ||||||||||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 01/06/21 | (6,832,076 | ) | (106,015 | ) | 0.25 | 01/06/21 | (6,832,076 | ) | (106,015 | ) | ||||||||||||||||||||
Total Unrealized Depreciation | | $ | (268,728 | ) | Total Unrealized Depreciation | | $ | (268,728 | ) | |||||||||||||||||||||||
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
* | Reflects the floating financing rate, as of December 31, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 13,048 | $ | 67,722 | $ | 380,158 | ||||||
Expenses | ||||||||||||
Management fee | 271,758 | 177,762 | 188,089 | |||||||||
Brokerage commissions | 11,667 | 7,882 | 5,355 | |||||||||
Futures account fees | 10,223 | 5,130 | — | |||||||||
Non-recurring fees and expenses | — | 580 | — | |||||||||
Total expenses | 293,648 | 191,354 | 193,444 | |||||||||
Net investment income (loss) | (280,600 | ) | (123,632 | ) | 186,714 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (2,690,736 | ) | (4,905,387 | ) | (1,183,722 | ) | ||||||
Swap agreements | 235,790 | (6,214,091 | ) | (2,891,389 | ) | |||||||
Forward agreements | — | — | (1,118,149 | ) | ||||||||
Short-term U.S. government and agency obligations | 6,395 | — | 692 | |||||||||
Net realized gain (loss) | (2,448,551 | ) | (11,119,478 | ) | (5,192,568 | ) | ||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 355,009 | 194,640 | (359,790 | ) | ||||||||
Swap agreements | (724,389 | ) | 904,081 | (1,172,809 | ) | |||||||
Forward agreements | — | — | 990,786 | |||||||||
Short-term U.S. government and agency obligations | (3,581 | ) | (610 | ) | 822 | |||||||
Change in net unrealized appreciation (depreciation) | (372,961 | ) | 1,098,111 | (540,991 | ) | |||||||
Net realized and unrealized gain (loss) | (2,821,512 | ) | (10,021,367 | ) | (5,733,559 | ) | ||||||
Net income (loss) | $ | (3,102,112 | ) | $ | (10,144,999 | ) | $ | (5,546,845 | ) | |||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 20,337,376 | $ | 21,047,560 | $ | 18,098,997 | ||||||
Addition of 2,050,000, 1,650,000 and 600,000 shares, respectively | 71,200,336 | 56,542,664 | 39,522,691 | |||||||||
Redemption of 1,850,000, 1,400,000 and 450,001 shares, respectively | (61,575,756 | ) | (47,107,849 | ) | (31,027,283 | ) | ||||||
Net addition (redemption) of 200,000, 250,000 and 149,999 shares, respectively | 9,624,580 | 9,434,815 | 8,495,408 | |||||||||
Net investment income (loss) | (280,600 | ) | (123,632 | ) | 186,714 | |||||||
Net realized gain (loss) | (2,448,551 | ) | (11,119,478 | ) | (5,192,568 | ) | ||||||
Change in net unrealized appreciation (depreciation) | (372,961 | ) | 1,098,111 | (540,991 | ) | |||||||
Net income (loss) | (3,102,112 | ) | (10,144,999 | ) | (5,546,845 | ) | ||||||
Shareholders’ equity, end of period | $ | 26,859,844 | $ | 20,337,376 | $ | 21,047,560 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (3,102,112 | ) | $ | (10,144,999 | ) | $ | (5,546,845 | ) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (61,976,861 | ) | (19,981,049 | ) | (348,134,747 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 36,006,161 | 32,371,000 | 339,976,425 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (7,002 | ) | (35,369 | ) | (205,793 | ) | ||||||
Net realized (gain) loss on investments | (6,395 | ) | — | (692 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments | 727,970 | (903,471 | ) | 181,201 | ||||||||
Decrease (Increase) in receivable on open futures contracts | 1,317 | (1,317 | ) | 1,700 | ||||||||
Decrease (Increase) in interest receivable | 308 | 10,949 | (1,191 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | 8,677 | (383 | ) | 1,906 | ||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 294 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | 80,127 | (12,801 | ) | 25,211 | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | (81 | ) | 81 | — | ||||||||
Net cash provided by (used in) operating activities | (28,267,597 | ) | 1,302,641 | (13,702,825 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 71,200,336 | 56,542,664 | 39,522,691 | |||||||||
Payment on shares redeemed | (61,575,756 | ) | (47,107,849 | ) | (31,027,283 | ) | ||||||
Net cash provided by (used in) financing activities | 9,624,580 | 9,434,815 | 8,495,408 | |||||||||
Net increase (decrease) in cash | (18,643,017 | ) | 10,737,456 | (5,207,417 | ) | |||||||
Cash, beginning of period | 20,633,371 | 9,895,915 | 15,103,332 | |||||||||
Cash, end of period | $ | 1,990,354 | $ | 20,633,371 | $ | 9,895,915 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $22,995,121 and $–, respectively) | $ | 22,994,261 | $ | — | ||||
Cash | 1,829,901 | 18,919,314 | ||||||
Segregated cash balances with brokers for futures contracts | 1,081,575 | 1,503,250 | ||||||
Segregated cash balances with brokers for swap agreements | 2,572,000 | 11,732,485 | ||||||
Receivable on open futures contracts | 15,446 | 39,445 | ||||||
Interest receivable | 378 | 814 | ||||||
Total assets | 28,493,561 | 32,195,308 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 5,840 | 86,282 | ||||||
Brokerage commissions and futures account fees payable | 747 | — | ||||||
Payable to Sponsor | 28,560 | 25,557 | ||||||
Unrealized depreciation on swap agreements | 1,921,414 | 3,197,561 | ||||||
Non-recurring fees and expenses payable | — | 133 | ||||||
Total liabilities | 1,956,561 | 3,309,533 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 26,537,000 | 28,885,775 | ||||||
Total liabilities and shareholders’ equity | $ | 28,493,561 | $ | 32,195,308 | ||||
Shares outstanding (Note 1) | 991,329 | 1,041,744 | ||||||
Net asset value per share (Note 1) | $ | 26.77 | $ | 27.73 | ||||
Market value per share (Note 1)(Note 2) | $ | 26.84 | $ | 27.40 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(59% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 2,000,000 | $ | 1,999,463 | ||||
1.547% due 01/30/20 † | 3,000,000 | 2,996,517 | ||||||
1.514% due 02/06/20 | 3,599,000 | 3,593,769 | ||||||
1.519% due 02/13/20 † | 3,772,000 | 3,765,443 | ||||||
Total short-term U.S. government and agency obligations (cost $12,354,582) | $ | 12,355,192 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(87% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 † | $ | 5,000,000 | $ | 4,999,905 | ||||
0.050% due 02/17/22 † | 16,000,000 | 15,999,000 | ||||||
0.223% due 11/03/22 | 2,000,000 | 1,995,356 | ||||||
Total short-term U.S. government and agency obligations (cost $22,995,121) | $ | 22,994,261 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires February 2020 | 76 | $ | 11,575,560 | $ | (391,570 | ) |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires March 2022 | 103 | $ | 12,026,280 | $ | 652,493 |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 01/06/20 | $ | (13,940,590 | ) | $ | (534,714 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 01/06/20 | (6,884,579 | ) | (263,870 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 01/06/20 | (9,756,431 | ) | (374,225 | ) | ||||||||||
Total Unrealized Depreciation | | $ | (1,172,809 | ) | ||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 01/06/22 | $ | (7,855,856 | ) | $ | (367,632 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 01/06/22 | (10,400,384 | ) | (486,710 | ) | ||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 01/06/22 | (8,223,463 | ) | (385,104 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 01/06/22 | (14,572,793 | ) | (681,968 | ) | ||||||||||
Total Unrealized Depreciation | $ | (1,921,414 | ) | |||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of December 31, |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 67,722 | $ | 380,158 | $ | 423,926 | ||||||
Expenses | ||||||||||||
Management fee | 177,762 | 188,089 | 252,524 | |||||||||
Brokerage commissions | 7,882 | 5,355 | 61 | |||||||||
Brokerage fees | 5,130 | — | — | |||||||||
Non-recurring fees and expenses | 580 | — | — | |||||||||
Total expenses | 191,354 | 193,444 | 252,585 | |||||||||
Net investment income (loss) | (123,632 | ) | 186,714 | 171,341 | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (4,905,387 | ) | (1,183,722 | ) | 21,620 | |||||||
Swap agreements | (6,214,091 | ) | (2,891,389 | ) | — | |||||||
Forward agreements | — | (1,118,149 | ) | 1,301,959 | ||||||||
Short-term U.S. government and agency obligations | — | 692 | 152 | |||||||||
Net realized gain (loss) | (11,119,478 | ) | (5,192,568 | ) | 1,323,731 | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 194,640 | (359,790 | ) | (26,320 | ) | |||||||
Swap agreements | 904,081 | (1,172,809 | ) | — | ||||||||
Forward agreements | — | 990,786 | 497,473 | |||||||||
Short-term U.S. government and agency obligations | (610 | ) | 822 | 1,514 | ||||||||
Change in net unrealized appreciation (depreciation) | 1,098,111 | (540,991 | ) | 472,667 | ||||||||
Net realized and unrealized gain (loss) | (10,021,367 | ) | (5,733,559 | ) | 1,796,398 | |||||||
Net income (loss) | $ | (10,144,999 | ) | $ | (5,546,845 | ) | $ | 1,967,739 | ||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Shareholders’ equity, beginning of period | $ | 21,047,560 | $ | 18,098,997 | $ | 31,497,410 | ||||||
Addition of 1,650,000, 600,000 and 250,000 shares, respectively | 56,542,664 | 39,522,691 | 16,527,151 | |||||||||
Redemption of 1,400,000, 450,001 and 450,000 shares, respectively | (47,107,849 | ) | (31,027,283 | ) | (31,893,303 | ) | ||||||
Net addition (redemption) of 250,000, 149,999 and (200,000) shares, respectively | 9,434,815 | 8,495,408 | (15,366,152 | ) | ||||||||
Net investment income (loss) | (123,632 | ) | 186,714 | 171,341 | ||||||||
Net realized gain (loss) | (11,119,478 | ) | (5,192,568 | ) | 1,323,731 | |||||||
Change in net unrealized appreciation (depreciation) | 1,098,111 | (540,991 | ) | 472,667 | ||||||||
Net income (loss) | (10,144,999 | ) | (5,546,845 | ) | 1,967,739 | |||||||
Shareholders’ equity, end of period | $ | 20,337,376 | $ | 21,047,560 | $ | 18,098,997 | ||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (10,144,999 | ) | $ | (5,546,845 | ) | $ | 1,967,739 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (19,981,049 | ) | (348,134,747 | ) | (1,471,021,129 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 32,371,000 | 339,976,425 | 1,499,398,357 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (35,369 | ) | (205,793 | ) | (387,225 | ) | ||||||
Net realized gain (loss) on investments | — | (692 | ) | (152 | ) | |||||||
Change in unrealized appreciation (depreciation) on investments | (903,471 | ) | 181,201 | (498,987 | ) | |||||||
Decrease (Increase) in receivable on futures contracts | (1,317 | ) | 1,700 | (1,700 | ) | |||||||
Decrease (Increase) in interest receivable | 10,949 | (1,191 | ) | (10,500 | ) | |||||||
Increase (Decrease) in payable to Sponsor | (383 | ) | 1,906 | (9,944 | ) | |||||||
Increase (Decrease) in payable on futures contracts | (12,801 | ) | 25,211 | (2,420 | ) | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | 81 | — | — | |||||||||
Net cash provided by (used in) operating activities | 1,302,641 | (13,702,825 | ) | 29,434,039 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 56,542,664 | 39,522,691 | 16,527,151 | |||||||||
Payment on shares redeemed | (47,107,849 | ) | (31,027,283 | ) | (31,893,303 | ) | ||||||
Net cash provided by (used in) financing activities | 9,434,815 | 8,495,408 | (15,366,152 | ) | ||||||||
Net increase (decrease) in cash | 10,737,456 | (5,207,417 | ) | 14,067,887 | ||||||||
Cash, beginning of period | 9,895,915 | 15,103,332 | 1,035,445 | |||||||||
Cash, end of period | $ | 20,633,371 | $ | 9,895,915 | $ | 15,103,332 | ||||||
December 31, 2020 | December 31, 2019 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $9,162,163, respectively) | $ | — | $ | 9,162,867 | ||||
Cash | 18,919,314 | 5,300,012 | ||||||
Segregated cash balances with brokers for futures contracts | 1,503,250 | 148,200 | ||||||
Segregated cash balances with brokers for swap agreements | 11,732,485 | 1,198,000 | ||||||
Receivable on open futures contracts | 39,445 | 4,800 | ||||||
Interest receivable | 814 | 4,326 | ||||||
Total assets | 32,195,308 | 15,818,205 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 86,282 | 18,516 | ||||||
Payable to Sponsor | 25,557 | 11,622 | ||||||
Unrealized depreciation on swap agreements | 3,197,561 | 1,953,904 | ||||||
Non-recurring fees and expenses payable | 133 | — | ||||||
Total liabilities | 3,309,533 | 1,984,042 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 28,885,775 | 13,834,163 | ||||||
Total liabilities and shareholders’ equity | $ | 32,195,308 | $ | 15,818,205 | ||||
Shares outstanding | 4,166,976 | 516,976 | ||||||
Net asset value per share | $ | 6.93 | $ | 26.76 | ||||
Market value per share (Note 2) | $ | 6.85 | $ | 26.80 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires March 2021 | 89 | $ | 11,753,339 | $ | (220,076 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 01/06/21 | $ | (19,685,715 | ) | $ | (1,208,988 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 01/06/21 | (15,107,629 | ) | (927,829 | ) | ||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 01/06/21 | (3,402,233 | ) | (579,421 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 01/06/21 | (7,837,258 | ) | (481,323 | ) | ||||||||||
Total Unrealized Depreciation | $ | (3,197,561 | ) | |||||||||||||
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
* | Reflects the floating financing rate, as of December 31, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 12,422 | $ | 52,402 | $ | 279,294 | ||||||
Expenses | ||||||||||||
Management fee | 330,111 | 237,140 | 139,668 | |||||||||
Brokerage commissions | 26,469 | 22,323 | 7,713 | |||||||||
Futures account fees | 25,766 | 14,141 | — | |||||||||
Non-recurring fees and expenses | — | 454 | — | |||||||||
Total expenses | 382,346 | 274,058 | 147,381 | |||||||||
Net investment income (loss) | (369,924 | ) | (221,656 | ) | 131,913 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (2,577,082 | ) | (4,571,982 | ) | (409,222 | ) | ||||||
Swap agreements | 2,554,615 | (12,277,833 | ) | (1,991,050 | ) | |||||||
Forward agreements | — | — | (2,144,498 | ) | ||||||||
Short-term U.S. government and agency obligations | 4,672 | — | 226 | |||||||||
Net realized gain (loss) | (17,795 | ) | (16,849,815 | ) | (4,544,544 | ) | ||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 872,569 | (137,895 | ) | (37,264 | ) | |||||||
Swap agreements | 1,276,147 | (1,243,657 | ) | (1,953,904 | ) | |||||||
Forward agreements | — | — | 1,793,011 | |||||||||
Short-term U.S. government and agency obligations | (860 | ) | (704 | ) | 727 | |||||||
Change in net unrealized appreciation (depreciation) | 2,147,856 | (1,382,256 | ) | (197,430 | ) | |||||||
Net realized and unrealized gain (loss) | 2,130,061 | (18,232,071 | ) | (4,741,974 | ) | |||||||
Net income (loss) | $ | 1,760,137 | $ | (18,453,727 | ) | $ | (4,610,061 | ) | ||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 28,885,775 | $ | 13,834,163 | $ | 11,768,863 | ||||||
Addition of 4,650,000, 3,425,000 and 250,000 shares, respectively (Note 1) | 117,038,546 | 135,806,096 | 35,269,175 | |||||||||
Redemption of 4,700,415, 2,512,500 and 200,000 shares, respectively (Note 1) | (121,147,458 | ) | (102,300,757 | ) | (28,593,814 | ) | ||||||
Net addition (redemption) of (50,415), 912,500 and 50,000 shares, respectively (Note 1) | (4,108,912 | ) | 33,505,339 | 6,675,361 | ||||||||
Net investment income (loss) | (369,924 | ) | (221,656 | ) | 131,913 | |||||||
Net realized gain (loss) | (17,795 | ) | (16,849,815 | ) | (4,544,544 | ) | ||||||
Change in net unrealized appreciation (depreciation) | 2,147,856 | (1,382,256 | ) | (197,430 | ) | |||||||
Net income (loss) | 1,760,137 | (18,453,727 | ) | (4,610,061 | ) | |||||||
Shareholders’ equity, end of period | $ | 26,537,000 | $ | 28,885,775 | $ | 13,834,163 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 1,760,137 | $ | (18,453,727 | ) | $ | (4,610,061 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (67,987,944 | ) | (19,382,699 | ) | (259,643,345 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 45,004,575 | 28,574,000 | 253,938,061 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (7,080 | ) | (29,138 | ) | (161,864 | ) | ||||||
Net realized (gain) loss on investments | (4,672 | ) | — | (226 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments | (1,275,287 | ) | 1,244,361 | 160,166 | ||||||||
Decrease (Increase) in receivable on open futures contracts | 23,999 | (34,645 | ) | (4,800 | ) | |||||||
Decrease (Increase) in interest receivable | 436 | 3,512 | 3,521 | |||||||||
Increase (Decrease) in payable to Sponsor | 3,003 | 13,935 | 507 | |||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 747 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | (80,442 | ) | 67,766 | 12,796 | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | (133 | ) | 133 | — | ||||||||
Net cash provided by (used in) operating activities | (22,562,661 | ) | (7,996,502 | ) | (10,305,245 | ) | ||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 117,038,546 | 135,806,096 | 35,269,175 | |||||||||
Payment on shares redeemed | (121,147,458 | ) | (102,300,757 | ) | (28,593,814 | ) | ||||||
Net cash provided by (used in) financing activities | (4,108,912 | ) | 33,505,339 | 6,675,361 | ||||||||
Net increase (decrease) in cash | (26,671,573 | ) | 25,508,837 | (3,629,884 | ) | |||||||
Cash, beginning of period | 32,155,049 | 6,646,212 | 10,276,096 | |||||||||
Cash, end of period | $ | 5,483,476 | $ | 32,155,049 | $ | 6,646,212 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $20,990,068 and $–, respectively) | $ | 20,987,825 | $ | — | ||||
Cash | 3,003,251 | 21,470,564 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | — | 2,804,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 1,237,168 | 7,008 | ||||||
Interest receivable | 339 | 914 | ||||||
Total assets | 25,228,583 | 24,282,486 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 20,211 | 19,348 | ||||||
Unrealized depreciation on foreign currency forward contracts | 367,588 | 571,974 | ||||||
Non-recurring fees and expenses payable | — | 94 | ||||||
Total liabilities | 387,799 | 591,416 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 24,840,784 | 23,691,070 | ||||||
Total liabilities and shareholders’ equity | $ | 25,228,583 | $ | 24,282,486 | ||||
Shares outstanding | 299,290 | 349,290 | ||||||
Net asset value per share | $ | 83.00 | $ | 67.83 | ||||
Market value per share (Note 2) | $ | 82.99 | $ | 67.81 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(66% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 2,000,000 | $ | 1,999,463 | ||||
1.547% due 01/30/20 | 2,000,000 | 1,997,678 | ||||||
1.564% due 02/06/20 † | 2,526,000 | 2,522,329 | ||||||
1.565% due 02/13/20 † | 2,648,000 | 2,643,397 | ||||||
Total short-term U.S. government and agency obligations (cost $9,162,163) | $ | 9,162,867 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(84% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 † | $ | 10,000,000 | $ | 9,999,811 | ||||
0.050% due 02/17/22 † | 6,000,000 | 5,999,625 | ||||||
0.223% due 11/03/22 | 5,000,000 | 4,988,389 | ||||||
Total short-term U.S. government and agency obligations (cost $20,990,068) | $ | 20,987,825 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires March 2020 | 27 | $ | 2,419,335 | $ | (82,181 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 01/06/20 | $ | (9,595,700 | ) | $ | (788,313 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 01/06/20 | (4,926,137 | ) | (401,324 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 01/06/20 | (10,687,683 | ) | (764,267 | ) | ||||||||||
Total Unrealized Depreciation | | $ | (1,953,904 | ) | ||||||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with UBS AG | 01/14/22 | 1,993,400,000 | $ | 17,321,496 | $ | (367,588 | ) | |||||||||
Total Unrealized Depreciation | | $ | (367,588 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 01/14/22 | (1,825,330,165 | ) | $ | (15,861,066 | ) | $ | 312,169 | ||||||||
Yen with UBS AG | 01/14/22 | (5,863,453,575 | ) | (50,950,028 | ) | 924,999 | ||||||||||
Total Unrealized Appreciation | $ | 1,237,168 | ||||||||||||||
† | All or partial amount pledged as collateral for |
^ | The positions and counterparties herein are as of December 31, |
^^ | Rates shown represent discount rate at the time of purchase. |
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 52,402 | $ | 279,294 | $ | 309,090 | ||||||
Expenses | ||||||||||||
Management fee | 237,140 | 139,668 | 196,546 | |||||||||
Brokerage commissions | 22,323 | 7,713 | 72 | |||||||||
Brokerage fees | 14,141 | — | — | |||||||||
Non-recurring fees and expenses | 454 | — | — | |||||||||
Total expenses | 274,058 | 147,381 | 196,618 | |||||||||
Net investment income (loss) | (221,656 | ) | 131,913 | 112,472 | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (4,571,982 | ) | (409,222 | ) | 19,939 | |||||||
Swap agreements | (12,277,833 | ) | (1,991,050 | ) | — | |||||||
Forward agreements | — | (2,144,498 | ) | 5,005,037 | ||||||||
Short-term U.S. government and agency obligations | — | 226 | (2,031 | ) | ||||||||
Net realized gain (loss) | (16,849,815 | ) | (4,544,544 | ) | 5,022,945 | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (137,895 | ) | (37,264 | ) | (43,267 | ) | ||||||
Swap agreements | (1,243,657 | ) | (1,953,904 | ) | — | |||||||
Forward agreements | — | 1,793,011 | (76,848 | ) | ||||||||
Short-term U.S. government and agency obligations | (704 | ) | 727 | 2,924 | ||||||||
Change in net unrealized appreciation (depreciation) | (1,382,256 | ) | (197,430 | ) | (117,191 | ) | ||||||
Net realized and unrealized gain (loss) | (18,232,071 | ) | (4,741,974 | ) | 4,905,754 | |||||||
Net income (loss) | $ | (18,453,727 | ) | $ | (4,610,061 | ) | $ | 5,018,226 | ||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Shareholders’ equity, beginning of period | $ | 13,834,163 | $ | 11,768,863 | $ | 14,806,259 | ||||||
Addition of 13,700,000, 1,000,000 and 800,000 shares, respectively | 135,806,096 | 35,269,175 | 27,656,086 | |||||||||
Redemption of 10,050,000, 800,000 and 950,000 shares, respectively | (102,300,757 | ) | (28,593,814 | ) | (35,711,708 | ) | ||||||
Net addition (redemption) of 3,650,000, 200,000 and (150,000) shares, respectively | 33,505,339 | 6,675,361 | (8,055,622 | ) | ||||||||
Net investment income (loss) | (221,656 | ) | 131,913 | 112,472 | ||||||||
Net realized gain (loss) | (16,849,815 | ) | (4,544,544 | ) | 5,022,945 | |||||||
Change in net unrealized appreciation (depreciation) | (1,382,256 | ) | (197,430 | ) | (117,191 | ) | ||||||
Net income (loss) | (18,453,727 | ) | (4,610,061 | ) | 5,018,226 | |||||||
Shareholders’ equity, end of period | $ | 28,885,775 | $ | 13,834,163 | $ | 11,768,863 | ||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (18,453,727 | ) | $ | (4,610,061 | ) | $ | 5,018,226 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (19,382,699 | ) | (259,643,345 | ) | (906,025,439 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 28,574,000 | 253,938,061 | 921,367,007 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (29,138 | ) | (161,864 | ) | (285,580 | ) | ||||||
Net realized gain (loss) on investments | — | (226 | ) | 2,031 | ||||||||
Change in unrealized appreciation (depreciation) on investments | 1,244,361 | 160,166 | 73,924 | |||||||||
Decrease (Increase) in receivable on futures contracts | (34,645 | ) | (4,800 | ) | — | |||||||
Decrease (Increase) in interest receivable | 3,512 | 3,521 | (7,847 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | 13,935 | 507 | (5,971 | ) | ||||||||
Increase (Decrease) in payable on futures contracts | 67,766 | 12,796 | 3,500 | |||||||||
Increase (Decrease) in non-recurring fees and expenses payable | 133 | — | — | |||||||||
Net cash provided by (used in) operating activities | (7,996,502 | ) | (10,305,245 | ) | 20,139,851 | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 135,806,096 | 35,269,175 | 27,656,086 | |||||||||
Payment on shares redeemed | (102,300,757 | ) | (28,593,814 | ) | (38,883,485 | ) | ||||||
Net cash provided by (used in) financing activities | 33,505,339 | 6,675,361 | (11,227,399 | ) | ||||||||
Net increase (decrease) in cash | 25,508,837 | (3,629,884 | ) | 8,912,452 | ||||||||
Cash, beginning of period | 6,646,212 | 10,276,096 | 1,363,644 | |||||||||
Cash, end of period | $ | 32,155,049 | $ | 6,646,212 | $ | 10,276,096 | ||||||
December 31, 2020 | December 31, 2019 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $25,541,523, respectively) | $ | — | $ | 25,542,823 | ||||
Cash | 21,470,564 | 12,507,112 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 2,804,000 | — | ||||||
Unrealized appreciation on foreign currency forward contracts | 7,008 | 95,899 | ||||||
Interest receivable | 914 | 19,330 | ||||||
Total assets | 24,282,486 | 38,165,164 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 19,348 | 32,844 | ||||||
Unrealized depreciation on foreign currency forward contracts | 571,974 | — | ||||||
Non-recurring fees and expenses payable | 94 | — | ||||||
Total liabilities | 591,416 | 32,844 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 23,691,070 | 38,132,320 | ||||||
Total liabilities and shareholders’ equity | $ | 24,282,486 | $ | 38,165,164 | ||||
Shares outstanding | 349,290 | 499,290 | ||||||
Net asset value per share | $ | 67.83 | $ | 76.37 | ||||
Market value per share (Note 2) | $ | 67.81 | $ | 76.35 | ||||
Foreign Currency Forward Contracts ^ | ||||||||||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with UBS AG | 01/15/21 | 315,800,000 | $ | 3,058,862 | $ | 7,008 | ||||||||||
| Total Unrealized Appreciation | | $ | 7,008 | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 01/15/21 | (2,009,085,165 | ) | $ | (19,460,150 | ) | $ | (207,021 | ) | |||||||
Yen with UBS AG | 01/15/21 | (3,196,558,875 | ) | (30,962,109 | ) | (364,953 | ) | |||||||||
| Total Unrealized Depreciation | | $ | (571,974 | ) | |||||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with UBS AG | 01/15/21 | 315,800,000 | $ | 3,058,862 | $ | 7,008 | ||||||||||
Total Unrealized Appreciation | | $ | 7,008 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 01/15/21 | (2,009,085,165 | ) | $ | (19,460,150 | ) | $ | (207,021 | ) | |||||||
Yen with UBS AG | 01/15/21 | (3,196,558,875 | ) | (30,962,109 | ) | (364,953 | ) | |||||||||
Total Unrealized Depreciation | $ | (571,974 | ) | |||||||||||||
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(67% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 5,000,000 | $ | 4,998,658 | ||||
1.547% due 01/30/20 † | 7,000,000 | 6,991,873 | ||||||
1.514% due 02/06/20 | 6,627,000 | 6,617,368 | ||||||
1.519% due 02/13/20 | 6,947,000 | 6,934,924 | ||||||
Total short-term U.S. government and agency obligations (cost $25,541,523) | $ | 25,542,823 | ||||||
Foreign Currency Forward Contracts ^ | ||||||||||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with UBS AG | 01/10/20 | 1,025,624,482 | $ | 9,441,012 | $ | 36,292 | ||||||||||
$ | 36,292 | |||||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 01/10/20 | (4,448,656,033 | ) | $ | (40,950,479 | ) | $ | 32,828 | ||||||||
Yen with UBS AG | 01/10/20 | (4,893,578,348 | ) | (45,046,049 | ) | 26,779 | ||||||||||
$ | 59,607 | |||||||||||||||
| Total Unrealized Appreciation | | $ | 95,899 | ||||||||||||
Year Ended December 31, | Year Ended December 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2021 | 2020 | 2019 | |||||||||||||||||||
Investment Income | ||||||||||||||||||||||||
Interest | $ | 139,822 | $ | 1,007,112 | $ | 1,399,342 | $ | 12,708 | $ | 139,822 | $ | 1,007,112 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Management fee | 268,213 | 451,638 | 791,468 | 260,096 | 268,213 | 451,638 | ||||||||||||||||||
Non-recurring fees and expenses | 811 | — | — | — | 811 | — | ||||||||||||||||||
Total expenses | 269,024 | 451,638 | 791,468 | 260,096 | 269,024 | 451,638 | ||||||||||||||||||
Net investment income (loss) | (129,202 | ) | 555,474 | 607,874 | (247,388 | ) | (129,202 | ) | 555,474 | |||||||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||
Foreign currency forward contracts | (2,619,441 | ) | (1,979,140 | ) | 2,111,627 | 4,102,966 | (2,619,441 | ) | (1,979,140 | ) | ||||||||||||||
Short-term U.S. government and agency obligations | — | (539 | ) | 3 | 23,962 | — | (539 | ) | ||||||||||||||||
Net realized gain (loss) | (2,619,441 | ) | (1,979,679 | ) | 2,111,630 | 4,126,928 | (2,619,441 | ) | (1,979,679 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||
Foreign currency forward contracts | (660,865 | ) | 3,219,643 | (4,651,007 | ) | 1,434,546 | (660,865 | ) | 3,219,643 | |||||||||||||||
Short-term U.S. government and agency obligations | (1,300 | ) | 878 | 10,722 | (2,243 | ) | (1,300 | ) | 878 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (662,165 | ) | 3,220,521 | (4,640,285 | ) | 1,432,303 | (662,165 | ) | 3,220,521 | |||||||||||||||
Net realized and unrealized gain (loss) | (3,281,606 | ) | 1,240,842 | (2,528,655 | ) | 5,559,231 | (3,281,606 | ) | 1,240,842 | |||||||||||||||
Net income (loss) | $ | (3,410,808 | ) | $ | 1,796,316 | $ | (1,920,781 | ) | $ | 5,311,843 | $ | (3,410,808 | ) | $ | 1,796,316 | |||||||||
Year Ended December 31, | Year Ended December 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2021 | 2020 | 2019 | |||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 38,132,320 | $ | 55,363,675 | $ | 131,077,453 | $ | 23,691,070 | $ | 38,132,320 | $ | 55,363,675 | ||||||||||||
Addition of 200,000, 150,000 and 450,000 shares, respectively | 15,241,370 | 11,238,107 | 34,403,213 | |||||||||||||||||||||
Redemption of 250,000, 300,000 and 700,000 shares, respectively | (19,403,499 | ) | (22,268,549 | ) | (53,430,884 | ) | ||||||||||||||||||
Addition of 150,000, 450,000 and 100,000 shares, respectively | 11,238,107 | 34,403,213 | 7,078,646 | |||||||||||||||||||||
Redemption of 300,000, 700,000 and 1,100,000 shares, respectively | (22,268,549 | ) | (53,430,884 | ) | (80,871,643 | ) | ||||||||||||||||||
Net addition (redemption) of (150,000), (250,000) and (1,000,000) shares, respectively | (11,030,442 | ) | (19,027,671 | ) | (73,792,997 | ) | ||||||||||||||||||
Net addition (redemption) of (50,000), (150,000) and (250,000) shares, respectively | (4,162,129 | ) | (11,030,442 | ) | (19,027,671 | ) | ||||||||||||||||||
Net investment income (loss) | (129,202 | ) | 555,474 | 607,874 | (247,388 | ) | (129,202 | ) | 555,474 | |||||||||||||||
Net realized gain (loss) | (2,619,441 | ) | (1,979,679 | ) | 2,111,630 | 4,126,928 | (2,619,441 | ) | (1,979,679 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) | (662,165 | ) | 3,220,521 | (4,640,285 | ) | 1,432,303 | (662,165 | ) | 3,220,521 | |||||||||||||||
Net income (loss) | (3,410,808 | ) | 1,796,316 | (1,920,781 | ) | 5,311,843 | (3,410,808 | ) | 1,796,316 | |||||||||||||||
Shareholders’ equity, end of period | $ | 23,691,070 | $ | 38,132,320 | $ | 55,363,675 | $ | 24,840,784 | $ | 23,691,070 | $ | 38,132,320 | ||||||||||||
Year Ended December 31, | Year Ended December 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2021 | 2020 | 2019 | |||||||||||||||||||
Cash flow from operating activities | ||||||||||||||||||||||||
Net income (loss) | $ | (3,410,808 | ) | $ | 1,796,316 | $ | (1,920,781 | ) | $ | 5,311,843 | $ | (3,410,808 | ) | $ | 1,796,316 | |||||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||||||||||||||
Purchases of short-term U.S. government and agency obligations | (46,753,062 | ) | (669,716,446 | ) | (3,738,985,179 | ) | (54,483,615 | ) | (46,753,062 | ) | (669,716,446 | ) | ||||||||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 72,374,000 | 679,904,665 | 3,837,199,781 | 33,523,962 | 72,374,000 | 679,904,665 | ||||||||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (79,415 | ) | (779,474 | ) | (1,320,754 | ) | (6,453 | ) | (79,415 | ) | (779,474 | ) | ||||||||||||
Net realized gain (loss) on investments | — | 539 | (3 | ) | ||||||||||||||||||||
Change in unrealized appreciation (depreciation) on investments | 662,165 | (3,220,521 | ) | 4,640,285 | ||||||||||||||||||||
Net realized (gain) loss on investments | (23,962 | ) | — | 539 | ||||||||||||||||||||
Change in unrealized (appreciation) depreciation on investments | (1,432,303 | ) | 662,165 | (3,220,521 | ) | |||||||||||||||||||
Decrease (Increase) in interest receivable | 18,416 | (4,357 | ) | (14,973 | ) | 575 | 18,416 | (4,357 | ) | |||||||||||||||
Increase (Decrease) in payable to Sponsor | (13,496 | ) | (16,193 | ) | (57,826 | ) | 863 | (13,496 | ) | (16,193 | ) | |||||||||||||
Increase (Decrease) in non-recurring fees and expenses payable | 94 | — | — | (94 | ) | 94 | — | |||||||||||||||||
Net cash provided by (used in) operating activities | 22,797,894 | 7,964,529 | 99,540,550 | (17,109,184 | ) | 22,797,894 | 7,964,529 | |||||||||||||||||
Cash flow from financing activities | ||||||||||||||||||||||||
Proceeds from addition of shares | 11,238,107 | 34,403,213 | 7,078,646 | 15,241,370 | 11,238,107 | 34,403,213 | ||||||||||||||||||
Payment on shares redeemed | (22,268,549 | ) | (53,430,884 | ) | (84,631,626 | ) | (19,403,499 | ) | (22,268,549 | ) | (53,430,884 | ) | ||||||||||||
Net cash provided by (used in) financing activities | (11,030,442 | ) | (19,027,671 | ) | (77,552,980 | ) | (4,162,129 | ) | (11,030,442 | ) | (19,027,671 | ) | ||||||||||||
Net increase (decrease) in cash | 11,767,452 | (11,063,142 | ) | 21,987,570 | (21,271,313 | ) | 11,767,452 | (11,063,142 | ) | |||||||||||||||
Cash, beginning of period | 12,507,112 | 23,570,254 | 1,582,684 | 24,274,564 | 12,507,112 | 23,570,254 | ||||||||||||||||||
Cash, end of period | $ | 24,274,564 | $ | 12,507,112 | $ | 23,570,254 | $ | 3,003,251 | $ | 24,274,564 | $ | 12,507,112 | ||||||||||||
December 31, 2020 | December 31, 2019 | December 31, 2021 | December 31, 2020 | |||||||||||||
Assets | ||||||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $44,999,073 and $13,979,509, respectively) | $ | 44,999,732 | $ | 13,980,559 | ||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $85,937,303 and $44,999,073, respectively) | $ | 85,922,969 | $ | 44,999,732 | ||||||||||||
Cash | 14,723,084 | 27,654,022 | 8,130,069 | 14,723,084 | ||||||||||||
Segregated cash balances with brokers for futures contracts | 13,079,750 | 5,476,631 | 18,941,750 | 13,079,750 | ||||||||||||
Receivable on open futures contracts | 247,077 | — | 63,397 | 247,077 | ||||||||||||
Interest receivable | 643 | 34,527 | 1,097 | 643 | ||||||||||||
Total assets | 73,050,286 | 47,145,739 | 113,059,282 | 73,050,286 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
Payable for capital shares redeemed | 915,787 | — | — | 915,787 | ||||||||||||
Payable on open futures contracts | — | 1,129,877 | 94,495 | — | ||||||||||||
Brokerage commissions and fees payable | 10,395 | — | ||||||||||||||
Brokerage commissions and futures account fees payable | 7,124 | 10,395 | ||||||||||||||
Payable to Sponsor | 49,009 | 29,278 | 81,983 | 49,009 | ||||||||||||
Total liabilities | 975,191 | 1,159,155 | 183,602 | 975,191 | ||||||||||||
Commitments and Contingencies (Note 2) | 0 | 0 | 0 | 0 | ||||||||||||
Shareholders’ equity | ||||||||||||||||
Shareholders’ equity | 72,075,095 | 45,986,584 | 112,875,680 | 72,075,095 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 73,050,286 | $ | 47,145,739 | $ | 113,059,282 | $ | 73,050,286 | ||||||||
Shares outstanding | 1,962,403 | 2,162,403 | 3,687,403 | 1,962,403 | ||||||||||||
Net asset value per share | $ | 36.73 | $ | 21.27 | $ | 30.61 | $ | 36.73 | ||||||||
Market value per share (Note 2) | $ | 36.70 | $ | 21.29 | $ | 30.57 | $ | 36.70 | ||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(62% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.094% due 01/07/21 | $ | 35,000,000 | $ | 34,999,871 | ||||
0.110% due 01/14/21 | 10,000,000 | 9,999,861 | ||||||
Total short-term U.S. government and agency obligations (cost $44,999,073) | $ | 44,999,732 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(76% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 | $ | 15,000,000 | $ | 14,999,717 | ||||
0.051% due 02/17/22 | 39,000,000 | 38,997,562 | ||||||
0.223% due 11/03/22 | 32,000,000 | 31,925,690 | ||||||
Total short-term U.S. government and agency obligations (cost $85,937,303) | $ | 85,922,969 | ||||||
Futures Contracts Purchased | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires April 2021 | 463 | $ | 12,014,850 | $ | (636,961 | ) | ||||||
VIX Futures - Cboe, expires May 2021 | 926 | 24,006,550 | (546,335 | ) | ||||||||
VIX Futures - Cboe, expires June 2021 | 926 | 24,006,550 | 147,915 | |||||||||
VIX Futures - Cboe, expires July 2021 | 463 | 12,038,000 | (98,235 | ) | ||||||||
$ | (1,133,616 | ) | ||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires April 2022 | 907 | $ | 22,395,009 | $ | (233,089 | ) | ||||||
VIX Futures—Cboe, expires May 2022 | 1,484 | 37,466,251 | 642,035 | |||||||||
VIX Futures—Cboe, expires June 2022 | 1,484 | 37,944,099 | (1,015,473 | ) | ||||||||
VIX Futures—Cboe, expires July 2022 | 577 | 15,088,550 | (17,861 | ) | ||||||||
$ | (624,388 | ) | ||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(30% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.547% due 01/30/20 | $ | 7,000,000 | $ | 6,991,873 | ||||
1.462% due 02/06/20 † | 3,000,000 | 2,995,639 | ||||||
1.618% due 02/13/20 | 4,000,000 | 3,993,047 | ||||||
Total short-term U.S. government and agency obligations (cost $13,979,509) | $ | 13,980,559 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(62% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.094% due 01/07/21 | $ | 35,000,000 | $ | 34,999,871 | ||||
0.110% due 01/14/21 | 10,000,000 | 9,999,861 | ||||||
Total short-term U.S. government and agency obligations (cost $44,999,073) | $ | 44,999,732 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires April 2020 | 511 | $ | 8,904,175 | $ | (863,150 | ) | ||||||
VIX Futures - Cboe, expires May 2020 | 865 | 15,202,375 | (874,085 | ) | ||||||||
VIX Futures - Cboe, expires June 2020 | 865 | 15,461,875 | (549,720 | ) | ||||||||
VIX Futures - Cboe, expires July 2020 | 354 | 6,416,250 | 6,130 | |||||||||
$ | (2,280,825 | ) | ||||||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 214,449 | $ | 903,643 | $ | 368,351 | ||||||
Expenses | ||||||||||||
Management fee | 579,606 | 380,474 | 221,717 | |||||||||
Brokerage commissions | 65,093 | 29,956 | 30,306 | |||||||||
Brokerage fees | 75,922 | — | — | |||||||||
Total expenses | 720,621 | 410,430 | 252,023 | |||||||||
Net investment income (loss) | (506,172 | ) | 493,213 | 116,328 | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 15,454,616 | (6,228,652 | ) | 4,332,654 | ||||||||
Short-term U.S. government and agency obligations | — | 8 | — | |||||||||
Net realized gain (loss) | 15,454,616 | (6,228,644 | ) | 4,332,654 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 1,147,209 | (6,038,931 | ) | 5,973,386 | ||||||||
Short-term U.S. government and agency obligations | (391 | ) | 1,050 | (187 | ) | |||||||
Change in net unrealized appreciation (depreciation) | 1,146,818 | (6,037,881 | ) | 5,973,199 | ||||||||
Net realized and unrealized gain (loss) | 16,601,434 | (12,266,525 | ) | 10,305,853 | ||||||||
Net income (loss) | $ | 16,095,262 | $ | (11,773,312 | ) | $ | 10,422,181 | |||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Shareholders’ equity, beginning of period | $ | 45,986,584 | $ | 56,299,121 | $ | 26,347,948 | ||||||
Addition of 2,375,000, 1,400,000 and 2,325,000 shares, respectively | 90,654,600 | 31,405,087 | 56,218,143 | |||||||||
Redemption of 2,575,000, 1,350,000 and 1,450,000 shares, respectively | (80,661,351 | ) | (29,944,312 | ) | (36,689,151 | ) | ||||||
Net addition (redemption) of (200,000), 50,000 and 875,000 shares, respectively | 9,993,249 | 1,460,775 | 19,528,992 | |||||||||
Net investment income (loss) | (506,172 | ) | 493,213 | 116,328 | ||||||||
Net realized gain (loss) | 15,454,616 | (6,228,644 | ) | 4,332,654 | ||||||||
Change in net unrealized appreciation (depreciation) | 1,146,818 | (6,037,881 | ) | 5,973,199 | ||||||||
Net income (loss) | 16,095,262 | (11,773,312 | ) | 10,422,181 | ||||||||
Shareholders’ equity, end of period | $ | 72,075,095 | $ | 45,986,584 | $ | 56,299,121 | ||||||
Year Ended December 31, | ||||||||||||
2020 | 2019 | 2018 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 16,095,262 | $ | (11,773,312 | ) | $ | 10,422,181 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (116,503,878 | ) | (1,178,141,659 | ) | (2,159,804,178 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 85,600,000 | 1,164,579,598 | 2,181,000,000 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (115,686 | ) | (417,440 | ) | (202,494 | ) | ||||||
Net realized gain (loss) on investments | — | (8 | ) | — | ||||||||
Change in unrealized appreciation (depreciation) on investments | 391 | (1,050 | ) | 187 | ||||||||
Decrease (Increase) in receivable on futures contracts | (247,077 | ) | — | 170,015 | ||||||||
Decrease (Increase) in interest receivable | 33,884 | (5,423 | ) | (29,104 | ) | |||||||
Increase (Decrease) in payable to Sponsor | 19,731 | (2,802 | ) | 8,449 | ||||||||
Increase (Decrease) in brokerage commissions and fees payable | 10,395 | — | — | |||||||||
Increase (Decrease) in payable on futures contracts | (1,129,877 | ) | 564,382 | 565,495 | ||||||||
Net cash provided by (used in) operating activities | (16,236,855 | ) | (25,197,714 | ) | 32,130,551 | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 90,654,600 | 31,405,087 | 56,218,143 | |||||||||
Payment on shares redeemed | (79,745,564 | ) | (30,619,144 | ) | (37,072,628 | ) | ||||||
Net cash provided by (used in) financing activities | 10,909,036 | 785,943 | 19,145,515 | |||||||||
Net increase (decrease) in cash | (5,327,819 | ) | (24,411,771 | ) | 51,276,066 | |||||||
Cash, beginning of period | 33,130,653 | 57,542,424 | 6,266,358 | |||||||||
Cash, end of period | $ | 27,802,834 | $ | 33,130,653 | $ | 57,542,424 | ||||||
December 31, 2020 | December 31, 2019 | |||||||
Assets | �� | |||||||
Short-term U.S. government and agency obligations (Note 3) (cost $84,998,436 and $96,862,355, respectively) | $ | 84,999,583 | $ | 96,868,817 | ||||
Cash | 71,736,247 | 87,829,341 | ||||||
Segregated cash balances with brokers for futures contracts | 134,825,900 | 107,106,000 | ||||||
Receivable on open futures contracts | 2,295,585 | 909,042 | ||||||
Interest receivable | 2,815 | 123,538 | ||||||
Total assets | 293,860,130 | 292,836,738 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 231,900 | 12,920,593 | ||||||
Brokerage commissions and fees payable | 81,049 | — | ||||||
Payable to Sponsor | 156,632 | 123,642 | ||||||
Total liabilities | 469,581 | 13,044,235 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 293,390,549 | 279,792,503 | ||||||
Total liabilities and shareholders’ equity | $ | 293,860,130 | $ | 292,836,738 | ||||
Shares outstanding | 21,326,317 | 22,751,317 | ||||||
Net asset value per share | $ | 13.76 | $ | 12.30 | ||||
Market value per share (Note 2) | $ | 13.74 | $ | 12.43 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(29% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.096% due 01/07/21 | $ | 75,000,000 | $ | 74,999,722 | ||||
0.110% due 01/14/21 | 10,000,000 | 9,999,861 | ||||||
Total short-term U.S. government and agency obligations (cost $84,998,436) | $ | 84,999,583 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires January 2021 | 5,948 | $ | 140,818,900 | $ | (3,915,763 | ) | ||||||
VIX Futures - Cboe, expires February 2021 | 5,953 | 152,247,975 | (2,448,327 | ) | ||||||||
$ | (6,364,090 | ) | ||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires April 2021 | 463 | $ | 12,014,850 | $ | (636,961 | ) | ||||||
VIX Futures—Cboe, expires May 2021 | 926 | 24,006,550 | (546,335 | ) | ||||||||
VIX Futures—Cboe, expires June 2021 | 926 | 24,006,550 | 147,915 | |||||||||
VIX Futures—Cboe, expires July 2021 | 463 | 12,038,000 | (98,235 | ) | ||||||||
$ | (1,133,616 | ) | ||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 41,362 | $ | 214,449 | $ | 903,643 | ||||||
Expenses | ||||||||||||
Management fee | 858,979 | 579,606 | 380,474 | |||||||||
Brokerage commissions | 66,076 | 65,093 | 29,956 | |||||||||
Futures account fees | 122,120 | 75,922 | – | |||||||||
Total expenses | 1,047,175 | 720,621 | 410,430 | |||||||||
Net investment income (loss) | (1,005,813 | ) | (506,172 | ) | 493,213 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (15,267,976 | ) | 15,454,616 | (6,228,652 | ) | |||||||
Short-term U.S. government and agency obligations | 22,182 | – | 8 | |||||||||
Net realized gain (loss) | (15,245,794 | ) | 15,454,616 | (6,228,644 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 509,228 | 1,147,209 | (6,038,931 | ) | ||||||||
Short-term U.S. government and agency obligations | (14,993 | ) | (391 | ) | 1,050 | |||||||
Change in net unrealized appreciation (depreciation) | 494,235 | 1,146,818 | (6,037,881 | ) | ||||||||
Net realized and unrealized gain (loss) | (14,751,559 | ) | 16,601,434 | (12,266,525 | ) | |||||||
Net income (loss) | $ | (15,757,372 | ) | $ | 16,095,262 | $ | (11,773,312 | ) | ||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 72,075,095 | $ | 45,986,584 | $ | 56,299,121 | ||||||
Addition of 3,100,000, 2,375,000 and 1,400,000 shares, respectively | 101,849,396 | 90,654,600 | 31,405,087 | |||||||||
Redemption of 1,375,000, 2,575,000 and 1,350,000 shares, respectively | (45,291,439 | ) | (80,661,351 | ) | (29,944,312 | ) | ||||||
Net addition (redemption) of 1,725,000, (200,000) and 50,000 shares, respectively | 56,557,957 | 9,993,249 | 1,460,775 | |||||||||
Net investment income (loss) | (1,005,813 | ) | (506,172 | ) | 493,213 | |||||||
Net realized gain (loss) | (15,245,794 | ) | 15,454,616 | (6,228,644 | ) | |||||||
Change in net unrealized appreciation (depreciation) | 494,235 | 1,146,818 | (6,037,881 | ) | ||||||||
Net income (loss) | (15,757,372 | ) | 16,095,262 | (11,773,312 | ) | |||||||
Shareholders’ equity, end of period | $ | 112,875,680 | $ | 72,075,095 | $ | 45,986,584 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (15,757,372 | ) | $ | 16,095,262 | $ | (11,773,312 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (183,916,661 | ) | (116,503,878 | ) | (1,178,141,659 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 143,022,182 | 85,600,000 | 1,164,579,598 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (21,569 | ) | (115,686 | ) | (417,440 | ) | ||||||
Net realized (gain) loss on investments | (22,182 | ) | — | (8 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments | 14,993 | 391 | (1,050 | ) | ||||||||
Decrease (Increase) in receivable on open futures contracts | 183,680 | (247,077 | ) | — | ||||||||
Decrease (Increase) in interest receivable | (454 | ) | 33,884 | (5,423 | ) | |||||||
Increase (Decrease) in payable to Sponsor | 32,974 | 19,731 | (2,802 | ) | ||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (3,271 | ) | 10,395 | — | ||||||||
Increase (Decrease) in payable on open futures contracts | 94,495 | (1,129,877 | ) | 564,382 | ||||||||
Net cash provided by (used in) operating activities | (56,373,185 | ) | (16,236,855 | ) | (25,197,714 | ) | ||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 101,849,396 | 90,654,600 | 31,405,087 | |||||||||
Payment on shares redeemed | (46,207,226 | ) | (79,745,564 | ) | (30,619,144 | ) | ||||||
Net cash provided by (used in) financing activities | 55,642,170 | 10,909,036 | 785,943 | |||||||||
Net increase (decrease) in cash | (731,015 | ) | (5,327,819 | ) | (24,411,771 | ) | ||||||
Cash, beginning of period | 27,802,834 | 33,130,653 | 57,542,424 | |||||||||
Cash, end of period | $ | 27,071,819 | $ | 27,802,834 | $ | 33,130,653 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $150,887,871 and $84,998,436, respectively) | $ | 150,861,898 | $ | 84,999,583 | ||||
Cash | 11,013,736 | 71,736,247 | ||||||
Segregated cash balances with brokers for futures contracts | 104,947,080 | 134,825,900 | ||||||
Receivable from capital shares sold | 3,026,614 | 0 | ||||||
Receivable on open futures contracts | 2,115,232 | 2,295,585 | ||||||
Interest receivable | 1,774 | 2,815 | ||||||
Total assets | 271,966,334 | 293,860,130 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 2,037,391 | 231,900 | ||||||
Brokerage commissions and futures account fees payable | 38,926 | 81,049 | ||||||
Payable to Sponsor | 186,853 | 156,632 | ||||||
Total liabilities | 2,263,170 | 469,581 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 269,703,164 | 293,390,549 | ||||||
Total liabilities and shareholders’ equity | $ | 271,966,334 | $ | 293,860,130 | ||||
Shares outstanding (Note 1) | 17,832,826 | 5,331,579 | ||||||
Net asset value per share (Note 1) | $ | 15.12 | $ | 55.03 | ||||
Market value per share (Note 1)(Note 2) | $ | 15.17 | $ | 54.96 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(35% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.547% due 01/30/20 | $ | 53,000,000 | $ | 52,938,467 | ||||
1.462% due 02/06/20 † | 24,000,000 | 23,965,116 | ||||||
1.618% due 02/13/20 | 20,000,000 | 19,965,234 | ||||||
Total short-term U.S. government and agency obligations (cost $96,862,355) | $ | 96,868,817 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(56% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.039% due 01/20/22 | $ | 55,000,000 | $ | 54,998,961 | ||||
0.052% due 02/17/22 | 38,000,000 | 37,997,625 | ||||||
0.223% due 11/03/22 | 58,000,000 | 57,865,312 | ||||||
Total short-term U.S. government and agency obligations (cost $150,887,871) | $ | 150,861,898 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires January 2020 | 10,706 | $ | 156,575,250 | $ | (15,238,139 | ) | ||||||
VIX Futures - Cboe, expires February 2020 | 7,415 | 123,274,375 | (155,872 | ) | ||||||||
$ | (15,394,011 | ) | ||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires January 2022 | 8,015 | $ | 157,691,117 | $ | (26,665,175 | ) | ||||||
VIX Futures—Cboe, expires February 2022 | 5,101 | 112,071,521 | (3,465,444 | ) | ||||||||
$ | (30,130,619 | ) | ||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(29% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.096% due 01/07/21 | $ | 75,000,000 | $ | 74,999,722 | ||||
0.110% due 01/14/21 | 10,000,000 | 9,999,861 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $84,998,436) | $ | 84,999,583 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires January 2021 | 5,948 | $ | 140,818,900 | $ | (3,915,763 | ) | ||||||
VIX Futures—Cboe, expires February 2021 | 5,953 | 152,247,975 | (2,448,327 | ) | ||||||||
$ | (6,364,090 | ) | ||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Year Ended December 31, | Year Ended December 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2021 | 2020 | 2019 | |||||||||||||||||||
Investment Income | ||||||||||||||||||||||||
Interest | $ | 1,152,242 | $ | 4,458,270 | $ | 1,594,294 | $ | 101,051 | $ | 1,152,242 | $ | 4,458,270 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Management fee | 2,193,275 | 2,038,850 | 1,046,876 | 2,825,547 | 2,193,275 | 2,038,850 | ||||||||||||||||||
Brokerage commissions | 376,682 | 253,057 | 176,459 | 459,431 | 376,682 | 253,057 | ||||||||||||||||||
Brokerage fees | 475,247 | 12,964 | 4,294 | |||||||||||||||||||||
Futures account fees | 739,024 | 475,247 | 12,964 | |||||||||||||||||||||
Total expenses | 3,045,204 | 2,304,871 | 1,227,629 | 4,024,002 | 3,045,204 | 2,304,871 | ||||||||||||||||||
Net investment income (loss) | (1,892,962 | ) | 2,153,399 | 366,665 | (3,922,951 | ) | (1,892,962 | ) | 2,153,399 | |||||||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||
Futures contracts | 156,087,060 | (194,363,991 | ) | 89,903,111 | (360,342,488 | ) | 156,087,060 | (194,363,991 | ) | |||||||||||||||
Short-term U.S. government and agency obligations | — | 13,203 | (1,992 | ) | 37,661 | — | 13,203 | |||||||||||||||||
Net realized gain (loss) | 156,087,060 | (194,350,788 | ) | 89,901,119 | (360,304,827 | ) | 156,087,060 | (194,350,788 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||
Futures contracts | 9,029,921 | (32,772,456 | ) | 22,140,322 | (23,766,529 | ) | 9,029,921 | (32,772,456 | ) | |||||||||||||||
Short-term U.S. government and agency obligations | (5,315 | ) | 1,793 | 14,835 | (27,120 | ) | (5,315 | ) | 1,793 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 9,024,606 | (32,770,663 | ) | 22,155,157 | (23,793,649 | ) | 9,024,606 | (32,770,663 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 165,111,666 | (227,121,451 | ) | 112,056,276 | (384,098,476 | ) | 165,111,666 | (227,121,451 | ) | |||||||||||||||
Net income (loss) | $ | 163,218,704 | $ | (224,968,052 | ) | $ | 112,422,941 | $ | (388,021,427 | ) | $ | 163,218,704 | $ | (224,968,052 | ) | |||||||||
Year Ended December 31, | Year Ended December 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2021 | 2020 | 2019 | |||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 279,792,503 | $ | 149,547,115 | $ | 137,741,560 | $ | 293,390,549 | $ | 279,792,503 | $ | 149,547,115 | ||||||||||||
Addition of 26,325,000, 30,800,000 and 8,275,000 shares, respectively | 484,607,638 | 623,530,990 | 234,775,305 | |||||||||||||||||||||
Redemption of 27,750,000, 11,925,000 and 10,300,000 shares, respectively | (634,228,296 | ) | (268,317,550 | ) | (335,392,691 | ) | ||||||||||||||||||
Addition of 22,606,250, 6,581,250 and 7,700,000 shares, respectively (Note 1) | 696,075,984 | 484,607,638 | 623,530,990 | |||||||||||||||||||||
Redemption of 10,105,003, 6,937,500 and 2,981,250 shares, respectively (Note 1) | (331,741,942 | ) | (634,228,296 | ) | (268,317,550 | ) | ||||||||||||||||||
Net addition (redemption) of (1,425,000), 18,875,000 and (2,025,000) shares, respectively | (149,620,658 | ) | 355,213,440 | (100,617,386 | ) | |||||||||||||||||||
Net addition (redemption) of 12,501,247, (356,250) and 4,718,750 shares, respectively (Note 1) | 364,334,042 | (149,620,658 | ) | 355,213,440 | ||||||||||||||||||||
Net investment income (loss) | (1,892,962 | ) | 2,153,399 | 366,665 | (3,922,951 | ) | (1,892,962 | ) | 2,153,399 | |||||||||||||||
Net realized gain (loss) | 156,087,060 | (194,350,788 | ) | 89,901,119 | (360,304,827 | ) | 156,087,060 | (194,350,788 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 9,024,606 | (32,770,663 | ) | 22,155,157 | (23,793,649 | ) | 9,024,606 | (32,770,663 | ) | |||||||||||||||
Net income (loss) | 163,218,704 | (224,968,052 | ) | 112,422,941 | (388,021,427 | ) | 163,218,704 | (224,968,052 | ) | |||||||||||||||
Shareholders’ equity, end of period | $ | 293,390,549 | $ | 279,792,503 | $ | 149,547,115 | $ | 269,703,164 | $ | 293,390,549 | $ | 279,792,503 | ||||||||||||
Year Ended December 31, | Year Ended December 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2021 | 2020 | 2019 | |||||||||||||||||||
Cash flow from operating activities | ||||||||||||||||||||||||
Net income (loss) | $ | 163,218,704 | $ | (224,968,052 | ) | $ | 112,422,941 | $ | (388,021,427 | ) | $ | 163,218,704 | $ | (224,968,052 | ) | |||||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||||||||||||||
Purchases of short-term U.S. government and agency obligations | (390,519,094 | ) | (1,733,756,719 | ) | (5,723,838,427 | ) | (561,816,463 | ) | (390,519,094 | ) | (1,733,756,719 | ) | ||||||||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 403,000,000 | 1,754,942,777 | 5,744,914,327 | 496,034,743 | 403,000,000 | 1,754,942,777 | ||||||||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (616,987 | ) | (3,254,877 | ) | (1,002,455 | ) | (70,054 | ) | (616,987 | ) | (3,254,877 | ) | ||||||||||||
Net realized gain (loss) on investments | — | (13,203 | ) | 1,992 | ||||||||||||||||||||
Change in unrealized appreciation (depreciation) on investments | 5,315 | (1,793 | ) | (14,835 | ) | |||||||||||||||||||
Decrease (Increase) in receivable on futures contracts | (1,386,543 | ) | 2,974 | 1,755,458 | ||||||||||||||||||||
Net realized (gain) loss on investments | (37,661 | ) | — | (13,203 | ) | |||||||||||||||||||
Change in unrealized (appreciation) depreciation on investments | 27,120 | 5,315 | (1,793 | ) | ||||||||||||||||||||
Decrease (Increase) in receivable on open futures contracts | 180,353 | (1,386,543 | ) | 2,974 | ||||||||||||||||||||
Decrease (Increase) in interest receivable | 120,723 | (106,572 | ) | (16,966 | ) | 1,041 | 120,723 | (106,572 | ) | |||||||||||||||
Increase (Decrease) in payable to Sponsor | 32,990 | 52,656 | 16,049 | 30,221 | 32,990 | 52,656 | ||||||||||||||||||
Increase (Decrease) in brokerage commissions and fees payable | 81,049 | — | — | |||||||||||||||||||||
Increase (Decrease) in payable on futures contracts | (12,688,693 | ) | 7,431,291 | 5,489,302 | ||||||||||||||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (42,123 | ) | 81,049 | — | ||||||||||||||||||||
Increase (Decrease) in payable on open futures contracts | 1,805,491 | (12,688,693 | ) | 7,431,291 | ||||||||||||||||||||
Net cash provided by (used in) operating activities | 161,247,464 | (199,671,518 | ) | 139,727,386 | (451,908,759 | ) | 161,247,464 | (199,671,518 | ) | |||||||||||||||
Cash flow from financing activities | ||||||||||||||||||||||||
Proceeds from addition of shares | 484,607,638 | 623,530,990 | 234,775,305 | 693,049,370 | 484,607,638 | 623,530,990 | ||||||||||||||||||
Payment on shares redeemed | (634,228,296 | ) | (268,317,550 | ) | (338,824,404 | ) | (331,741,942 | ) | (634,228,296 | ) | (268,317,550 | ) | ||||||||||||
Net cash provided by (used in) financing activities | (149,620,658 | ) | 355,213,440 | (104,049,099 | ) | 361,307,428 | (149,620,658 | ) | 355,213,440 | |||||||||||||||
Net increase (decrease) in cash | 11,626,806 | 155,541,922 | 35,678,287 | (90,601,331 | ) | 11,626,806 | 155,541,922 | |||||||||||||||||
Cash, beginning of period | 194,935,341 | 39,393,419 | 3,715,132 | 206,562,147 | 194,935,341 | 39,393,419 | ||||||||||||||||||
Cash, end of period | $ | 206,562,147 | $ | 194,935,341 | $ | 39,393,419 | $ | 115,960,816 | $ | 206,562,147 | $ | 194,935,341 | ||||||||||||
December 31, 2020 | December 31, 2019 | December 31, 2021 | December 31, 2020 | |||||||||||||
Assets | ||||||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $1,034,967,523 and $1,084,860,512, respectively) | $ | 1,034,986,384 | $ | 1,084,925,128 | ||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $2,505,722,885 and $1,034,967,523, respectively) | $ | 2,505,429,337 | $ | 1,034,986,384 | ||||||||||||
Cash | 1,651,161,384 | 770,114,050 | 394,413,910 | 1,651,161,384 | ||||||||||||
Segregated cash balances with brokers for futures contracts | 1,491,618,088 | 406,121,155 | 1,010,799,328 | 1,491,618,088 | ||||||||||||
Segregated cash balances with brokers for foreign currency forward contracts | 5,716,000 | 1,421,000 | 916,000 | 5,716,000 | ||||||||||||
Segregated cash balances with brokers for swap agreements | 107,967,985 | 12,539,000 | 2,572,000 | 107,967,985 | ||||||||||||
Unrealized appreciation on swap agreements | 80,135,841 | 52,840,748 | 113,159,180 | 80,135,841 | ||||||||||||
Unrealized appreciation on foreign currency forward contracts | 169,051 | 321,647 | 1,457,257 | 169,051 | ||||||||||||
Receivable from capital shares sold | 49,086,388 | 4,354,515 | 23,475,355 | 49,086,388 | ||||||||||||
Securities sold receivable | — | 3,883 | ||||||||||||||
Receivable on open futures contracts | 108,851,000 | 85,104,325 | 205,819,074 | 108,851,000 | ||||||||||||
Interest receivable | 66,871 | 978,751 | 22,943 | 66,871 | ||||||||||||
Total assets | 4,529,758,992 | 2,418,724,202 | 4,258,064,384 | 4,529,758,992 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
Payable for capital shares redeemed | 18,280,444 | — | 25,594,902 | 18,280,444 | ||||||||||||
Payable on open futures contracts | 27,874,393 | 50,904,424 | 51,142,167 | 27,874,393 | ||||||||||||
Brokerage commissions and fees payable | 691,005 | — | ||||||||||||||
Brokerage commissions and futures account fees payable | 476,241 | 691,005 | ||||||||||||||
Payable to Sponsor | 3,407,672 | 1,747,549 | 3,178,585 | 3,407,672 | ||||||||||||
Unrealized depreciation on swap agreements | 3,491,096 | 7,370,428 | 3,391,968 | 3,491,096 | ||||||||||||
Unrealized depreciation on foreign currency forward contracts | 1,714,898 | 2,376,700 | 806,178 | 1,714,898 | ||||||||||||
Non-recurring fees and expenses payable | 48,070 | — | — | 48,070 | ||||||||||||
Total liabilities | 55,507,578 | 62,399,101 | 84,590,041 | 55,507,578 | ||||||||||||
Commitments and Contingencies (Note 2) | 0 | 0 | 0 | 0 | ||||||||||||
Shareholders’ equity | ||||||||||||||||
Shareholders’ equity | 4,474,251,414 | 2,356,325,101 | 4,173,474,343 | 4,474,251,414 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 4,529,758,992 | $ | 2,418,724,202 | $ | 4,258,064,384 | $ | 4,529,758,992 | ||||||||
Shares outstanding (Note 1) | 228,676,695 | 110,924,568 | ||||||||||||||
Shares outstanding (Note 1)(Note 9) | 151,164,114 | 88,464,125 | ||||||||||||||
Year Ended December 31, | Year Ended December 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2021 | 2020* | 2019* | |||||||||||||||||||
Investment Income | ||||||||||||||||||||||||
Interest | $ | 9,509,062 | $ | 42,299,579 | $ | 32,979,194 | $ | 1,551,527 | $ | 9,509,062 | $ | 42,299,579 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Management fee | 35,217,092 | 21,893,743 | 23,335,844 | 42,560,986 | 35,217,092 | 21,893,743 | ||||||||||||||||||
Brokerage commissions | 8,610,392 | 4,922,076 | 5,852,459 | 8,889,232 | 8,610,392 | 4,922,076 | ||||||||||||||||||
Brokerage fees | 6,506,408 | 38,453 | 156,052 | |||||||||||||||||||||
Offering costs | — | — | 105,643 | |||||||||||||||||||||
Limitation by Sponsor | — | — | (27,133 | ) | ||||||||||||||||||||
Futures account fees | 7,549,345 | 6,506,408 | 38,453 | |||||||||||||||||||||
Non-recurring fees and expenses | 123,871 | 426,058 | — | 27,975 | 123,871 | 426,058 | ||||||||||||||||||
Total expenses | 50,457,763 | 27,280,330 | 29,422,865 | 59,027,538 | 50,457,763 | 27,280,330 | ||||||||||||||||||
Net investment income (loss) | (40,948,701 | ) | 15,019,249 | 3,556,329 | (57,476,011 | ) | (40,948,701 | ) | 15,019,249 | |||||||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||
Futures contracts | (534,820,051 | ) | (568,174,940 | ) | (1,441,403,318 | ) | (1,548,344,771 | ) | (534,820,051 | ) | (568,174,940 | ) | ||||||||||||
Swap agreements | (895,534,942 | ) | 76,076,549 | (2,745,254 | ) | (17,091,298 | ) | (895,534,942 | ) | 76,076,549 | ||||||||||||||
Options | (9,707,000 | ) | — | — | — | (9,707,000 | ) | — | ||||||||||||||||
Forward agreements | — | 33,894,330 | (58,472,765 | ) | — | — | 33,894,330 | |||||||||||||||||
Foreign currency forward contracts | (12,999,407 | ) | 11,101,620 | 19,830,895 | 9,440,376 | (12,999,407 | ) | 11,101,620 | ||||||||||||||||
Short-term U.S. government and agency obligations | 298,053 | 81,302 | (274,781 | ) | 529,886 | 298,053 | 81,302 | |||||||||||||||||
Net realized gain (loss) | (1,452,763,347 | ) | (447,021,139 | ) | (1,483,065,223 | ) | (1,555,465,807 | ) | (1,452,763,347 | ) | (447,021,139 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||
Futures contracts | 180,350,124 | (65,264,314 | ) | 26,203,793 | (106,029,049 | ) | 180,350,124 | (65,264,314 | ) | |||||||||||||||
Swap agreements | 31,174,425 | 98,921,668 | (85,082,567 | ) | 33,122,467 | 31,174,425 | 98,921,668 | |||||||||||||||||
Forward agreements | — | (27,771,221 | ) | 5,593,954 | — | — | (27,771,221 | ) | ||||||||||||||||
Foreign currency forward contracts | 509,206 | 2,329,446 | 203,179 | 2,196,926 | 509,206 | 2,329,446 | ||||||||||||||||||
Short-term U.S. government and agency obligations | (45,755 | ) | 48,308 | 207,334 | (312,409 | ) | (45,755 | ) | 48,308 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 211,988,000 | 8,263,887 | (52,874,307 | ) | (71,022,065 | ) | 211,988,000 | 8,263,887 | ||||||||||||||||
Net realized and unrealized gain (loss) | (1,240,775,347 | ) | (438,757,252 | ) | (1,535,939,530 | ) | (1,626,487,872 | ) | (1,240,775,347 | ) | (438,757,252 | ) | ||||||||||||
Net income (loss) | $ | (1,281,724,048 | ) | $ | (423,738,003 | ) | $ | (1,532,383,201 | ) | $ | (1,683,963,883 | ) | $ | (1,281,724,048 | ) | $ | (423,738,003 | ) | ||||||
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
Years Ended December 31, | Years Ended December 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2021 | 2020* | 2019* | |||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 2,356,325,101 | $ | 1,943,975,025 | $ | 2,947,278,212 | $ | 4,474,251,414 | $ | 2,356,325,101 | $ | 1,943,975,025 | ||||||||||||
Addition of 228,448,750, 411,008,250 and 69,839,500 shares, respectively (Note 1)(Note 9) | 7,879,243,191 | 11,960,442,112 | 5,130,205,439 | |||||||||||||||||||||
Redemption of 165,748,761, 370,572,373 and 60,998,251 shares, respectively (Note 1)(Note 9) | (6,496,056,379 | ) | (8,560,791,751 | ) | (4,294,117,360 | ) | ||||||||||||||||||
Addition of 612,797,000, 189,487,000 and 100,511,500 shares, respectively | 11,960,442,112 | 5,130,205,439 | 6,250,352,624 | |||||||||||||||||||||
Redemption of 495,044,873, 126,802,001 and 103,253,361 shares, respectively | (8,560,791,751 | ) | (4,294,117,360 | ) | (5,721,272,610 | ) | ||||||||||||||||||
Net addition (redemption) of 117,752,127, 62,684,999 and (2,741,861) shares, respectively | 3,399,650,361 | 836,088,079 | 529,080,014 | |||||||||||||||||||||
Net addition (redemption) of 62,699,989, 40,435,877 and 8,841,249 shares, respectively (Note 1)(Note 9) | 1,383,186,812 | 3,399,650,361 | 836,088,079 | |||||||||||||||||||||
Net investment income (loss) | (40,948,701 | ) | 15,019,249 | 3,556,329 | (57,476,011 | ) | (40,948,701 | ) | 15,019,249 | |||||||||||||||
Net realized gain (loss) | (1,452,763,347 | ) | (447,021,139 | ) | (1,483,065,223 | ) | (1,555,465,807 | ) | (1,452,763,347 | ) | (447,021,139 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 211,988,000 | 8,263,887 | (52,874,307 | ) | (71,022,065 | ) | 211,988,000 | 8,263,887 | ||||||||||||||||
Net income (loss) | (1,281,724,048 | ) | (423,738,003 | ) | (1,532,383,201 | ) | (1,683,963,883 | ) | (1,281,724,048 | ) | (423,738,003 | ) | ||||||||||||
Shareholders’ equity, end of period | $ | 4,474,251,414 | $ | 2,356,325,101 | $ | 1,943,975,025 | $ | 4,173,474,343 | $ | 4,474,251,414 | $ | 2,356,325,101 | ||||||||||||
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
Year ended December 31, | Year ended December 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2021 | 2020* | 2019* | |||||||||||||||||||
Cash flow from operating activities | ||||||||||||||||||||||||
Net income (loss) | $ | (1,281,724,048 | ) | $ | (423,738,003 | ) | $ | (1,532,383,201 | ) | $ | (1,683,963,883 | ) | $ | (1,281,724,048 | ) | $ | (423,738,003 | ) | ||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||||||||||||||
Purchases of short-term U.S. government and agency obligations | (4,602,920,701 | ) | (27,697,357,002 | ) | (99,953,125,278 | ) | (9,150,624,906 | ) | (4,602,920,701 | ) | (27,697,357,002 | ) | ||||||||||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 4,658,914,781 | 27,425,344,455 | 101,639,196,463 | 7,681,440,016 | 4,658,914,781 | 27,425,344,455 | ||||||||||||||||||
Net amortization and accretion on short-term U.S government and agency obligations | (5,803,938 | ) | (27,697,111 | ) | (25,444,619 | ) | (1,040,586 | ) | (5,803,938 | ) | (27,697,111 | ) | ||||||||||||
Net realized gain (loss) on investments | (298,053 | ) | �� | (81,302 | ) | 274,781 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) on investments | (31,637,876 | ) | (73,528,201 | ) | 79,078,100 | |||||||||||||||||||
Net realized (gain) loss on investments | (529,886 | ) | (298,053 | ) | (81,302 | ) | ||||||||||||||||||
Change in unrealized (appreciation) depreciation on investments | (35,006,984 | ) | (31,637,876 | ) | (73,528,201 | ) | ||||||||||||||||||
Decrease (Increase) in securities sold receivable | 3,883 | (3,883 | ) | — | — | 3,883 | (3,883 | ) | ||||||||||||||||
Decrease (Increase) in receivable on futures contracts | (23,746,675 | ) | (5,205,255 | ) | (34,668,088 | ) | ||||||||||||||||||
Decrease (Increase) in receivable in Limitation by Sponsor | — | — | 59,651 | |||||||||||||||||||||
Decrease (Increase) in receivable on open futures contracts | (96,968,074 | ) | (23,746,675 | ) | (5,205,255 | ) | ||||||||||||||||||
Decrease (Increase) in interest receivable | 911,880 | (423,564 | ) | (555,187 | ) | 43,928 | 911,880 | (423,564 | ) | |||||||||||||||
Amortization of offering costs | — | — | 105,643 | |||||||||||||||||||||
Increase (Decrease) in payable to Sponsor | 1,661,023 | 205,995 | (968,109 | ) | (229,087 | ) | 1,661,023 | 205,995 | ||||||||||||||||
Increase (Decrease) in brokerage commissions and fees payable | 691,005 | — | — | |||||||||||||||||||||
Increase (Decrease) in payable on futures contracts | (23,030,031 | ) | 18,830,370 | 30,119,414 | ||||||||||||||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (214,764 | ) | 691,005 | — | ||||||||||||||||||||
Increase (Decrease) in payable on open futures contracts | 23,267,774 | (23,030,031 | ) | 18,830,370 | ||||||||||||||||||||
Increase (Decrease) in non-recurring fees and expenses payable | 48,070 | — | — | (48,070 | ) | 48,070 | — | |||||||||||||||||
Net cash provided by (used in) operating activities | (1,306,930,680 | ) | (783,653,501 | ) | 201,689,570 | (3,263,874,522 | ) | (1,306,930,680 | ) | (783,653,501 | ) | |||||||||||||
Cash flow from financing activities | ||||||||||||||||||||||||
Proceeds from addition of shares | 11,915,710,239 | 5,180,423,903 | 6,196,623,015 | 7,904,854,224 | 11,915,710,239 | 5,180,423,903 | ||||||||||||||||||
Payment on shares redeemed | (8,542,511,307 | ) | (4,305,253,454 | ) | (5,783,407,073 | ) | (6,488,741,921 | ) | (8,542,511,307 | ) | (4,305,253,454 | ) | ||||||||||||
Net cash provided by (used in) financing activities | 3,373,198,932 | 875,170,449 | 413,215,942 | 1,416,112,303 | 3,373,198,932 | 875,170,449 | ||||||||||||||||||
Net increase (decrease) in cash | 2,066,268,252 | 91,516,948 | 614,905,512 | (1,847,762,219 | ) | 2,066,268,252 | 91,516,948 | |||||||||||||||||
Cash, beginning of period | 1,190,195,205 | 1,098,678,257 | 483,772,745 | 3,256,463,457 | 1,190,195,205 | 1,098,678,257 | ||||||||||||||||||
Cash, end of period | $ | 3,256,463,457 | $ | 1,190,195,205 | $ | 1,098,678,257 | $ | 1,408,701,238 | $ | 3,256,463,457 | $ | 1,190,195,205 | ||||||||||||
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
Fund | Execution Date (Prior to Opening of Trading) | Type of Split | Date Trading Resumed at Post- Split Price | |||||
ProShares Ultra Bloomberg | ||||||||
April 20, 2020 | 1-for-25 reverse Share split | April 21, 2020 | ||||||
ProShares Ultra Bloomberg Natural Gas | April 20, 2020 | 1-for-10 reverse Share split | April 21, 2020 |
May 25, 2021 | 1-for-10 reverse Share split | May 26, 2021 | |||||||
May 25, 2021 | 1-for-4 reverse Share split | May 26, 2021 | |||||||
ProShares UltraShort Silver | May 25, 2021 | 1-for-4 reverse Share split | May 26, 2021 | ||||||
ProShares VIX | May 25, 2021 | 1-for-4 reverse Share split | May 26, 2021 |
Fund | Create/Redeem Cut-off* | NAV Calculation Time | NAV Calculation Date | |||||
Ultra Silver and UltraShort Silver | 1:00 p.m. | 1:25 p.m. | December 31, | |||||
Ultra Gold and UltraShort Gold | 1:00 p.m. | 1:30 p.m. | December 31, | |||||
Ultra Bloomberg Crude Oil, | ||||||||
Ultra Bloomberg Natural Gas, | ||||||||
UltraShort Bloomberg Crude Oil and | ||||||||
UltraShort Bloomberg Natural Gas | 2:00 p.m. | 2:30 p.m. | December 31, 2021 | |||||
Short Euro, | ||||||||
Ultra Euro, | ||||||||
Ultra Yen, | ||||||||
UltraShort Australian Dollar, | ||||||||
UltraShort Euro and | ||||||||
UltraShort Yen | 3:00 p.m. | 4:00 p.m. | December 31, | |||||
Short VIX Short-Term Futures ETF, | ||||||||
Ultra VIX Short-Term Futures ETF, | ||||||||
VIX Mid-Term Futures ETF and | ||||||||
VIX Short-Term Futures ETF | ||||||||
2:00 p.m. | 4:00 p.m.** | December 31, |
* | Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the twelve months ended December 31, |
** | On Monday, October 26, 2020, each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Please see Note 8 in these Notes to Financial Statements for more information. |
Level I - Quoted Prices | Level II - Other Significant Observable Inputs | |||||||||||||||||||
Fund | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | |||||||||||||||
ProShares Short Euro | $ | — | $ | (44,626 | ) | $ | — | $ | — | $ | (44,626 | ) | ||||||||
ProShares Short VIX Short-Term Futures ETF | 69,999,639 | 8,348,783 | — | — | 78,348,422 | |||||||||||||||
ProShares Ultra Bloomberg Crude Oil | 219,998,394 | 144,564,039 | — | 18,242,195 | 382,804,628 | |||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 29,999,889 | 6,500,721 | — | — | 36,500,610 | |||||||||||||||
ProShares Ultra Euro | — | — | 88,736 | — | 88,736 | |||||||||||||||
ProShares Ultra Gold | 74,999,467 | 2,646,874 | — | 5,140,980 | 82,787,321 | |||||||||||||||
ProShares Ultra Silver | 244,993,989 | 37,190,212 | — | 56,752,666 | 338,936,867 | |||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 244,995,969 | (48,524,666 | ) | — | (24,807 | ) | 196,446,496 | |||||||||||||
ProShares Ultra Yen | — | — | 67,087 | — | 67,087 | |||||||||||||||
ProShares UltraShort Australian Dollar | — | (138,950 | ) | — | — | (138,950 | ) | |||||||||||||
ProShares UltraShort Bloomberg Crude Oil | — | (14,636,813 | ) | — | — | (14,636,813 | ) | |||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 9,999,861 | 379,310 | — | — | 10,379,171 | |||||||||||||||
ProShares UltraShort Euro | 9,999,861 | — | (1,136,704 | ) | — | 8,863,157 | ||||||||||||||
ProShares UltraShort Gold | — | (196,930 | ) | — | (268,728 | ) | (465,658 | ) | ||||||||||||
ProShares UltraShort Silver | — | (220,076 | ) | — | (3,197,561 | ) | (3,417,637 | ) | ||||||||||||
ProShares UltraShort Yen | — | — | (564,966 | ) | — | (564,966 | ) | |||||||||||||
ProShares VIX Mid-Term Futures ETF | 44,999,732 | (1,133,616 | ) | — | — | 43,866,116 | ||||||||||||||
ProShares VIX Short-Term Futures ETF | 84,999,583 | (6,364,090 | ) | — | — | 78,635,493 | ||||||||||||||
Total Trust | $ | 1,034,986,384 | $ | 128,370,172 | $ | (1,545,847 | ) | $ | 76,644,745 | $ | 1,238,455,454 |
Level I - Quoted Prices | Level II - Other Significant Observable Inputs | |||||||||||||||||||||
Fund | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | |||||||||||||||||
ProShares Short Euro | $ | — | $ | (5,400 | ) | $ | — | $ | — | $ | (5,400 | ) | ||||||||||
ProShares Short VIX Short-Term Futures ETF | 147,815,719 | 31,275,278 | — | — | 179,090,997 | |||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | 848,757,567 | 147,455,525 | — | 63,928,293 | 1,060,141,385 |
ProShares Ultra Bloomberg Natural Gas | $ | 90,922,438 | $ | (8,206,161 | ) | $ | — | $ | — | $ | 82,716,277 | |||||||||
ProShares Ultra Euro | 997,678 | — | 82,652 | — | 1,080,330 | |||||||||||||||
ProShares Ultra Gold | 207,956,320 | 654,894 | — | 8,639,188 | 217,250,402 | |||||||||||||||
ProShares Ultra Silver | 451,872,982 | 2,506,545 | — | 40,591,699 | 494,971,226 | |||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 221,660,593 | (126,356,757 | ) | — | (477,437 | ) | 94,826,399 | |||||||||||||
ProShares Ultra Yen | — | — | (93,112 | ) | — | (93,112 | ) | |||||||||||||
ProShares UltraShort Australian Dollar | 1,999,875 | (65,155 | ) | — | — | 1,934,720 | ||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 55,916,023 | (8,409,462 | ) | — | — | 47,506,561 | ||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 123,821,548 | 13,436,251 | — | — | 137,257,799 | |||||||||||||||
ProShares UltraShort Euro | 46,961,125 | — | (208,041 | ) | — | 46,753,084 | ||||||||||||||
ProShares UltraShort Gold | 25,980,516 | 158,079 | — | (993,117 | ) | 25,145,478 | ||||||||||||||
ProShares UltraShort Silver | 22,994,261 | 652,493 | — | (1,921,414 | ) | 21,725,340 | ||||||||||||||
ProShares UltraShort Yen | 20,987,825 | — | 869,580 | — | 21,857,405 | |||||||||||||||
ProShares VIX Mid-Term Futures ETF | 85,922,969 | (624,388 | ) | — | — | 85,298,581 | ||||||||||||||
ProShares VIX Short-Term Futures ETF | 150,861,898 | (30,130,619 | ) | — | — | 120,731,279 | ||||||||||||||
Combined Trust: | $ | 2,505,429,337 | $ | 22,341,123 | $ | 651,079 | $ | 109,767,212 | $ | 2,638,188,751 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Level I - Quoted Prices | Level II - Other Significant Observable Inputs | Level I - Quoted Prices | Level II - Other Significant Observable Inputs | |||||||||||||||||||||||||||||||||||||||
Fund | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | Fund | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | |||||||||||||||||||||||||||||||
ProShares Short Euro | $ | 745,805 | $ | (14,000 | ) | $ | — | $ | — | $ | 731,805 | ProShares Short Euro | $ | — | $ | (44,626 | ) | $ | — | $ | — | $ | (44,626 | ) | ||||||||||||||||||
ProShares Short VIX Short-Term Futures ETF | 56,929,436 | 10,254,872 | — | — | 67,184,308 | ProShares Short VIX Short-Term Futures ETF | 69,999,639 | 8,348,783 | — | — | 78,348,422 | |||||||||||||||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | 200,115,463 | 765,575 | — | 21,814,590 | 222,695,628 | ProShares Ultra Bloomberg Crude Oil | 219,998,394 | 144,564,039 | — | 18,242,195 | 382,804,628 | |||||||||||||||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 27,530,314 | (2,652,228 | ) | — | — | 24,878,086 | ProShares Ultra Bloomberg Natural Gas | 29,999,889 | 6,500,721 | — | — | 36,500,610 | ||||||||||||||||||||||||||||||
ProShares Ultra Euro | 3,970,412 | — | 109,997 | — | 4,080,409 | ProShares Ultra Euro | — | — | 88,736 | — | 88,736 | |||||||||||||||||||||||||||||||
ProShares Ultra Gold | 66,177,998 | 2,248,514 | — | 5,890,260 | 74,316,772 | ProShares Ultra Gold | 74,999,467 | 2,646,874 | — | 5,140,980 | 82,787,321 | |||||||||||||||||||||||||||||||
ProShares Ultra Silver | 135,544,101 | 5,724,549 | — | 25,135,898 | 166,404,548 | ProShares Ultra Silver | 244,993,989 | 37,190,212 | — | 56,752,666 | 338,936,867 | |||||||||||||||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 179,749,262 | (46,396,781 | ) | — | (209,784 | ) | 133,142,697 | ProShares Ultra VIX Short-Term Futures ETF | 244,995,969 | (48,524,666 | ) | — | (24,807 | ) | 196,446,496 | |||||||||||||||||||||||||||
ProShares Ultra Yen | 1,808,104 | — | (10,529 | ) | — | 1,797,575 | ProShares Ultra Yen | — | — | 67,087 | — | 67,087 | ||||||||||||||||||||||||||||||
ProShares UltraPro 3x Crude Oil ETF | 47,193,110 | 7,266,550 | — | — | 54,459,660 | |||||||||||||||||||||||||||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF | 57,375,132 | (8,358,056 | ) | — | — | 49,017,076 | ||||||||||||||||||||||||||||||||||||
ProShares UltraShort Australian Dollar | 3,931,474 | (224,000 | ) | — | — | 3,707,474 | ProShares UltraShort Australian Dollar | — | (138,950 | ) | — | — | (138,950 | ) | ||||||||||||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 62,199,283 | (3,118,689 | ) | — | (4,033,931 | ) | 55,046,663 | ProShares UltraShort Bloomberg Crude Oil | — | (14,636,813 | ) | — | — | (14,636,813 | ) | |||||||||||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 5,154,876 | 672,329 | — | — | 5,827,205 | ProShares UltraShort Bloomberg Natural Gas | 9,999,861 | 379,310 | — | — | 10,379,171 | |||||||||||||||||||||||||||||||
ProShares UltraShort Euro | 78,590,100 | — | (2,250,420 | ) | — | 76,339,680 | ProShares UltraShort Euro | 9,999,861 | — | (1,136,704 | ) | — | 8,863,157 | |||||||||||||||||||||||||||||
ProShares UltraShort Gold | 12,355,192 | (391,570 | ) | — | (1,172,809 | ) | 10,790,813 | ProShares UltraShort Gold | — | (196,930 | ) | — | (268,728 | ) | (465,658 | ) | ||||||||||||||||||||||||||
ProShares UltraShort Silver | 9,162,867 | (82,181 | ) | — | (1,953,904 | ) | 7,126,782 | ProShares UltraShort Silver | — | (220,076 | ) | — | (3,197,561 | ) | (3,417,637 | ) | ||||||||||||||||||||||||||
ProShares UltraShort Yen | 25,542,823 | — | 95,899 | — | 25,638,722 | ProShares UltraShort Yen | — | — | (564,966 | ) | — | (564,966 | ) | |||||||||||||||||||||||||||||
ProShares VIX Mid-Term Futures ETF | 13,980,559 | (2,280,825 | ) | — | — | 11,699,734 | ProShares VIX Mid-Term Futures ETF | 44,999,732 | (1,133,616 | ) | — | — | 43,866,116 | |||||||||||||||||||||||||||||
ProShares VIX Short-Term Futures ETF | 96,868,817 | (15,394,011 | ) | — | — | 81,474,806 | ProShares VIX Short-Term Futures ETF | 84,999,583 | (6,364,090 | ) | — | — | 78,635,493 | |||||||||||||||||||||||||||||
Total Trust | $ | 1,084,925,128 | $ | (51,979,952 | ) | $ | (2,055,053 | ) | $ | 45,470,320 | $ | 1,076,360,443 | ||||||||||||||||||||||||||||||
Combined Trust: | Combined Trust: | $ | 1,034,986,384 | $ | 128,370,172 | $ | (1,545,847 | ) | $ | 76,644,745 | $ | 1,238,455,454 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Fair Value of Derivative Instruments as of December 31, 2020 | ||||||||||||||||||||||||||||
Fair Value of Derivative Instruments as of December 31, 2021 | Fair Value of Derivative Instruments as of December 31, 2021 | |||||||||||||||||||||||||||
Asset Derivatives | Liability Derivatives | Asset Derivatives | Liability Derivatives | |||||||||||||||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Fund | Statements of Financial Condition Location | Unrealized Appreciation | Statements of Financial Condition Location | Unrealized Depreciation | Fund | Statements of Financial Condition Location | Unrealized Appreciation | Statements of Financial Condition Location | Unrealized Depreciation | ||||||||||||||||||
VIX Futures Contracts | Receivables on open futures contracts, unrealized appreciation on swap agreements | Payable on open futures contracts, unrealized depreciation on swap agreements | Receivables on open futures contracts, unrealized appreciation on swap agreements | Payable on open futures contracts, unrealized depreciation on swap agreements | ||||||||||||||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 8,348,783 | * | $ | — | ProShares Short VIX Short-Term Futures ETF | $ | 31,275,278 | * | $ | — | |||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | 48,549,473 | * | ProShares Ultra VIX Short-Term Futures ETF | — | 126,834,194 | * | |||||||||||||||||||||
ProShares VIX Mid-Term Futures ETF | 147,915 | * | 1,281,531 | * | ProShares VIX Mid-Term Futures ETF | 642,035 | * | 1,266,423 | * | |||||||||||||||||||
ProShares VIX Short-Term Futures ETF | — | 6,364,090 | * | ProShares VIX Short-Term Futures ETF | — | 30,130,619 | * | |||||||||||||||||||||
Commodities Contracts | Receivables on open futures contracts and/or unrealized appreciation on swap agreements | Payable on open futures contracts and/or unrealized depreciation on swap agreements | Receivables on open futures contracts and/or unrealized appreciation on swap agreements | Payable on open futures contracts and/or unrealized depreciation on swap agreements | ||||||||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | 162,806,234 | * | — | ProShares Ultra Bloomberg Crude Oil | 211,383,818 | * | — | |||||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 6,500,721 | * | — | ProShares Ultra Bloomberg Natural Gas | — | 8,206,161 | * | |||||||||||||||||||||
ProShares Ultra Gold | 7,787,854 | * | — | ProShares Ultra Gold | 9,294,082 | * | — | |||||||||||||||||||||
ProShares Ultra Silver | 93,942,878 | * | — | ProShares Ultra Silver | 43,098,244 | * | — | |||||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | — | 14,636,813 | * | ProShares UltraShort Bloomberg Crude Oil | 549,283 | * | 8,958,745 | * | ||||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 379,310 | * | — | ProShares UltraShort Bloomberg Natural Gas | 13,436,251 | * | — | |||||||||||||||||||||
ProShares UltraShort Gold | — | 465,658 | * | ProShares UltraShort Gold | 158,079 | * | 993,117 | * | ||||||||||||||||||||
ProShares UltraShort Silver | — | 3,417,637 | * | ProShares UltraShort Silver | 652,493 | * | 1,921,414 | * | ||||||||||||||||||||
Foreign Exchange Contracts | Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts | Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts | ||||||||||||||||||||||||
ProShares Short Euro | — | 44,626 | * | ProShares Short Euro | — | 5,400 | * | |||||||||||||||||||||
ProShares Ultra Euro | 89,103 | 367 | ProShares Ultra Euro | 84,150 | 1,498 | |||||||||||||||||||||||
ProShares Ultra Yen | 67,235 | 148 | ProShares Ultra Yen | 821 | 93,933 | |||||||||||||||||||||||
ProShares UltraShort Australian Dollar | — | 138,950 | * | ProShares UltraShort Australian Dollar | — | 65,155 | * | |||||||||||||||||||||
ProShares UltraShort Euro | 5,705 | 1,142,409 | ProShares UltraShort Euro | 135,118 | 343,159 | |||||||||||||||||||||||
ProShares UltraShort Yen | 7,008 | 571,974 | ProShares UltraShort Yen | 1,237,168 | 367,588 | |||||||||||||||||||||||
Total Trust | $ | 280,082,746 | * | $ | 76,613,676 | * | Combined Trust: | $ | 311,946,820 | * | $ | 179,187,406 | * |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Fair Value of Derivative Instruments as of December 31, 2019 | ||||||||||||||||||||||||||||
Fair Value of Derivative Instruments as of December 31, 2020 | Fair Value of Derivative Instruments as of December 31, 2020 | |||||||||||||||||||||||||||
Asset Derivatives | Liability Derivatives | Asset Derivatives | Liability Derivatives | |||||||||||||||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Fund | Statements of Financial Condition Location | Unrealized Appreciation | Statements of Financial Condition Location | Unrealized Depreciation | Fund | Statements of Financial Condition Location | Unrealized Appreciation | Statements of Financial Condition Location | Unrealized Depreciation | ||||||||||||||||||
VIX Futures Contracts | Receivables on open futures contracts, unrealized appreciation on swap agreements | Payable on open futures contracts, unrealized depreciation on swap agreements | Receivables on open futures contracts, unrealized appreciation on swap agreements | Payable on open futures contracts, unrealized depreciation on swap agreements | ||||||||||||||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 10,424,889 | * | $ | 170,017 | * | ProShares Short VIX Short-Term Futures ETF | $ | 8,348,783 | * | $ | — | ||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | 46,606,565 | * | ProShares Ultra VIX Short-Term Futures ETF | — | 48,549,473 | * | |||||||||||||||||||||
ProShares VIX Mid-Term Futures ETF | 6,130 | * | 2,286,955 | * | ProShares VIX Mid-Term Futures ETF | 147,915 | * | 1,281,531 | * | |||||||||||||||||||
ProShares VIX Short-Term Futures ETF | — | 15,394,011 | * | ProShares VIX Short-Term Futures ETF | — | 6,364,090 | * | |||||||||||||||||||||
Commodities Contracts | Receivables on open futures contracts and/or unrealized appreciation on swap agreements | Payable on open futures contracts and/or unrealized depreciation on swap agreements | Receivables on open futures contracts and/or unrealized appreciation on swap agreements | Payable on open futures contracts and/or unrealized depreciation on swap agreements | ||||||||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | 22,580,165 | * | — | |||||||||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas | — | 2,652,228 | * | |||||||||||||||||||||||||
ProShares Ultra Gold | 8,138,774 | * | — | ProShares Ultra Bloomberg Crude Oil | 162,806,234 | * | — | |||||||||||||||||||||
ProShares UltraPro 3x Crude Oil ETF | 7,266,550 | * | — | ProShares Ultra Bloomberg Natural Gas | 6,500,721 | * | — | |||||||||||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF | — | 8,358,056 | * | ProShares Ultra Gold | 7,787,854 | * | — | |||||||||||||||||||||
ProShares Ultra Silver | 30,860,447 | * | — | ProShares Ultra Silver | 93,942,878 | * | — | |||||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | — | 7,152,620 | * | ProShares UltraShort Bloomberg Crude Oil | — | 14,636,813 | * | |||||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 672,329 | * | — | ProShares UltraShort Bloomberg Natural Gas | 379,310 | * | — | |||||||||||||||||||||
ProShares UltraShort Gold | — | 1,564,379 | * | ProShares UltraShort Gold | — | 465,658 | * | |||||||||||||||||||||
ProShares UltraShort Silver | — | 2,036,085 | * | ProShares UltraShort Silver | — | 3,417,637 | * | |||||||||||||||||||||
Foreign Exchange Contracts | Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts | Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts | ||||||||||||||||||||||||
ProShares Short Euro | — | 14,000 | * | ProShares Short Euro | — | 44,626 | * | |||||||||||||||||||||
ProShares Ultra Euro | 109,997 | — | ProShares Ultra Euro | 89,103 | 367 | |||||||||||||||||||||||
ProShares Ultra Yen | — | 10,529 | ProShares Ultra Yen | 67,235 | 148 | |||||||||||||||||||||||
ProShares UltraShort Australian Dollar | — | 224,000 | * | ProShares UltraShort Australian Dollar | — | 138,950 | * | |||||||||||||||||||||
ProShares UltraShort Euro | 115,751 | 2,366,171 | ProShares UltraShort Euro | 5,705 | 1,142,409 | |||||||||||||||||||||||
ProShares UltraShort Yen | 95,899 | — | ProShares UltraShort Yen | 7,008 | 571,974 | |||||||||||||||||||||||
Total Trust | $ | 80,270,931 | * | $ | 88,835,616 | * | Combined Trust: | $ | 280,082,746 | * | $ | 76,613,676 | * |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
The Effect of Derivative Instruments on the Statement of Operations For the year ended December 31, 2020 | ||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | (72,609,314 | ) | $ | (1,906,089 | ) | ||||||
ProShares Ultra VIX Short-Term Futures ETF | (632,242,038 | ) | (1,942,908 | ) | ||||||||
ProShares VIX Mid-Term Futures ETF | 15,454,616 | 1,147,209 | ||||||||||
ProShares VIX Short-Term Futures ETF | 156,087,060 | 9,029,921 | ||||||||||
Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | |||||||||||
ProShares Ultra Bloomberg Crude Oil | (688,458,362 | ) | 140,226,069 | |||||||||
ProShares Ultra Bloomberg Natural Gas | (53,327,855 | ) | 9,152,949 | |||||||||
ProShares Ultra Gold | 35,452,046 | (350,920 | ) | |||||||||
ProShares Ultra Silver | 147,214,432 | 63,082,431 | ||||||||||
ProShares UltraShort Bloomberg Crude Oil | 12,949,117 | (7,484,193 | ) | |||||||||
ProShares UltraShort Bloomberg Natural Gas | 21,345 | (293,019 | ) | |||||||||
ProShares UltraShort Gold | (11,119,478 | ) | 1,098,721 | |||||||||
ProShares UltraShort Silver | (16,849,815 | ) | (1,381,552 | ) | ||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | |||||||||||
ProShares Short Euro | (200,965 | ) | (30,626 | ) | ||||||||
ProShares Ultra Euro | 504,035 | (21,261 | ) | |||||||||
ProShares Ultra Yen | 95,324 | 77,616 | ||||||||||
ProShares UltraShort Australian Dollar | (1,032,184 | ) | 85,050 | |||||||||
ProShares UltraShort Euro | (10,979,325 | ) | 1,113,716 | |||||||||
ProShares UltraShort Yen | (2,619,441 | ) | (660,865 | ) | ||||||||
Total Trust | $ | (1,121,660,802 | ) | $ | 210,942,249 |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 194,879,700 | $ | 22,926,495 | ||||||||
ProShares Ultra VIX Short-Term Futures ETF | (1,983,514,595 | ) | (78,284,721 | ) | ||||||||
ProShares VIX Mid-Term Futures ETF | (15,267,976 | ) | 509,228 | |||||||||
ProShares VIX Short-Term Futures ETF | (360,342,488 | ) | (23,766,529 | ) | ||||||||
Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | |||||||||||
ProShares Ultra Bloomberg Crude Oil | 952,749,709 | 48,577,584 | ||||||||||
ProShares Ultra Bloomberg Natural Gas | (51,858,807 | ) | (14,706,882 | ) | ||||||||
ProShares Ultra Gold | (31,344,564 | ) | 1,506,228 | |||||||||
ProShares Ultra Silver | (172,475,230 | ) | (50,844,634 | ) | ||||||||
ProShares UltraShort Bloomberg Crude Oil | (105,340,654 | ) | 6,227,351 | |||||||||
ProShares UltraShort Bloomberg Natural Gas | 9,180,867 | 13,056,941 | ||||||||||
ProShares UltraShort Gold | (2,454,946 | ) | (369,380 | ) | ||||||||
ProShares UltraShort Silver | (22,467 | ) | 2,148,716 | |||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | |||||||||||
ProShares Short Euro | 183,708 | 39,226 | ||||||||||
ProShares Ultra Euro | (500,185 | ) | (6,084 | ) | ||||||||
ProShares Ultra Yen | (442,767 | ) | (160,199 | ) | ||||||||
ProShares UltraShort Australian Dollar | 191,674 | 73,795 | ||||||||||
ProShares UltraShort Euro | 6,280,362 | 928,663 | ||||||||||
ProShares UltraShort Yen | 4,102,966 | 1,434,546 | ||||||||||
Combined Trust: | $ | (1,555,995,693 | ) | $ | (70,709,656 | ) |
The Effect of Derivative Instruments on the Statement of Operations For the year ended December 31, 2019 | ||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 125,639,084 | $ | 24,731,073 | ||||||||
ProShares Ultra VIX Short-Term Futures ETF | (612,858,632 | ) | (77,779,581 | ) | ||||||||
ProShares VIX Mid-Term Futures ETF | (6,228,652 | ) | (6,038,931 | ) | ||||||||
ProShares VIX Short-Term Futures ETF | (194,363,991 | ) | (32,772,456 | ) | ||||||||
Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | |||||||||||
ProShares Ultra Bloomberg Crude Oil | 144,170,473 | 109,387,591 | ||||||||||
ProShares Ultra Bloomberg Natural Gas | (32,380,194 | ) | 7,670,935 | |||||||||
ProShares Ultra Gold | 19,587,937 | 3,812,803 | ||||||||||
ProShares Ultra Silver | 34,367,044 | 4,217,994 | ||||||||||
ProShares UltraPro 3x Crude Oil ETF | 69,170,933 | 30,717,911 | ||||||||||
ProShares UltraPro 3x Short Crude Oil ETF | (2,410,550 | ) | (15,377,531 | ) | ||||||||
ProShares UltraShort Bloomberg Crude Oil | (14,251,700 | ) | (31,071,501 | ) | ||||||||
ProShares UltraShort Bloomberg Natural Gas | 19,286,567 | (10,165,660 | ) | |||||||||
ProShares UltraShort Gold | (5,193,260 | ) | (541,813 | ) | ||||||||
ProShares UltraShort Silver | (4,544,769 | ) | (198,157 | ) | ||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | |||||||||||
ProShares Short Euro | 972,479 | 29,281 | ||||||||||
ProShares Ultra Euro | (722,691 | ) | 52,059 | |||||||||
ProShares Ultra Yen | 58,152 | (187,640 | ) | |||||||||
ProShares UltraShort Australian Dollar | 833,171 | (735,825 | ) | |||||||||
ProShares UltraShort Euro | 13,745,299 | (754,616 | ) | |||||||||
ProShares UltraShort Yen | (1,979,140 | ) | 3,219,643 | |||||||||
Total Trust | $ | (447,102,440 | ) | $ | 8,215,579 |
The Effect of Derivative Instruments on the Statement of Operations For the year ended December 31, 2018 | ||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | (1,885,564,719 | ) | $ | (31,517,650 | ) | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 390,000,742 | 65,639,136 | ||||||||||
ProShares VIX Mid-Term Futures ETF | 4,332,654 | 5,973,386 | ||||||||||
ProShares VIX Short-Term Futures ETF | 89,903,111 | 22,140,322 | ||||||||||
Commodities Contracts | Net realized gain (loss) on futures contracts, swap and/or forward agreements/ changes in unrealized appreciation (depreciation) on futures contracts, swap and/or forward agreements | |||||||||||
ProShares Ultra Bloomberg Crude Oil | 21,756,994 | (160,991,766 | ) | |||||||||
ProShares Ultra Bloomberg Natural Gas | 21,092,864 | (17,548,973 | ) | |||||||||
ProShares Ultra Gold | (7,345,006 | ) | 674,136 | |||||||||
ProShares Ultra Silver | (57,488,526 | ) | 4,905,519 | |||||||||
ProShares UltraPro 3x Crude Oil ETF | (37,435,672 | ) | (24,869,359 | ) | ||||||||
ProShares UltraPro 3x Short Crude Oil ETF | 7,377,281 | 10,007,630 | ||||||||||
ProShares UltraShort Bloomberg Crude Oil | (42,040,086 | ) | 58,488,671 | |||||||||
ProShares UltraShort Bloomberg Natural Gas | (14,147,964 | ) | 11,935,038 | |||||||||
ProShares UltraShort Gold | 1,323,579 | 471,153 | ||||||||||
ProShares UltraShort Silver | 5,024,976 | (120,115 | ) | |||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | |||||||||||
ProShares Short Euro | 459,984 | 123,007 | ||||||||||
ProShares Ultra Euro | (1,063,823 | ) | (206,214 | ) | ||||||||
ProShares Ultra Yen | (170,364 | ) | 211,935 | |||||||||
ProShares UltraShort Australian Dollar | 128,451 | 1,405,045 | ||||||||||
ProShares UltraShort Euro | 18,953,455 | 4,848,465 | ||||||||||
ProShares UltraShort Yen | 2,111,627 | (4,651,007 | ) | |||||||||
Total Trust | $ | (1,482,790,442 | ) | $ | (53,081,641 | ) |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap a greements/ changes inunrealized appreciation (depreciation) on futures contracts and/or swap | |||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | (72,609,314 | ) | $ | (1,906,089 | ) | ||||||
ProShares Ultra VIX Short-Term Futures ETF | (632,242,038 | ) | (1,942,908 | ) | ||||||||
ProShares VIX Mid-Term Futures ETF | 15,454,616 | 1,147,209 | ||||||||||
ProShares VIX Short-Term Futures ETF | 156,087,060 | 9,029,921 | ||||||||||
Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | |||||||||||
ProShares Ultra Bloomberg Crude Oil | (688,458,362 | ) | 140,226,069 | |||||||||
ProShares Ultra Bloomberg Natural Gas | (53,327,855 | ) | 9,152,949 | |||||||||
ProShares Ultra Gold | 35,452,046 | (350,920 | ) | |||||||||
ProShares Ultra Silver | 147,214,432 | 63,082,431 | ||||||||||
ProShares UltraShort Bloomberg Crude Oil | 12,949,117 | (7,484,193 | ) | |||||||||
ProShares UltraShort Bloomberg Natural Gas | 21,345 | (293,019 | ) | |||||||||
ProShares UltraShort Gold | (11,119,478 | ) | 1,098,721 | |||||||||
ProShares UltraShort Silver | (16,849,815 | ) | (1,381,552 | ) | ||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | |||||||||||
ProShares Short Euro | (200,965 | ) | (30,626 | ) | ||||||||
ProShares Ultra Euro | 504,035 | (21,261 | ) |
ProShares Ultra Yen | $ | 95,324 | $ | 77,616 | ||||||||
ProShares UltraShort Australian Dollar | (1,032,184 | ) | 85,050 | |||||||||
ProShares UltraShort Euro | (10,979,325 | ) | 1,113,716 | |||||||||
ProShares UltraShort Yen | (2,619,441 | ) | (660,865 | ) | ||||||||
Combined Trust: | $ | (1,121,660,802 | ) | $ | 210,942,249 |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 125,639,084 | $ | 24,731,073 | ||||||||
ProShares Ultra VIX Short-Term Futures ETF | (612,858,632 | ) | (77,779,581 | ) | ||||||||
ProShares VIX Mid-Term Futures ETF | (6,228,652 | ) | (6,038,931 | ) | ||||||||
ProShares VIX Short-Term Futures ETF | (194,363,991 | ) | (32,772,456 | ) | ||||||||
Commodities Contracts | Net realized gain (loss) on futures contracts, swap and/or forward agreements/ changes in unrealized appreciation (depreciation) on futures contracts, swap and/or forward agreements | |||||||||||
ProShares Ultra Bloomberg Crude Oil | 144,170,473 | 109,387,591 | ||||||||||
ProShares Ultra Bloomberg Natural Gas | (32,380,194 | ) | 7,670,935 | |||||||||
ProShares Ultra Gold | 19,587,937 | 3,812,803 | ||||||||||
ProShares Ultra Silver | 34,367,044 | 4,217,994 | ||||||||||
ProShares UltraPro 3x Crude Oil ETF | 69,170,933 | 30,717,911 |
ProShares UltraPro 3x Short Crude Oil ETF | $ | (2,410,550 | ) | $ | (15,377,531 | ) | ||||||
ProShares UltraShort Bloomberg Crude Oil | (14,251,700 | ) | (31,071,501 | ) | ||||||||
ProShares UltraShort Bloomberg Natural Gas | 19,286,567 | (10,165,660 | ) | |||||||||
ProShares UltraShort Gold | (5,193,260 | ) | (541,813 | ) | ||||||||
ProShares UltraShort Silver | (4,544,769 | ) | (198,157 | ) | ||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | |||||||||||
ProShares Short Euro | 972,479 | 29,281 | ||||||||||
ProShares Ultra Euro | (722,691 | ) | 52,059 | |||||||||
ProShares Ultra Yen | 58,152 | (187,640 | ) | |||||||||
ProShares UltraShort Australian Dollar | 833,171 | (735,825 | ) | |||||||||
ProShares UltraShort Euro | 13,745,299 | (754,616 | ) | |||||||||
ProShares UltraShort Yen | (1,979,140 | ) | 3,219,643 | |||||||||
Combined Trust: | $ | (447,102,440 | ) | $ | 8,215,579 |
Fair Values of Derivative Instruments as of December 31, 2020 | ||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||
Fund | Gross Amounts of Recognized Assets presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Assets presented in the Statements of Financial Condition | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Liabilities presented in the Statements of Financial Condition | ||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||||||
Swap agreements | $ | 18,242,195 | $ | 0 | $ | 18,242,195 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 89,103 | 0 | 89,103 | 367 | 0 | 367 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | 5,140,980 | 0 | 5,140,980 | 0 | 0 | 0 | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | 56,752,666 | 0 | 56,752,666 | 0 | 0 | 0 | ||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||||||||||
Swap agreements | 0 | 0 | 0 | 24,807 | 0 | 24,807 | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 67,235 | 0 | 67,235 | 148 | 0 | 148 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 5,705 | 0 | 5,705 | 1,142,409 | 0 | 1,142,409 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | 0 | 0 | 0 | 268,728 | 0 | 268,728 | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | 0 | 0 | 0 | 3,197,561 | 0 | 3,197,561 | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 7,008 | 0 | 7,008 | 571,974 | 0 | 571,974 |
Fair Values of Derivative Instruments as of December 31, 2021 | ||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||
Fund | Gross Amounts of Recognized Assets presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Assets presented in the Statements of Financial Condition | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Liabilities presented in the Statements of Financial Condition | ||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||||||
Swap agreements | $ | 63,928,293 | $ | 0 | $ | 63,928,293 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 84,150 | 0 | 84,150 | 1,498 | 0 | 1,498 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | 8,639,188 | 0 | 8,639,188 | 0 | 0 | 0 | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | 40,591,699 | 0 | 40,591,699 | 0 | 0 | 0 | ||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||||||||||
Swap agreements | 0 | 0 | 0 | 477,437 | 0 | 477,437 | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 821 | 0 | 821 | 93,933 | 0 | 93,933 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 135,118 | 0 | 135,118 | 343,159 | 0 | 343,159 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | 0 | 0 | 0 | 993,117 | 0 | 993,117 | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | 0 | 0 | 0 | 1,921,414 | 0 | 1,921,414 | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 1,237,168 | 0 | 1,237,168 | 367,588 | 0 | 367,588 |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2021 | ||||||||||||||||
Fund | Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition | Financial Instruments for the Benefit of (the Funds) / the Counterparties | Cash Collateral for the Benefit of (the Funds) / the Counterparties | Net Amount | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||
Citibank, N.A. | $ | 9,839,441 | $ | 0 | $ | (9,839,441 | ) | $ | 0 | |||||||
Goldman Sachs International | 13,920,431 | (13,889,225 | ) | (31,206 | ) | 0 | ||||||||||
Morgan Stanley & Co. International PLC | 17,042,319 | 0 | (17,042,319 | ) | 0 | |||||||||||
Societe Generale | 9,295,046 | (9,292,398 | ) | (2,648 | ) | 0 | ||||||||||
UBS AG | 13,831,056 | 0 | (13,831,056 | ) | 0 | |||||||||||
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | 10,301 | 0 | 0 | 10,301 | ||||||||||||
UBS AG | 72,351 | 0 | 0 | 72,351 | ||||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | 2,974,490 | 0 | (2,100,000 | ) | 874,490 | |||||||||||
Goldman Sachs International | 2,570,443 | (1,877,749 | ) | (250 | ) | 692,444 | ||||||||||
UBS AG | 3,094,255 | 0 | (2,180,000 | ) | 914,255 | |||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | 10,785,304 | 0 | (7,890,000 | ) | 2,895,304 | |||||||||||
Goldman Sachs International | 10,781,897 | (8,181,572 | ) | (5,925 | ) | 2,594,400 |
Morgan Stanley & Co. International PLC | $ | 10,046,034 | $ | 0 | $ | (7,306,000 | ) | $ | 2,740,034 | |||||||
UBS AG | 8,978,464 | 0 | (6,570,000 | ) | 2,408,464 | |||||||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||
Goldman Sachs & Co. | (477,437 | ) | 0 | 0 | (477,437 | ) | ||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | (54,919 | ) | 0 | 54,919 | 0 | |||||||||||
UBS AG | (38,193 | ) | 0 | 0 | (38,193 | ) | ||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | (83,325 | ) | 83,325 | 0 | 0 | |||||||||||
UBS AG | (124,716 | ) | 124,716 | 0 | 0 | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | (407,735 | ) | 407,735 | 0 | 0 | |||||||||||
Goldman Sachs International | (266,413 | ) | 266,413 | 0 | 0 | |||||||||||
UBS AG | (318,969 | ) | 318,969 | 0 | 0 | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | (367,632 | ) | 367,632 | 0 | 0 | |||||||||||
Goldman Sachs International | (486,710 | ) | 368,710 | 118,000 | 0 | |||||||||||
Morgan Stanley & Co. International PLC | (385,104 | ) | 0 | 385,104 | 0 | |||||||||||
UBS AG | (681,968 | ) | 681,968 | 0 | 0 | |||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | 312,169 | (302,523 | ) | 0 | 9,646 | |||||||||||
UBS AG | 557,411 | 0 | (520,000 | ) | 37,411 |
Fair Values of Derivative Instruments as of December 31, 2020 | ||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||
Gross Amounts of Recognized Assets presented in the Statements of Financial Condition | Gross Amounts Offset in the the Statements of Financial Condition | Net Amounts of Assets presented in the Statements of Financial Condition | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Liabilities presented in the Statements of Financial Condition | |||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||||||
Swap agreements | $ | 18,242,195 | $ | 0 | $ | 18,242,195 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 89,103 | 0 | 89,103 | 367 | 0 | 367 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | 5,140,980 | 0 | 5,140,980 | 0 | 0 | 0 | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | 56,752,666 | 0 | 56,752,666 | 0 | 0 | 0 | ||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||||||||||
Swap agreements | 0 | 0 | 0 | 24,807 | 0 | 24,807 | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 67,235 | 0 | 67,235 | 148 | 0 | 148 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 5,705 | 0 | 5,705 | 1,142,409 | 0 | 1,142,409 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | 0 | 0 | 0 | 268,728 | 0 | 268,728 |
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | $ | 0 | $ | 0 | $ | 0 | $ | 3,197,561 | $ | 0 | $ | 3,197,561 | ||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 7,008 | 0 | 7,008 | 571,974 | – | 571,974 |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020 | Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020 | Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020 | ||||||||||||||||||||||||||||||
Fund | Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition | Financial Instruments for the Benefit of (the Funds) / the Counterparties | Cash Collateral for the Benefit of (the Funds) / the Counterparties | Net Amount | ||||||||||||||||||||||||||||
Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition | Financial Instruments for the Benefit of (the Funds) / the Counterparties | Cash Collateral for the Benefit of (the Funds) / the Counterparties | Net Amount | |||||||||||||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||||||||||||||
Goldman Sachs International | $ | 1,377,243 | $ | (1,281,309 | ) | $ | 0 | $ | 95,934 | $ | 1,377,243 | $ | (1,281,309 | ) | $ | 0 | $ | 95,934 | ||||||||||||||
Morgan Stanley & Co. International PLC | 10,959,227 | 0 | (10,629,000 | ) | 330,227 | 10,959,227 | 0 | (10,629,000 | ) | 330,227 | ||||||||||||||||||||||
Societe Generale | 1,679,334 | (1,679,334 | ) | 0 | 0 | 1,679,334 | (1,679,334 | ) | 0 | – | ||||||||||||||||||||||
UBS AG | 4,226,391 | (4,151,442 | ) | (6,270 | ) | 68,679 | 4,226,391 | (4,151,442 | ) | (6,270 | ) | 68,679 | ||||||||||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||||||||||
Goldman Sachs International | 22,950 | 0 | 0 | 22,950 | 22,950 | 0 | 0 | 22,950 | ||||||||||||||||||||||||
UBS AG | 65,786 | 0 | 0 | 65,786 | 65,786 | 0 | 0 | 65,786 | ||||||||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||||||||||
Citibank, N.A. | 1,770,050 | 0 | (1,670,000 | ) | 100,050 | 1,770,050 | 0 | (1,670,000 | ) | 100,050 | ||||||||||||||||||||||
Goldman Sachs International | 1,529,612 | (1,497,203 | ) | 0 | 32,409 | 1,529,612 | (1,497,203 | ) | 0 | 32,409 | ||||||||||||||||||||||
UBS AG | 1,841,318 | 0 | 0 | 1,841,318 | 1,841,318 | 0 | 0 | 1,841,318 | ||||||||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||||||||||
Citibank, N.A. | 18,010,776 | 0 | (18,010,776 | ) | 0 | 18,010,776 | 0 | (18,010,776 | ) | 0 | ||||||||||||||||||||||
Goldman Sachs International | 12,930,574 | (12,930,574 | ) | 0 | 0 | 12,930,574 | (12,930,574 | ) | 0 | 0 | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | 12,353,706 | 0 | (12,353,706 | ) | 0 | 12,353,706 | 0 | (12,353,706 | ) | 0 | ||||||||||||||||||||||
UBS AG | 13,457,610 | (4,126,610 | ) | (9,331,000 | ) | 0 | 13,457,610 | (4,126,610 | ) | (9,331,000 | ) | 0 | ||||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||||||||||||||||||
Goldman Sachs & Co. | (24,807 | ) | 0 | 24,807 | 0 | (24,807 | ) | 0 | 24,807 | 0 | ||||||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||||||||||
Goldman Sachs International | 34,265 | 0 | 0 | 34,265 | 34,265 | 0 | 0 | 34,265 | ||||||||||||||||||||||||
UBS AG | 32,822 | 0 | 0 | 32,822 | 32,822 | 0 | 0 | 32,822 | ||||||||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||||||||||
Goldman Sachs International | (388,233 | ) | 0 | 388,233 | 0 | (388,233 | ) | 0 | 388,233 | 0 | ||||||||||||||||||||||
UBS AG | (748,471 | ) | 748,471 | 0 | 0 | (748,471 | ) | 748,471 | 0 | 0 | ||||||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||||||||||
Citibank, N.A. | (80,068 | ) | 0 | 80,068 | 0 | (80,068 | ) | 0 | 80,068 | 0 | ||||||||||||||||||||||
Goldman Sachs International | (82,645 | ) | 0 | 82,645 | 0 | (82,645 | ) | 0 | 82,645 | 0 | ||||||||||||||||||||||
UBS AG | (106,015 | ) | 0 | 106,015 | 0 | (106,015 | ) | 0 | 106,015 | 0 | ||||||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||||||||||
Citibank, N.A. | (1,208,988 | ) | 0 | 1,208,988 | 0 | (1,208,988 | ) | 0 | 1,208,988 | 0 | ||||||||||||||||||||||
Goldman Sachs International | (927,829 | ) | 0 | 927,829 | 0 | (927,829 | ) | 0 | 927,829 | 0 | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | (579,421 | ) | 0 | 579,421 | 0 | |||||||||||||||||||||||||||
UBS AG | (481,323 | ) | 0 | 481,323 | 0 | |||||||||||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||||||||||
Goldman Sachs International | (207,021 | ) | 0 | 207,021 | 0 | |||||||||||||||||||||||||||
UBS AG | (357,945 | ) | 0 | 357,945 | 0 |
Fair Values of Derivative Instruments as of December 31, 2019 | ||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||
Gross | Gross | |||||||||||||||||||||||
Amounts of | Amounts of | |||||||||||||||||||||||
Recognized | Gross | Net Amounts of | Recognized | Gross | Net Amounts of | |||||||||||||||||||
Assets | Amounts | Assets | Liabilities | Amounts | Liabilities | |||||||||||||||||||
presented in | Offset in the | presented in | presented in | Offset in the | presented in | |||||||||||||||||||
the Statements | the Statements | the Statements | the Statements | Statements | the Statements | |||||||||||||||||||
of Financial | of Financial | of Financial | of Financial | of Financial | of Financial | |||||||||||||||||||
Condition | Condition | Condition | Condition | Condition | Condition | |||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||||||
Swap agreements | $ | 21,814,590 | $ | 0 | $ | 21,814,590 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 109,997 | 0 | 109,997 | 0 | 0 | 0 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | 5,890,260 | 0 | 5,890,260 | 0 | 0 | 0 | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | 25,135,898 | 0 | 25,135,898 | 0 | 0 | 0 | ||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||||||||||
Swap agreements | 0 | 0 | 0 | 209,784 | 0 | 209,784 | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 0 | 0 | 0 | 10,529 | 0 | 10,529 | ||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||||||||||||||||
Swap agreements | 0 | 0 | 0 | 4,033,931 | 0 | 4,033,931 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 115,751 | 0 | 115,751 | 2,366,171 | 0 | 2,366,171 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | 0 | 0 | 0 | 1,172,809 | 0 | 1,172,809 | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | 0 | 0 | 0 | 1,953,904 | 0 | 1,953,904 | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 95,899 | 0 | 95,899 | 0 | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2019 | ||||||||||||||||
Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition | Financial Instruments for the Benefit of (the Funds) / the Counterparties | Cash Collateral for the Benefit of (the Funds) / the Counterparties | Net Amount | |||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||
Citibank, N.A. | $ | 6,039,121 | $ | — | $ | (6,039,121 | ) | $ | — | |||||||
Goldman Sachs International | 4,393,163 | (4,393,163 | ) | — | — | |||||||||||
Royal Bank of Canada | 4,210,281 | — | (4,210,281 | ) | — | |||||||||||
Societe Generale | 2,253,037 | (2,253,037 | ) | — | — | |||||||||||
UBS AG | 4,918,988 | (4,918,988 | ) | — | — | |||||||||||
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | 54,679 | — | — | 54,679 | ||||||||||||
UBS AG | 55,318 | — | — | 55,318 | ||||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | 2,300,665 | — | (1,960,000 | ) | 340,665 | |||||||||||
Goldman Sachs International | 1,681,492 | (1,489,073 | ) | — | 192,419 | |||||||||||
UBS AG | 1,908,103 | (1,638,362 | ) | — | 269,741 | |||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | 10,329,244 | — | (10,329,244 | ) | — | |||||||||||
Goldman Sachs International | 5,925,755 | (5,925,755 | ) | — | — | |||||||||||
UBS AG | 8,880,899 | (8,880,899 | ) | — | — | |||||||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||
Goldman Sachs & Co. | (209,784 | ) | — | 209,784 | — | |||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | (2,404 | ) | — | 2,404 | — | |||||||||||
UBS AG | (8,125 | ) | — | 8,125 | — | |||||||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||||||||
Citibank, N.A. | (1,401,797 | ) | 1,401,797 | — | — | |||||||||||
Goldman Sachs International | (793,395 | ) | 793,395 | — | — | |||||||||||
Royal Bank of Canada | (815,341 | ) | 815,341 | — | — | |||||||||||
Societe Generale | (325,459 | ) | — | 325,459 | — | |||||||||||
UBS AG | (697,939 | ) | — | 697,939 | — | |||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | (1,134,162 | ) | 1,134,162 | — | — | |||||||||||
UBS AG | (1,116,258 | ) | 1,116,258 | — | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | (534,714 | ) | 534,714 | — | — | |||||||||||
Goldman Sachs International | (263,870 | ) | 263,870 | — | — | |||||||||||
UBS AG | (374,225 | ) | — | 374,225 | — | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | (788,313 | ) | 788,313 | — | — | |||||||||||
Goldman Sachs International | (401,324 | ) | — | 401,324 | — | |||||||||||
UBS AG | (764,267 | ) | 764,267 | — | — | |||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | 32,828 | (32,828 | ) | — | — | |||||||||||
UBS AG | 63,071 | (63,071 | ) | — | — |
Morgan Stanley & Co. | ||||||||||||||||
International PLC | $ | (579,421 | ) | $ | 0 | $ | 579,421 | $ | 0 | |||||||
UBS AG | (481,323 | ) | 0 | 481,323 | 0 | |||||||||||
ProShares UltraShort Yen Goldman Sachs International | (207,021 | ) | 0 | 207,021 | 0 | |||||||||||
UBS AG | (357,945 | ) | 0 | 357,945 | 0 |
Year Ended | Year Ended | Year Ended | ||||||||||
Fund | December 31, 2020 | December 31, 2019 | December 31, 2018 | |||||||||
ProShares Short Euro | $ | 0 | $ | — | $ | — | ||||||
ProShares Short VIX Short-Term Futures ETF | 806,805 | 189,274 | 699,323 | |||||||||
ProShares Ultra Bloomberg Crude Oil | 0 | 57,619 | 235,966 | |||||||||
ProShares Ultra Bloomberg Natural Gas | 0 | 5,580 | 16,562 | |||||||||
ProShares Ultra Euro | 0 | — | — | |||||||||
ProShares Ultra Gold | 0 | 1,632 | 10,139 | |||||||||
ProShares Ultra Silver | 0 | 7,332 | 26,173 | |||||||||
ProShares Ultra VIX Short-Term Futures ETF | 1,988,864 | 1,925,312 | 2,194,669 | |||||||||
ProShares Ultra Yen | 0 | — | — | |||||||||
ProShares UltraPro 3x Crude Oil ETF* | 0 | 24,934 | 81,882 | |||||||||
ProShares UltraPro 3x Short Crude Oil ETF* | 0 | 8,919 | 46,345 | |||||||||
ProShares UltraShort Australian Dollar | 0 | — | — | |||||||||
ProShares UltraShort Bloomberg Crude Oil | 0 | 27,697 | 135,524 | |||||||||
ProShares UltraShort Bloomberg Natural Gas | 0 | 1,378 | 9,616 | |||||||||
ProShares UltraShort Euro | 0 | — | — | |||||||||
ProShares UltraShort Gold | 0 | 1,606 | 10,644 | |||||||||
ProShares UltraShort Silver | 0 | — | — | |||||||||
ProShares UltraShort Yen | 0 | — | — | |||||||||
ProShares VIX Mid-Term Futures ETF | 51,455 | 18,415 | 27,723 | |||||||||
ProShares VIX Short-Term Futures ETF | 325,076 | 205,080 | 160,987 | |||||||||
Total Trust | �� | $ | 3,172,200 | $ | 2,474,778 | $ | 3,655,553 |
Fund | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||||
ProShares Short Euro | $ | 0 | $ | 0 | $ | 0 | ||||||
ProShares Short VIX Short-Term Futures ETF | 203,356 | 806,805 | 189,274 | |||||||||
ProShares Ultra Bloomberg Crude Oil | 0 | 0 | 57,619 | |||||||||
ProShares Ultra Bloomberg Natural Gas | 0 | 0 | 5,580 | |||||||||
ProShares Ultra Euro | 0 | 0 | 0 | |||||||||
ProShares Ultra Gold | 0 | 0 | 1,632 |
ProShares Ultra Silver | $ | 0 | $ | 0 | $ | 7,332 | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 3,290,059 | 1,988,864 | 1,925,312 | |||||||||
ProShares Ultra Yen | 0 | 0 | 0 | |||||||||
ProShares UltraPro 3x Crude Oil ETF* | 0 | 0 | 24,934 | |||||||||
ProShares UltraPro 3x Short Crude Oil ETF* | 0 | 0 | 8,919 | |||||||||
ProShares UltraShort Australian Dollar | 0 | 0 | 0 | |||||||||
ProShares UltraShort Bloomberg Crude Oil | 0 | 0 | 27,697 | |||||||||
ProShares UltraShort Bloomberg Natural Gas | 0 | 0 | 1,378 | |||||||||
ProShares UltraShort Euro | 0 | 0 | 0 | |||||||||
ProShares UltraShort Gold | 0 | 0 | 1,606 | |||||||||
ProShares UltraShort Silver | 0 | 0 | 0 | |||||||||
ProShares UltraShort Yen | 0 | 0 | 0 | |||||||||
ProShares VIX Mid-Term Futures ETF | 43,993 | 51,455 | 18,415 | |||||||||
ProShares VIX Short-Term Futures ETF | 392,964 | 325,076 | 205,080 | |||||||||
Combined Trust: | $ | 3,930,372 | $ | 3,172,200 | $ | 2,474,778 |
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
For the Year Ended December 31, 2020 | ||||||||||||||||||||||||
Per Share Operating Performance | Short Euro | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil * | Ultra Bloomberg Natural Gas * | Ultra Euro | Ultra Gold | ||||||||||||||||||
Net asset value, at December 31, 2019 | $ | 45.64 | $ | 65.62 | $ | 509.23 | $ | 83.97 | $ | 13.79 | $ | 49.21 | ||||||||||||
Net investment income (loss) | (0.29 | ) | (0.40 | ) | (0.34 | ) | (0.44 | ) | (0.08 | ) | (0.46 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (3.43 | ) | (23.80 | ) | (472.51 | ) | (62.53 | ) | 2.08 | 18.82 | ||||||||||||||
Change in net asset value from operations | (3.72 | ) | (24.20 | ) | (472.85 | ) | (62.97 | ) | 2.00 | 18.36 | ||||||||||||||
Net asset value, at December 31, 2020 | $ | 41.92 | $ | 41.42 | $ | 36.38 | $ | 21.00 | $ | 15.79 | $ | 67.57 | ||||||||||||
Market value per share, at December 31, 2019 † | $ | 45.69 | $ | 65.23 | $ | 511.50 | $ | 83.40 | $ | 13.77 | $ | 49.05 | ||||||||||||
Market value per share, at December 31, 2020 † | $ | 41.35 | $ | 41.44 | $ | 36.27 | $ | 21.07 | $ | 15.81 | $ | 68.20 | ||||||||||||
Total Return, at net asset value | (8.2 | )% | (36.9 | )% | (92.9 | )% | (75.0 | )% | 14.5 | % | 37.3 | % | ||||||||||||
Total Return, at market value | (9.5 | )% | (36.5 | )% | (92.9 | )% | (74.7 | )% | 14.7 | % | 39.0 | % | ||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Expense ratio^^ | 0.97 | % | 1.32 | % | 1.33 | % | 1.61 | % | 0.95 | % | 1.00 | % | ||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income gain (loss) | (0.65 | )% | (1.12 | )% | (1.13 | )% | (1.32 | )% | (0.59 | )% | (0.71 | )% |
Per Share Operating Performance | Short Euro | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | ||||||||||||||||||
Net asset value, at December 31, 2020 | $ | 41.92 | $ | 41.42 | $ | 36.38 | $ | 21.00 | $ | 15.79 | $ | 67.57 | ||||||||||||
Net investment income (loss) | (0.39 | ) | (0.68 | ) | (0.70 | ) | (0.49 | ) | (0.13 | ) | (0.57 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 3.38 | 20.82 | 50.48 | 5.04 | (2.34 | ) | (7.31 | ) | ||||||||||||||||
Change in net asset value from operations | 2.99 | 20.14 | 49.78 | 4.55 | (2.47 | ) | (7.88 | ) | ||||||||||||||||
Net asset value, at December 31, 2021 | $ | 44.91 | $ | 61.56 | $ | 86.16 | $ | 25.55 | $ | 13.32 | $ | 59.69 | ||||||||||||
Market value per share, at December 31, 2020 † | $ | 41.35 | $ | 41.44 | $ | 36.27 | $ | 21.07 | $ | 15.81 | $ | 68.20 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 44.92 | $ | 61.55 | $ | 86.78 | $ | 26.09 | $ | 13.33 | $ | 59.81 | ||||||||||||
Total Return, at net asset value | 7.1 | % | 48.6 | % | 136.8 | % | 21.7 | % | (15.6 | )% | (11.7 | )% | ||||||||||||
Total Return, at market value | 8.6 | % | 48.5 | % | 139.3 | % | 23.8 | % | (15.7 | )% | (12.3 | )% | ||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Expense ratio^^ | 0.97 | % | 1.36 | % | 1.10 | % | 1.53 | % | 0.95 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (0.91 | )% | (1.34 | )% | (1.06 | )% | (1.48 | )% | (0.90 | )% | (0.96 | )% |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^^ | 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. |
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Australian Dollar | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas ** | ||||||||||||||||||
Net asset value, at December 31, 2020 | $ | 50.71 | $ | 106.68 | $ | 59.83 | $ | 44.45 | $ | 46.45 | $ | 237.96 | ||||||||||||
Net investment income (loss) | (0.42 | ) | (0.59 | ) | (0.48 | ) | (0.46 | ) | (0.23 | ) | (0.98 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (15.45 | ) | (93.68 | ) | (12.06 | ) | 4.26 | (33.37 | ) | (175.13 | ) | |||||||||||||
Change in net asset value from operations | (15.87 | ) | (94.27 | ) | (12.54 | ) | 3.80 | (33.60 | ) | (176.11 | ) | |||||||||||||
Net asset value, at December 31, 2021 | $ | 34.84 | $ | 12.41 | $ | 47.29 | $ | 48.25 | $ | 12.85 | $ | 61.85 | ||||||||||||
Market value per share, at December 31, 2020 † | $ | 51.28 | $ | 106.50 | $ | 59.82 | $ | 43.89 | $ | 46.56 | $ | 236.90 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 34.74 | $ | 12.43 | $ | 47.29 | $ | 48.41 | $ | 12.75 | $ | 60.55 | ||||||||||||
Total Return, at net asset value | (31.3 | )% | (88.4 | )% | (21.0 | )% | 8.5 | % | (72.3 | )% | (74.0 | )% | ||||||||||||
Total Return, at market value | (32.3 | )% | (88.3 | )% | (20.9 | )% | 10.3 | % | (72.6 | )% | (74.4 | )% | ||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Expense ratio^^ | 1.02 | % | 1.74 | % | 0.95 | % | 1.03 | % | 1.22 | % | 1.56 | % | ||||||||||||
Net investment income gain (loss) | (0.98 | )% | (1.72 | )% | (0.90 | )% | (0.98 | )% | (1.16 | )% | (1.52 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | See Note 9 of these Notes to Financial Statements. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^^ | 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. |
Per Share Operating Performance | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term��Futures ETF * | ||||||||||||||||||
Net asset value, at December 31, 2020 | $ | 22.53 | $ | 31.43 | $ | 27.73 | $ | 67.83 | $ | 36.73 | $ | 55.03 | ||||||||||||
Net investment income (loss) | (0.22 | ) | (0.33 | ) | (0.27 | ) | (0.68 | ) | (0.33 | ) | (0.32 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 3.53 | 0.61 | (0.69 | ) | 15.85 | (5.79 | ) | (39.59 | ) | |||||||||||||||
Change in net asset value from operations | 3.31 | 0.28 | (0.96 | ) | 15.17 | (6.12 | ) | (39.91 | ) | |||||||||||||||
Net asset value, at December 31, 2021 | $ | 25.84 | $ | 31.71 | $ | 26.77 | $ | 83.00 | $ | 30.61 | $ | 15.12 | ||||||||||||
Market value per share, at December 31, 2020 † | $ | 22.52 | $ | 31.14 | $ | 27.40 | $ | 67.81 | $ | 36.70 | $ | 54.96 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 25.86 | $ | 31.66 | $ | 26.84 | $ | 82.99 | $ | 30.57 | $ | 15.17 | ||||||||||||
Total Return, at net asset value | 14.7 | % | 0.9 | % | (3.5 | )% | 22.4 | % | (16.7 | )% | (72.5 | )% | ||||||||||||
Total Return, at market value | 14.8 | % | 1.7 | % | (2.0 | )% | 22.4 | % | (16.7 | )% | (72.4 | )% | ||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Expense ratio^^ | 0.95 | % | 1.03 | % | 1.10 | % | 0.95 | % | 1.04 | % | 1.21 | % | ||||||||||||
Net investment income gain (loss) | (0.90 | )% | (0.98 | )% | (1.06 | )% | (0.90 | )% | (1.00 | )% | (1.18 | )% |
* | See Note 1 of these Notes to Financial Statements. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^^ | The expense ratio respectively, if non-recurring fees and |
For the Year Ended December 31, 2020 | ||||||||||||||||||||||||
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF | Ultra Yen | UltraShort Australian Dollar | ||||||||||||||||||||
Net asset value, at December 31, 2019 | $ | 31.70 | $ | 12.67 | $ | 55.83 | $ | 56.09 | ||||||||||||||||
Net investment income (loss) | (0.31 | ) | (0.28 | ) | (0.35 | ) | (0.38 | ) | ||||||||||||||||
Net realized and unrealized gain (loss)# | 19.32 | (1.72 | ) | 4.35 | (11.26 | ) | ||||||||||||||||||
Change in net asset value from operations | 19.01 | (2.00 | ) | 4.00 | (11.64 | ) | ||||||||||||||||||
Net asset value, at December 31, 2020 | $ | 50.71 | $ | 10.67 | $ | 59.83 | $ | 44.45 | ||||||||||||||||
Market value per share, at December 31, 2019 † | $ | 31.65 | $ | 12.89 | $ | 55.83 | $ | 55.88 | ||||||||||||||||
Market value per share, at December 31, 2020 † | $ | 51.28 | $ | 10.65 | $ | 59.82 | $ | 43.89 | ||||||||||||||||
Total Return, at net asset value | 60.0 | % | (15.8 | )% | 7.2 | % | (20.8 | )% | ||||||||||||||||
Total Return, at market value | 62.0 | % | (17.4 | )% | 7.2 | % | (21.5 | )% | ||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Expense ratio^^ | 1.04 | % | 1.65 | % | 0.95 | % | 1.03 | % | ||||||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||||||
Net investment income gain (loss) | (0.76 | )% | (1.47 | )% | (0.63 | )% | (0.66 | )% |
For the Year Ended December 31, 2020 | ||||||||||||||||||||||||
Per Share Operating Performance | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | UltraShort Silver | UltraShort Yen | ||||||||||||||||||
Net asset value, at December 31, 2019 | $ | 12.19 | $ | 38.53 | $ | 26.80 | $ | 53.02 | $ | 26.76 | $ | 76.37 | ||||||||||||
Net investment income (loss) | (0.26 | ) | (0.68 | ) | (0.09 | ) | (0.24 | ) | (0.09 | ) | (0.34 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (0.32 | ) | 9.74 | (4.18 | ) | (21.35 | ) | (19.74 | ) | (8.20 | ) | |||||||||||||
Change in net asset value from operations | (0.58 | ) | 9.06 | (4.27 | ) | (21.59 | ) | (19.83 | ) | (8.54 | ) | |||||||||||||
Net asset value, at December 31, 2020 | $ | 11.61 | $ | 47.59 | $ | 22.53 | $ | 31.43 | $ | 6.93 | $ | 67.83 | ||||||||||||
Market value per share, at December 31, 2019 † | $ | 12.15 | $ | 38.82 | $ | 26.80 | $ | 53.21 | $ | 26.80 | $ | 76.35 | ||||||||||||
Market value per share, at December 31, 2020 † | $ | 11.64 | $ | 47.38 | $ | 22.52 | $ | 31.14 | $ | 6.85 | $ | 67.81 | ||||||||||||
Total Return, at net asset value | (4.8 | )% | 23.5 | % | (15.9 | )% | (40.7 | )% | (74.1 | )% | (11.2 | )% | ||||||||||||
Total Return, at market value | (4.2 | )% | 22.1 | % | (16.0 | )% | (41.5 | )% | (74.4 | )% | (11.2 | )% | ||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Expense ratio^^ | 1.61 | % | 1.88 | % | 0.95 | % | 1.02 | % | 1.10 | % | 0.95 | % | ||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income gain (loss) | (1.36 | )% | (1.70 | )% | (0.35 | )% | (0.66 | )% | (0.89 | )% | (0.46 | )% |
Per Share Operating Performance | Short Euro | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | ||||||||||||||||||
Net asset value, at December 31, 2019 | $ | 45.64 | $ | 65.62 | $ | 509.23 | $ | 83.97 | $ | 13.79 | $ | 49.21 | ||||||||||||
Net investment income (loss) | (0.29 | ) | (0.40 | ) | (0.34 | ) | (0.44 | ) | (0.08 | ) | (0.46 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (3.43 | ) | (23.80 | ) | (472.51 | ) | (62.53 | ) | 2.08 | 18.82 | ||||||||||||||
Change in net asset value from operations | (3.72 | ) | (24.20 | ) | (472.85 | ) | (62.97 | ) | 2.00 | 18.36 | ||||||||||||||
Net asset value, at December 31, 2020 | $ | 41.92 | $ | 41.42 | $ | 36.38 | $ | 21.00 | $ | 15.79 | $ | 67.57 | ||||||||||||
Market value per share, at December 31, 2019 † | $ | 45.69 | $ | 65.23 | $ | 511.50 | $ | 83.40 | $ | 13.77 | $ | 49.05 | ||||||||||||
Market value per share, at December 31, 2020 † | $ | 41.35 | $ | 41.44 | $ | 36.27 | $ | 21.07 | $ | 15.81 | $ | 68.20 | ||||||||||||
Total Return, at net asset value | (8.2 | )% | (36.9 | )% | (92.9 | )% | (75.0 | )% | 14.5 | % | 37.3 | % | ||||||||||||
Total Return, at market value | (9.5 | )% | (36.5 | )% | (92.9 | )% | (74.7 | )% | 14.7 | % | 39.0 | % | ||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Expense ratio^^ | 0.97 | % | 1.32 | % | 1.33 | % | 1.61 | % | 0.95 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (0.65 | )% | (1.12 | )% | (1.13 | )% | (1.32 | )% | (0.59 | )% | (0.71 | )% |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^^ | The expense ratio respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
For the Year Ended December 31, 2020 | ||||||||
Per Share Operating Performance | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF | ||||||
Net asset value, at December 31, 2019 | $ | 21.27 | $ | 12.30 | ||||
Net investment income (loss) | (0.26 | ) | (0.14 | ) | ||||
Net realized and unrealized gain (loss)# | 15.72 | 1.60 | ||||||
Change in net asset value from operations | 15.46 | 1.46 | ||||||
Net asset value, at December 31, 2020 | $ | 36.73 | $ | 13.76 | ||||
Market value per share, at December 31, 2019 † | $ | 21.29 | $ | 12.43 | ||||
Market value per share, at December 31, 2020 † | $ | 36.70 | $ | 13.74 | ||||
Total Return, at net asset value | 72.7 | % | 11.9 | % | ||||
Total Return, at market value | 72.4 | % | 10.5 | % | ||||
Ratios to Average Net Assets | ||||||||
Expense ratio | 1.06 | % | 1.18 | % | ||||
Expense ratio, excluding brokerage commissions and fees | 0.85 | % | 0.85 | % | ||||
Net investment income gain (loss) | (0.74 | )% | (0.73 | )% |
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Australian Dollar | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas ** | ||||||||||||||||||
Net asset value, at December 31, 2019 | $ | 31.70 | $ | 126.74 | $ | 55.83 | $ | 56.09 | $ | 48.77 | $ | 192.65 | ||||||||||||
Net investment income (loss) | (0.31 | ) | (2.81 | ) | (0.35 | ) | (0.38 | ) | (1.03 | ) | (3.40 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 19.32 | (17.25 | ) | 4.35 | (11.26 | ) | (1.29 | ) | 48.71 | |||||||||||||||
Change in net asset value from operations | 19.01 | (20.06 | ) | 4.00 | (11.64 | ) | (2.32 | ) | 45.31 | |||||||||||||||
Net asset value, at December 31, 2020 | $ | 50.71 | $ | 106.68 | $ | 59.83 | $ | 44.45 | $ | 46.45 | $ | 237.96 | ||||||||||||
Market value per share, at December 31, 2019 † | $ | 31.65 | $ | 128.90 | $ | 55.83 | $ | 55.88 | $ | 48.60 | $ | 194.10 | ||||||||||||
Market value per share, at December 31, 2020 † | $ | 51.28 | $ | 106.50 | $ | 59.82 | $ | 43.89 | $ | 46.56 | $ | 236.90 | ||||||||||||
Total Return, at net asset value | 60.0 | % | (15.8 | )% | 7.2 | % | (20.8 | )% | (4.8 | )% | 23.5 | % | ||||||||||||
Total Return, at market value | 62.0 | % | (17.4 | )% | 7.2 | % | (21.5 | )% | (4.2 | )% | 22.1 | % | ||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Expense ratio^^ | 1.04 | % | 1.65 | % | 0.95 | % | 1.03 | % | 1.61 | % | 1.88 | % | ||||||||||||
Net investment income gain (loss) | (0.76 | )% | (1.47 | )% | (0.63 | )% | (0.66 | )% | (1.36 | )% | (1.70 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | See Note 9 of these Notes to Financial Statements. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^^ | 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. |
For the Year Ended December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||
Per Share Operating Performance | Short Euro | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil * | Ultra Bloomberg Natural Gas * | Ultra Euro | Ultra Gold | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF * | ||||||||||||||||||||||||||||||||||||
Net asset value, at December 31, 2018 | $ | 43.10 | $ | 42.36 | $ | 326.46 | $ | 252.83 | $ | 15.09 | $ | 37.12 | ||||||||||||||||||||||||||||||||||||
Net asset value, at December 31, 2019 | $ | 26.80 | $ | 53.02 | $ | 107.04 | $ | 76.37 | $ | 21.27 | $ | 49.19 | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.55 | 0.18 | 4.72 | 0.74 | 0.13 | 0.42 | (0.09 | ) | (0.24 | ) | (0.37 | ) | (0.34 | ) | (0.26 | ) | (0.56 | ) | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss)# | 1.99 | 23.08 | 178.05 | (169.60 | ) | (1.43 | ) | 11.67 | (4.18 | ) | (21.35 | ) | (78.94 | ) | (8.20 | ) | 15.72 | 6.40 | ||||||||||||||||||||||||||||||
Change in net asset value from operations | 2.54 | 23.26 | 182.77 | (168.86 | ) | (1.30 | ) | 12.09 | (4.27 | ) | (21.59 | ) | (79.31 | ) | (8.54 | ) | 15.46 | 5.84 | ||||||||||||||||||||||||||||||
Net asset value, at December 31, 2019 | $ | 45.64 | $ | 65.62 | $ | 509.23 | $ | 83.97 | $ | 13.79 | $ | 49.21 | ||||||||||||||||||||||||||||||||||||
Market value per share, at December 31, 2018 † | $ | 43.08 | $ | 42.30 | $ | 332.50 | $ | 258.20 | $ | 15.12 | $ | 37.41 | ||||||||||||||||||||||||||||||||||||
Net asset value, at December 31, 2020 | $ | 22.53 | $ | 31.43 | $ | 27.73 | $ | 67.83 | $ | 36.73 | $ | 55.03 | ||||||||||||||||||||||||||||||||||||
Market value per share, at December 31, 2019 † | $ | 45.69 | $ | 65.23 | $ | 511.50 | $ | 83.40 | $ | 13.77 | $ | 49.05 | $ | 26.80 | $ | 53.21 | $ | 107.20 | $ | 76.35 | $ | 21.29 | $ | 49.72 | ||||||||||||||||||||||||
Market value per share, at December 31, 2020 † | $ | 22.52 | $ | 31.14 | $ | 27.40 | $ | 67.81 | $ | 36.70 | $ | 54.96 | ||||||||||||||||||||||||||||||||||||
Total Return, at net asset value | 5.9 | % | 54.9 | % | 56.0 | % | (66.8 | )% | (8.6 | )% | 32.6 | % | (15.9 | )% | (40.7 | )% | (74.1 | )% | (11.2 | )% | 72.7 | % | 11.9 | % | ||||||||||||||||||||||||
Total Return, at market value | 6.0 | % | 54.2 | % | 53.8 | % | (67.7 | )% | (8.9 | )% | 31.1 | % | (16.0 | )% | (41.5 | )% | (74.4 | )% | (11.2 | )% | 72.4 | % | 10.5 | % | ||||||||||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||||||||||
Expense ratio | 0.97 | % | 1.27 | %^^ | 0.99 | % | 1.37 | % | 0.95 | % | 0.96 | % | ||||||||||||||||||||||||||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||||||||||||||||||||||||||
Expense ratio^^ | 0.95 | % | 1.02 | % | 1.10 | % | 0.95 | % | 1.06 | % | 1.18 | % | ||||||||||||||||||||||||||||||||||||
Net investment income gain (loss) | 1.24 | % | 0.33 | % | 1.02 | % | 0.52 | % | 0.89 | % | 0.97 | % | (0.35 | )% | (0.66 | )% | (0.89 | )% | (0.46 | )% | (0.74 | )% | (0.73 | )% |
* | See Note 1 of these Notes to Financial Statements. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^^ | The expense ratio respectively, if non-recurring fees and |
For the Year Ended December 31, 2019 | ||||||||||||||||||||||||
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF | Ultra Yen | UltraPro 3x Crude Oil ETF | UltraPro 3x Short Crude Oil ETF | UltraShort Australian Dollar | ||||||||||||||||||
Net asset value, at December 31, 2018 | $ | 26.39 | $ | 81.46 | $ | 57.53 | $ | 13.08 | $ | 49.79 | $ | 55.30 | ||||||||||||
Net investment income (loss) | 0.25 | 0.01 | 0.52 | 0.14 | 0.05 | 0.59 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 5.06 | (68.80 | ) | (2.22 | ) | 8.25 | (39.18 | ) | 0.20 | |||||||||||||||
Change in net asset value from operations | 5.31 | (68.79 | ) | (1.70 | ) | 8.39 | (39.13 | ) | 0.79 | |||||||||||||||
Net asset value, at December 31, 2019 | $ | 31.70 | $ | 12.67 | $ | 55.83 | $ | 21.47 | $ | 10.66 | $ | 56.09 | ||||||||||||
Market value per share, at December 31, 2018 † | $ | 26.37 | $ | 81.73 | $ | 57.55 | $ | 13.47 | $ | 48.43 | $ | 54.92 | ||||||||||||
Market value per share, at December 31, 2019 † | $ | 31.65 | $ | 12.89 | $ | 55.83 | $ | 21.60 | $ | 10.58 | $ | 55.88 | ||||||||||||
Total Return, at net asset value | 20.1 | % | (84.4 | )% | (3.0 | )% | 64.1 | % | (78.6 | )% | 1.4 | % | ||||||||||||
Total Return, at market value | 20.0 | % | (84.2 | )% | (3.0 | )% | 60.4 | % | (78.2 | )% | 1.7 | % | ||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Expense ratio | 0.97 | % | 1.54 | %^^ | 0.95 | % | 1.25 | % | 1.40 | % | 1.03 | % | ||||||||||||
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income gain (loss) | 0.91 | % | 0.02 | % | 0.92 | % | 0.66 | % | 0.31 | % | 1.05 | % |
Per Share Operating Performance | Short Euro | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | ||||||||||||||||||
Net asset value, at December 31, 2018 | $ | 43.10 | $ | 42.36 | $ | 326.46 | $ | 252.83 | $ | 15.09 | $ | 37.12 | ||||||||||||
Net investment income (loss) | 0.55 | 0.18 | 4.72 | 0.74 | 0.13 | 0.42 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 1.99 | 23.08 | 178.05 | (169.60 | ) | (1.43 | ) | 11.67 | ||||||||||||||||
Change in net asset value from operations | 2.54 | 23.26 | 182.77 | (168.86 | ) | (1.30 | ) | 12.09 | ||||||||||||||||
Net asset value, at December 31, 2019 | $ | 45.64 | $ | 65.62 | $ | 509.23 | $ | 83.97 | $ | 13.79 | $ | 49.21 | ||||||||||||
Market value per share, at December 31, 2018 † | $ | 43.08 | $ | 42.30 | $ | 332.50 | $ | 258.20 | $ | 15.12 | $ | 37.41 | ||||||||||||
Market value per share, at December 31, 2019 † | $ | 45.69 | $ | 65.23 | $ | 511.50 | $ | 83.40 | $ | 13.77 | $ | 49.05 | ||||||||||||
Total Return, at net asset value | 5.9 | % | 54.9 | % | 56.0 | % | (66.8 | )% | (8.6 | )% | 32.6 | % | ||||||||||||
Total Return, at market value | 6.0 | % | 54.2 | % | 53.8 | % | (67.7 | )% | (8.9 | )% | 31.1 | % | ||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Expense ratio^^ | 0.97 | % | 1.27 | % | 0.99 | % | 1.37 | % | 0.95 | % | 0.96 | % | ||||||||||||
Net investment income gain (loss) | 1.24 | % | 0.33 | % | 1.02 | % | 0.52 | % | 0.89 | % | 0.97 | % |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^^ | The expense ratio respectively, if non-recurring fees and |
For the Year Ended December 31, 2019 | ||||||||||||||||||||||||
Per Share Operating Performance | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | UltraShort Silver | UltraShort Yen | ||||||||||||||||||
Net asset value, at December 31, 2018 | $ | 29.79 | $ | 21.61 | $ | 24.27 | $ | 73.28 | $ | 37.13 | $ | 73.89 | ||||||||||||
Net investment income (loss) | 0.14 | 0.08 | 0.29 | 0.59 | 0.31 | 0.87 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (17.74 | ) | 16.84 | 2.24 | (20.85 | ) | (10.68 | ) | 1.61 | |||||||||||||||
Change in net asset value from operations | (17.60 | ) | 16.92 | 2.53 | (20.26 | ) | (10.37 | ) | 2.48 | |||||||||||||||
Net asset value, at December 31, 2019 | $ | 12.19 | $ | 38.53 | $ | 26.80 | $ | 53.02 | $ | 26.76 | $ | 76.37 | ||||||||||||
Market value per share, at December 31, 2018 † | $ | 29.28 | $ | 21.22 | $ | 24.25 | $ | 72.84 | $ | 37.10 | $ | 73.86 | ||||||||||||
Market value per share, at December 31, 2019 † | $ | 12.15 | $ | 38.82 | $ | 26.80 | $ | 53.21 | $ | 26.80 | $ | 76.35 | ||||||||||||
Total Return, at net asset value | (59.1 | )% | 78.3 | % | 10.4 | % | (27.6 | )% | (27.9 | )% | 3.4 | % | ||||||||||||
Total Return, at market value | (58.5 | )% | 82.9 | % | 10.5 | % | (26.9 | )% | (27.8 | )% | 3.4 | % | ||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Expense ratio | 1.06 | % | 1.57 | % | 0.95 | % | 0.98 | % | 1.00 | % | 0.95 | % | ||||||||||||
Expense ratio, excluding brokerage commissions and fees | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income gain (loss) | 0.88 | % | 0.33 | % | 1.12 | % | 0.94 | % | 0.90 | % | 1.17 | % |
For the Year Ended December 31, 2019 | ||||||||
Per Share Operating Performance | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF | ||||||
Net asset value, at December 31, 2018 | $ | 26.65 | $ | 38.58 | ||||
Net investment income (loss) | 0.25 | 0.18 | ||||||
Net realized and unrealized gain (loss)# | (5.63 | ) | (26.46 | ) | ||||
Change in net asset value from operations | (5.38 | ) | (26.28 | ) | ||||
Net asset value, at December 31, 2019 | $ | 21.27 | $ | 12.30 | ||||
Market value per share, at December 31, 2018 † | $ | 26.74 | $ | 38.61 | ||||
Market value per share, at December 31, 2019 † | $ | 21.29 | $ | 12.43 | ||||
Total Return, at net asset value | (20.2 | )% | (68.1 | )% | ||||
Total Return, at market value | (20.4 | )% | (67.8 | )% | ||||
Ratios to Average Net Assets | ||||||||
Expense ratio | 0.92 | % | 0.96 | % | ||||
Expense ratio, excluding brokerage commissions and fees | 0.85 | % | 0.85 | % | ||||
Net investment income gain (loss) | 1.10 | % | 0.90 | % |
For the Year Ended December 31, 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||
Per Share Operating Performance | Short Euro | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil * | Ultra Bloomberg Natural Gas * | Ultra Euro | Ultra Gold | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraPro 3x Crude Oil ETF | UltraPro 3x Short Crude Oil ETF | UltraShort Australian Dollar | ||||||||||||||||||||||||||||||||||||
Net asset value, at December 31, 2017 | $ | 39.96 | $ | 509.20 | $ | 591.62 | $ | 326.39 | $ | 17.44 | $ | 39.88 | ||||||||||||||||||||||||||||||||||||
Net asset value, at December 31, 2018 | $ | 26.39 | $ | 814.57 | $ | 57.53 | $ | 13.08 | $ | 49.79 | $ | 55.30 | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.22 | (0.23 | ) | 4.88 | 0.93 | 0.06 | 0.28 | 0.25 | 0.05 | 0.52 | 0.14 | 0.05 | 0.59 | |||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss)# | 2.92 | (466.61 | ) | (270.04 | ) | (74.49 | ) | (2.41 | ) | (3.04 | ) | 5.06 | (687.88 | ) | (2.22 | ) | 8.25 | (39.18 | ) | 0.20 | ||||||||||||||||||||||||||||
Change in net asset value from operations | 3.14 | (466.84 | ) | (265.16 | ) | (73.56 | ) | (2.35 | ) | (2.76 | ) | 5.31 | (687.83 | ) | (1.70 | ) | 8.39 | (39.13 | ) | 0.79 | ||||||||||||||||||||||||||||
Net asset value, at December 31, 2018 | $ | 43.10 | $ | 42.36 | $ | 326.46 | $ | 252.83 | $ | 15.09 | $ | 37.12 | ||||||||||||||||||||||||||||||||||||
Market value per share, at December 31, 2017 † | $ | 39.99 | $ | 512.84 | $ | 586.00 | $ | 325.00 | $ | 17.46 | $ | 40.67 | ||||||||||||||||||||||||||||||||||||
Net asset value, at December 31, 2019 | $ | 31.70 | $ | 126.74 | $ | 55.83 | $ | 21.47 | $ | 10.66 | $ | 56.09 | ||||||||||||||||||||||||||||||||||||
Market value per share, at December 31, 2018 † | $ | 43.08 | $ | 42.30 | $ | 332.50 | $ | 258.20 | $ | 15.12 | $ | 37.41 | $ | 26.37 | $ | 817.30 | $ | 57.55 | $ | 13.47 | $ | 48.43 | $ | 54.92 | ||||||||||||||||||||||||
Market value per share, at December 31, 2019 † | $ | 31.65 | $ | 128.90 | $ | 55.83 | $ | 21.60 | $ | 10.58 | $ | 55.88 | ||||||||||||||||||||||||||||||||||||
Total Return, at net asset value | 7.9 | % | (91.7 | )% | (44.8 | )% | (22.5 | )% | (13.5 | )% | (6.9 | )% | 20.1 | % | (84.4 | )% | (3.0 | )% | 64.1 | % | (78.6 | )% | 1.4 | % | ||||||||||||||||||||||||
Total Return, at market value | 7.7 | % | (91.8 | )% | (43.3 | )% | (20.6 | )% | (13.4 | )% | (8.0 | )% | 20.0 | % | (84.2 | )% | (3.0 | )% | 60.4 | % | (78.2 | )% | 1.7 | % | ||||||||||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||||||||||
Expense ratio | 0.97 | % | 1.34 | % | 0.97 | % | 1.22 | % | 0.95 | % | 0.95 | % | ||||||||||||||||||||||||||||||||||||
Expense ratio, excluding brokerage commissions and fees | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||||||||||||||||||||||||||
Expense ratio^^ | 0.97 | % | 1.54 | % | 0.95 | % | 1.25 | % | 1.40 | % | 1.03 | % | ||||||||||||||||||||||||||||||||||||
Net investment income gain (loss) | 0.54 | % | (0.37 | )% | 0.73 | % | 0.30 | % | 0.36 | % | 0.73 | % | 0.91 | % | 0.02 | % | 0.92 | % | 0.66 | % | 0.31 | % | 1.05 | % |
* | See Note 1 of these Notes to Financial Statements. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^^ | 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. |
For the Year Ended December 31, 2018 | ||||||||||||||||||||||||
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF | Ultra Yen | UltraPro 3x Crude Oil ETF | UltraPro 3x Short Crude Oil ETF* | UltraShort Australian Dollar | ||||||||||||||||||
Net asset value, at December 31, 2017 | $ | 33.55 | $ | 51.67 | $ | 57.32 | $ | 37.78 | $ | 42.32 | $ | 45.67 | ||||||||||||
Net investment income (loss) | 0.20 | (0.40 | ) | (0.02 | ) | (0.04 | ) | (0.12 | ) | 0.23 | ||||||||||||||
Net realized and unrealized gain (loss)# | (7.36 | ) | 30.19 | 0.23 | (24.66 | ) | 7.59 | 9.40 | ||||||||||||||||
Change in net asset value from operations | (7.16 | ) | 29.79 | 0.21 | (24.70 | ) | 7.47 | 9.63 | ||||||||||||||||
Net asset value, at December 31, 2018 | $ | 26.39 | $ | 81.46 | $ | 57.53 | $ | 13.08 | $ | 49.79 | $ | 55.30 | ||||||||||||
Market value per share, at December 31, 2017 † | $ | 33.85 | $ | 51.05 | $ | 57.45 | $ | 37.23 | $ | 42.88 | $ | 45.72 | ||||||||||||
Market value per share, at December 31, 2018 † | $ | 26.37 | $ | 81.73 | $ | 57.55 | $ | 13.47 | $ | 48.43 | $ | 54.92 | ||||||||||||
Total Return, at net asset value | (21.3 | )% | 57.7 | % | 0.4 | % | (65.4 | )% | 17.7 | % | 21.1 | % | ||||||||||||
Total Return, at market value | (22.1 | )% | 60.1 | % | 0.2 | % | (63.8 | )% | 12.9 | % | 20.1 | % | ||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Expense ratio | 0.95 | % | 1.68 | % | 0.95 | % | 1.22 | % | 1.24 | % | 1.03 | % | ||||||||||||
Expense ratio, excluding brokerage commissions and fees | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income gain (loss) | 0.69 | % | (0.75 | )% | (0.03 | )% | (0.12 | )% | (0.45 | )% | 0.46 | % |
Per Share Operating Performance | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas ** | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen | ||||||||||||||||||
Net asset value, at December 31, 2018 | $ | 119.15 | $ | 108.06 | $ | 24.27 | $ | 73.28 | $ | 148.51 | $ | 73.89 | ||||||||||||
Net investment income (loss) | 0.57 | 0.42 | 0.29 | 0.59 | 1.22 | 0.87 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (70.95 | ) | 84.17 | 2.24 | (20.85 | ) | (42.69 | ) | 1.61 | |||||||||||||||
Change in net asset value from operations | (70.38 | ) | 84.59 | 2.53 | (20.26 | ) | (41.47 | ) | 2.48 | |||||||||||||||
Net asset value, at December 31, 2019 | $ | 48.77 | $ | 192.65 | $ | 26.80 | $ | 53.02 | $ | 107.04 | $ | 76.37 | ||||||||||||
Market value per share, at December 31, 2018 † | $ | 117.12 | $ | 106.10 | $ | 24.25 | $ | 72.84 | $ | 148.40 | $ | 73.86 | ||||||||||||
Market value per share, at December 31, 2019 † | $ | 48.60 | $ | 194.10 | $ | 26.80 | $ | 53.21 | $ | 107.20 | $ | 76.35 | ||||||||||||
Total Return, at net asset value | (59.1 | )% | 78.3 | % | 10.4 | % | (27.6 | )% | (27.9 | )% | 3.4 | % | ||||||||||||
Total Return, at market value | (58.5 | )% | 82.9 | % | 10.5 | % | (26.9 | )% | (27.8 | )% | 3.4 | % | ||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Expense ratio^^ | 1.06 | % | 1.57 | % | 0.95 | % | 0.98 | % | 1.00 | % | 0.95 | % | ||||||||||||
Net investment income gain (loss) | 0.88 | % | 0.33 | % | 1.12 | % | 0.94 | % | 0.90 | % | 1.17 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | See Note 9 of these Notes to Financial Statements. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^^ | 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. |
Per Share Operating Performance | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF * | ||||||
Net asset value, at December 31, 2018 | $ | 26.65 | $ | 154.32 | ||||
Net investment income (loss) | 0.25 | 0.70 | ||||||
Net realized and unrealized gain (loss)# | (5.63 | ) | (105.83 | ) | ||||
Change in net asset value from operations | (5.38 | ) | (105.13 | ) | ||||
Net asset value, at December 31, 2019 | $ | 21.27 | $ | 49.19 | ||||
Market value per share, at December 31, 2018 † | $ | 26.74 | $ | 154.44 | ||||
Market value per share, at December 31, 2019 † | $ | 21.29 | $ | 49.72 | ||||
Total Return, at net asset value | (20.2 | )% | (68.1 | )% | ||||
Total Return, at market value | (20.4 | )% | (67.8 | )% | ||||
Ratios to Average Net Assets | ||||||||
Expense ratio^^ | 0.92 | % | 0.96 | % | ||||
Net investment income gain (loss) | 1.10 | % | 0.90 | % |
* | See Note 1 of these Notes to Financial Statements. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
For the Year Ended December 31, 2018 | ||||||||||||||||||||||||
Per Share Operating Performance | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | UltraShort Silver | UltraShort Yen | ||||||||||||||||||
Net asset value, at December 31, 2017 | $ | 24.31 | $ | 39.48 | $ | 21.21 | $ | 70.47 | $ | 31.71 | $ | 74.93 | ||||||||||||
Net investment income (loss) | 0.11 | (0.01 | ) | 0.16 | 0.47 | 0.20 | 0.53 | |||||||||||||||||
Net realized and unrealized gain (loss)# | 5.37 | (17.86 | ) | 2.90 | 2.34 | 5.22 | (1.57 | ) | ||||||||||||||||
Change in net asset value from operations | 5.48 | (17.87 | ) | 3.06 | 2.81 | 5.42 | (1.04 | ) | ||||||||||||||||
Net asset value, at December 31, 2018 | $ | 29.79 | $ | 21.61 | $ | 24.27 | $ | 73.28 | $ | 37.13 | $ | 73.89 | ||||||||||||
Market value per share, at December 31, 2017 † | $ | 24.56 | $ | 39.65 | $ | 21.20 | $ | 69.11 | $ | 31.40 | $ | 74.98 | ||||||||||||
Market value per share, at December 31, 2018 † | $ | 29.28 | $ | 21.22 | $ | 24.25 | $ | 72.84 | $ | 37.10 | $ | 73.86 | ||||||||||||
Total Return, at net asset value | 22.5 | % | (45.3 | )% | 14.4 | % | 4.0 | % | 17.1 | % | (1.4 | )% | ||||||||||||
Total Return, at market value | 19.2 | % | (46.5 | )% | 14.4 | % | 5.4 | % | 18.2 | % | (1.5 | )% | ||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Expense ratio | 0.98 | % | 1.41 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Expense ratio, excluding brokerage commissions and fees | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income gain (loss) | 0.59 | % | (0.05 | )% | 0.73 | % | 0.64 | % | 0.55 | % | 0.73 | % |
The respectively, if non-recurring fees and |
Per Share Operating Performance | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF | ||||||
Net asset value, at December 31, 2017 | $ | 21.29 | $ | 23.34 | ||||
Net investment income (loss) | 0.10 | 0.08 | ||||||
Net realized and unrealized gain (loss)# | 5.26 | 15.16 | ||||||
Change in net asset value from operations | 5.36 | 15.24 | ||||||
Net asset value, at December 31, 2018 | $ | 26.65 | $ | 38.58 | ||||
Market value per share, at December 31, 2017 † | $ | 21.15 | $ | 23.15 | ||||
Market value per share, at December 31, 2018 † | $ | 26.74 | $ | 38.61 | ||||
Total Return, at net asset value | 25.2 | % | 65.3 | % | ||||
Total Return, at market value | 26.4 | % | 66.8 | % | ||||
Ratios to Average Net Assets | ||||||||
Expense ratio | 0.97 | % | 1.00 | % | ||||
Expense ratio, excluding brokerage commissions and fees | 0.85 | % | 0.85 | % | ||||
Net investment income gain (loss) | 0.45 | % | 0.30 | % |