☒ | Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended September 30, 2023. |
☐ | Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
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 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 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 | ☐ |
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June 30, 2023 (unaudited) | December 31, 2022 | September 30, 2023 (unaudited) | December 31, 2022 | |||||||||||||
Assets | ||||||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $89,711,485 and $144,283,581, respectively) | $ | 89,727,034 | $ | 144,307,676 | ||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $104,655,954 and $144,283,581, respectively) | $ | 104,670,946 | $ | 144,307,676 | ||||||||||||
Cash | 62,993,244 | 6,852,395 | 50,012,847 | 6,852,395 | ||||||||||||
Segregated cash balances with brokers for futures contracts | 110,594,314 | 127,094,546 | 96,778,870 | 127,094,546 | ||||||||||||
Receivable on open futures contracts | 18,825,539 | 67,086,947 | 12,792,560 | 67,086,947 | ||||||||||||
Interest receivable | 432,544 | 475,930 | 275,091 | 475,930 | ||||||||||||
Total assets | 282,572,675 | 345,817,494 | 264,530,314 | 345,817,494 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
Payable for capital shares redeemed | — | 5,861,814 | — | 5,861,814 | ||||||||||||
Payable on open futures contracts | 2,625,055 | — | ||||||||||||||
Brokerage commissions and futures account fees payable | 8,756 | 21,576 | 8,960 | 21,576 | ||||||||||||
Payable to Sponsor | 210,652 | 342,466 | ||||||||||||||
Payable to Sponsor | 197,552 | 342,466 | ||||||||||||||
Total liabilities | 219,408 | 6,225,856 | 2,831,567 | 6,225,856 | ||||||||||||
Commitments and Contingencies (Note 2) | ||||||||||||||||
Shareholders’ equity | ||||||||||||||||
Shareholders’ equity | 282,353,267 | 339,591,638 | 261,698,747 | 339,591,638 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 282,572,675 | $ | 345,817,494 | $ | 264,530,314 | $ | 345,817,494 | ||||||||
Shares outstanding | 3,334,307 | 5,784,307 | 3,034,307 | 5,784,307 | ||||||||||||
Net asset value per share | $ | 84.68 | $ | 58.71 | $ | 86 .25 | $ | 58 .71 | ||||||||
Market value per share (Note 2) | $ | 84.68 | $ | 58.68 | $ | 86 .34 | $ | 58 .68 | ||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(32% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.132% due 07/06/23 | $ | 15,000,000 | $ | 14,993,694 | ||||
4.959% due 07/13/23 | 25,000,000 | 24,964,895 | ||||||
5.104% due 08/01/23 | 25,000,000 | 24,897,695 | ||||||
4.972% due 08/08/23 | 25,000,000 | 24,870,750 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $89,711,485) | $ | 89,727,034 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(40% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 20,000,000 | $ | 19,976,556 | ||||
5.478% due 10/17/23 | 45,000,000 | 44,900,905 | ||||||
5.499% due 10/24/23 | 15,000,000 | 14,951,600 | ||||||
5.490% due 11/14/23 | 25,000,000 | 24,841,885 | ||||||
Total short-term U.S. government and agency obligations (cost $104,655,954) | $ | 104,670,946 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
VIX Futures - Cboe, expires July 2023 | 5,241 | $ | 78,672,651 | $ | 21,799,615 | |||||||
VIX Futures - Cboe, expires August 2023 | 3,810 | 62,485,143 | 2,129,590 | |||||||||
$ | 23,929,205 | |||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires October 2023 | 4,373 | $ | 77,713,457 | $ | (1,730,931 | ) | ||||||
VIX Futures - Cboe, expires November 2023 | 2,906 | 53,023,748 | (656,454 | ) | ||||||||
$ | (2,387,385 | ) | ||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,437,210 | $ | 225,134 | $ | 4,546,332 | $ | 319,477 | ||||||||
Expenses | ||||||||||||||||
Management fee | 617,036 | 1,034,361 | 1,182,813 | 2,020,898 | ||||||||||||
Brokerage commissions | 123,422 | 177,552 | 249,925 | 365,250 | ||||||||||||
Futures account fees | — | 107,221 | — | 324,251 | ||||||||||||
Total expenses | 740,458 | 1,319,134 | 1,432,738 | 2,710,399 | ||||||||||||
Net investment income (loss) | 1,696,752 | (1,094,000 | ) | 3,113,594 | (2,390,922 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 65,228,142 | (13,029,194 | ) | 94,832,290 | (54,129,808 | ) | ||||||||||
Short-term U.S. government and agency obligations | (25,811 | ) | (76,018 | ) | (25,811 | ) | (86,512 | ) | ||||||||
Net realized gain (loss) | 65,202,331 | (13,105,212 | ) | 94,806,479 | (54,216,320 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 9,658,017 | (34,466,848 | ) | 12,836,824 | (29,757,664 | ) | ||||||||||
Short-term U.S. government and agency obligations | 15,084 | (40,932 | ) | (8,546 | ) | (452,209 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 9,673,101 | (34,507,780 | ) | 12,828,278 | (30,209,873 | ) | ||||||||||
Net realized and unrealized gain (loss) | 74,875,432 | (47,612,992 | ) | 107,634,757 | (84,426,193 | ) | ||||||||||
Net income (loss) | $ | 76,572,184 | $ | (48,706,992 | ) | $ | 110,748,351 | $ | (86,817,115 | ) | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,624,180 | $ | 1,006,499 | $ | 7,170,512 | $ | 1,325,976 | ||||||||
Expenses | ||||||||||||||||
Management fee | 634,871 | 914,054 | 1,817,684 | 2,934,952 | ||||||||||||
Brokerage commissions | 137,943 | 152,661 | 387,868 | 517,911 | ||||||||||||
Futures account fees | — | 23,966 | — | 348,217 | ||||||||||||
Non-recurring fees and expenses | — | 6,122 | — | 6,122 | ||||||||||||
Total expenses | 772,814 | 1,096,803 | 2,205,552 | 3,807,202 | ||||||||||||
Net investment income (loss) | 1,851,366 | (90,304 | ) | 4,964,960 | (2,481,226 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 30,285,319 | 27,694,574 | 125,117,609 | (26,435,234 | ) | |||||||||||
Short-term U.S. government and agency obligations | 4 | — | (25,807 | ) | (86,512 | ) | ||||||||||
Net realized gain (loss) | 30,285,323 | 27,694,574 | 125,091,802 | (26,521,746 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (26,316,590 | ) | (17,783,632 | ) | (13,479,766 | ) | (47,541,296 | ) | ||||||||
Short-term U.S. government and agency obligations | (557 | ) | 313,442 | (9,103 | ) | (138,767 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (26,317,147 | ) | (17,470,190 | ) | (13,488,869 | ) | (47,680,063 | ) | ||||||||
Net realized and unrealized gain (loss) | 3,968,176 | 10,224,384 | 111,602,933 | (74,201,809 | ) | |||||||||||
Net income (loss) | $ | 5,819,542 | $ | 10,134,080 | $ | 116,567,893 | $ | (76,683,035 | ) | |||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 295,340,393 | $ | 495,588,849 | $ | 339,591,638 | $ | 423,812,594 | ||||||||
Addition of 550,000, 1,600,000, 3,000,000 and 4,600,000 shares, respectively | 38,020,154 | 75,921,860 | 185,319,488 | 232,437,331 | ||||||||||||
Redemption of 1,850,000, 2,300,000, 5,450,000 and 3,100,000 shares, respectively | (127,579,464 | ) | (119,158,761 | ) | (353,306,210 | ) | (165,787,854 | ) | ||||||||
Net addition (redemption) of (1,300,000 ), (700,000), (2,450,000) and 1,500,000 shares, respectively | (89,559,310 | ) | (43,236,901 | ) | (167,986,722 | ) | 66,649,477 | |||||||||
Net investment income (loss) | 1,696,752 | (1,094,000 | ) | 3,113,594 | (2,390,922 | ) | ||||||||||
Net realized gain (loss) | 65,202,331 | (13,105,212 | ) | 94,806,479 | (54,216,320 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 9,673,101 | (34,507,780 | ) | 12,828,278 | (30,209,873 | ) | ||||||||||
Net income (loss) | 76,572,184 | (48,706,992 | ) | 110,748,351 | (86,817,115 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 282,353,267 | $ | 403,644,956 | $ | 282,353,267 | $ | 403,644,956 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 282,353,267 | $ | 403,644,956 | $ | 339,591,638 | $ | 423,812,594 | ||||||||
Addition of 650,000, 450,000, 3,650,000 and 5,050,000 shares, respectively | 56,262,968 | 23,538,063 | 241,582,456 | 255,975,394 | ||||||||||||
Redemption of 950,000, 2,200,000, 6,400,000 and 5,300,000 shares, respectively | (82,737,030 | ) | (115,486,048 | ) | (436,043,240 | ) | (281,273,902 | ) | ||||||||
Net addition (redemption) of (300,000), (1,750,000), (2,750,000) and (250,000) shares, respectively | (26,474,062 | ) | (91,947,985 | ) | (194,460,784 | ) | (25,298,508 | ) | ||||||||
Net investment income (loss) | 1,851,366 | (90,304 | ) | 4,964,960 | (2,481,226 | ) | ||||||||||
Net realized gain (loss) | 30,285,323 | 27,694,574 | 125,091,802 | (26,521,746 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (26,317,147 | ) | (17,470,190 | ) | (13,488,869 | ) | (47,680,063 | ) | ||||||||
Net income (loss) | 5,819,542 | 10,134,080 | 116,567,893 | (76,683,035 | ) | |||||||||||
Shareholders’ equity, end of period | $ | 261,698,747 | $ | 321,831,051 | $ | 261,698,747 | $ | 321,831,051 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 110,748,351 | $ | (86,817,115 | ) | |||
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 | (278,358,687 | ) | (569,767,938 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 334,826,194 | 565,832,801 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,921,222 | ) | (206,220 | ) | ||||
Net realized (gain) loss on investments | 25,811 | 86,512 | ||||||
Change in unrealized (appreciation) depreciation on investments | 8,546 | 452,209 | ||||||
Decrease (Increase) in receivable on open futures contracts | 48,261,408 | (6,253,293 | ) | |||||
Decrease (Increase) in interest receivable | 43,386 | (73,181 | ) | |||||
Increase (Decrease) in payable to Sponsor | (131,814 | ) | (2,886 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (12,820 | ) | (92,191 | ) | ||||
Increase (Decrease) in payable on open futures contracts | — | 1,735,890 | ||||||
Net cash provided by (used in) operating activities | 213,489,153 | (95,105,412 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 185,319,488 | 232,437,331 | ||||||
Payment on shares redeemed | (359,168,024 | ) | (171,912,984 | ) | ||||
Net cash provided by (used in) financing activities | (173,848,536 | ) | 60,524,347 | |||||
Net increase (decrease) in cash | 39,640,617 | (34,581,065 | ) | |||||
Cash, beginning of period | 133,946,941 | 183,010,984 | ||||||
Cash, end of period | $ | 173,587,558 | $ | 148,429,919 | ||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 116,567,893 | $ | (76,683,035 | ) | |||
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 | (584,136,375 | ) | (1,119,341,677 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 626,824,736 | 1,130,832,801 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (3,086,541 | ) | (491,158 | ) | ||||
Net realized (gain) loss on investments | 25,807 | 86,512 | ||||||
Change in unrealized (appreciation) depreciation on investments | 9,103 | 138,767 | ||||||
Decrease (Increase) in receivable on open futures contracts | 54,294,387 | 21,641,411 | ||||||
Decrease (Increase) in interest receivable | 200,839 | (231,733 | ) | |||||
Increase (Decrease) in payable to Sponsor | (144,914 | ) | 256,789 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (12,616 | ) | (95,868 | ) | ||||
Increase (Decrease) in payable on open futures contracts | 2,625,055 | 2,882,905 | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 6,122 | ||||||
Net cash provided by (used in) operating activities | 213,167,374 | (40,998,164 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 241,582,456 | 255,975,394 | ||||||
Payment on shares redeemed | (441,905,054 | ) | (287,399,032 | ) | ||||
Net cash provided by (used in) financing activities | (200,322,598 | ) | (31,423,638 | ) | ||||
Net increase (decrease) in cash | 12,844,776 | (72,421,802 | ) | |||||
Cash, beginning of period | 133,946,941 | 183,010,984 | ||||||
Cash, end of period | $ | 146,791,717 | $ | 110,589,182 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $413,892,685 and $313,413,683, respectively) | $ | 413,997,952 | $ | 313,465,007 | ||||
Cash | 67,718,783 | 224,296,858 | ||||||
Segregated cash balances with brokers for futures contracts | 75,508,570 | 76,813,658 | ||||||
Segregated cash balances with brokers for swap agreements | 182,681,745 | 175,489,745 | ||||||
Unrealized appreciation on swap agreements | — | 74,159,577 | ||||||
Receivable on open futures contracts | 2,846,634 | 8,466,027 | ||||||
Interest receivable | 449,770 | 618,549 | ||||||
Total assets | 743,203,454 | 873,309,421 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 1,186,903 | 13,545,014 | ||||||
Payable on open futures contracts | 1,541,204 | — | ||||||
Brokerage commissions and futures account fees payable | 7,646 | 7,154 | ||||||
Payable to Sponsor | 581,092 | 662,979 | ||||||
Unrealized depreciation on swap agreements | 1,692,241 | — | ||||||
Total liabilities | 5,009,086 | 14,215,147 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 738,194,368 | 859,094,274 | ||||||
Total liabilities and shareholders’ equity | $ | 743,203,454 | $ | 873,309,421 | ||||
Shares outstanding (Note 1) | 31,093,096 | 28,393,096 | ||||||
Net asset value per share (Note 1) | $ | 23.74 | $ | 30.26 | ||||
Market value per share (Note 1) (Note 2) | $ | 23.65 | $ | 30.31 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $264,043,695 and $313,413,683, respectively) | $ | 264,081,088 | $ | 313,465,007 | ||||
Cash | 26,232,492 | 224,296,858 | ||||||
Segregated cash balances with brokers for futures contracts | 31,197,841 | 76,813,658 | ||||||
Segregated cash balances with brokers for swap agreements | 283,449,745 | 175,489,745 | ||||||
Unrealized appreciation on swap agreements | 11,240,991 | 74,159,577 | ||||||
Receivable on open futures contracts | — | 8,466,027 | ||||||
Interest receivable | 337,421 | 618,549 | ||||||
Total assets | 616,539,578 | 873,309,421 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 8,912,592 | 13,545,014 | ||||||
Payable on open futures contracts | 2,980,155 | — | ||||||
Brokerage commissions and futures account fees payable | 2,674 | 7,154 | ||||||
Payable to Sponsor | 519,825 | 662,979 | ||||||
Total liabilities | 12,415,246 | 14,215,147 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 604,124,332 | 859,094,274 | ||||||
Total liabilities and shareholders’ equity | $ | 616,539,578 | $ | 873,309,421 | ||||
Shares outstanding | 17,143,096 | 28,393,096 | ||||||
Net asset value per share | $ | 35 .24 | $ | 30 .26 | ||||
Market value per share (Note 2) | $ | 35 .28 | $ | 30 .31 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(56% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.132% due 07/06/23 † | $ | 100,000,000 | $ | 99,957,960 | ||||
4.959% due 07/13/23 † | 40,000,000 | 39,943,832 | ||||||
5.242% due 07/18/23 † | 100,000,000 | 99,789,580 | ||||||
5.251% due 07/25/23 | 75,000,000 | 74,769,690 | ||||||
5.104% due 08/01/23 | 50,000,000 | 49,795,390 | ||||||
4.972% due 08/08/23 † | 50,000,000 | 49,741,500 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $413,892,685) | $ | 413,997,952 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(44% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 50,000,000 | $ | 49,941,390 | ||||
5.478% due 10/17/23 | 90,000,000 | 89,801,811 | ||||||
5.499% due 10/24/23 † | 50,000,000 | 49,838,665 | ||||||
5.490% due 11/14/23 | 50,000,000 | 49,683,770 | ||||||
5.497% due 11/21/23 | 25,000,000 | 24,815,452 | ||||||
Total short-term U.S. government and agency obligations (cost $264,043,695) | $ | 264,081,088 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
WTI Crude Oil - NYMEX, expires September 2023 | 2,315 | $ | 163,855,700 | $ | 534,428 | |||||||
WTI Crude Oil - NYMEX, expires December 2023 | 2,393 | 168,467,200 | 3,955,084 | |||||||||
WTI Crude Oil - NYMEX, expires June 2024 | 2,478 | 171,031,560 | 4,928,794 | |||||||||
$ | 9,418,306 | |||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires December 2023 | 879 | $ | 78,055,200 | $ | 14,366,865 | |||||||
WTI Crude Oil - NYMEX, expires June 2024 | 920 | 74,630,400 | 10,551,545 | |||||||||
WTI Crude Oil - NYMEX, expires December 2024 | 956 | 74,434,160 | (188,490 | ) | ||||||||
$ | 24,729,920 | |||||||||||
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 | % | 07/06/23 | $ | 172,685,565 | $ | (303,753 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 07/06/23 | 214,703,580 | (377,662 | ) | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 07/06/23 | 179,707,950 | (316,105 | ) | |||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.25 | 07/06/23 | 162,974,521 | (275,938 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.30 | 07/06/23 | 242,623,120 | (418,783 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (1,692,241 | ) | ||||||||||||
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 | % | 10/06/23 | $ | 210,901,349 | $ | 1,869,634 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 10/06/23 | 262,218,064 | 2,324,555 | ||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 10/06/23 | 151,363,911 | 1,607,761 | ||||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.25 | 10/06/23 | 199,041,224 | 1,776,923 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.30 | 10/06/23 | 157,428,427 | 3,662,118 | ||||||||||||
Total Unrealized Appreciation | $ | 11,240,991 | ||||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 5,878,092 | $ | 1,264,011 | $ | 11,886,000 | $ | 1,572,891 | ||||||||
Expenses | ||||||||||||||||
Management fee | 1,744,998 | 3,098,904 | 3,619,616 | 6,183,716 | ||||||||||||
Brokerage commissions | 94,303 | 140,210 | 188,647 | 335,751 | ||||||||||||
Futures account fees | — | 109,601 | — | 362,288 | ||||||||||||
Total expenses | 1,839,301 | 3,348,715 | 3,808,263 | 6,881,755 | ||||||||||||
Net investment income (loss) | 4,038,791 | (2,084,704 | ) | 8,077,737 | (5,308,864 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 29,371,809 | 244,497,710 | 40,205,833 | 510,907,542 | ||||||||||||
Swap agreements | (105,727,226 | ) | 118,798,382 | (30,780,823 | ) | 651,811,620 | ||||||||||
Short-term U.S. government and agency obligations | (59,378 | ) | (4,653 | ) | (59,378 | ) | (7,789 | ) | ||||||||
Net realized gain (loss) | (76,414,795 | ) | 363,291,439 | 9,365,632 | 1,162,711,373 | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (20,075,857 | ) | (187,136,364 | ) | (16,873,410 | ) | (89,000,726 | ) | ||||||||
Swap agreements | 65,510,145 | (24,001,881 | ) | (75,851,818 | ) | (216,215,448 | ) | |||||||||
Short-term U.S. government and agency obligations | 104,869 | (405,864 | ) | 53,943 | (991,922 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 45,539,157 | (211,544,109 | ) | (92,671,285 | ) | (306,208,096 | ) | |||||||||
Net realized and unrealized gain (loss) | (30,875,638 | ) | 151,747,330 | (83,305,653 | ) | 856,503,277 | ||||||||||
Net income (loss) | $ | (26,836,847 | ) | $ | 149,662,626 | $ | (75,227,916 | ) | $ | 851,194,413 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 811,668,456 | $ | 1,336,980,685 | $ | 859,094,274 | $ | 1,103,783,570 | ||||||||
Addition of 15,550,000, 1,700,000, 34,650,000 and 10,300,000 shares, respectively (Note 1) | 353,363,209 | 72,419,653 | 812,713,784 | 402,736,686 | ||||||||||||
Redemption of 15,050,000, 11,450,000, 31,950,000 and 36,050,000 shares, respectively (Note 1) | (400,000,450 | ) | (498,195,726 | ) | (858,385,774 | ) | (1,296,847,431 | ) | ||||||||
Net addition (redemption) of 500,000, (9,750,000) , 2,700,000 and (25,750,000) shares, respectively (Note 1) | (46,637,241 | ) | (425,776,073 | ) | (45,671,990 | ) | (894,110,745 | ) | ||||||||
Net investment income (loss) | 4,038,791 | (2,084,704 | ) | 8,077,737 | (5,308,864 | ) | ||||||||||
Net realized gain (loss) | (76,414,795 | ) | 363,291,439 | 9,365,632 | 1,162,711,373 | |||||||||||
Change in net unrealized appreciation (depreciation) | 45,539,157 | (211,544,109 | ) | (92,671,285 | ) | (306,208,096 | ) | |||||||||
Net income (loss) | (26,836,847 | ) | 149,662,626 | (75,227,916 | ) | 851,194,413 | ||||||||||
Shareholders’ equity, end of period | $ | 738,194,368 | $ | 1,060,867,238 | $ | 738,194,368 | $ | 1,060,867,238 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 5,340,428 | $ | 2,391,191 | $ | 17,226,428 | $ | 3,964,082 | ||||||||
Expenses | ||||||||||||||||
Management fee | 1,629,737 | 2,118,088 | 5,249,353 | 8,301,804 | ||||||||||||
Brokerage commissions | 51,162 | 85,906 | 239,809 | 421,657 | ||||||||||||
Futures account fees | — | 19,466 | — | 381,754 | ||||||||||||
Non-recurring fees and expenses | — | 13,739 | — | 13,739 | ||||||||||||
Total expenses | 1,680,899 | 2,237,199 | 5,489,162 | 9,118,954 | ||||||||||||
Net investment income (loss) | 3,659,529 | 153,992 | 11,737,266 | (5,154,872 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 45,265,209 | (58,028,223 | ) | 85,471,042 | 452,879,319 | |||||||||||
Swap agreements | 199,284,914 | (286,550,709 | ) | 168,504,091 | 365,260,911 | |||||||||||
Short-term U.S. government and agency obligations | 120 | — | (59,258 | ) | (7,789 | ) | ||||||||||
Net realized gain (loss) | 244,550,243 | (344,578,932 | ) | 253,915,875 | 818,132,441 | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 15,311,614 | (62,302,727 | ) | (1,561,796 | ) | (151,303,453 | ) | |||||||||
Swap agreements | 12,933,232 | 28,330,957 | (62,918,586 | ) | (187,884,491 | ) | ||||||||||
Short-term U.S. government and agency obligations | (67,874 | ) | 723,596 | (13,931 | ) | (268,326 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 28,176,972 | (33,248,174 | ) | (64,494,313 | ) | (339,456,270 | ) | |||||||||
Net realized and unrealized gain (loss) | 272,727,215 | (377,827,106 | ) | 189,421,562 | 478,676,171 | |||||||||||
Net income (loss) | $ | 276,386,744 | $ | (377,673,114 | ) | $ | 201,158,828 | $ | 473,521,299 | |||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (75,227,916 | ) | $ | 851,194,413 | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (8,286,191,814 | ) | (4,782,347,856 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 8,193,611,806 | 5,104,987,142 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (7,958,372 | ) | (1,304,714 | ) | ||||
Net realized (gain) loss on investments | 59,378 | 7,789 | ||||||
Change in unrealized (appreciation) depreciation on investments | 75,797,875 | 217,207,370 | ||||||
Decrease (Increase) in receivable on open futures contracts | 5,619,393 | — | ||||||
Decrease (Increase) in interest receivable | 168,779 | (210,318 | ) | |||||
Increase (Decrease) in payable to Sponsor | (81,887 | ) | 174,702 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 492 | (12,077 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 1,541,204 | (4,104,319 | ) | |||||
Net cash provided by (used in) operating activities | (92,661,062 | ) | 1,385,592,132 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 812,713,784 | 402,736,686 | ||||||
Payment on shares redeemed | (870,743,885 | ) | (1,276,766,479 | ) | ||||
Net cash provided by (used in) financing activities | (58,030,101 | ) | (874,029,793 | ) | ||||
Net increase (decrease) in cash | (150,691,163 | ) | 511,562,339 | |||||
Cash, beginning of period | 476,600,261 | 217,287,389 | ||||||
Cash, end of period | $ | 325,909,098 | $ | 728,849,728 | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 738,194,368 | $ | 1,060,867,238 | $ | 859,094,274 | $ | 1,103,783,570 | ||||||||
Addition of –, 10,400,000, 34,650,000 and 20,700,000 shares, respectively | — | 335,779,871 | 812,713,784 | 738,516,557 | ||||||||||||
Redemption of 13,950,000, 8,250,000, 45,900,000 and 44,300,000 shares, respectively | (410,456,780 | ) | (294,378,733 | ) | (1,268,842,554 | ) | (1,591,226,164 | ) | ||||||||
Net addition (redemption) of (13,950,000), 2,150,000, (11,250,000) and (23,600,000) shares, respectively | (410,456,780 | ) | 41,401,138 | (456,128,770 | ) | (852,709,607 | ) | |||||||||
Net investment income (loss) | 3,659,529 | 153,992 | 11,737,266 | (5,154,872 | ) | |||||||||||
Net realized gain (loss) | 244,550,243 | (344,578,932 | ) | 253,915,875 | 818,132,441 | |||||||||||
Change in net unrealized appreciation (depreciation) | 28,176,972 | (33,248,174 | ) | (64,494,313 | ) | (339,456,270 | ) | |||||||||
Net income (loss) | 276,386,744 | (377,673,114 | ) | 201,158,828 | 473,521,299 | |||||||||||
Shareholders’ equity, end of period | $ | 604,124,332 | $ | 724,595,262 | $ | 604,124,332 | $ | 724,595,262 | ||||||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $298,722,860 and $263,209,299, respectively) | $ | 298,783,390 | $ | 263,260,158 | ||||
Cash | 193,070,994 | 13,689,494 | ||||||
Segregated cash balances with brokers for futures contracts | 405,057,584 | 163,045,170 | ||||||
Segregated cash balances with brokers for swap agreements | 83,160,000 | — | ||||||
Unrealized appreciation on swap agreements | 46,088,257 | — | ||||||
Receivable on open futures contracts | 117,556,776 | 149,650,221 | ||||||
Interest receivable | 1,694,276 | 653,922 | ||||||
Total assets | 1,145,411,277 | 590,298,965 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 3,473,947 | 1,826,653 | ||||||
Payable on open futures contracts | — | 1,835,443 | ||||||
Brokerage commissions and futures account fees payable | 69,389 | 35,242 | ||||||
Payable to Sponsor | 846,663 | 450,514 | ||||||
Total liabilities | 4,389,999 | 4,147,852 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 1,141,021,278 | 586,151,113 | ||||||
Total liabilities and shareholders’ equity | $ | 1,145,411,277 | $ | 590,298,965 | ||||
Shares outstanding (Note 1) | 16,421,876 | 1,614,376 | ||||||
Net asset value per share (Note 1) | $ | 69.48 | $ | 363.08 | ||||
Market value per share (Note 1) (Note 2) | $ | 68.99 | $ | 355.60 | ||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 201,158,828 | $ | 473,521,299 | ||||
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 | (9,133,783,770 | ) | (13,891,053,120 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 9,194,559,106 | 14,207,412,141 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (11,464,606 | ) | (2,942,264 | ) | ||||
Net realized (gain) loss on investments | 59,258 | 7,789 | ||||||
Change in unrealized (appreciation) depreciation on investments | 62,932,517 | 188,152,817 | ||||||
Decrease (Increase) in receivable on open futures contracts | 8,466,027 | (891,736 | ) | |||||
Decrease (Increase) in interest receivable | 281,128 | (317,244 | ) | |||||
Increase (Decrease) in payable to Sponsor | (143,154 | ) | 493,818 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (4,480 | ) | (18,209 | ) | ||||
Increase (Decrease) in payable on open futures contracts | 2,980,155 | (22,405,789 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 13,739 | ||||||
Net cash provided by (used in) operating activities | 325,041,009 | 951,973,241 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 812,713,784 | 738,516,557 | ||||||
Payment on shares redeemed | (1,273,474,976 | ) | (1,574,816,957 | ) | ||||
Net cash provided by (used in) financing activities | (460,761,192 | ) | (836,300,400 | ) | ||||
Net increase (decrease) in cash | (135,720,183 | ) | 115,672,841 | |||||
Cash, beginning of period | 476,600,261 | 217,287,389 | ||||||
Cash, end of period | $ | 340,880,078 | $ | 332,960,230 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $303,815,641 and $263,209,299, respectively) | $ | 303,858,387 | $ | 263,260,158 | ||||
Cash | 24,873,663 | 13,689,494 | ||||||
Segregated cash balances with brokers for futures contracts | 379,123,011 | 163,045,170 | ||||||
Segregated cash balances with brokers for swap agreements | 74,778,263 | — | ||||||
Receivable on open futures contracts | 126,823,271 | 149,650,221 | ||||||
Interest receivable | 1,484,336 | 653,922 | ||||||
Total assets | 910,940,931 | 590,298,965 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 32,487,150 | 1,826,653 | ||||||
Payable on open futures contracts | 5,930,098 | 1,835,443 | ||||||
Brokerage commissions and futures account fees payable | 36,861 | 35,242 | ||||||
Payable to Sponsor | 709,247 | 450,514 | ||||||
Unrealized depreciation on swap agreements | 1,438,294 | — | ||||||
Total liabilities | 40,601,650 | 4,147,852 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 870,339,281 | 586,151,113 | ||||||
Total liabilities and shareholders’ equity | $ | 910,940,931 | $ | 590,298,965 | ||||
Shares outstanding (Note 1) | 16,118,544 | 1,614,376 | ||||||
Net asset value per share (Note 1) | $ | 54 .00 | $ | 363 .08 | ||||
Market value per share (Note 1) (Note 2) | $ | 54 .38 | $ | 355 .60 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(26% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.242% due 07/18/23 | $ | 100,000,000 | $ | 99,789,580 | ||||
5.104% due 08/01/23 | 50,000,000 | 49,795,390 | ||||||
4.972% due 08/08/23 | 50,000,000 | 49,741,500 | ||||||
5.161% due 08/10/23 | 100,000,000 | 99,456,920 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $298,722,860) | $ | 298,783,390 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(35% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 50,000,000 | $ | 49,941,390 | ||||
5.478% due 10/17/23 | 100,000,000 | 99,779,790 | ||||||
5.499% due 10/24/23 † | 55,000,000 | 54,822,532 | ||||||
5.490% due 11/14/23 | 50,000,000 | 49,683,770 | ||||||
5.497% due 11/21/23 † | 50,000,000 | 49,630,905 | ||||||
Total short-term U.S. government and agency obligations (cost $303,815,641) | $ | 303,858,387 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Natural Gas - NYMEX, expires September 2023 | 71,349 | $ | 1,979,221,260 | $ | 248,335,437 |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Natural Gas - NYMEX, expires November 2023 | 50,182 | $ | 1,469,830,780 | $ | (114,592,473 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Natural Gas Subindex | 0.50 | % | 07/06/23 | $ | 148,091,216 | $ | 22,537,665 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex | 0.50 | 07/06/23 | 101,183,890 | 15,398,946 | ||||||||||||
Swap agreement with Societe General based on Bloomberg Natural Gas Subindex | 0.32 | 07/06/23 | 52,717,728 | 8,028,280 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex | 0.35 | 07/06/23 | 810,173 | 123,366 | ||||||||||||
Total Unrealized Appreciation | | $ | 46,088,257 | |||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Natural Gas Subindex | 0.50 | % | 10/06/23 | $ | 132,651,213 | $ | (706,090 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex | 0.50 | 10/06/23 | 90,634,449 | (482,438 | ) | |||||||||||
Swap agreement with Societe General based on Bloomberg Natural Gas Subindex | 0.32 | 10/06/23 | 47,221,373 | (245,972 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex | 0.35 | 10/06/23 | 725,704 | (3,794 | ) | |||||||||||
Total Unrealized Depreciation | $ | (1,438,294 | ) | |||||||||||||
† | All or partial amount pledged as collateral for futures contracts. |
^ | The positions and counterparties herein are as of |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 8,866,705 | $ | 146,470 | $ | 17,825,228 | $ | 186,051 | ||||||||
Expenses | ||||||||||||||||
Management fee | 2,588,571 | 534,624 | 4,916,981 | 931,234 | ||||||||||||
Brokerage commissions | 1,145,371 | 114,706 | 2,098,150 | 203,158 | ||||||||||||
Futures account fees | 211,785 | 63,213 | 399,478 | 134,330 | ||||||||||||
Total expenses | 3,945,727 | 712,543 | 7,414,609 | 1,268,722 | ||||||||||||
Net investment income (loss) | 4,920,978 | (566,073 | ) | 10,410,619 | (1,082,671 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (539,203,219 | ) | 164,990,694 | (1,639,994,302 | ) | 241,211,382 | ||||||||||
Swap agreements | (77,680,050 | ) | — | (38,520,261 | ) | — | ||||||||||
Short-term U.S. government and agency obligations | (3,646 | ) | — | (7,216 | ) | (3,452 | ) | |||||||||
Net realized gain (loss) | (616,886,915 | ) | 164,990,694 | (1,678,521,779 | ) | 241,207,930 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 572,850,724 | (271,251,560 | ) | 558,949,406 | (186,220,796 | ) | ||||||||||
Swap agreements | 85,176,576 | — | 46,088,257 | — | ||||||||||||
Short-term U.S. government and agency obligations | 29,724 | (36,909 | ) | 9,671 | (199,929 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 658,057,024 | (271,288,469 | ) | 605,047,334 | (186,420,725 | ) | ||||||||||
Net realized and unrealized gain (loss) | 41,170,109 | (106,297,775 | ) | (1,073,474,445 | ) | 54,787,205 | ||||||||||
Net income (loss) | $ | 46,091,087 | $ | (106,863,848 | ) | $ | (1,063,063,826 | ) | $ | 53,704,534 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 9,098,504 | $ | 909,204 | $ | 26,923,732 | $ | 1,095,255 | ||||||||
Expenses | ||||||||||||||||
Management fee | 2,303,082 | 658,525 | 7,220,063 | 1,589,759 | ||||||||||||
Brokerage commissions | 629,541 | 97,589 | 2,727,691 | 300,747 | ||||||||||||
Futures account fees | 131,828 | 43,620 | 531,306 | 177,950 | ||||||||||||
Non-recurring fees and expenses | — | 4,791 | — | 4,791 | ||||||||||||
Total expenses | 3,064,451 | 804,525 | 10,479,060 | 2,073,247 | ||||||||||||
Net investment income (loss) | 6,034,053 | 104,679 | 16,444,672 | (977,992 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 221,454,698 | (5,889,116 | ) | (1,418,539,604 | ) | 235,322,266 | ||||||||||
Swap agreements | 15,625,140 | — | (22,895,121 | ) | — | |||||||||||
Short-term U.S. government and agency obligations | 198 | (4,181 | ) | (7,018 | ) | (7,633 | ) | |||||||||
Net realized gain (loss) | 237,080,036 | (5,893,297 | ) | (1,441,441,743 | ) | 235,314,633 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (362,927,910 | ) | 97,063,212 | 196,021,496 | (89,157,584 | ) | ||||||||||
Swap agreements | (47,526,551 | ) | — | (1,438,294 | ) | — | ||||||||||
Short-term U.S. government and agency obligations | (17,784 | ) | 158,315 | (8,113 | ) | (41,614 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (410,472,245 | ) | 97,221,527 | 194,575,089 | (89,199,198 | ) | ||||||||||
Net realized and unrealized gain (loss) | (173,392,209 | ) | 91,328,230 | (1,246,866,654 | ) | 146,115,435 | ||||||||||
Net income (loss) | $ | (167,358,156 | ) | $ | 91,432,909 | $ | (1,230,421,982 | ) | $ | 145,137,443 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 1,139,983,773 | $ | 145,069,486 | $ | 586,151,113 | $ | 193,892,178 | ||||||||
Addition of 13,792,500, 325,000, 32,765,000 and 455,000 shares, respectively (Note 1) | 814,876,179 | 549,486,344 | 3,160,825,013 | 637,366,699 | ||||||||||||
Redemption of 12,825,000, 217,500, 17,957,500 and 597,500 shares, respectively (Note 1) | (859,929,761 | ) | (400,394,140 | ) | (1,542,891,022 | ) | (697,665,569 | ) | ||||||||
Net addition (redemption) of 967,500, 107,500, 14,807,500 and (142,500) shares, respectively (Note 1) | (45,053,582 | ) | 149,092,204 | 1,617,933,991 | (60,298,870 | ) | ||||||||||
Net investment income (loss) | 4,920,978 | (566,073 | ) | 10,410,619 | (1,082,671 | ) | ||||||||||
Net realized gain (loss) | (616,886,915 | ) | 164,990,694 | (1,678,521,779 | ) | 241,207,930 | ||||||||||
Change in net unrealized appreciation (depreciation) | 658,057,024 | (271,288,469 | ) | 605,047,334 | (186,420,725 | ) | ||||||||||
Net income (loss) | 46,091,087 | (106,863,848 | ) | (1,063,063,826 | ) | 53,704,534 | ||||||||||
Shareholders’ equity, end of period | $ | 1,141,021,278 | $ | 187,297,842 | $ | 1,141,021,278 | $ | 187,297,842 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 1,141,021,278 | $ | 187,297,842 | $ | 586,151,113 | $ | 193,892,178 | ||||||||
Addition of 12,950,000, 300,000, 45,715,000 and 755,000 shares, respectively (Note 1) | 739,093,446 | 425,638,048 | 3,899,918,459 | 1,063,004,747 | ||||||||||||
Redemption of 13,253,332, 265,000, 31,210,832 and 862,500 shares, respectively (Note 1) | (842,417,287 | ) | (414,982,702 | ) | (2,385,308,309 | ) | (1,112,648,271 | ) | ||||||||
Net addition (redemption) of (303,332), 35,000, 14,504,168 and (107,500) shares, respectively (Note 1) | (103,323,841 | ) | 10,655,346 | 1,514,610,150 | (49,643,524 | ) | ||||||||||
Net investment income (loss) | 6,034,053 | 104,679 | 16,444,672 | (977,992 | ) | |||||||||||
Net realized gain (loss) | 237,080,036 | (5,893,297 | ) | (1,441,441,743 | ) | 235,314,633 | ||||||||||
Change in net unrealized appreciation (depreciation) | (410,472,245 | ) | 97,221,527 | 194,575,089 | (89,199,198 | ) | ||||||||||
Net income (loss) | (167,358,156 | ) | 91,432,909 | (1,230,421,982 | ) | 145,137,443 | ||||||||||
Shareholders’ equity, end of period | $ | 870,339,281 | $ | 289,386,097 | $ | 870,339,281 | $ | 289,386,097 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,063,063,826 | ) | $ | 53,704,534 | |||
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 | (10,025,950,123 | ) | (520,892,453 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 9,997,363,885 | 505,991,302 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (6,934,539 | ) | (119,696 | ) | ||||
Net realized (gain) loss on investments | 7,216 | 3,452 | ||||||
Change in unrealized (appreciation) depreciation on investments | (46,097,928 | ) | 199,929 | |||||
Decrease (Increase) in receivable on open futures contracts | 32,093,445 | 20,455,330 | ||||||
Decrease (Increase) in interest receivable | (1,040,354 | ) | (38,738 | ) | ||||
Increase (Decrease) in payable to Sponsor | 396,149 | 68,086 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 34,147 | (57,121 | ) | |||||
Increase (Decrease) in payable on open futures contracts | (1,835,443 | ) | 26,800,768 | |||||
Net cash provided by (used in) operating activities | (1,115,027,371 | ) | 86,115,393 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,160,825,013 | 638,028,828 | ||||||
Payment on shares redeemed | (1,541,243,728 | ) | (691,677,317 | ) | ||||
Net cash provided by (used in) financing activities | 1,619,581,285 | (53,648,489 | ) | |||||
Net increase (decrease) in cash | 504,553,914 | 32,466,904 | ||||||
Cash, beginning of period | 176,734,664 | 54,135,725 | ||||||
Cash, end of period | $ | 681,288,578 | $ | 86,602,629 | ||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,230,421,982 | ) | $ | 145,137,443 | |||
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 | (10,927,044,661 | ) | (750,045,262 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 10,897,274,725 | 734,916,266 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (10,843,424 | ) | (561,077 | ) | ||||
Net realized (gain) loss on investments | 7,018 | 7,633 | ||||||
Change in unrealized (appreciation) depreciation on investments | 1,446,407 | 41,614 | ||||||
Decrease (Increase) in receivable on open futures contracts | 22,826,950 | (36,015,281 | ) | |||||
Decrease (Increase) in interest receivable | (830,414 | ) | (157,395 | ) | ||||
Increase (Decrease) in payable to Sponsor | 258,733 | 294,750 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 1,619 | (48,246 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 4,094,655 | 1,186,502 | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 4,791 | ||||||
Net cash provided by (used in) operating activities | (1,243,230,374 | ) | 94,761,738 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,899,918,459 | 1,083,453,488 | ||||||
Payment on shares redeemed | (2,354,647,812 | ) | (1,109,986,578 | ) | ||||
Net cash provided by (used in) financing activities | 1,545,270,647 | (26,533,090 | ) | |||||
Net increase (decrease) in cash | 302,040,273 | 68,228,648 | ||||||
Cash, beginning of period | 176,734,664 | 54,135,725 | ||||||
Cash, end of period | $ | 478,774,937 | $ | 122,364,373 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 6,440,727 | $ | 9,156,418 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 833,000 | 1,103,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 241,390 | 514,115 | ||||||
Interest receivable | 28,208 | 40,421 | ||||||
Total assets | 7,543,325 | 10,813,954 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 6,188 | 10,833 | ||||||
Unrealized depreciation on foreign currency forward contracts | 1,702 | 98,459 | ||||||
Total liabilities | 7,890 | 109,292 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 7,535,435 | 10,704,662 | ||||||
Total liabilities and shareholders’ equity | $ | 7,543,325 | $ | 10,813,954 | ||||
Shares outstanding | 650,000 | 950,000 | ||||||
Net asset value per share | $ | 11.59 | $ | 11.27 | ||||
Market value per share (Note 2) | $ | 11.61 | $ | 11.26 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 5,923,008 | $ | 9,156,418 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 803,000 | 1,103,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 867 | 514,115 | ||||||
Interest receivable | 25,385 | 40,421 | ||||||
Total assets | 6,752,260 | 10,813,954 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 5,200 | 10,833 | ||||||
Unrealized depreciation on foreign currency forward contracts | 223,579 | 98,459 | ||||||
Total liabilities | 228,779 | 109,292 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 6,523,481 | 10,704,662 | ||||||
Total liabilities and shareholders’ equity | $ | 6,752,260 | $ | 10,813,954 | ||||
Shares outstanding | 600,000 | 950,000 | ||||||
Net asset value per share | $ | 10 .87 | $ | 11 .27 | ||||
Market value per share (Note 2) | $ | 10 .85 | $ | 11 .26 | ||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 07/14/23 | 7,784,921 | $ | 8,501,340 | $ | 129,303 | ||||||||||
Euro with UBS AG | 07/14/23 | 7,204,502 | 7,867,506 | 112,087 | ||||||||||||
Total Unrealized Appreciation | | $ | 241,390 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 07/14/23 | (93,000 | ) | $ | (101,558 | ) | $ | (197 | ) | |||||||
Euro with UBS AG | 07/14/23 | (1,152,000 | ) | (1,258,014 | ) | (1,505 | ) | |||||||||
Total Unrealized Depreciation | | $ | (1,702 | ) | ||||||||||||
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 | 10/06/23 | 7,691,921 | $ | 8,134,350 | $ | (136,003 | ) | |||||||||
Euro with UBS AG | 10/06/23 | 4,954,502 | 5,239,479 | (87,576 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (223,579 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with UBS AG | 10/06/23 | (323,000 | ) | $ | (341,578 | ) | $ | 867 | ||||||||
Total Unrealized Appreciation | | $ | 867 | |||||||||||||
^ | The positions and counterparties herein are as of |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 88,182 | $ | 6,522 | $ | 185,419 | $ | 11,109 | ||||||||
Expenses | ||||||||||||||||
Management fee | 19,851 | 15,037 | 44,097 | 35,315 | ||||||||||||
Total expenses | 19,851 | 15,037 | 44,097 | 35,315 | ||||||||||||
Net investment income (loss) | 68,331 | (8,515 | ) | 141,322 | (24,206 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | 78,291 | (446,365 | ) | 358,570 | (887,395 | ) | ||||||||||
Short-term U.S. government and agency obligations | — | — | — | (5,949 | ) | |||||||||||
Net realized gain (loss) | 78,291 | (446,365 | ) | 358,570 | (893,344 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (79,023 | ) | (282,077 | ) | (175,968 | ) | (415,047 | ) | ||||||||
Short-term U.S. government and agency obligations | — | 787 | — | (4,668 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (79,023 | ) | (281,290 | ) | (175,968 | ) | (419,715 | ) | ||||||||
Net realized and unrealized gain (loss) | (732 | ) | (727,655 | ) | 182,602 | (1,313,059 | ) | |||||||||
Net income (loss) | $ | 67,599 | $ | (736,170 | ) | $ | 323,924 | $ | (1,337,265 | ) | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 80,746 | $ | 36,856 | $ | 266,165 | $ | 47,965 | ||||||||
Expenses | ||||||||||||||||
Management fee | 16,999 | 31,331 | 61,096 | 66,646 | ||||||||||||
Non-recurring fees and expenses | — | 237 | — | 237 | ||||||||||||
Total expenses | 16,999 | 31,568 | 61,096 | 66,883 | ||||||||||||
Net investment income (loss) | 63,747 | 5,288 | 205,069 | (18,918 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (22,385 | ) | (1,618,381 | ) | 336,185 | (2,505,776 | ) | |||||||||
Short-term U.S. government and agency obligations | — | — | — | (5,949 | ) | |||||||||||
Net realized gain (loss) | (22,385 | ) | (1,618,381 | ) | 336,185 | (2,511,725 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (462,400 | ) | (98,836 | ) | (638,368 | ) | (513,883 | ) | ||||||||
Short-term U.S. government and agency obligations | — | 3,824 | — | (844 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (462,400 | ) | (95,012 | ) | (638,368 | ) | (514,727 | ) | ||||||||
Net realized and unrealized gain (loss) | (484,785 | ) | (1,713,393 | ) | (302,183 | ) | (3,026,452 | ) | ||||||||
Net income (loss) | $ | (421,038 | ) | $ | (1,708,105 | ) | $ | (97,114 | ) | $ | (3,045,370 | ) | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 8,616,433 | $ | 6,236,982 | $ | 10,704,662 | $ | 8,659,095 | ||||||||
Addition of –, 450,000, 200,000 and 550,000 shares, respectively | — | 5,052,555 | 2,296,437 | 6,368,822 | ||||||||||||
Redemption of 100,000, 100,000, 500,000 and 350,000 shares, respectively | (1,148,597 | ) | (1,137,741 | ) | (5,789,588 | ) | (4,275,026 | ) | ||||||||
Net addition (redemption) of (100,000), 350,000, (300,000) and 200,000 shares, respectively | (1,148,597 | ) | 3,914,814 | (3,493,151 | ) | 2,093,796 | ||||||||||
Net investment income (loss) | 68,331 | (8,515 | ) | 141,322 | (24,206 | ) | ||||||||||
Net realized gain (loss) | 78,291 | (446,365 | ) | 358,570 | (893,344 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (79,023 | ) | (281,290 | ) | (175,968 | ) | (419,715 | ) | ||||||||
Net income (loss) | 67,599 | (736,170 | ) | 323,924 | (1,337,265 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 7,535,435 | $ | 9,415,626 | $ | 7,535,435 | $ | 9,415,626 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 7,535,435 | $ | 9,415,626 | $ | 10,704,662 | $ | 8,659,095 | ||||||||
Addition of —, 700,000, 200,000 and 1,250,000 shares, respectively | — | 7,168,239 | 2,296,437 | 13,537,061 | ||||||||||||
Redemption of 50,000, 100,000, 550,000 and 450,000 shares, respectively | (590,916 | ) | (1,006,389 | ) | (6,380,504 | ) | (5,281,415 | ) | ||||||||
Net addition (redemption) of (50,000), 600,000, (350,000) and 800,000 shares, respectively | (590,916 | ) | 6,161,850 | (4,084,067 | ) | 8,255,646 | ||||||||||
Net investment income (loss) | 63,747 | 5,288 | 205,069 | (18,918 | ) | |||||||||||
Net realized gain (loss) | (22,385 | ) | (1,618,381 | ) | 336,185 | (2,511,725 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (462,400 | ) | (95,012 | ) | (638,368 | ) | (514,727 | ) | ||||||||
Net income (loss) | (421,038 | ) | (1,708,105 | ) | (97,114 | ) | (3,045,370 | ) | ||||||||
Shareholders’ equity, end of period | $ | 6,523,481 | $ | 13,869,371 | $ | 6,523,481 | $ | 13,869,371 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 323,924 | $ | (1,337,265 | ) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | — | (5,984,289 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 2,290,249 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (9,602 | ) | |||||
Net realized (gain) loss on investments | — | 5,949 | ||||||
Change in unrealized (appreciation) depreciation on investments | 175,968 | 419,715 | ||||||
Decrease (Increase) in interest receivable | 12,213 | (1,382 | ) | |||||
Increase (Decrease) in payable to Sponsor | (4,645 | ) | 2,121 | |||||
Net cash provided by (used in) operating activities | 507,460 | (4,614,504 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 2,296,437 | 6,368,822 | ||||||
Payment on shares redeemed | (5,789,588 | ) | (4,275,026 | ) | ||||
Net cash provided by (used in) financing activities | (3,493,151 | ) | 2,093,796 | |||||
Net increase (decrease) in cash | (2,985,691 | ) | (2,520,708 | ) | ||||
Cash, beginning of period | 10,259,418 | 7,582,458 | ||||||
Cash, end of period | $ | 7,273,727 | $ | 5,061,750 | ||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (97,114 | ) | $ | (3,045,370 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | — | (5,984,290 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 6,290,250 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (11,431 | ) | |||||
Net realized (gain) loss on investments | — | 5,949 | ||||||
Change in unrealized (appreciation) depreciation on investments | 638,368 | 514,727 | ||||||
Decrease (Increase) in interest receivable | 15,036 | (13,185 | ) | |||||
Increase (Decrease) in payable to Sponsor | (5,633 | ) | 18,088 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 237 | ||||||
Net cash provided by (used in) operating activities | 550,657 | (2,225,025 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 2,296,437 | 13,058,757 | ||||||
Payment on shares redeemed | (6,380,504 | ) | (5,281,415 | ) | ||||
Net cash provided by (used in) financing activities | (4,084,067 | ) | 7,777,342 | |||||
Net increase (decrease) in cash | (3,533,410 | ) | 5,552,317 | |||||
Cash, beginning of period | 10,259,418 | 7,582,458 | ||||||
Cash, end of period | $ | 6,726,008 | $ | 13,134,775 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $134,680,616 and $129,100,287, respectively) | $ | 134,714,723 | $ | 129,123,489 | ||||
Cash | 15,660,964 | 16,568,417 | ||||||
Segregated cash balances with brokers for futures contracts | 4,415,600 | 2,611,350 | ||||||
Segregated cash balances with brokers for swap agreements | 32,723,000 | 18,730,000 | ||||||
Unrealized appreciation on swap agreements | — | 6,496,466 | ||||||
Receivable on open futures contracts | 496,067 | 8,169 | ||||||
Interest receivable | 107,021 | 126,595 | ||||||
Total assets | 188,117,375 | 173,664,486 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 147,761 | 140,350 | ||||||
Unrealized depreciation on swap agreements | 7,053,083 | — | ||||||
Total liabilities | 7,200,844 | 140,350 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 180,916,531 | 173,524,136 | ||||||
Total liabilities and shareholders’ equity | $ | 188,117,375 | $ | 173,664,486 | ||||
Shares outstanding | 3,100,000 | 3,150,000 | ||||||
Net asset value per share | $ | 58.36 | $ | 55.09 | ||||
Market value per share (Note 2) | $ | 58.24 | $ | 55.27 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $109,649,343 and $129,100,287, respectively) | $ | 109,664,879 | $ | 129,123,489 | ||||
Cash | 11,124,533 | 16,568,417 | ||||||
Segregated cash balances with brokers for futures contracts | 2,074,800 | 2,611,350 | ||||||
Segregated cash balances with brokers for swap agreements | 35,494,971 | 18,730,000 | ||||||
Unrealized appreciation on swap agreements | — | 6,496,466 | ||||||
Receivable on open futures contracts | — | 8,169 | ||||||
Interest receivable | 73,655 | 126,595 | ||||||
Total assets | 158,432,838 | 173,664,486 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 264,526 | — | ||||||
Payable to Sponsor | 128,566 | 140,350 | ||||||
Unrealized depreciation on swap agreements | 10,343,189 | — | ||||||
Total liabilities | 10,736,281 | 140,350 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 147,696,557 | 173,524,136 | ||||||
Total liabilities and shareholders’ equity | $ | 158,432,838 | $ | 173,664,486 | ||||
Shares outstanding | 2,800,000 | 3,150,000 | ||||||
Net asset value per share | $ | 52 .75 | $ | 55 .09 | ||||
Market value per share (Note 2) | $ | 52 .60 | $ | 55 .27 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(74% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.132% due 07/06/23 † | $ | 50,000,000 | $ | 49,978,980 | ||||
4.959% due 07/13/23 † | 20,000,000 | 19,971,916 | ||||||
5.242% due 07/18/23 | 15,000,000 | 14,968,437 | ||||||
5.104% due 08/01/23 † | 50,000,000 | 49,795,390 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $134,680,616) | $ | 134,714,723 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(74% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 25,000,000 | $ | 24,970,695 | ||||
5.478% due 10/17/23 | 40,000,000 | 39,911,916 | ||||||
5.499% due 10/24/23 | 25,000,000 | 24,919,333 | ||||||
5.490% due 11/14/23 † | 10,000,000 | 9,936,754 | ||||||
5.497% due 11/21/23 | 10,000,000 | 9,926,181 | ||||||
Total short-term U.S. government and agency obligations (cost $109,649,343) | $ | 109,664,879 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Gold Futures - COMEX, expires August 2023 | 530 | $ | 102,258,200 | $ | (5,385,731 | ) |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires December 2023 | 264 | $ | 49,265,040 | $ | (2,617,740 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 07/06/23 | $ | 111,454,930 | $ | (3,028,491 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 07/06/23 | 52,937,566 | (1,438,439 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 07/06/23 | 95,175,948 | (2,586,153 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (7,053,083 | ) | ||||||||||||
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 | % | 10/06/23 | $ | 105,703,033 | $ | (4,441,216 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 10/06/23 | 50,205,597 | (2,109,437 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 10/06/23 | 90,264,166 | (3,792,536 | ) | |||||||||||
| Total Unrealized Depreciation | | $ | (10,343,189 | ) | |||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,983,196 | $ | 319,154 | $ | 3,632,210 | $ | 414,267 | ||||||||
Expenses | ||||||||||||||||
Management fee | 474,261 | 716,148 | 901,375 | 1,387,563 | ||||||||||||
Brokerage commissions | 6,925 | 14,064 | 15,540 | 35,723 | ||||||||||||
Futures account fees | — | 8,664 | — | 28,169 | ||||||||||||
Total expenses | 481,186 | 738,876 | 916,915 | 1,451,455 | ||||||||||||
Net investment income (loss) | 1,502,010 | (419,722 | ) | 2,715,295 | (1,037,188 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 5,160,588 | (28,896,339 | ) | 7,921,167 | (8,706,319 | ) | ||||||||||
Swap agreements | 12,035,981 | (29,004,744 | ) | 20,075,298 | 8,623,832 | |||||||||||
Short-term U.S. government and agency obligations | (28,462 | ) | — | (28,462 | ) | — | ||||||||||
Net realized gain (loss) | 17,168,107 | (57,901,083 | ) | 27,968,003 | (82,487 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (10,482,142 | ) | 3,312,504 | (8,627,819 | ) | (4,587,403 | ) | |||||||||
Swap agreements | (22,406,342 | ) | 1,658,698 | (13,549,549 | ) | (15,091,046 | ) | |||||||||
Short-term U.S. government and agency obligations | 33,642 | (159 | ) | 10,905 | (171,019 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (32,854,842 | ) | 4,971,043 | (22,166,463 | ) | (19,849,468 | ) | |||||||||
Net realized and unrealized gain (loss) | (15,686,735 | ) | (52,930,040 | ) | 5,801,540 | (19,931,955 | ) | |||||||||
Net income (loss) | $ | (14,184,725 | ) | $ | (53,349,762 | ) | $ | 8,516,835 | $ | (20,969,143 | ) | |||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,837,846 | $ | 678,282 | $ | 5,470,056 | $ | 1,092,549 | ||||||||
Expenses | ||||||||||||||||
Management fee | 417,418 | 475,457 | 1,318,793 | 1,863,020 | ||||||||||||
Brokerage commissions | 5,346 | 8,176 | 20,886 | 43,899 | ||||||||||||
Futures account fees | — | — | — | 28,169 | ||||||||||||
Non-recurring fees and expenses | — | 2,940 | — | 2,940 | ||||||||||||
Total expenses | 422,764 | 486,573 | 1,339,679 | 1,938,028 | ||||||||||||
Net investment income (loss) | 1,415,082 | 191,709 | 4,130,377 | (845,479 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (6,609,223 | ) | (13,871,427 | ) | 1,311,944 | (22,577,746 | ) | |||||||||
Swap agreements | (10,266,780 | ) | (25,954,159 | ) | 9,808,518 | (17,330,327 | ) | |||||||||
Short-term U.S. government and agency obligations | 138 | (708 | ) | (28,324 | ) | (708 | ) | |||||||||
Net realized gain (loss) | (16,875,865 | ) | (39,826,294 | ) | 11,092,138 | (39,908,781 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 2,767,991 | 2,305,467 | (5,859,828 | ) | (2,281,936 | ) | ||||||||||
Swap agreements | (3,290,106 | ) | (234,566 | ) | (16,839,655 | ) | (15,325,612 | ) | ||||||||
Short-term U.S. government and agency obligations | (18,571 | ) | 151,932 | (7,666 | ) | (19,087 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (540,686 | ) | 2,222,833 | (22,707,149 | ) | (17,626,635 | ) | |||||||||
Net realized and unrealized gain (loss) | (17,416,551 | ) | (37,603,461 | ) | (11,615,011 | ) | (57,535,416 | ) | ||||||||
Net income (loss) | $ | (16,001,469 | ) | $ | (37,411,752 | ) | $ | (7,484,634 | ) | $ | (58,380,895 | ) | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 201,161,529 | $ | 355,029,822 | $ | 173,524,136 | $ | 232,780,534 | ||||||||
Addition of 50,000, 100,000, 450,000 and 1,600,000 shares, respectively | 3,236,120 | 6,573,039 | 28,209,474 | 102,257,715 | ||||||||||||
Redemption of 150,000, 1,150,000, 500,000 and 1,250,000 shares, respectively | (9,296,393 | ) | (68,314,246 | ) | (29,333,914 | ) | (74,130,253 | ) | ||||||||
Net addition (redemption) of (100,000), (1,050,000), (50,000) and 350,000 shares, respectively | (6,060,273 | ) | (61,741,207 | ) | (1,124,440 | ) | 28,127,462 | |||||||||
Net investment income (loss) | 1,502,010 | (419,722 | ) | 2,715,295 | (1,037,188 | ) | ||||||||||
Net realized gain (loss) | 17,168,107 | (57,901,083 | ) | 27,968,003 | (82,487 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (32,854,842 | ) | 4,971,043 | (22,166,463 | ) | (19,849,468 | ) | |||||||||
Net income (loss) | (14,184,725 | ) | (53,349,762 | ) | 8,516,835 | (20,969,143 | ) | |||||||||
Shareholders’ equity, end of period | $ | 180,916,531 | $ | 239,938,853 | $ | 180,916,531 | $ | 239,938,853 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 180,916,531 | $ | 239,938,853 | $ | 173,524,136 | $ | 232,780,534 | ||||||||
Addition of 50,000, 50,000, 500,000 and 1,650,000 shares, respectively | 3,076,173 | 2,645,499 | 31,285,647 | 104,903,214 | ||||||||||||
Redemption of 350,000, 900,000, 850,000 and 2,150,000 shares, respectively | (20,294,678 | ) | (45,150,308 | ) | (49,628,592 | ) | (119,280,561 | ) | ||||||||
Net addition (redemption) of (300,000), (850,000), (350,000) and (500,000) shares, respectively | (17,218,505 | ) | (42,504,809 | ) | (18,342,945 | ) | (14,377,347 | ) | ||||||||
Net investment income (loss) | 1,415,082 | 191,709 | 4,130,377 | (845,479 | ) | |||||||||||
Net realized gain (loss) | (16,875,865 | ) | (39,826,294 | ) | 11,092,138 | (39,908,781 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (540,686 | ) | 2,222,833 | (22,707,149 | ) | (17,626,635 | ) | |||||||||
Net income (loss) | (16,001,469 | ) | (37,411,752 | ) | (7,484,634 | ) | (58,380,895 | ) | ||||||||
Shareholders’ equity, end of period | $ | 147,696,557 | $ | 160,022,292 | $ | 147,696,557 | $ | 160,022,292 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 8,516,835 | $ | (20,969,143 | ) | |||
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 | (492,848,662 | ) | (704,533,509 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 489,813,291 | 704,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (2,573,420 | ) | (377,637 | ) | ||||
Net realized (gain) loss on investments | 28,462 | — | ||||||
Change in unrealized (appreciation) depreciation on investments | 13,538,644 | 15,262,065 | ||||||
Decrease (Increase) in receivable on open futures contracts | (487,898 | ) | 944,644 | |||||
Decrease (Increase) in interest receivable | 19,574 | (31,715 | ) | |||||
Increase (Decrease) in payable to Sponsor | 7,411 | 24,571 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (4,034 | ) | |||||
Increase (Decrease) in payable on open futures contracts | — | 1,022,544 | ||||||
Net cash provided by (used in) operating activities | 16,014,237 | (4,662,214 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 28,209,474 | 102,257,715 | ||||||
Payment on shares redeemed | (29,333,914 | ) | (71,305,703 | ) | ||||
Net cash provided by (used in) financing activities | (1,124,440 | ) | 30,952,012 | |||||
Net increase (decrease) in cash | 14,889,797 | 26,289,798 | ||||||
Cash, beginning of period | 37,909,767 | 15,422,082 | ||||||
Cash, end of period | $ | 52,799,564 | $ | 41,711,880 | ||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (7,484,634 | ) | $ | (58,380,895 | ) | ||
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 | (886,531,310 | ) | (913,776,847 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 909,750,482 | 978,997,411 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (3,796,552 | ) | (903,566 | ) | ||||
Net realized (gain) loss on investments | 28,324 | 708 | ||||||
Change in unrealized (appreciation) depreciation on investments | 16,847,321 | 15,344,699 | ||||||
Decrease (Increase) in receivable on open futures contracts | 8,169 | 823,707 | ||||||
Decrease (Increase) in interest receivable | 52,940 | (39,702 | ) | |||||
Increase (Decrease) in payable to Sponsor | (11,784 | ) | 125,445 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (4,034 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 264,526 | — | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 2,940 | ||||||
Net cash provided by (used in) operating activities | 29,127,482 | 22,189,866 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 31,285,647 | 104,903,214 | ||||||
Payment on shares redeemed | (49,628,592 | ) | (119,280,561 | ) | ||||
Net cash provided by (used in) financing activities | (18,342,945 | ) | (14,377,347 | ) | ||||
Net increase (decrease) in cash | 10,784,537 | 7,812,519 | ||||||
Cash, beginning of period | 37,909,767 | 15,422,082 | ||||||
Cash, end of period | $ | 48,694,304 | $ | 23,234,601 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $224,295,385 and $228,617,421, respectively) | $ | 224,344,440 | $ | 228,657,634 | ||||
Cash | 43,579,042 | 74,136,821 | ||||||
Segregated cash balances with brokers for futures contracts | 19,465,500 | 19,452,250 | ||||||
Segregated cash balances with brokers for swap agreements | 85,841,000 | 56,423,000 | ||||||
Unrealized appreciation on swap agreements | — | 39,224,212 | ||||||
Receivable on open futures contracts | 1,635,164 | — | ||||||
Interest receivable | 270,810 | 300,712 | ||||||
Total assets | 375,135,956 | 418,194,629 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 1,615,382 | ||||||
Payable on open futures contracts | — | 1,948,902 | ||||||
Payable to Sponsor | 298,935 | 344,467 | ||||||
Unrealized depreciation on swap agreements | 18,045,362 | — | ||||||
Total liabilities | 18,344,297 | 3,908,751 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 356,791,659 | 414,285,878 | ||||||
Total liabilities and shareholders’ equity | $ | 375,135,956 | $ | 418,194,629 | ||||
Shares outstanding | 13,196,526 | 13,046,526 | ||||||
Net asset value per share | $ | 27.04 | $ | 31.75 | ||||
Market value per share (Note 2) | $ | 26.95 | $ | 32.00 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $199,247,238 and $228,617,421, respectively) | $ | 199,275,356 | $ | 228,657,634 | ||||
Cash | 16,864,895 | 74,136,821 | ||||||
Segregated cash balances with brokers for futures contracts | 14,064,000 | 19,452,250 | ||||||
Segregated cash balances with brokers for swap agreements | 121,550,121 | 56,423,000 | ||||||
Unrealized appreciation on swap agreements | — | 39,224,212 | ||||||
Interest receivable | 211,212 | 300,712 | ||||||
Total assets | 351,965,584 | 418,194,629 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 1,615,382 | ||||||
Payable on open futures contracts | 2,071,169 | 1,948,902 | ||||||
Payable to Sponsor | 281,601 | 344,467 | ||||||
Unrealized depreciation on swap agreements | 21,616,739 | — | ||||||
Total liabilities | 23,969,509 | 3,908,751 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 327,996,075 | 414,285,878 | ||||||
Total liabilities and shareholders’ equity | $ | 351,965,584 | $ | 418,194,629 | ||||
Shares outstanding | 13,246,526 | 13,046,526 | ||||||
Net asset value per share | $ | 24 .76 | $ | 31 .75 | ||||
Market value per share (Note 2) | $ | 24 .61 | $ | 32 .00 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(63% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.132% due 07/06/23 † | $ | 25,000,000 | $ | 24,989,490 | ||||
4.959% due 07/13/23 † | 50,000,000 | 49,929,790 | ||||||
5.242% due 07/18/23 | 50,000,000 | 49,894,790 | ||||||
5.104% due 08/01/23 † | 50,000,000 | 49,795,390 | ||||||
4.972% due 08/08/23 † | 25,000,000 | 24,870,750 | ||||||
5.161% due 08/10/23 | 25,000,000 | 24,864,230 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $224,295,385) | $ | 224,344,440 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(61% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 25,000,000 | $ | 24,970,695 | ||||
5.478% due 10/17/23 | 90,000,000 | 89,801,811 | ||||||
5.499% due 10/24/23 | 25,000,000 | 24,919,332 | ||||||
5.490% due 11/14/23 † | 25,000,000 | 24,841,885 | ||||||
5.497% due 11/21/23 | 35,000,000 | 34,741,633 | ||||||
Total short-term U.S. government and agency obligations (cost $199,247,238) | $ | 199,275,356 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Silver Futures - COMEX, expires September 2023 | 2,047 | $ | 235,609,700 | $ | (9,977,916 | ) |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires December 2023 | 1,756 | $ | 197,111,000 | $ | (6,167,328 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 07/06/23 | $ | 166,412,438 | $ | (6,281,114 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 07/06/23 | 21,984,663 | (830,545 | ) | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 07/06/23 | 149,157,444 | (5,634,927 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 07/06/23 | 140,386,283 | (5,298,776 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (18,045,362 | ) | ||||||||||||
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 | % | 10/06/23 | $ | 159,867,323 | $ | (7,524,763 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 10/06/23 | 21,119,991 | (994,790 | ) | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 10/06/23 | 143,290,980 | (6,749,262 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 10/06/23 | 134,864,794 | (6,347,924 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (21,616,739 | ) | ||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 3,701,182 | $ | 421,514 | $ | 7,075,578 | $ | 561,963 | ||||||||
Expenses | ||||||||||||||||
Management fee | 976,505 | 1,082,340 | 1,848,064 | 2,299,939 | ||||||||||||
Brokerage commissions | 47,075 | 28,732 | 73,637 | 59,283 | ||||||||||||
Futures account fees | — | 6,188 | — | 26,693 | ||||||||||||
Total expenses | 1,023,580 | 1,117,260 | 1,921,701 | 2,385,915 | ||||||||||||
Net investment income (loss) | 2,677,602 | (695,746 | ) | 5,153,877 | (1,823,952 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 17,097,790 | (10,869,422 | ) | 20,739,536 | (16,614,384 | ) | ||||||||||
Swap agreements | 47,564,510 | (145,324,753 | ) | 15,178,900 | (22,942,764 | ) | ||||||||||
Short-term U.S. government and agency obligations | (46,857 | ) | (1,174 | ) | (46,857 | ) | (1,164 | ) | ||||||||
Net realized gain (loss) | 64,615,443 | (156,195,349 | ) | 35,871,579 | (39,558,312 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (38,652,527 | ) | (13,510,319 | ) | (39,404,490 | ) | (6,824,486 | ) | ||||||||
Swap agreements | (80,409,195 | ) | (36,561,200 | ) | (57,269,574 | ) | (101,003,629 | ) | ||||||||
Short-term U.S. government and agency obligations | 44,380 | (64,280 | ) | 8,842 | (343,929 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (119,017,342 | ) | (50,135,799 | ) | (96,665,222 | ) | (108,172,044 | ) | ||||||||
Net realized and unrealized gain (loss) | (54,401,899 | ) | (206,331,148 | ) | (60,793,643 | ) | (147,730,356 | ) | ||||||||
Net income (loss) | $ | (51,724,297 | ) | $ | (207,026,894 | ) | $ | (55,639,766 | ) | $ | (149,554,308 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 3,343,905 | $ | 824,171 | $ | 10,419,483 | $ | 1,386,134 | ||||||||
Expenses | ||||||||||||||||
Management fee | 892,009 | 798,802 | 2,740,073 | 3,098,741 | ||||||||||||
Brokerage commissions | 27,874 | 34,796 | 101,511 | 94,079 | ||||||||||||
Futures account fees | — | — | — | 26,693 | ||||||||||||
Non-recurring fees and expenses | — | 5,922 | — | 5,922 | ||||||||||||
Total expenses | 919,883 | 839,520 | 2,841,584 | 3,225,435 | ||||||||||||
Net investment income (loss) | 2,424,022 | (15,349 | ) | 7,577,899 | (1,839,301 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (14,704,230 | ) | (13,577,109 | ) | 6,035,306 | (30,191,493 | ) | |||||||||
Swap agreements | (15,547,180 | ) | (133,807,652 | ) | (368,280 | ) | (156,750,416 | ) | ||||||||
Short-term U.S. government and agency obligations | — | (6,553 | ) | (46,857 | ) | (7,717 | ) | |||||||||
Net realized gain (loss) | (30,251,410 | ) | (147,391,314 | ) | 5,620,169 | (186,949,626 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 3,810,588 | 3,988,709 | (35,593,902 | ) | (2,835,777 | ) | ||||||||||
Swap agreements | (3,571,377 | ) | 87,216,478 | (60,840,951 | ) | (13,787,151 | ) | |||||||||
Short-term U.S. government and agency obligations | (20,937 | ) | 272,285 | (12,095 | ) | (71,644 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 218,274 | 91,477,472 | (96,446,948 | ) | (16,694,572 | ) | ||||||||||
Net realized and unrealized gain (loss) | (30,033,136 | ) | (55,913,842 | ) | (90,826,779 | ) | (203,644,198 | ) | ||||||||
Net income (loss) | $ | (27,609,114 | ) | $ | (55,929,191 | ) | $ | (83,248,880 | ) | $ | (205,483,499 | ) | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 429,115,334 | $ | 558,375,841 | $ | 414,285,878 | $ | 515,453,594 | ||||||||
Addition of 700,000, 800,000, 2,600,000 and 1,800,000 shares, respectively | 20,692,563 | 26,625,358 | 71,924,842 | 65,659,299 | ||||||||||||
Redemption of 1,300,000, 750,000, 2,450,000 and 2,250,000 shares, respectively | (41,291,941 | ) | (22,396,790 | ) | (73,779,295 | ) | (75,981,070 | ) | ||||||||
Net addition (redemption) of (600,000), 50,000, 150,000 and (450,000) shares, respectively | (20,599,378 | ) | 4,228,568 | (1,854,453 | ) | (10,321,771 | ) | |||||||||
Net investment income (loss) | 2,677,602 | (695,746 | ) | 5,153,877 | (1,823,952 | ) | ||||||||||
Net realized gain (loss) | 64,615,443 | (156,195,349 | ) | 35,871,579 | (39,558,312 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (119,017,342 | ) | (50,135,799 | ) | (96,665,222 | ) | (108,172,044 | ) | ||||||||
Net income (loss) | (51,724,297 | ) | (207,026,894 | ) | (55,639,766 | ) | (149,554,308 | ) | ||||||||
Shareholders’ equity, end of period | $ | 356,791,659 | $ | 355,577,515 | $ | 356,791,659 | $ | 355,577,515 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 356,791,659 | $ | 355,577,515 | $ | 414,285,878 | $ | 515,453,594 | ||||||||
Addition of 1,500,000, 2,450,000, 4,100,000 and 4,250,000 shares, respectively | 42,340,032 | 52,469,935 | 114,264,874 | 118,129,234 | ||||||||||||
Redemption of 1,450,000, 1,250,000, 3,900,000 and 3,500,000 shares, respectively | (43,526,502 | ) | (28,147,396 | ) | (117,305,797 | ) | (104,128,466 | ) | ||||||||
Net addition (redemption) of 50,000, 1,200,000, 200,000 and 750,000 shares, respectively | (1,186,470 | ) | 24,322,539 | (3,040,923 | ) | 14,000,768 | ||||||||||
Net investment income (loss) | 2,424,022 | (15,349 | ) | 7,577,899 | (1,839,301 | ) | ||||||||||
Net realized gain (loss) | (30,251,410 | ) | (147,391,314 | ) | 5,620,169 | (186,949,626 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 218,274 | 91,477,472 | (96,446,948 | ) | (16,694,572 | ) | ||||||||||
Net income (loss) | (27,609,114 | ) | (55,929,191 | ) | (83,248,880 | ) | (205,483,499 | ) | ||||||||
Shareholders’ equity, end of period | $ | 327,996,075 | $ | 323,970,863 | $ | 327,996,075 | $ | 323,970,863 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (55,639,766 | ) | $ | (149,554,308 | ) | ||
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 | (2,203,304,232 | ) | (1,255,430,782 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 2,212,588,221 | 1,416,997,680 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (5,008,810 | ) | (497,182 | ) | ||||
Net realized (gain) loss on investments | 46,857 | 1,164 | ||||||
Change in unrealized (appreciation) depreciation on investments | 57,260,732 | 101,347,558 | ||||||
Decrease (Increase) in receivable on open futures contracts | (1,635,164 | ) | 1,384,919 | |||||
Decrease (Increase) in interest receivable | 29,902 | (55,579 | ) | |||||
Increase (Decrease) in payable to Sponsor | (45,532 | ) | (78,578 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (9,833 | ) | |||||
Increase (Decrease) in payable on open futures contracts | (1,948,902 | ) | 2,248,743 | |||||
Net cash provided by (used in) operating activities | 2,343,306 | 116,353,802 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 71,924,842 | 64,418,960 | ||||||
Payment on shares redeemed | (75,394,677 | ) | (79,464,840 | ) | ||||
Net cash provided by (used in) financing activities | (3,469,835 | ) | (15,045,880 | ) | ||||
Net increase (decrease) in cash | (1,126,529 | ) | 101,307,922 | |||||
Cash, beginning of period | 150,012,071 | 25,488,503 | ||||||
Cash, end of period | $ | 148,885,542 | $ | 126,796,425 | ||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (83,248,880 | ) | $ | (205,483,499 | ) | ||
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 | (2,785,919,203 | ) | (2,619,720,954 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 2,822,588,221 | 2,909,963,011 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (7,345,692 | ) | (1,060,031 | ) | ||||
Net realized (gain) loss on investments | 46,857 | 7,717 | ||||||
Change in unrealized (appreciation) depreciation on investments | 60,853,046 | 13,858,795 | ||||||
Decrease (Increase) in receivable on open futures contracts | — | (314,479 | ) | |||||
Decrease (Increase) in interest receivable | 89,500 | (72,051 | ) | |||||
Increase (Decrease) in payable to Sponsor | (62,866 | ) | 143,880 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (9,833 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 122,267 | — | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 5,922 | ||||||
Net cash provided by (used in) operating activities | 7,123,250 | 97,318,478 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 114,264,874 | 113,960,240 | ||||||
Payment on shares redeemed | (118,921,179 | ) | (107,612,236 | ) | ||||
Net cash provided by (used in) financing activities | (4,656,305 | ) | 6,348,004 | |||||
Net increase (decrease) in cash | 2,466,945 | 103,666,482 | ||||||
Cash, beginning of period | 150,012,071 | 25,488,503 | ||||||
Cash, end of period | $ | 152,479,016 | $ | 129,154,985 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $34,728,989, respectively) | $ | — | $ | 34,732,372 | ||||
Cash | 116,071,941 | 71,086,482 | ||||||
Segregated cash balances with brokers for futures contracts | 222,756,461 | 323,761,025 | ||||||
Receivable on open futures contracts | 50,445,515 | 209,470,270 | ||||||
Interest receivable | 952,517 | 1,246,402 | ||||||
Total assets | 390,226,434 | 640,296,551 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 2,056,385 | 348,988 | ||||||
Brokerage commissions and futures account fees payable | 44,656 | 58,772 | ||||||
Payable to Sponsor | 361,334 | 570,429 | ||||||
Total liabilities | 2,462,375 | 978,189 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 387,764,059 | 639,318,362 | ||||||
Total liabilities and shareholders’ equity | $ | 390,226,434 | $ | 640,296,551 | ||||
Shares outstanding (Note 1) | 20,977,842 | 9,307,842 | ||||||
Net asset value per share (Note 1) | $ | 18.48 | $ | 68.69 | ||||
Market value per share (Note 1) (Note 2) | $ | 18.49 | $ | 68.60 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
VIX Futures - Cboe, expires July 2023 | 21,591 | $ | 324,102,501 | $ | (69,897,187 | ) | ||||||
VIX Futures - Cboe, expires August 2023 | 15,704 | 257,550,311 | (9,932,533 | ) | ||||||||
$ | (79,829,720 | ) | ||||||||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $84,569,073 and $34,728,989, respectively) | $ | 84,581,081 | $ | 34,732,372 | ||||
Cash | 20,004,039 | 71,086,482 | ||||||
Segregated cash balances with brokers for futures contracts | 133,149,681 | 323,761,025 | ||||||
Receivable from capital shares sold | 9,725,630 | — | ||||||
Receivable on open futures contracts | 41,678,702 | 209,470,270 | ||||||
Interest receivable | 689,129 | 1,246,402 | ||||||
Total assets | 289,828,262 | 640,296,551 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 6,477,149 | — | ||||||
Payable on open futures contracts | — | 348,988 | ||||||
Brokerage commissions and futures account fees payable | 34,400 | 58,772 | ||||||
Payable to Sponsor | 266,022 | 570,429 | ||||||
Total liabilities | 6,777,571 | 978,189 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 283,050,691 | 639,318,362 | ||||||
Total liabilities and shareholders’ equity | $ | 289,828,262 | $ | 640,296,551 | ||||
Shares outstanding (Note 1) | 17,474,459 | 9,307,842 | ||||||
Net asset value per share (Note 1) | $ | 16 .20 | $ | 68 .69 | ||||
Market value per share (Note 1) (Note 2) | $ | 16 .21 | $ | 68 .60 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(30% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.478% due 10/17/23 | $ | 10,000,000 | $ | 9,977,979 | ||||
5.499% due 10/24/23 | 25,000,000 | 24,919,332 | ||||||
5.490% due 11/14/23 | 50,000,000 | 49,683,770 | ||||||
Total short-term U.S. government and agency obligations (cost $84,569,073) | $ | 84,581,081 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires October 2023 | 14,181 | $ | 252,013,387 | $ | 26,387,450 | |||||||
VIX Futures - Cboe, expires November 2023 | 9,464 | 172,682,983 | 2,622,041 | |||||||||
$ | 29,009,491 | |||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 4,750,595 | $ | 430,670 | $ | 9,167,250 | $ | 525,931 | ||||||||
Expenses | ||||||||||||||||
Management fee | 1,330,081 | 2,293,738 | 2,703,851 | 4,254,915 | ||||||||||||
Brokerage commissions | 712,511 | 970,211 | 1,490,212 | 1,906,969 | ||||||||||||
Futures account fees | 126,999 | 444,123 | 250,360 | 1,226,811 | ||||||||||||
Total expenses | 2,169,591 | 3,708,072 | 4,444,423 | 7,388,695 | ||||||||||||
Net investment income (loss) | 2,581,004 | (3,277,402 | ) | 4,722,827 | (6,862,764 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (426,304,544 | ) | 91,039,435 | (608,537,974 | ) | 349,477,533 | ||||||||||
Swap agreements | — | — | — | 22,556,586 | ||||||||||||
Short-term U.S. government and agency obligations | 4,188 | (337,934 | ) | (3,590 | ) | (353,087 | ) | |||||||||
Net realized gain (loss) | (426,300,356 | ) | 90,701,501 | (608,541,564 | ) | 371,681,032 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (45,320,517 | ) | 196,657,178 | (43,274,267 | ) | 161,801,275 | ||||||||||
Swap agreements | — | — | — | 477,437 | ||||||||||||
Short-term U.S. government and agency obligations | 5,340 | 78,171 | (3,383 | ) | (544,247 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (45,315,177 | ) | 196,735,349 | (43,277,650 | ) | 161,734,465 | ||||||||||
Net realized and unrealized gain (loss) | (471,615,533 | ) | 287,436,850 | (651,819,214 | ) | 533,415,497 | ||||||||||
Net income (loss) | $ | (469,034,529 | ) | $ | 284,159,448 | $ | (647,096,387 | ) | $ | 526,552,733 | ||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 535,980,236 | $ | 1,127,608,641 | $ | 639,318,362 | $ | 816,679,636 | ||||||||
Addition of 12,940,000, 5,840,000, 21,310,000 and 14,150,000 shares, respectively (Note 1) | 455,030,425 | 799,757,076 | 891,490,874 | 1,971,472,943 | ||||||||||||
Redemption of 3,550,000, 7,470,000, 9,640,000 and 14,010,000 shares, respectively (Note 1) | (134,212,073 | ) | (1,235,841,632 | ) | (495,948,790 | ) | (2,339,021,779 | ) | ||||||||
Net addition (redemption) of 9,390,000, (1,630,000), 11,670,000 and 140,000 shares, respectively (Note 1) | 320,818,352 | (436,084,556 | ) | 395,542,084 | (367,548,836 | ) | ||||||||||
Net investment income (loss) | 2,581,004 | (3,277,402 | ) | 4,722,827 | (6,862,764 | ) | ||||||||||
Net realized gain (loss) | (426,300,356 | ) | 90,701,501 | (608,541,564 | ) | 371,681,032 | ||||||||||
Change in net unrealized appreciation (depreciation) | (45,315,177 | ) | 196,735,349 | (43,277,650 | ) | 161,734,465 | ||||||||||
Net income (loss) | (469,034,529 | ) | 284,159,448 | (647,096,387 | ) | 526,552,733 | ||||||||||
Shareholders’ equity, end of period | $ | 387,764,059 | $ | 975,683,533 | $ | 387,764,059 | $ | 975,683,533 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 3,255,531 | $ | 3,945,136 | $ | 12,422,781 | $ | 4,471,067 | ||||||||
Expenses | ||||||||||||||||
Management fee | 803,793 | 2,831,005 | 3,507,644 | 7,085,920 | ||||||||||||
Brokerage commissions | 517,699 | 1,276,819 | 2,007,911 | 3,183,788 | ||||||||||||
Futures account fees | 103,793 | 219,828 | 354,153 | 1,446,639 | ||||||||||||
Non-recurring fees and expenses | — | 20,117 | — | 20,117 | ||||||||||||
Total expenses | 1,425,285 | 4,347,769 | 5,869,708 | 11,736,464 | ||||||||||||
Net investment income (loss) | 1,830,246 | (402,633 | ) | 6,553,073 | (7,265,397 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (142,584,115 | ) | (289,871,717 | ) | (751,122,089 | ) | 59,605,816 | |||||||||
Swap agreements | — | — | — | 22,556,586 | ||||||||||||
Short-term U.S. government and agency obligations | (141 | ) | (2,037 | ) | (3,731 | ) | (355,124 | ) | ||||||||
Net realized gain (loss) | (142,584,256 | ) | (289,873,754 | ) | (751,125,820 | ) | 81,807,278 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 108,839,211 | 161,330,331 | 65,564,944 | 323,131,606 | ||||||||||||
Swap agreements | — | — | — | 477,437 | ||||||||||||
Short-term U.S. government and agency obligations | 12,008 | 414,952 | 8,625 | (129,295 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 108,851,219 | 161,745,283 | 65,573,569 | 323,479,748 | ||||||||||||
Net realized and unrealized gain (loss) | (33,733,037 | ) | (128,128,471 | ) | (685,552,251 | ) | 405,287,026 | |||||||||
Net income (loss) | $ | (31,902,791 | ) | $ | (128,531,104 | ) | $ | (678,999,178 | ) | $ | 398,021,629 | |||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (647,096,387 | ) | $ | 526,552,733 | |||
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 | (1,156,102,958 | ) | (1,476,792,269 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,192,359,088 | 1,454,556,289 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,530,731 | ) | (252,157 | ) | ||||
Net realized (gain) loss on investments | 3,590 | 353,166 | ||||||
Change in unrealized (appreciation) depreciation on investments | 3,383 | 66,810 | ||||||
Decrease (Increase) in receivable on open futures contracts | 159,024,755 | (225,561,488 | ) | |||||
Decrease (Increase) in interest receivable | 293,885 | (193,393 | ) | |||||
Increase (Decrease) in payable to Sponsor | (209,095 | ) | 126,268 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (14,116 | ) | (96,420 | ) | ||||
Increase (Decrease) in payable on open futures contracts | 1,707,397 | (9,447,456 | ) | |||||
Net cash provided by (used in) operating activities | (451,561,189 | ) | 269,312,083 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 891,490,874 | 1,969,293,116 | ||||||
Payment on shares redeemed | (495,948,790 | ) | (2,339,021,779 | ) | ||||
Net cash provided by (used in) financing activities | 395,542,084 | (369,728,663 | ) | |||||
Net increase (decrease) in cash | (56,019,105 | ) | (100,416,580 | ) | ||||
Cash, beginning of period | 394,847,507 | 572,120,879 | ||||||
Cash, end of period | $ | 338,828,402 | $ | 471,704,299 | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 387,764,059 | $ | 975,683,533 | $ | 639,318,362 | $ | 816,679,636 | ||||||||
Addition of 13,400,000, 9,340,000, 34,710,000 and 23,490,000 shares, respectively (Note 1) | 217,623,291 | 1,064,364,417 | 1,109,114,165 | 3,035,837,360 | ||||||||||||
Redemption of 16,903,383, 8,330,000, 26,543,383 and 22,340,000 shares, respectively (Note 1) | (290,433,868 | ) | (916,027,068 | ) | (786,382,658 | ) | (3,255,048,847 | ) | ||||||||
Net addition (redemption) of (3,503,383), 1,010,000, 8,166,617 and 1,150,000 shares, respectively (Note 1) | (72,810,577 | ) | 148,337,349 | 322,731,507 | (219,211,487 | ) | ||||||||||
Net investment income (loss) | 1,830,246 | (402,633 | ) | 6,553,073 | (7,265,397 | ) | ||||||||||
Net realized gain (loss) | (142,584,256 | ) | (289,873,754 | ) | (751,125,820 | ) | 81,807,278 | |||||||||
Change in net unrealized appreciation (depreciation) | 108,851,219 | 161,745,283 | 65,573,569 | 323,479,748 | ||||||||||||
Net income (loss) | (31,902,791 | ) | (128,531,104 | ) | (678,999,178 | ) | 398,021,629 | |||||||||
Shareholders’ equity, end of period | $ | 283,050,691 | $ | 995,489,778 | $ | 283,050,691 | $ | 995,489,778 | ||||||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 11,390,854 | $ | 11,444,958 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 1,767,000 | 1,357,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 18,889 | 1,152,834 | ||||||
Interest receivable | 39,252 | 39,204 | ||||||
Total assets | 13,215,995 | 13,993,996 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 8,505 | 10,915 | ||||||
Unrealized depreciation on foreign currency forward contracts | 876,516 | 168,285 | ||||||
Total liabilities | 885,021 | 179,200 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 12,330,974 | 13,814,796 | ||||||
Total liabilities and shareholders’ equity | $ | 13,215,995 | $ | 13,993,996 | ||||
Shares outstanding | 449,970 | 399,970 | ||||||
Net asset value per share | $ | 27.40 | $ | 34.54 | ||||
Market value per share (Note 2) | $ | 27.42 | $ | 34.56 | ||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (678,999,178 | ) | $ | 398,021,629 | |||
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 | (1,439,995,575 | ) | (4,540,406,696 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,392,250,029 | 4,489,474,762 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (2,098,269 | ) | (1,094,279 | ) | ||||
Net realized (gain) loss on investments | 3,731 | 355,124 | ||||||
Change in unrealized (appreciation) depreciation on investments | (8,625 | ) | (348,142 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | 167,791,568 | (228,922,727 | ) | |||||
Decrease (Increase) in interest receivable | 557,273 | (1,045,845 | ) | |||||
Increase (Decrease) in payable to Sponsor | (304,407 | ) | 1,301,939 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (24,372 | ) | (101,787 | ) | ||||
Increase (Decrease) in payable on open futures contracts | (348,988 | ) | (9,447,456 | ) | ||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 20,117 | ||||||
Net cash provided by (used in) operating activities | (561,176,813 | ) | 107,806,639 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 1,099,388,535 | 3,035,837,360 | ||||||
Payment on shares redeemed | (779,905,509 | ) | (3,218,451,554 | ) | ||||
Net cash provided by (used in) financing activities | 319,483,026 | (182,614,194 | ) | |||||
Net increase (decrease) in cash | (241,693,787 | ) | (74,807,555 | ) | ||||
Cash, beginning of period | 394,847,507 | 572,120,879 | ||||||
Cash, end of period | $ | 153,153,720 | $ | 497,313,324 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 16,103,538 | $ | 11,444,958 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 1,937,000 | 1,357,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 8,894 | 1,152,834 | ||||||
Interest receivable | 60,530 | 39,204 | ||||||
Total assets | 18,109,962 | 13,993,996 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 12,399 | 10,915 | ||||||
Unrealized depreciation on foreign currency forward contracts | 589,315 | 168,285 | ||||||
Total liabilities | 601,714 | 179,200 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 17,508,248 | 13,814,796 | ||||||
Total liabilities and shareholders’ equity | $ | 18,109,962 | $ | 13,993,996 | ||||
Shares outstanding | 699,970 | 399,970 | ||||||
Net asset value per share | $ | 25 .01 | $ | 34 .54 | ||||
Market value per share (Note 2) | $ | 25 .00 | $ | 34 .56 | ||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with Goldman Sachs International | 07/14/23 | 1,507,359,517 | $ | 10,470,698 | $ | (407,188 | ) | |||||||||
Yen with UBS AG | 07/14/23 | 2,188,352,856 | 15,201,139 | (469,328 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (876,516 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 07/14/23 | (1,461 | ) | $ | (10 | ) | $ | — | ||||||||
Yen with UBS AG | 07/14/23 | (158,537,000 | ) | (1,101,259 | ) | 18,889 | ||||||||||
Total Unrealized Appreciation | | $ | 18,889 | |||||||||||||
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 | 10/06/23 | 2,355,724,056 | $ | 15,780,833 | $ | (268,253 | ) | |||||||||
Yen with UBS AG | 10/06/23 | 2,976,699,856 | 19,940,707 | (321,062 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (589,315 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with UBS AG | 10/06/23 | (97,972,000 | ) | $ | (656,308 | ) | $ | 8,894 | ||||||||
Total Unrealized Appreciation | $ | 8,894 | ||||||||||||||
^ | The positions and counterparties herein are as of |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 174,354 | $ | 25,362 | $ | 409,452 | $ | 29,299 | ||||||||
Expenses | ||||||||||||||||
Management fee | 35,968 | 21,245 | 91,858 | 34,710 | ||||||||||||
Non-recurring fees and expenses | — | 194 | — | 194 | ||||||||||||
Total expenses | 35,968 | 21,439 | 91,858 | 34,904 | ||||||||||||
Net investment income (loss) | 138,386 | 3,923 | 317,594 | (5,605 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (1,854,770 | ) | (1,652,590 | ) | (2,923,720 | ) | (2,532,839 | ) | ||||||||
Short-term U.S. government and agency obligations | — | — | — | 1,548 | ||||||||||||
Net realized gain (loss) | (1,854,770 | ) | (1,652,590 | ) | (2,923,720 | ) | (2,531,291 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | 277,206 | (17,967 | ) | (1,564,970 | ) | (2,005 | ) | |||||||||
Short-term U.S. government and agency obligations | — | 3,286 | — | (1,856 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 277,206 | (14,681 | ) | (1,564,970 | ) | (3,861 | ) | |||||||||
Net realized and unrealized gain (loss) | (1,577,564 | ) | (1,667,271 | ) | (4,488,690 | ) | (2,535,152 | ) | ||||||||
Net income (loss) | $ | (1,439,178 | ) | $ | (1,663,348 | ) | $ | (4,171,096 | ) | $ | (2,540,757 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 12,330,974 | $ | 5,024,773 | $ | 13,814,796 | $ | 2,362,849 | ||||||||
Addition of 300,000, 250,000, 500,000 and 350,000 shares, respectively | 8,063,291 | 8,285,325 | 14,320,409 | 11,824,658 | ||||||||||||
Redemption of 50,000, 50,000, 200,000 and 50,000 shares, respectively | (1,446,839 | ) | (1,487,561 | ) | (6,455,861 | ) | (1,487,561 | ) | ||||||||
Net addition (redemption) of 250,000, 200,000, 300,000 and 300,000 shares, respectively | 6,616,452 | 6,797,764 | 7,864,548 | 10,337,097 | ||||||||||||
Net investment income (loss) | 138,386 | 3,923 | 317,594 | (5,605 | ) | |||||||||||
Net realized gain (loss) | (1,854,770 | ) | (1,652,590 | ) | (2,923,720 | ) | (2,531,291 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 277,206 | (14,681 | ) | (1,564,970 | ) | (3,861 | ) | |||||||||
Net income (loss) | (1,439,178 | ) | (1,663,348 | ) | (4,171,096 | ) | (2,540,757 | ) | ||||||||
Shareholders’ equity, end of period | $ | 17,508,248 | $ | 10,159,189 | $ | 17,508,248 | $ | 10,159,189 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (4,171,096 | ) | $ | (2,540,757 | ) | ||
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 | — | (995,769 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 1,548 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (3,732 | ) | |||||
Net realized (gain) loss on investments | — | (1,548 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | 1,564,970 | 3,861 | ||||||
Decrease (Increase) in interest receivable | (21,326 | ) | (9,886 | ) | ||||
Increase (Decrease) in payable to Sponsor | 1,484 | 14,302 | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 194 | ||||||
Net cash provided by (used in) operating activities | (2,625,968 | ) | (3,531,787 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 14,320,409 | 11,824,658 | ||||||
Payment on shares redeemed | (6,455,861 | ) | (1,487,561 | ) | ||||
Net cash provided by (used in) financing activities | 7,864,548 | 10,337,097 | ||||||
Net increase (decrease) in cash | 5,238,580 | 6,805,310 | ||||||
Cash, beginning of period | 12,801,958 | 2,457,820 | ||||||
Cash, end of period | $ | 18,040,538 | $ | 9,263,130 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $184,272,303 and $89,407,308, respectively) | $ | 184,298,349 | $ | 89,426,935 | ||||
Cash | 26,182,767 | 74,627,051 | ||||||
Segregated cash balances with brokers for futures contracts | 76,076,031 | 65,184,460 | ||||||
Receivable from capital shares sold | 7,585,012 | 41,694 | ||||||
Receivable on open futures contracts | 3,557,787 | 1,604,847 | ||||||
Interest receivable | 279,874 | 384,856 | ||||||
Total assets | 297,979,820 | 231,269,843 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 1,257,090 | ||||||
Payable on open futures contracts | 993,204 | 7,102,680 | ||||||
Brokerage commissions and futures account fees payable | 4,433 | 4,134 | ||||||
Payable to Sponsor | 205,717 | 208,602 | ||||||
Total liabilities | 1,203,354 | 8,572,506 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 296,776,466 | 222,697,337 | ||||||
Total liabilities and shareholders’ equity | $ | 297,979,820 | $ | 231,269,843 | ||||
Shares outstanding | 17,605,220 | 9,305,220 | ||||||
Net asset value per share | $ | 16 .86 | $ | 23 .93 | ||||
Market value per share (Note 2) | $ | 16 .82 | $ | 23 .85 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(62% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 25,000,000 | $ | 24,970,695 | ||||
5.478% due 10/17/23 | 70,000,000 | 69,845,853 | ||||||
5.499% due 10/24/23 | 25,000,000 | 24,919,332 | ||||||
5.490% due 11/14/23 | 40,000,000 | 39,747,016 | ||||||
5.497% due 11/21/23 | 25,000,000 | 24,815,453 | ||||||
Total short-term U.S. government and agency obligations (cost $184,272,303) | $ | 184,298,349 | ||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires December 2023 | 2,296 | $ | 203,884,800 | $ | (16,612,860 | ) | ||||||
WTI Crude Oil - NYMEX, expires June 2024 | 2,404 | 195,012,480 | (9,249,968 | ) | ||||||||
WTI Crude Oil - NYMEX, expires December 2024 | 2,500 | 194,650,000 | 822,565 | |||||||||
$ | (25,040,263 | ) | ||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,609,417 | $ | 1,748,548 | $ | 6,172,654 | $ | 2,091,754 | ||||||||
Expenses | ||||||||||||||||
Management fee | 548,671 | 1,160,746 | 1,392,728 | 2,599,503 | ||||||||||||
Brokerage commissions | 54,549 | 148,121 | 180,385 | 332,256 | ||||||||||||
Futures account fees | — | 39,563 | — | 195,542 | ||||||||||||
Non-recurring fees and expenses | — | 7,548 | — | 7,548 | ||||||||||||
Total expenses | 603,220 | 1,355,978 | 1,573,113 | 3,134,849 | ||||||||||||
Net investment income (loss) | 2,006,197 | 392,570 | 4,599,541 | (1,043,095 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (47,764,820 | ) | 66,444,885 | 7,896,254 | (142,631,216 | ) | ||||||||||
Short-term U.S. government and agency obligations | 60 | — | (11,723 | ) | — | |||||||||||
Net realized gain (loss) | (47,764,760 | ) | 66,444,885 | 7,884,531 | (142,631,216 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (38,026,419 | ) | 76,797,273 | (35,285,156 | ) | 113,723,566 | ||||||||||
Short-term U.S. government and agency obligations | 8,060 | 190,676 | 6,419 | (49,461 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (38,018,359 | ) | 76,987,949 | (35,278,737 | ) | 113,674,105 | ||||||||||
Net realized and unrealized gain (loss) | (85,783,119 | ) | 143,432,834 | (27,394,206 | ) | (28,957,111 | ) | |||||||||
Net income (loss) | $ | (83,776,922 | ) | $ | 143,825,404 | $ | (22,794,665 | ) | $ | (30,000,206 | ) | |||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 112,854,952 | $ | 501,157,304 | $ | 222,697,337 | $ | 114,167,602 | ||||||||
Addition of 17,250,000, 11,050,000, 28,800,000 and 38,940,000 shares, respectively | 345,709,147 | 263,018,131 | 622,896,585 | 1,051,908,930 | ||||||||||||
Redemption of 4,050,000, 20,650,000, 20,500,000 and 28,561,540 shares, respectively | (78,010,711 | ) | (539,209,750 | ) | (526,022,791 | ) | (767,285,237 | ) | ||||||||
Net addition (redemption) of 13,200,000, (9,600,000), 8,300,000 and 10,378,460 shares, respectively | 267,698,436 | (276,191,619 | ) | 96,873,794 | 284,623,693 | |||||||||||
Net investment income (loss) | 2,006,197 | 392,570 | 4,599,541 | (1,043,095 | ) | |||||||||||
Net realized gain (loss) | (47,764,760 | ) | 66,444,885 | 7,884,531 | (142,631,216 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (38,018,359 | ) | 76,987,949 | (35,278,737 | ) | 113,674,105 | ||||||||||
Net income (loss) | (83,776,922 | ) | 143,825,404 | (22,794,665 | ) | (30,000,206 | ) | |||||||||
Shareholders’ equity, end of period | $ | 296,776,466 | $ | 368,791,089 | $ | 296,776,466 | $ | 368,791,089 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (22,794,665 | ) | $ | (30,000,206 | ) | ||
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 | (881,618,883 | ) | (5,037,566,739 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 789,898,469 | 4,974,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (3,156,304 | ) | (1,233,461 | ) | ||||
Net realized (gain) loss on investments | 11,723 | — | ||||||
Change in unrealized (appreciation) depreciation on investments | (6,419 | ) | 49,461 | |||||
Decrease (Increase) in receivable on open futures contracts | (1,952,940 | ) | (3,393,165 | ) | ||||
Decrease (Increase) in interest receivable | 104,982 | (329,488 | ) | |||||
Increase (Decrease) in payable to Sponsor | (2,885 | ) | 639,427 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 299 | 3,314 | ||||||
Increase (Decrease) in payable on open futures contracts | (6,109,476 | ) | 54,103 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 7,548 | ||||||
Net cash provided by (used in) operating activities | (125,626,099 | ) | (97,769,206 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 615,353,267 | 1,051,908,930 | ||||||
Payment on shares redeemed | (527,279,881 | ) | (758,540,834 | ) | ||||
Net cash provided by (used in) financing activities | 88,073,386 | 293,368,096 | ||||||
Net increase (decrease) in cash | (37,552,713 | ) | 195,598,890 | |||||
Cash, beginning of period | 139,811,511 | 54,443,553 | ||||||
Cash, end of period | $ | 102,258,798 | $ | 250,042,443 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $19,932,661 and $61,469,726, respectively) | $ | 19,935,466 | $ | 61,482,526 | ||||
Cash | 17,318,005 | 5,724,380 | ||||||
Segregated cash balances with brokers for futures contracts | 50,351,496 | 38,758,160 | ||||||
Receivable from capital shares sold | 12,292,429 | — | ||||||
Receivable on open futures contracts | 11,619,568 | 33,637,888 | ||||||
Interest receivable | 228,248 | 293,818 | ||||||
Total assets | 111,745,212 | 139,896,772 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 5,365,196 | ||||||
Payable on open futures contracts | — | 282,362 | ||||||
Brokerage commissions and futures account fees payable | 4,417 | 7,497 | ||||||
Payable to Sponsor | 77,733 | 132,197 | ||||||
Total liabilities | 82,150 | 5,787,252 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 111,663,062 | 134,109,520 | ||||||
Total liabilities and shareholders’ equity | $ | 111,745,212 | $ | 139,896,772 | ||||
Shares outstanding | 1,816,856 | 4,966,856 | ||||||
Net asset value per share | $ | 61 .46 | $ | 27 .00 | ||||
Market value per share (Note 2) | $ | 61 .04 | $ | 27 .56 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(18% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.499% due 10/24/23 | $ | 20,000,000 | $ | 19,935,466 | ||||
Total short-term U.S. government and agency obligations (cost $19,932,661) | $ | 19,935,466 | ||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas - NYMEX, expires November 2023 | 7,624 | $ | 223,306,960 | $ | 23,776,317 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 114,980 | $ | 3,064 | $ | 235,098 | $ | 3,937 | ||||||||
Expenses | ||||||||||||||||
Management fee | 25,330 | 8,036 | 55,890 | 13,465 | ||||||||||||
Total expenses | 25,330 | 8,036 | 55,890 | 13,465 | ||||||||||||
Net investment income (loss) | 89,650 | (4,972 | ) | 179,208 | (9,528 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (770,142 | ) | (761,478 | ) | (1,068,950 | ) | (880,249 | ) | ||||||||
Short-term U.S. government and agency obligations | — | — | — | 1,548 | ||||||||||||
Net realized gain (loss) | (770,142 | ) | (761,478 | ) | (1,068,950 | ) | (878,701 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (1,348,109 | ) | 154,501 | (1,842,176 | ) | 15,962 | ||||||||||
Short-term U.S. government and agency obligations | — | (2,316 | ) | — | (5,142 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (1,348,109 | ) | 152,185 | (1,842,176 | ) | 10,820 | ||||||||||
Net realized and unrealized gain (loss) | (2,118,251 | ) | (609,293 | ) | (2,911,126 | ) | (867,881 | ) | ||||||||
Net income (loss) | $ | (2,028,601 | ) | $ | (614,265 | ) | $ | (2,731,918 | ) | $ | (877,409 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,476,050 | $ | 953,050 | $ | 4,007,691 | $ | 1,131,063 | ||||||||
Expenses | ||||||||||||||||
Management fee | 304,567 | 730,949 | 903,703 | 1,784,017 | ||||||||||||
Brokerage commissions | 133,782 | 173,386 | 577,070 | 539,244 | ||||||||||||
Futures account fees | 23,941 | 48,485 | 80,308 | 255,370 | ||||||||||||
Non-recurring fees and expenses | — | 5,374 | — | 5,374 | ||||||||||||
Total expenses | 462,290 | 958,194 | 1,561,081 | 2,584,005 | ||||||||||||
Net investment income (loss) | 1,013,760 | (5,144 | ) | 2,446,610 | (1,452,942 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (10,798,451 | ) | 8,173,631 | 221,346,621 | (389,138,752 | ) | ||||||||||
Short-term U.S. government and agency obligations | (174 | ) | (57,864 | ) | (1,437 | ) | (116,673 | ) | ||||||||
Net realized gain (loss) | (10,798,625 | ) | 8,115,767 | 221,345,184 | (389,255,425 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 44,086,649 | (23,776,729 | ) | (62,113,081 | ) | 116,857,361 | ||||||||||
Short-term U.S. government and agency obligations | 173 | 309,345 | (9,995 | ) | (32,689 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 44,086,822 | (23,467,384 | ) | (62,123,076 | ) | 116,824,672 | ||||||||||
Net realized and unrealized gain (loss) | 33,288,197 | (15,351,617 | ) | 159,222,108 | (272,430,753 | ) | ||||||||||
Net income (loss) | $ | 34,301,957 | $ | (15,356,761 | ) | $ | 161,668,718 | $ | (273,883,695 | ) | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 9,915,083 | $ | 2,099,705 | $ | 13,814,796 | $ | 2,362,849 | ||||||||
Addition of 150,000, 100,000, 200,000 and 100,000 shares, respectively | 4,444,492 | 3,539,333 | 6,257,118 | 3,539,333 | ||||||||||||
Redemption of –, –, 150,000 and – shares, respectively | — | — | (5,009,022 | ) | — | |||||||||||
Net addition (redemption) of 150,000, 100,000, 50,000 and 100,000 shares, respectively | 4,444,492 | 3,539,333 | 1,248,096 | 3,539,333 | ||||||||||||
Net investment income (loss) | 89,650 | (4,972 | ) | 179,208 | (9,528 | ) | ||||||||||
Net realized gain (loss) | (770,142 | ) | (761,478 | ) | (1,068,950 | ) | (878,701 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (1,348,109 | ) | 152,185 | (1,842,176 | ) | 10,820 | ||||||||||
Net income (loss) | (2,028,601 | ) | (614,265 | ) | (2,731,918 | ) | (877,409 | ) | ||||||||
Shareholders’ equity, end of period | $ | 12,330,974 | $ | 5,024,773 | $ | 12,330,974 | $ | 5,024,773 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 141,324,963 | $ | 211,823,446 | $ | 134,109,520 | $ | 242,145,130 | ||||||||
Addition of 5,500,000, 58,900,000, 19,350,000 and 82,240,000 shares, respectively | 295,245,731 | 790,506,039 | 1,128,672,428 | 1,734,541,781 | ||||||||||||
Redemption of 6,250,000, 49,900,000, 22,500,000 and 69,251,886 shares, respectively | (359,209,589 | ) | (744,582,726 | ) | (1,312,787,604 | ) | (1,460,413,218 | ) | ||||||||
Net addition (redemption) of (750,000), 9,000,000, (3,150,000) and 12,988,114 shares, respectively | (63,963,858 | ) | 45,923,313 | (184,115,176 | ) | 274,128,563 | ||||||||||
Net investment income (loss) | 1,013,760 | (5,144 | ) | 2,446,610 | (1,452,942 | ) | ||||||||||
Net realized gain (loss) | (10,798,625 | ) | 8,115,767 | 221,345,184 | (389,255,425 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 44,086,822 | (23,467,384 | ) | (62,123,076 | ) | 116,824,672 | ||||||||||
Net income (loss) | 34,301,957 | (15,356,761 | ) | 161,668,718 | (273,883,695 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 111,663,062 | $ | 242,389,998 | $ | 111,663,062 | $ | 242,389,998 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (2,731,918 | ) | $ | (877,409 | ) | ||
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 | — | (995,769 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 1,548 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (2,342 | ) | |||||
Net realized (gain) loss on investments | — | (1,548 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | 1,842,176 | (10,820 | ) | |||||
Decrease (Increase) in interest receivable | (48 | ) | (1,269 | ) | ||||
Increase (Decrease) in payable to Sponsor | (2,410 | ) | 1,139 | |||||
Net cash provided by (used in) operating activities | (892,200 | ) | (1,886,470 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 6,257,118 | 3,539,333 | ||||||
Payment on shares redeemed | (5,009,022 | ) | — | |||||
Net cash provided by (used in) financing activities | 1,248,096 | 3,539,333 | ||||||
Net increase (decrease) in cash | 355,896 | 1,652,863 | ||||||
Cash, beginning of period | 12,801,958 | 2,457,820 | ||||||
Cash, end of period | $ | 13,157,854 | $ | 4,110,683 | ||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 161,668,718 | $ | (273,883,695 | ) | |||
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 | (228,632,508 | ) | (641,286,804 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 271,472,626 | 680,730,195 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,304,490 | ) | (447,861 | ) | ||||
Net realized (gain) loss on investments | 1,437 | 116,673 | ||||||
Change in unrealized (appreciation) depreciation on investments | 9,995 | 32,689 | ||||||
Decrease (Increase) in receivable on open futures contracts | 22,018,320 | (17,665,801 | ) | |||||
Decrease (Increase) in interest receivable | 65,570 | (278,702 | ) | |||||
Increase (Decrease) in payable to Sponsor | (54,464 | ) | 354,079 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (3,080 | ) | (23,511 | ) | ||||
Increase (Decrease) in payable on open futures contracts | (282,362 | ) | (8,542,438 | ) | ||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 5,374 | ||||||
Net cash provided by (used in) operating activities | 224,959,762 | (260,889,802 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 1,116,379,999 | 1,734,541,781 | ||||||
Payment on shares redeemed | (1,318,152,800 | ) | (1,464,617,750 | ) | ||||
Net cash provided by (used in) financing activities | (201,772,801 | ) | 269,924,031 | |||||
Net increase (decrease) in cash | 23,186,961 | 9,034,229 | ||||||
Cash, beginning of period | 44,482,540 | 113,000,927 | ||||||
Cash, end of period | $ | 67,669,501 | $ | 122,035,156 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $74,834,094 and $89,407,308, respectively) | $ | 74,852,080 | $ | 89,426,935 | ||||
Cash | 5,264,925 | 74,627,051 | ||||||
Segregated cash balances with brokers for futures contracts | 36,646,185 | 65,184,460 | ||||||
Receivable from capital shares sold | 2,561,440 | 41,694 | ||||||
Receivable on open futures contracts | — | 1,604,847 | ||||||
Interest receivable | 119,269 | 384,856 | ||||||
Total assets | 119,443,899 | 231,269,843 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 5,187,383 | 1,257,090 | ||||||
Payable on open futures contracts | 1,300,062 | 7,102,680 | ||||||
Brokerage commissions and futures account fees payable | 3,914 | 4,134 | ||||||
Payable to Sponsor | 97,588 | 208,602 | ||||||
Total liabilities | 6,588,947 | 8,572,506 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 112,854,952 | 222,697,337 | ||||||
Total liabilities and shareholders’ equity | $ | 119,443,899 | $ | 231,269,843 | ||||
Shares outstanding (Note 1) | 4,405,220 | 9,305,220 | ||||||
Net asset value per share (Note 1) | $ | 25.62 | $ | 23.93 | ||||
Market value per share (Note 1) (Note 2) | $ | 25.70 | $ | 23.85 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $— and $39,991,822, respectively) | $ | — | $ | 39,996,624 | ||||
Cash | 37,961,502 | 30,687,235 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 4,464,121 | 6,844,121 | ||||||
Unrealized appreciation on foreign currency forward contracts | 1,585,136 | 193,192 | ||||||
Interest receivable | 164,862 | 109,830 | ||||||
Total assets | 44,175,621 | 77,831,002 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 34,405 | 63,375 | ||||||
Unrealized depreciation on foreign currency forward contracts | 136,808 | 2,654,448 | ||||||
Total liabilities | 171,213 | 2,717,823 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 44,004,408 | 75,113,179 | ||||||
Total liabilities and shareholders’ equity | $ | 44,175,621 | $ | 77,831,002 | ||||
Shares outstanding | 1,400,000 | 2,550,000 | ||||||
Net asset value per share | $ | 31 .43 | $ | 29 .46 | ||||
Market value per share (Note 2) | $ | 31 .43 | $ | 29 .45 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(66% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.132% due 07/06/23 | $ | 25,000,000 | $ | 24,989,490 | ||||
4.959% due 07/13/23 | 25,000,000 | 24,964,895 | ||||||
5.104% due 08/01/23 | 25,000,000 | 24,897,695 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $74,834,094) | $ | 74,852,080 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
WTI Crude Oil - NYMEX, expires September 2023 | 1,038 | $ | 73,469,640 | $ | 877,640 | |||||||
WTI Crude Oil - NYMEX, expires December 2023 | 1,073 | 75,539,200 | 7,336,619 | |||||||||
WTI Crude Oil - NYMEX, expires June 2024 | 1,111 | 76,681,220 | 4,771,897 | |||||||||
$ | 12,986,156 | |||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,560,028 | $ | 289,299 | $ | 3,563,237 | $ | 343,206 | ||||||||
Expenses | ||||||||||||||||
Management fee | 359,177 | 946,110 | 844,057 | 1,438,757 | ||||||||||||
Brokerage commissions | 60,079 | 107,079 | 125,836 | 184,135 | ||||||||||||
Futures account fees | — | 85,802 | — | 155,979 | ||||||||||||
Total expenses | 419,256 | 1,138,991 | 969,893 | 1,778,871 | ||||||||||||
Net investment income (loss) | 1,140,772 | (849,692 | ) | 2,593,344 | (1,435,665 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 28,046,795 | (102,594,000 | ) | 55,661,074 | (209,076,101 | ) | ||||||||||
Short-term U.S. government and agency obligations | (12,271 | ) | — | (11,783 | ) | — | ||||||||||
Net realized gain (loss) | 28,034,524 | (102,594,000 | ) | 55,649,291 | (209,076,101 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (8,229,852 | ) | 34,810,301 | 2,741,263 | 36,926,293 | |||||||||||
Short-term U.S. government and agency obligations | 13,244 | (53,187 | ) | (1,641 | ) | (240,137 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (8,216,608 | ) | 34,757,114 | 2,739,622 | 36,686,156 | |||||||||||
Net realized and unrealized gain (loss) | 19,817,916 | (67,836,886 | ) | 58,388,913 | (172,389,945 | ) | ||||||||||
Net income (loss) | $ | 20,958,688 | $ | (68,686,578 | ) | $ | 60,982,257 | $ | (173,825,610 | ) | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 144,762,563 | $ | 416,799,231 | $ | 222,697,337 | $ | 114,167,602 | ||||||||
Addition of 6,250,000, 12,320,000, 11,550,000 and 27,890,000 shares, respectively (Note 1) | 149,281,563 | 278,861,920 | 277,187,438 | 788,890,799 | ||||||||||||
Redemption of 7,600,000, 4,851,540, 16,450,000 and 7,911,540 shares, respectively (Note 1) | (202,147,862 | ) | (125,817,269 | ) | (448,012,080 | ) | (228,075,487 | ) | ||||||||
Net addition (redemption) of (1,350,000), 7,468,460, (4,900,000) and 19,978,460 shares, respectively (Note 1) | (52,866,299 | ) | 153,044,651 | (170,824,642 | ) | 560,815,312 | ||||||||||
Net investment income (loss) | 1,140,772 | (849,692 | ) | 2,593,344 | (1,435,665 | ) | ||||||||||
Net realized gain (loss) | 28,034,524 | (102,594,000 | ) | 55,649,291 | (209,076,101 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (8,216,608 | ) | 34,757,114 | 2,739,622 | 36,686,156 | |||||||||||
Net income (loss) | 20,958,688 | (68,686,578 | ) | 60,982,257 | (173,825,610 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 112,854,952 | $ | 501,157,304 | $ | 112,854,952 | $ | 501,157,304 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 60,982,257 | $ | (173,825,610 | ) | |||
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 | (378,541,825 | ) | (988,742,468 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 394,924,819 | 812,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,821,563 | ) | (217,252 | ) | ||||
Net realized (gain) loss on investments | 11,783 | — | ||||||
Change in unrealized (appreciation) depreciation on investments | 1,641 | 240,137 | ||||||
Decrease (Increase) in receivable on open futures contracts | 1,604,847 | (28,947,961 | ) | |||||
Decrease (Increase) in interest receivable | 265,587 | (98,456 | ) | |||||
Increase (Decrease) in payable to Sponsor | (111,014 | ) | 264,125 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (220 | ) | 4,674 | |||||
Increase (Decrease) in payable on open futures contracts | (5,802,618 | ) | 11,507,191 | |||||
Net cash provided by (used in) operating activities | 71,513,694 | (367,815,620 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 274,667,692 | 788,890,799 | ||||||
Payment on shares redeemed | (444,081,787 | ) | (228,075,487 | ) | ||||
Net cash provided by (used in) financing activities | (169,414,095 | ) | 560,815,312 | |||||
Net increase (decrease) in cash | (97,900,401 | ) | 192,999,692 | |||||
Cash, beginning of period | 139,811,511 | 54,443,553 | ||||||
Cash, end of period | $ | 41,911,110 | $ | 247,443,245 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $34,827,196 and $61,469,726, respectively) | $ | 34,829,828 | $ | 61,482,526 | ||||
Cash | 59,777,081 | 5,724,380 | ||||||
Segregated cash balances with brokers for futures contracts | 38,892,240 | 38,758,160 | ||||||
Receivable from capital shares sold | 2,752,997 | — | ||||||
Receivable on open futures contracts | 25,849,741 | 33,637,888 | ||||||
Interest receivable | 247,504 | 293,818 | ||||||
Total assets | 162,349,391 | 139,896,772 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 14,487,618 | 5,365,196 | ||||||
Payable on open futures contracts | 6,434,160 | 282,362 | ||||||
Brokerage commissions and futures account fees payable | 8,448 | 7,497 | ||||||
Payable to Sponsor | 94,202 | 132,197 | ||||||
Total liabilities | 21,024,428 | 5,787,252 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 141,324,963 | 134,109,520 | ||||||
Total liabilities and shareholders’ equity | $ | 162,349,391 | $ | 139,896,772 | ||||
Shares outstanding (Note 1) | 2,566,856 | 4,966,856 | ||||||
Net asset value per share (Note 1) | $ | 55.06 | $ | 27.00 | ||||
Market value per share (Note 1) (Note 2) | $ | 55.45 | $ | 27.56 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(25% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.104% due 08/01/23 | $ | 10,000,000 | $ | 9,959,078 | ||||
4.972% due 08/08/23 | 25,000,000 | 24,870,750 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $34,827,196) | $ | 34,829,828 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Natural Gas - NYMEX, expires September 2023 | 10,189 | $ | 282,642,860 | $ | (20,310,332 | ) |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,344,889 | $ | 122,188 | $ | 2,531,641 | $ | 178,013 | ||||||||
Expenses | ||||||||||||||||
Management fee | 302,274 | 510,704 | 599,136 | 1,053,068 | ||||||||||||
Brokerage commissions | 233,647 | 144,907 | 443,288 | 365,858 | ||||||||||||
Futures account fees | 26,758 | 76,956 | 56,367 | 206,885 | ||||||||||||
Total expenses | 562,679 | 732,567 | 1,098,791 | 1,625,811 | ||||||||||||
Net investment income (loss) | 782,210 | (610,379 | ) | 1,432,850 | (1,447,798 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 48,736,428 | (282,646,685 | ) | 232,145,072 | (397,312,383 | ) | ||||||||||
Short-term U.S. government and agency obligations | 1,415 | (199 | ) | (1,263 | ) | (58,809 | ) | |||||||||
Net realized gain (loss) | 48,737,843 | (282,646,884 | ) | 232,143,809 | (397,371,192 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (61,246,927 | ) | 228,166,248 | (106,199,730 | ) | 140,634,090 | ||||||||||
Short-term U.S. government and agency obligations | (3,173 | ) | (87,121 | ) | (10,168 | ) | (342,034 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (61,250,100 | ) | 228,079,127 | (106,209,898 | ) | 140,292,056 | ||||||||||
Net realized and unrealized gain (loss) | (12,512,257 | ) | (54,567,757 | ) | 125,933,911 | (257,079,136 | ) | |||||||||
Net income (loss) | $ | (11,730,047 | ) | $ | (55,178,136 | ) | $ | 127,366,761 | $ | (258,526,934 | ) | |||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 146,981,760 | $ | 250,340,837 | $ | 134,109,520 | $ | 242,145,130 | ||||||||
Addition of 6,600,000, 18,700,000, 13,850,000 and 23,340,000 shares, respectively (Note 1) | 457,417,060 | 489,076,501 | 833,426,697 | 944,035,742 | ||||||||||||
Redemption of 6,100,000, 17,601,764, 16,250,000 and 19,351,886 shares, respectively (Note 1) | (451,343,810 | ) | (472,415,756 | ) | (953,578,015 | ) | (715,830,492 | ) | ||||||||
Net addition (redemption) of 500,000, 1,098,236, (2,400,000) and 3,988,114 shares, respectively (Note 1) | 6,073,250 | 16,660,745 | (120,151,318 | ) | 228,205,250 | |||||||||||
Net investment income (loss) | 782,210 | (610,379 | ) | 1,432,850 | (1,447,798 | ) | ||||||||||
Net realized gain (loss) | 48,737,843 | (282,646,884 | ) | 232,143,809 | (397,371,192 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (61,250,100 | ) | 228,079,127 | (106,209,898 | ) | 140,292,056 | ||||||||||
Net income (loss) | (11,730,047 | ) | (55,178,136 | ) | 127,366,761 | (258,526,934 | ) | |||||||||
Shareholders’ equity, end of period | $ | 141,324,963 | $ | 211,823,446 | $ | 141,324,963 | $ | 211,823,446 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 127,366,761 | $ | (258,526,934 | ) | |||
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 | (119,017,542 | ) | (346,906,626 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 146,569,111 | 410,859,860 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (910,302 | ) | (110,657 | ) | ||||
Net realized (gain) loss on investments | 1,263 | 58,809 | ||||||
Change in unrealized (appreciation) depreciation on investments | 10,168 | 342,034 | ||||||
Decrease (Increase) in receivable on open futures contracts | 7,788,147 | (43,089,309 | ) | |||||
Decrease (Increase) in interest receivable | 46,314 | (35,299 | ) | |||||
Increase (Decrease) in payable to Sponsor | (37,995 | ) | (37,097 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 951 | (35,587 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 6,151,798 | (1,699,127 | ) | |||||
Net cash provided by (used in) operating activities | 167,968,674 | (239,179,933 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 830,673,700 | 944,035,742 | ||||||
Payment on shares redeemed | (944,455,593 | ) | (706,724,583 | ) | ||||
Net cash provided by (used in) financing activities | (113,781,893 | ) | 237,311,159 | |||||
Net increase (decrease) in cash | 54,186,781 | (1,868,774 | ) | |||||
Cash, beginning of period | 44,482,540 | 113,000,927 | ||||||
Cash, end of period | $ | 98,669,321 | $ | 111,132,153 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $39,991,822, respectively) | $ | — | $ | 39,996,624 | ||||
Cash | 45,515,144 | 30,687,235 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 7,024,121 | 6,844,121 | ||||||
Unrealized appreciation on foreign currency forward contracts | 29,100 | 193,192 | ||||||
Interest receivable | 192,965 | 109,830 | ||||||
Total assets | 52,761,330 | 77,831,002 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 42,155 | 63,375 | ||||||
Unrealized depreciation on foreign currency forward contracts | 1,787,874 | 2,654,448 | ||||||
Total liabilities | 1,830,029 | 2,717,823 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 50,931,301 | 75,113,179 | ||||||
Total liabilities and shareholders’ equity | $ | 52,761,330 | $ | 77,831,002 | ||||
Shares outstanding | 1,750,000 | 2,550,000 | ||||||
Net asset value per share | $ | 29.10 | $ | 29.46 | ||||
Market value per share (Note 2) | $ | 29.11 | $ | 29.45 | ||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 07/14/23 | 4,446,000 | $ | 4,855,150 | $ | (36,237 | ) | |||||||||
Euro with UBS AG | 07/14/23 | 12,460,000 | 13,606,649 | 29,100 | ||||||||||||
Total Unrealized Depreciation | | $ | (7,137 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 07/14/23 | (51,941,263 | ) | $ | (56,721,233 | ) | $ | (836,536 | ) | |||||||
Euro with UBS AG | 07/14/23 | (58,308,199 | ) | (63,674,095 | ) | (915,101 | ) | |||||||||
Total Unrealized Depreciation | | $ | (1,751,637 | ) | ||||||||||||
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 | 10/06/23 | 486,000 | $ | 513,954 | $ | (5,789 | ) | |||||||||
Euro with UBS AG | 10/06/23 | 10,804,000 | 11,425,433 | (131,019 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (136,808 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 10/06/23 | (43,752,263 | ) | $ | (46,268,836 | ) | $ | 769,294 | ||||||||
Euro with UBS AG | 10/06/23 | (50,970,199 | ) | (53,901,938 | ) | 815,842 | ||||||||||
Total Unrealized Appreciation | $ | 1,585,136 | ||||||||||||||
^ | The positions and counterparties herein are as of |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 593,746 | $ | 39,011 | $ | 1,240,866 | $ | 54,416 | ||||||||
Expenses | ||||||||||||||||
Management fee | 131,101 | 146,934 | 292,669 | 264,390 | ||||||||||||
Total expenses | 131,101 | 146,934 | 292,669 | 264,390 | ||||||||||||
Net investment income (loss) | 462,645 | (107,923 | ) | 948,197 | (209,974 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (1,045,942 | ) | 3,065,129 | (2,453,253 | ) | 5,607,263 | ||||||||||
Short-term U.S. government and agency obligations | — | — | — | 210,974 | ||||||||||||
Net realized gain (loss) | (1,045,942 | ) | 3,065,129 | (2,453,253 | ) | 5,818,237 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | 556,469 | 3,061,048 | 702,482 | 3,403,124 | ||||||||||||
Short-term U.S. government and agency obligations | — | (21,310 | ) | (4,802 | ) | (94,645 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 556,469 | 3,039,738 | 697,680 | 3,308,479 | ||||||||||||
Net realized and unrealized gain (loss) | (489,473 | ) | 6,104,867 | (1,755,573 | ) | 9,126,716 | ||||||||||
Net income (loss) | $ | (26,828 | ) | $ | 5,996,944 | $ | (807,376 | ) | $ | 8,916,742 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 523,684 | $ | 230,824 | $ | 1,764,550 | $ | 285,240 | ||||||||
Expenses | ||||||||||||||||
Management fee | 111,472 | 203,036 | 404,141 | 467,426 | ||||||||||||
Non-recurring fees and expenses | — | 1,835 | — | 1,835 | ||||||||||||
Total expenses | 111,472 | 204,871 | 404,141 | 469,261 | ||||||||||||
Net investment income (loss) | 412,212 | 25,953 | 1,360,409 | (184,021 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (122,866 | ) | 11,086,708 | (2,576,119 | ) | 16,693,971 | ||||||||||
Short-term U.S. government and agency obligations | — | — | — | 210,974 | ||||||||||||
Net realized gain (loss) | (122,866 | ) | 11,086,708 | (2,576,119 | ) | 16,904,945 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | 3,207,102 | (354,043 | ) | 3,909,584 | 3,049,081 | |||||||||||
Short-term U.S. government and agency obligations | — | 61,225 | (4,802 | ) | (33,420 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 3,207,102 | (292,818 | ) | 3,904,782 | 3,015,661 | |||||||||||
Net realized and unrealized gain (loss) | 3,084,236 | 10,793,890 | 1,328,663 | 19,920,606 | ||||||||||||
Net income (loss) | $ | 3,496,448 | $ | 10,819,843 | $ | 2,689,072 | $ | 19,736,585 | ||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 59,537,260 | $ | 50,498,084 | $ | 75,113,179 | $ | 54,263,045 | ||||||||
Addition of –, 500,000, 100,000 and 550,000 shares, respectively | — | 14,656,401 | 3,051,886 | 16,028,063 | ||||||||||||
Redemption of 300,000, 300,000, 900,000 and 600,000 shares, respectively | (8,579,131 | ) | (8,881,332 | ) | (26,426,388 | ) | (16,937,753 | ) | ||||||||
Net addition (redemption) of (300,000), 200,000, (800,000) and (50,000) shares, respectively | (8,579,131 | ) | 5,775,069 | (23,374,502 | ) | (909,690 | ) | |||||||||
Net investment income (loss) | 462,645 | (107,923 | ) | 948,197 | (209,974 | ) | ||||||||||
Net realized gain (loss) | (1,045,942 | ) | 3,065,129 | (2,453,253 | ) | 5,818,237 | ||||||||||
Change in net unrealized appreciation (depreciation) | 556,469 | 3,039,738 | 697,680 | 3,308,479 | ||||||||||||
Net income (loss) | (26,828 | ) | 5,996,944 | (807,376 | ) | 8,916,742 | ||||||||||
Shareholders’ equity, end of period | $ | 50,931,301 | $ | 62,270,097 | $ | 50,931,301 | $ | 62,270,097 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 50,931,301 | $ | 62,270,097 | $ | 75,113,179 | $ | 54,263,045 | ||||||||
Addition of –, 1,100,000, 100,000 and 1,650,000 shares, respectively | — | 36,183,635 | 3,051,886 | 52,211,698 | ||||||||||||
Redemption of 350,000, 550,000, 1,250,000 and 1,150,000 shares, respectively | (10,423,341 | ) | (18,689,297 | ) | (36,849,729 | ) | (35,627,050 | ) | ||||||||
Net addition (redemption) of (350,000), 550,000, (1,150,000) and 500,000 shares, respectively | (10,423,341 | ) | 17,494,338 | (33,797,843 | ) | 16,584,648 | ||||||||||
Net investment income (loss) | 412,212 | 25,953 | 1,360,409 | (184,021 | ) | |||||||||||
Net realized gain (loss) | (122,866 | ) | 11,086,708 | (2,576,119 | ) | 16,904,945 | ||||||||||
Change in net unrealized appreciation (depreciation) | 3,207,102 | (292,818 | ) | 3,904,782 | 3,015,661 | |||||||||||
Net income (loss) | 3,496,448 | 10,819,843 | 2,689,072 | 19,736,585 | ||||||||||||
Shareholders’ equity, end of period | $ | 44,004,408 | $ | 90,584,278 | $ | 44,004,408 | $ | 90,584,278 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (807,376 | ) | $ | 8,916,742 | |||
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 | (54,925,175 | ) | (44,986,222 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 95,000,000 | 72,210,974 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (83,003 | ) | (32,410 | ) | ||||
Net realized (gain) loss on investments | — | (210,974 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (697,680 | ) | (3,308,479 | ) | ||||
Decrease (Increase) in interest receivable | (83,135 | ) | (17,256 | ) | ||||
Increase (Decrease) in payable to Sponsor | (21,220 | ) | 6,691 | |||||
Net cash provided by (used in) operating activities | 38,382,411 | 32,579,066 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,051,886 | 16,028,063 | ||||||
Payment on shares redeemed | (26,426,388 | ) | (16,937,753 | ) | ||||
Net cash provided by (used in) financing activities | (23,374,502 | ) | (909,690 | ) | ||||
Net increase (decrease) in cash | 15,007,909 | 31,669,376 | ||||||
Cash, beginning of period | 37,531,356 | 7,554,065 | ||||||
Cash, end of period | $ | 52,539,265 | $ | 39,223,441 | ||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 2,689,072 | $ | 19,736,585 | ||||
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 | (54,925,175 | ) | (74,843,167 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 95,000,000 | 76,210,974 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (83,003 | ) | (83,446 | ) | ||||
Net realized (gain) loss on investments | — | (210,974 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (3,904,782 | ) | (3,015,661 | ) | ||||
Decrease (Increase) in interest receivable | (55,032 | ) | (61,501 | ) | ||||
Increase (Decrease) in payable to Sponsor | (28,970 | ) | 98,171 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 1,835 | ||||||
Net cash provided by (used in) operating activities | 38,692,110 | 17,832,816 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,051,886 | 52,211,149 | ||||||
Payment on shares redeemed | (36,849,729 | ) | (32,142,870 | ) | ||||
Net cash provided by (used in) financing activities | (33,797,843 | ) | 20,068,279 | |||||
Net increase (decrease) in cash | 4,894,267 | 37,901,095 | ||||||
Cash, beginning of period | 37,531,356 | 7,554,065 | ||||||
Cash, end of period | $ | 42,425,623 | $ | 45,455,160 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 13,595,466 | $ | 12,252,100 | ||||
Segregated cash balances with brokers for futures contracts | 657,360 | 232,313 | ||||||
Segregated cash balances with brokers for swap agreements | 2,476,000 | 3,536,000 | ||||||
Unrealized appreciation on swap agreements | 440,571 | — | ||||||
Receivable on open futures contracts | 40,101 | — | ||||||
Interest receivable | 61,501 | 42,135 | ||||||
Total assets | 17,270,999 | 16,062,548 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 1,445,160 | — | ||||||
Payable on open futures contracts | 2,300 | 700 | ||||||
Payable to Sponsor | 14,161 | 12,854 | ||||||
Unrealized depreciation on swap agreements | — | 592,957 | ||||||
Total liabilities | 1,461,621 | 606,511 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 15,809,378 | 15,456,037 | ||||||
Total liabilities and shareholders’ equity | $ | 17,270,999 | $ | 16,062,548 | ||||
Shares outstanding | 546,977 | 496,977 | ||||||
Net asset value per share | $ | 28.90 | $ | 31.10 | ||||
Market value per share (Note 2) | $ | 28.96 | $ | 30.99 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 9,138,880 | $ | 12,252,100 | ||||
Segregated cash balances with brokers for futures contracts | 557,700 | 232,313 | ||||||
Segregated cash balances with brokers for swap agreements | 2,476,000 | 3,536,000 | ||||||
Unrealized appreciation on swap agreements | 649,016 | — | ||||||
Receivable from capital shares sold | 1,607,017 | — | ||||||
Receivable on open futures contracts | 6,250 | — | ||||||
Interest receivable | 38,854 | 42,135 | ||||||
Total assets | 14,473,717 | 16,062,548 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 98,549 | 700 | ||||||
Payable to Sponsor | 9,299 | 12,854 | ||||||
Unrealized depreciation on swap agreements | — | 592,957 | ||||||
Total liabilities | 107,848 | 606,511 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 14,365,869 | 15,456,037 | ||||||
Total liabilities and shareholders’ equity | $ | 14,473,717 | $ | 16,062,548 | ||||
Shares outstanding | 446,977 | 496,977 | ||||||
Net asset value per share | $ | 32 .14 | $ | 31 .10 | ||||
Market value per share (Note 2) | $ | 32 .20 | $ | 30 .99 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires December 2023 | 71 | $ | 13,249,310 | $ | 510,754 |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Gold Futures - COMEX, expires August 2023 | 79 | $ | 15,242,260 | $ | 970,805 |
Total Return Swap Agreements ^ | ||||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 10/06/23 | $ | (3,588,216 | ) | $ | 149,583 | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 10/06/23 | (4,702,766 | ) | 196,202 | |||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 10/06/23 | (7,273,894 | ) | 303,231 | |||||||||||
Total Unrealized Appreciation | $ | 649,016 | ||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 07/06/23 | $ | (3,783,471 | ) | $ | 101,527 | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 07/06/23 | (4,958,670 | ) | 133,231 | |||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 07/06/23 | (7,669,707 | ) | 205,813 | |||||||||||
Total Unrealized Appreciation | | $ | 440,571 | |||||||||||||
^ | The positions and counterparties herein are as of |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 184,052 | $ | 19,975 | $ | 316,614 | $ | 29,660 | ||||||||
Expenses | ||||||||||||||||
Management fee | 42,869 | 75,676 | 79,242 | 141,814 | ||||||||||||
Brokerage commissions | 1,605 | 2,985 | 2,966 | 5,796 | ||||||||||||
Futures account fees | — | 580 | — | 2,446 | ||||||||||||
Total expenses | 44,474 | 79,241 | 82,208 | 150,056 | ||||||||||||
Net investment income (loss) | 139,578 | (59,266 | ) | 234,406 | (120,396 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (562,109 | ) | 1,310,720 | (676,159 | ) | (680,529 | ) | |||||||||
Swap agreements | (991,042 | ) | 3,247,150 | (1,907,873 | ) | (1,070,274 | ) | |||||||||
Short-term U.S. government and agency obligations | — | — | — | 4 | ||||||||||||
Net realized gain (loss) | (1,553,151 | ) | 4,557,870 | (2,584,032 | ) | (1,750,799 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 1,132,962 | 485,575 | 1,069,691 | 653,483 | ||||||||||||
Swap agreements | 1,625,959 | (187,339 | ) | 1,033,528 | 1,714,101 | |||||||||||
Short-term U.S. government and agency obligations | — | (8,285 | ) | — | (48,854 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 2,758,921 | 289,951 | 2,103,219 | 2,318,730 | ||||||||||||
Net realized and unrealized gain (loss) | 1,205,770 | 4,847,821 | (480,813 | ) | 567,931 | |||||||||||
Net income (loss) | $ | 1,345,348 | $ | 4,788,555 | $ | (246,407 | ) | $ | 447,535 | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 142,707 | $ | 72,261 | $ | 459,321 | $ | 101,921 | ||||||||
Expenses | ||||||||||||||||
Management fee | 32,970 | 76,652 | 112,212 | 218,466 | ||||||||||||
Brokerage commissions | 1,099 | 3,565 | 4,065 | 9,361 | ||||||||||||
Futures account fees | — | — | — | 2,446 | ||||||||||||
Non-recurring fees and expenses | — | 639 | — | 639 | ||||||||||||
Total expenses | 34,069 | 80,856 | 116,277 | 230,912 | ||||||||||||
Net investment income (loss) | 108,638 | (8,595 | ) | 343,044 | (128,991 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 807,474 | 2,017,269 | 131,315 | 1,336,740 | ||||||||||||
Swap agreements | 628,950 | 2,970,959 | (1,278,923 | ) | 1,900,685 | |||||||||||
Short-term U.S. government and agency obligations | — | — | — | 4 | ||||||||||||
Net realized gain (loss) | 1,436,424 | 4,988,228 | (1,147,608 | ) | 3,237,429 | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (460,051 | ) | 725,119 | 609,640 | 1,378,602 | |||||||||||
Swap agreements | 208,445 | 81,220 | 1,241,973 | 1,795,321 | ||||||||||||
Short-term U.S. government and agency obligations | — | 35,207 | — | (13,647 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (251,606 | ) | 841,546 | 1,851,613 | 3,160,276 | |||||||||||
Net realized and unrealized gain (loss) | 1,184,818 | 5,829,774 | 704,005 | 6,397,705 | ||||||||||||
Net income (loss) | $ | 1,293,456 | $ | 5,821,179 | $ | 1,047,049 | $ | 6,268,714 | ||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 16,049,273 | $ | 32,598,451 | $ | 15,456,037 | $ | 26,859,844 | ||||||||
Addition of 300,000, 700,000, 600,000 and 1,150,000 shares, respectively | 7,934,073 | 20,554,617 | 16,298,343 | 33,744,566 | ||||||||||||
Redemption of 350,000, 800,000, 550,000 and 900,000 shares, respectively | (9,519,316 | ) | (23,330,339 | ) | (15,698,595 | ) | (26,440,661 | ) | ||||||||
Net addition (redemption) of (50,000), (100,000), 50,000 and 250,000 shares, respectively | (1,585,243 | ) | (2,775,722 | ) | 599,748 | 7,303,905 | ||||||||||
Net investment income (loss) | 139,578 | (59,266 | ) | 234,406 | (120,396 | ) | ||||||||||
Net realized gain (loss) | (1,553,151 | ) | 4,557,870 | (2,584,032 | ) | (1,750,799 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 2,758,921 | 289,951 | 2,103,219 | 2,318,730 | ||||||||||||
Net income (loss) | 1,345,348 | 4,788,555 | (246,407 | ) | 447,535 | |||||||||||
Shareholders’ equity, end of period | $ | 15,809,378 | $ | 34,611,284 | $ | 15,809,378 | $ | 34,611,284 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 15,809,378 | $ | 34,611,284 | $ | 15,456,037 | $ | 26,859,844 | ||||||||
Addition of 100,000, 350,000, 700,000 and 1,500,000 shares, respectively | 3,039,866 | 12,520,359 | 19,338,209 | 46,264,925 | ||||||||||||
Redemption of 200,000, 650,000, 750,000 and 1,550,000 shares, respectively | (5,776,831 | ) | (23,318,097 | ) | (21,475,426 | ) | (49,758,758 | ) | ||||||||
Net addition (redemption) of (100,000), (300,000), (50,000) and (50,000) shares, respectively | (2,736,965 | ) | (10,797,738 | ) | (2,137,217 | ) | (3,493,833 | ) | ||||||||
Net investment income (loss) | 108,638 | (8,595 | ) | 343,044 | (128,991 | ) | ||||||||||
Net realized gain (loss) | 1,436,424 | 4,988,228 | (1,147,608 | ) | 3,237,429 | |||||||||||
Change in net unrealized appreciation (depreciation) | (251,606 | ) | 841,546 | 1,851,613 | 3,160,276 | |||||||||||
Net income (loss) | 1,293,456 | 5,821,179 | 1,047,049 | 6,268,714 | ||||||||||||
Shareholders’ equity, end of period | $ | 14,365,869 | $ | 29,634,725 | $ | 14,365,869 | $ | 29,634,725 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (246,407 | ) | $ | 447,535 | |||
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 | — | (17,987,491 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 29,999,990 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (21,000 | ) | |||||
Net realized (gain) loss on investments | — | (4 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (1,033,528 | ) | (1,665,247 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | (40,101 | ) | (5,100 | ) | ||||
Decrease (Increase) in interest receivable | (19,366 | ) | (6,385 | ) | ||||
Increase (Decrease) in payable to Sponsor | 1,307 | (1,526 | ) | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (294 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 1,600 | (77,583 | ) | |||||
Net cash provided by (used in) operating activities | (1,336,495 | ) | 10,682,895 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 16,298,343 | 32,164,882 | ||||||
Payment on shares redeemed | (14,253,435 | ) | (26,440,661 | ) | ||||
Net cash provided by (used in) financing activities | 2,044,908 | 5,724,221 | ||||||
Net increase (decrease) in cash | 708,413 | 16,407,116 | ||||||
Cash, beginning of period | 16,020,413 | 1,990,354 | ||||||
Cash, end of period | $ | 16,728,826 | $ | 18,397,470 | ||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 1,047,049 | $ | 6,268,714 | ||||
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 | — | (17,987,492 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 35,999,990 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (26,784 | ) | |||||
Net realized (gain) loss on investments | — | (4 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (1,241,973 | ) | (1,781,674 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | (6,250 | ) | — | |||||
Decrease (Increase) in interest receivable | 3,281 | (25,595 | ) | |||||
Increase (Decrease) in payable to Sponsor | (3,555 | ) | 22,778 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (294 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 97,849 | (49,875 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 639 | ||||||
Net cash provided by (used in) operating activities | (103,599 | ) | 22,420,403 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 17,731,192 | 46,264,925 | ||||||
Payment on shares redeemed | (21,475,426 | ) | (49,758,758 | ) | ||||
Net cash provided by (used in) financing activities | (3,744,234 | ) | (3,493,833 | ) | ||||
Net increase (decrease) in cash | (3,847,833 | ) | 18,926,570 | |||||
Cash, beginning of period | 16,020,413 | 1,990,354 | ||||||
Cash, end of period | $ | 12,172,580 | $ | 20,916,924 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 12,006,167 | $ | 21,887,346 | ||||
Segregated cash balances with brokers for futures contracts | 1,325,250 | 2,820,937 | ||||||
Segregated cash balances with brokers for swap agreements | 6,881,000 | 7,875,000 | ||||||
Unrealized appreciation on swap agreements | 845,012 | — | ||||||
Receivable from capital shares sold | — | 972,789 | ||||||
Receivable on open futures contracts | 245,272 | 59,575 | ||||||
Interest receivable | 61,813 | 60,480 | ||||||
Total assets | 21,364,514 | 33,676,127 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 2,049,307 | — | ||||||
Payable on open futures contracts | 5,550 | — | ||||||
Payable to Sponsor | 19,184 | 20,705 | ||||||
Unrealized depreciation on swap agreements | — | 1,722,623 | ||||||
Total liabilities | 2,074,041 | 1,743,328 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 19,290,473 | 31,932,799 | ||||||
Total liabilities and shareholders’ equity | $ | 21,364,514 | $ | 33,676,127 | ||||
Shares outstanding | 941,329 | 1,641,329 | ||||||
Net asset value per share | $ | 20.49 | $ | 19.46 | ||||
Market value per share (Note 2) | $ | 20.58 | $ | 19.30 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 8,563,844 | $ | 21,887,346 | ||||
Segregated cash balances with brokers for futures contracts | 876,000 | 2,820,937 | ||||||
Segregated cash balances with brokers for swap agreements | 6,426,200 | 7,875,000 | ||||||
Unrealized appreciation on swap agreements | 1,014,468 | — | ||||||
Receivable from capital shares sold | — | 972,789 | ||||||
Receivable on open futures contracts | 54,510 | 59,575 | ||||||
Interest receivable | 46,359 | 60,480 | ||||||
Total assets | 16,981,381 | 33,676,127 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 13,864 | 20,705 | ||||||
Unrealized depreciation on swap agreements | — | 1,722,623 | ||||||
Total liabilities | 13,864 | 1,743,328 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 16,967,517 | 31,932,799 | ||||||
Total liabilities and shareholders’ equity | $ | 16,981,381 | $ | 33,676,127 | ||||
Shares outstanding | 791,329 | 1,641,329 | ||||||
Net asset value per share | $ | 21 .44 | $ | 19 .46 | ||||
Market value per share (Note 2) | $ | 21 .55 | $ | 19 .30 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Silver Futures - COMEX, expires September 2023 | 139 | $ | 15,998,900 | $ | 958,923 |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires December 2023 | 109 | $ | 12,235,250 | $ | 851,237 |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 07/06/23 | $ | (2,676,258 | ) | $ | 100,100 | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 07/06/23 | (9,749,240 | ) | 364,653 | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 07/06/23 | (7,708,614 | ) | 288,063 | |||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 07/06/23 | (2,464,968 | ) | 92,196 | |||||||||||
Total Unrealized Appreciation | | $ | 845,012 | |||||||||||||
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 | % | 10/06/23 | $ | (2,570,998 | ) | $ | 120,165 | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 10/06/23 | (9,365,796 | ) | 437,748 | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 10/06/23 | (7,405,429 | ) | 345,878 | |||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 10/06/23 | (2,368,019 | ) | 110,677 | |||||||||||
Total Unrealized Appreciation | $ | 1,014,468 | ||||||||||||||
^ | The positions and counterparties herein are as of |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 323,734 | $ | 18,743 | $ | 523,812 | $ | 27,663 | ||||||||
Expenses | ||||||||||||||||
Management fee | 82,417 | 62,381 | 142,585 | 123,334 | ||||||||||||
Brokerage commissions | 8,958 | 6,677 | 14,661 | 11,978 | ||||||||||||
Futures account fees | — | 1,169 | — | 4,443 | ||||||||||||
Total expenses | 91,375 | 70,227 | 157,246 | 139,755 | ||||||||||||
Net investment income (loss) | 232,359 | (51,484 | ) | 366,566 | (112,092 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 3,460,638 | 5,944,050 | 4,792,636 | 4,650,280 | ||||||||||||
Swap agreements | (2,347,042 | ) | 3,467,182 | (965,417 | ) | (2,612,794 | ) | |||||||||
Short-term U.S. government and agency obligations | (906 | ) | — | (906 | ) | (190 | ) | |||||||||
Net realized gain (loss) | 1,112,690 | 9,411,232 | 3,826,313 | 2,037,296 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 1,782,960 | 2,249,743 | 1,899,423 | 1,864,397 | ||||||||||||
Swap agreements | 3,867,334 | 1,599,944 | 2,567,635 | 3,794,452 | ||||||||||||
Short-term U.S. government and agency obligations | — | 3,625 | — | (15,885 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 5,650,294 | 3,853,312 | 4,467,058 | 5,642,964 | ||||||||||||
Net realized and unrealized gain (loss) | 6,762,984 | 13,264,544 | 8,293,371 | 7,680,260 | ||||||||||||
Net income (loss) | $ | 6,995,343 | $ | 13,213,060 | $ | 8,659,937 | $ | 7,568,168 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 337,096 | $ | 63,222 | $ | 860,908 | $ | 90,885 | ||||||||
Expenses | ||||||||||||||||
Management fee | 78,166 | 67,215 | 220,751 | 190,549 | ||||||||||||
Brokerage commissions | 13,775 | 8,699 | 28,436 | 20,677 | ||||||||||||
Futures account fees | — | — | — | 4,443 | ||||||||||||
Non-recurring fees and expenses | — | 612 | — | 612 | ||||||||||||
Total expenses | 91,941 | 76,526 | 249,187 | 216,281 | ||||||||||||
Net investment income (loss) | 245,155 | (13,304 | ) | 611,721 | (125,396 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 6,217,172 | 1,719,839 | 11,009,808 | 6,370,119 | ||||||||||||
Swap agreements | 704,259 | 4,495,568 | (261,158 | ) | 1,882,774 | |||||||||||
Short-term U.S. government and agency obligations | — | — | (906 | ) | (190 | ) | ||||||||||
Net realized gain (loss) | 6,921,431 | 6,215,407 | 10,747,744 | 8,252,703 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (107,686 | ) | (1,063,521 | ) | 1,791,737 | 800,876 | ||||||||||
Swap agreements | 169,456 | (3,024,441 | ) | 2,737,091 | 770,011 | |||||||||||
Short-term U.S. government and agency obligations | — | 12,438 | — | (3,447 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 61,770 | (4,075,524 | ) | 4,528,828 | 1,567,440 | |||||||||||
Net realized and unrealized gain (loss) | 6,983,201 | 2,139,883 | 15,276,572 | 9,820,143 | ||||||||||||
Net income (loss) | $ | 7,228,356 | $ | 2,126,579 | $ | 15,888,293 | $ | 9,694,747 | ||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 20,335,691 | $ | 23,406,516 | $ | 31,932,799 | $ | 26,537,000 | ||||||||
Addition of 2,450,000, 700,000, 3,100,000 and 1,800,000 shares, respectively | 41,523,335 | 17,707,417 | 55,312,875 | 43,267,561 | ||||||||||||
Redemption of 2,600,000, 750,000, 3,800,000 and 1,750,000 shares, respectively | (49,563,896 | ) | (21,274,153 | ) | (76,615,138 | ) | (44,319,889 | ) | ||||||||
Net addition (redemption) of (150,000), (50,000), (700,000) and 50,000 shares, respectively | (8,040,561 | ) | (3,566,736 | ) | (21,302,263 | ) | (1,052,328 | ) | ||||||||
Net investment income (loss) | 232,359 | (51,484 | ) | 366,566 | (112,092 | ) | ||||||||||
Net realized gain (loss) | 1,112,690 | 9,411,232 | 3,826,313 | 2,037,296 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 5,650,294 | 3,853,312 | 4,467,058 | 5,642,964 | ||||||||||||
Net income (loss) | 6,995,343 | 13,213,060 | 8,659,937 | 7,568,168 | ||||||||||||
Shareholders’ equity, end of period | $ | 19,290,473 | $ | 33,052,840 | $ | 19,290,473 | $ | 33,052,840 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 19,290,473 | $ | 33,052,840 | $ | 31,932,799 | $ | 26,537,000 | ||||||||
Addition of 2,950,000, 1,000,000, 6,050,000 and 2,800,000 shares, respectively | 51,792,185 | 34,082,044 | 107,105,060 | 77,349,605 | ||||||||||||
Redemption of 3,100,000, 1,050,000, 6,900,000 and 2,800,000 shares, respectively | (61,343,497 | ) | (35,498,411 | ) | (137,958,635 | ) | (79,818,300 | ) | ||||||||
Net addition (redemption) of (150,000), (50,000), (850,000) and – shares, respectively | (9,551,312 | ) | (1,416,367 | ) | (30,853,575 | ) | (2,468,695 | ) | ||||||||
Net investment income (loss) | 245,155 | (13,304 | ) | 611,721 | (125,396 | ) | ||||||||||
Net realized gain (loss) | 6,921,431 | 6,215,407 | 10,747,744 | 8,252,703 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 61,770 | (4,075,524 | ) | 4,528,828 | 1,567,440 | |||||||||||
Net income (loss) | 7,228,356 | 2,126,579 | 15,888,293 | 9,694,747 | ||||||||||||
Shareholders’ equity, end of period | $ | 16,967,517 | $ | 33,763,052 | $ | 16,967,517 | $ | 33,763,052 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 8,659,937 | $ | 7,568,168 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (14,880,254 | ) | (20,979,051 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 14,937,156 | 30,999,081 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (57,808 | ) | (21,212 | ) | ||||
Net realized (gain) loss on investments | 906 | 190 | ||||||
Change in unrealized (appreciation) depreciation on investments | (2,567,635 | ) | (3,778,567 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | (185,697 | ) | (176,048 | ) | ||||
Decrease (Increase) in interest receivable | (1,333 | ) | (4,807 | ) | ||||
Increase (Decrease) in payable to Sponsor | (1,521 | ) | (9,072 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (747 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 5,550 | (5,840 | ) | |||||
Net cash provided by (used in) operating activities | 5,909,301 | 13,592,095 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 56,285,664 | 41,679,928 | ||||||
Payment on shares redeemed | (74,565,831 | ) | (44,319,889 | ) | ||||
Net cash provided by (used in) financing activities | (18,280,167 | ) | (2,639,961 | ) | ||||
Net increase (decrease) in cash | (12,370,866 | ) | 10,952,134 | |||||
Cash, beginning of period | 32,583,283 | 5,483,476 | ||||||
Cash, end of period | $ | 20,212,417 | $ | 16,435,610 | ||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 15,888,293 | $ | 9,694,747 | ||||
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 | (39,876,608 | ) | (20,979,052 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 39,937,156 | 41,999,081 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (61,454 | ) | (24,695 | ) | ||||
Net realized (gain) loss on investments | 906 | 190 | ||||||
Change in unrealized (appreciation) depreciation on investments | (2,737,091 | ) | (766,564 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | 5,065 | 15,446 | ||||||
Decrease (Increase) in interest receivable | 14,121 | (25,020 | ) | |||||
Increase (Decrease) in payable to Sponsor | (6,841 | ) | 12,281 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (747 | ) | |||||
Increase (Decrease) in payable on open futures contracts | — | 592,924 | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 612 | ||||||
Net cash provided by (used in) operating activities | 13,163,547 | 30,519,203 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 108,077,849 | 77,349,605 | ||||||
Payment on shares redeemed | (137,958,635 | ) | (79,818,300 | ) | ||||
Net cash provided by (used in) financing activities | (29,880,786 | ) | (2,468,695 | ) | ||||
Net increase (decrease) in cash | (16,717,239 | ) | 28,050,508 | |||||
Cash, beginning of period | 32,583,283 | 5,483,476 | ||||||
Cash, end of period | $ | 15,866,044 | $ | 33,533,984 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $22,995,298, respectively) | $ | — | $ | 22,998,059 | ||||
Cash | 22,448,405 | 451,616 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 2,582,511 | 3,652,511 | ||||||
Unrealized appreciation on foreign currency forward contracts | 2,238,472 | 963,369 | ||||||
Interest receivable | 86,880 | 36,071 | ||||||
Total assets | 27,356,268 | 28,101,626 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 2,683,455 | ||||||
Payable to Sponsor | 19,992 | 29,633 | ||||||
Unrealized depreciation on foreign currency forward contracts | 258,620 | 3,990,802 | ||||||
Total liabilities | 278,612 | 6,703,890 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 27,077,656 | 21,397,736 | ||||||
Total liabilities and shareholders’ equity | $ | 27,356,268 | $ | 28,101,626 | ||||
Shares outstanding (Note 1) | 398,580 | 398,580 | ||||||
Net asset value per share (Note 1) | $ | 67.94 | $ | 53.68 | ||||
Market value per share (Note 1) (Note 2) | $ | 67.95 | $ | 53.57 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ - and $22,995,298, respectively) | $ | — | $ | 22,998,059 | ||||
Cash | 22,694,511 | 451,616 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 2,482,511 | 3,652,511 | ||||||
Unrealized appreciation on foreign currency forward contracts | 969,376 | 963,369 | ||||||
Interest receivable | 94,406 | 36,071 | ||||||
Total assets | 26,240,804 | 28,101,626 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 2,683,455 | ||||||
Payable to Sponsor | 19,843 | 29,633 | ||||||
Unrealized depreciation on foreign currency forward contracts | 48,770 | 3,990,802 | ||||||
Total liabilities | 68,613 | 6,703,890 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 26,172,191 | 21,397,736 | ||||||
Total liabilities and shareholders’ equity | $ | 26,240,804 | $ | 28,101,626 | ||||
Shares outstanding | 348,580 | 398,580 | ||||||
Net asset value per share | $ | 75 .08 | $ | 53 .68 | ||||
Market value per share (Note 2) | $ | 75 .08 | $ | 53 .57 | ||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with UBS AG | 07/14/23 | 1,228,677,000 | $ | 8,534,862 | $ | (258,620 | ) | |||||||||
Total Unrealized Depreciation | | $ | (258,620 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 07/14/23 | (3,428,392,165 | ) | $ | (23,814,929 | ) | $ | 890,062 | ||||||||
Yen with UBS AG | 07/14/23 | (5,596,567,574 | ) | (38,875,908 | ) | 1,348,410 | ||||||||||
Total Unrealized Appreciation | | $ | 2,238,472 | |||||||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with UBS AG | 10/06/23 | 428,237,000 | $ | 2,868,730 | $ | (48,770 | ) | |||||||||
Total Unrealized Depreciation | | $ | (48,770 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 10/06/23 | (3,330,184,165 | ) | $ | (22,308,674 | ) | $ | 406,284 | ||||||||
Yen with UBS AG | 10/06/23 | (4,908,633,574 | ) | (32,882,597 | ) | 563,092 | ||||||||||
Total Unrealized Appreciation | $ | 969,376 | ||||||||||||||
^ | The positions and counterparties herein are as of |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 255,354 | $ | 26,913 | $ | 459,554 | $ | 36,312 | ||||||||
Expenses | ||||||||||||||||
Management fee | 58,179 | 93,181 | 108,991 | 153,001 | ||||||||||||
Total expenses | 58,179 | 93,181 | 108,991 | 153,001 | ||||||||||||
Net investment income (loss) | 197,175 | (66,268 | ) | 350,563 | (116,689 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | 1,370,771 | 7,917,170 | 342,795 | 8,997,343 | ||||||||||||
Short-term U.S. government and agency obligations | — | — | — | 102,971 | ||||||||||||
Net realized gain (loss) | 1,370,771 | 7,917,170 | 342,795 | 9,100,314 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | 3,145,023 | (1,364,477 | ) | 5,007,285 | 101,925 | |||||||||||
Short-term U.S. government and agency obligations | — | (3,452 | ) | (2,761 | ) | (31,390 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 3,145,023 | (1,367,929 | ) | 5,004,524 | 70,535 | |||||||||||
Net realized and unrealized gain (loss) | 4,515,794 | 6,549,241 | 5,347,319 | 9,170,849 | ||||||||||||
Net income (loss) | $ | 4,712,969 | $ | 6,482,973 | $ | 5,697,882 | $ | 9,054,160 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 274,125 | $ | 115,191 | $ | 733,679 | $ | 151,503 | ||||||||
Expenses | ||||||||||||||||
Management fee | 58,762 | 106,598 | 167,753 | 259,599 | ||||||||||||
Non-recurring fees and expenses | — | 953 | — | 953 | ||||||||||||
Total expenses | 58,762 | 107,551 | 167,753 | 260,552 | ||||||||||||
Net investment income (loss) | 215,363 | 7,640 | 565,926 | (109,049 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | 3,079,208 | 5,879,873 | 3,422,003 | 14,877,216 | ||||||||||||
Short-term U.S. government and agency obligations | — | — | — | 102,971 | ||||||||||||
Net realized gain (loss) | 3,079,208 | 5,879,873 | 3,422,003 | 14,980,187 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (1,059,246 | ) | (546,737 | ) | 3,948,039 | (444,812 | ) | |||||||||
Short-term U.S. government and agency obligations | — | 22,866 | (2,761 | ) | (8,524 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (1,059,246 | ) | (523,871 | ) | 3,945,278 | (453,336 | ) | |||||||||
Net realized and unrealized gain (loss) | 2,019,962 | 5,356,002 | 7,367,281 | 14,526,851 | ||||||||||||
Net income (loss) | $ | 2,235,325 | $ | 5,363,642 | $ | 7,933,207 | $ | 14,417,802 | ||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 25,111,818 | $ | 27,726,701 | $ | 21,397,736 | $ | 24,840,784 | ||||||||
Addition of 250,000, 650,000, 450,000 and 850,000 shares, respectively (Note 1) | 14,899,838 | 34,515,397 | 26,056,375 | 44,120,719 | ||||||||||||
Redemption of 300,000, 450,000, 450,000 and 650,000 shares, respectively (Note 1) | (17,646,969 | ) | (23,156,189 | ) | (26,074,337 | ) | (32,446,781 | ) | ||||||||
Net addition (redemption) of (50,000), 200,000, – and 200,000 shares, respectively (Note 1) | (2,747,131 | ) | 11,359,208 | (17,962 | ) | 11,673,938 | ||||||||||
Net investment income (loss) | 197,175 | (66,268 | ) | 350,563 | (116,689 | ) | ||||||||||
Net realized gain (loss) | 1,370,771 | 7,917,170 | 342,795 | 9,100,314 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 3,145,023 | (1,367,929 | ) | 5,004,524 | 70,535 | |||||||||||
Net income (loss) | 4,712,969 | 6,482,973 | 5,697,882 | 9,054,160 | ||||||||||||
Shareholders’ equity, end of period | $ | 27,077,656 | $ | 45,568,882 | $ | 27,077,656 | $ | 45,568,882 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 27,077,656 | $ | 45,568,882 | $ | 21,397,736 | $ | 24,840,784 | ||||||||
Addition of –, 250,000, 450,000 and 1,100,000 shares, respectively | — | 15,352,183 | 26,056,375 | 59,472,902 | ||||||||||||
Redemption of 50,000, 250,000, 500,000 and 900,000 shares, respectively | (3,140,790 | ) | (14,347,369 | ) | (29,215,127 | ) | (46,794,150 | ) | ||||||||
Net addition (redemption) of (50,000), –, (50,000) and 200,000 shares, respectively | (3,140,790 | ) | 1,004,814 | (3,158,752 | ) | 12,678,752 | ||||||||||
Net investment income (loss) | 215,363 | 7,640 | 565,926 | (109,049 | ) | |||||||||||
Net realized gain (loss) | 3,079,208 | 5,879,873 | 3,422,003 | 14,980,187 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (1,059,246 | ) | (523,871 | ) | 3,945,278 | (453,336 | ) | |||||||||
Net income (loss) | 2,235,325 | 5,363,642 | 7,933,207 | 14,417,802 | ||||||||||||
Shareholders’ equity, end of period | $ | 26,172,191 | $ | 51,937,338 | $ | 26,172,191 | $ | 51,937,338 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 5,697,882 | $ | 9,054,160 | ||||
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 | — | (17,984,733 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 23,000,000 | 28,102,971 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (4,702 | ) | (20,093 | ) | ||||
Net realized (gain) loss on investments | — | (102,971 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (5,004,524 | ) | (70,535 | ) | ||||
Decrease (Increase) in interest receivable | (50,809 | ) | (12,261 | ) | ||||
Increase (Decrease) in payable to Sponsor | (9,641 | ) | 11,416 | |||||
Net cash provided by (used in) operating activities | 23,628,206 | 18,977,954 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 26,056,375 | 44,120,719 | ||||||
Payment on shares redeemed | (28,757,792 | ) | (32,446,781 | ) | ||||
Net cash provided by (used in) financing activities | (2,701,417 | ) | 11,673,938 | |||||
Net increase (decrease) in cash | 20,926,789 | 30,651,892 | ||||||
Cash, beginning of period | 4,104,127 | 3,003,251 | ||||||
Cash, end of period | $ | 25,030,916 | $ | 33,655,143 | ||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 7,933,207 | $ | 14,417,802 | ||||
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 | — | (17,984,732 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 23,000,000 | 34,102,971 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (4,702 | ) | (24,192 | ) | ||||
Net realized (gain) loss on investments | — | (102,971 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (3,945,278 | ) | 453,336 | |||||
Decrease (Increase) in interest receivable | (58,335 | ) | (42,154 | ) | ||||
Increase (Decrease) in payable to Sponsor | (9,790 | ) | 48,690 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 953 | ||||||
Net cash provided by (used in) operating activities | 26,915,102 | 30,869,703 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 26,056,375 | 59,472,902 | ||||||
Payment on shares redeemed | (31,898,582 | ) | (46,794,150 | ) | ||||
Net cash provided by (used in) financing activities | (5,842,207 | ) | 12,678,752 | |||||
Net increase (decrease) in cash | 21,072,895 | 43,548,455 | ||||||
Cash, beginning of period | 4,104,127 | 3,003,251 | ||||||
Cash, end of period | $ | 25,177,022 | $ | 46,551,706 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $49,876,697, respectively) | $ | — | $ | 49,882,348 | ||||
Cash | 42,134,389 | 19,575,939 | ||||||
Segregated cash balances with brokers for futures contracts | 8,099,770 | 14,384,050 | ||||||
Receivable on open futures contracts | — | 142,794 | ||||||
Interest receivable | 189,748 | 88,180 | ||||||
Total assets | 50,423,907 | 84,073,311 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 962,275 | — | ||||||
Brokerage commissions and futures account fees payable | 4,683 | 3,688 | ||||||
Payable to Sponsor | 35,536 | 54,664 | ||||||
Total liabilities | 1,002,494 | 58,352 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 49,421,413 | 84,014,959 | ||||||
Total liabilities and shareholders’ equity | $ | 50,423,907 | $ | 84,073,311 | ||||
Shares outstanding | 2,412,403 | 2,762,403 | ||||||
Net asset value per share | $ | 20.49 | $ | 30.41 | ||||
Market value per share (Note 2) | $ | 20.48 | $ | 30.36 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $49,876,697, respectively) | $ | – | $ | 49,882,348 | ||||
Cash | 50,204,095 | 19,575,939 | ||||||
Segregated cash balances with brokers for futures contracts | 9,032,162 | 14,384,050 | ||||||
Receivable on open futures contracts | 560,581 | 142,794 | ||||||
Interest receivable | 208,470 | 88,180 | ||||||
Total assets | 60,005,308 | 84,073,311 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Brokerage commissions and futures account fees payable | 2,387 | 3,688 | ||||||
Payable to Sponsor | 34,897 | 54,664 | ||||||
Total liabilities | 37,284 | 58,352 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 59,968,024 | 84,014,959 | ||||||
Total liabilities and shareholders’ equity | $ | 60,005,308 | $ | 84,073,311 | ||||
Shares outstanding | 3,087,403 | 2,762,403 | ||||||
Net asset value per share | $ | 19 .42 | $ | 30 .41 | ||||
Market value per share (Note 2) | $ | 19 .41 | $ | 30 .36 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
VIX Futures - Cboe, expires October 2023 | 501 | $ | 9,192,799 | $ | (2,627,316 | ) | ||||||
VIX Futures - Cboe, expires November 2023 | 865 | 16,305,250 | (4,252,873 | ) | ||||||||
VIX Futures - Cboe, expires December 2023 | 865 | 16,564,750 | (2,707,689 | ) | ||||||||
VIX Futures - Cboe, expires January 2024 | 364 | 7,352,800 | (290,336 | ) | ||||||||
$ | (9,878,214 | ) | ||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires January 2024 | 617 | $ | 11,784,515 | $ | (350,626 | ) | ||||||
VIX Futures - Cboe, expires February 2024 | 1,028 | 19,841,839 | (508,849 | ) | ||||||||
VIX Futures - Cboe, expires March 2024 | 1,028 | 20,146,847 | (104,194 | ) | ||||||||
VIX Futures - Cboe, expires April 2024 | 411 | 8,178,119 | 19,997 | |||||||||
$ | (943,672 | ) | ||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 650,585 | $ | 52,826 | $ | 1,298,505 | $ | 76,749 | ||||||||
Expenses | ||||||||||||||||
Management fee | 134,066 | 210,584 | 284,189 | 426,247 | ||||||||||||
Brokerage commissions | 12,200 | 15,500 | 21,369 | 40,369 | ||||||||||||
Futures account fees | 11,856 | 10,906 | 23,296 | 46,394 | ||||||||||||
Total expenses | 158,122 | 236,990 | 328,854 | 513,010 | ||||||||||||
Net investment income (loss) | 492,463 | (184,164 | ) | 969,651 | (436,261 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (6,943,333 | ) | 7,862,052 | (22,764,053 | ) | 12,653,885 | ||||||||||
Short-term U.S. government and agency obligations | — | — | — | (336 | ) | |||||||||||
Net realized gain (loss) | (6,943,333 | ) | 7,862,052 | (22,764,053 | ) | 12,653,549 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (9,677,526 | ) | 4,040,230 | (5,086,991 | ) | 3,705,055 | ||||||||||
Short-term U.S. government and agency obligations | 2,424 | (47,560 | ) | (5,651 | ) | (186,220 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (9,675,102 | ) | 3,992,670 | (5,092,642 | ) | 3,518,835 | ||||||||||
Net realized and unrealized gain (loss) | (16,618,435 | ) | 11,854,722 | (27,856,695 | ) | 16,172,384 | ||||||||||
Net income (loss) | $ | (16,125,972 | ) | $ | 11,670,558 | $ | (26,887,044 | ) | $ | 15,736,123 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 597,040 | $ | 220,211 | $ | 1,895,545 | $ | 296,960 | ||||||||
Expenses | ||||||||||||||||
Management fee | 117,018 | 201,508 | 401,207 | 627,755 | ||||||||||||
Brokerage commissions | 8,822 | 17,922 | 30,191 | 58,291 | ||||||||||||
Futures account fees | 9,991 | — | 33,287 | 46,394 | ||||||||||||
Non-recurring fees and expenses | — | 2,050 | — | 2,050 | ||||||||||||
Total expenses | 135,831 | 221,480 | 464,685 | 734,490 | ||||||||||||
Net investment income (loss) | 461,209 | (1,269 | ) | 1,430,860 | (437,530 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (12,244,511 | ) | (1,349,272 | ) | (35,008,564 | ) | 11,304,613 | |||||||||
Short-term U.S. government and agency obligations | — | — | — | (336 | ) | |||||||||||
Net realized gain (loss) | (12,244,511 | ) | (1,349,272 | ) | (35,008,564 | ) | 11,304,277 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 8,934,542 | 3,236,565 | 3,847,551 | 6,941,620 | ||||||||||||
Short-term U.S. government and agency obligations | — | 131,644 | (5,651 | ) | (54,576 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 8,934,542 | 3,368,209 | 3,841,900 | 6,887,044 | ||||||||||||
Net realized and unrealized gain (loss) | (3,309,969 | ) | 2,018,937 | (31,166,664 | ) | 18,191,321 | ||||||||||
Net income (loss) | $ | (2,848,760 | ) | $ | 2,017,668 | $ | (29,735,804 | ) | $ | 17,753,791 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 67,306,087 | $ | 97,869,914 | $ | 84,014,959 | $ | 112,875,680 | ||||||||
Addition of 575,000, 300,000, 850,000 and 1,000,000 shares, respectively | 14,067,422 | 10,043,451 | 21,818,758 | 32,179,053 | ||||||||||||
Redemption of 675,000, 700,000, 1,200,000 and 1,975,000 shares, respectively | (15,826,124 | ) | (23,862,652 | ) | (29,525,260 | ) | (65,069,585 | ) | ||||||||
Net addition (redemption) of (100,000), (400,000), (350,000) and (975,000) shares, respectively | (1,758,702 | ) | (13,819,201 | ) | (7,706,502 | ) | (32,890,532 | ) | ||||||||
Net investment income (loss) | 492,463 | (184,164 | ) | 969,651 | (436,261 | ) | ||||||||||
Net realized gain (loss) | (6,943,333 | ) | 7,862,052 | (22,764,053 | ) | 12,653,549 | ||||||||||
Change in net unrealized appreciation (depreciation) | (9,675,102 | ) | 3,992,670 | (5,092,642 | ) | 3,518,835 | ||||||||||
Net income (loss) | (16,125,972 | ) | 11,670,558 | (26,887,044 | ) | 15,736,123 | ||||||||||
Shareholders’ equity, end of period | $ | 49,421,413 | $ | 95,721,271 | $ | 49,421,413 | $ | 95,721,271 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 49,421,413 | $ | 95,721,271 | $ | 84,014,959 | $ | 112,875,680 | ||||||||
Addition of 850,000, 850,000, 1,700,000 and 1,850,000 shares, respectively | 16,840,213 | 28,312,142 | 38,658,971 | 60,491,195 | ||||||||||||
Redemption of 175,000, 450,000, 1,375,000 and 2,425,000 shares, respectively | (3,444,842 | ) | (15,630,507 | ) | (32,970,102 | ) | (80,700,092 | ) | ||||||||
Net addition (redemption) of 675,000, 400,000, 325,000 and (575,000) shares, respectively | 13,395,371 | 12,681,635 | 5,688,869 | (20,208,897 | ) | |||||||||||
Net investment income (loss) | 461,209 | (1,269 | ) | 1,430,860 | (437,530 | ) | ||||||||||
Net realized gain (loss) | (12,244,511 | ) | (1,349,272 | ) | (35,008,564 | ) | 11,304,277 | |||||||||
Change in net unrealized appreciation (depreciation) | 8,934,542 | 3,368,209 | 3,841,900 | 6,887,044 | ||||||||||||
Net income (loss) | (2,848,760 | ) | 2,017,668 | (29,735,804 | ) | 17,753,791 | ||||||||||
Shareholders’ equity, end of period | $ | 59,968,024 | $ | 110,420,574 | $ | 59,968,024 | $ | 110,420,574 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (26,887,044 | ) | $ | 15,736,123 | |||
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 | (254,817,825 | ) | (51,992,010 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 305,000,000 | 105,998,548 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (305,478 | ) | (45,127 | ) | ||||
Net realized (gain) loss on investments | — | 336 | ||||||
Change in unrealized (appreciation) depreciation on investments | 5,651 | 186,220 | ||||||
Decrease (Increase) in receivable on open futures contracts | 142,794 | (752,378 | ) | |||||
Decrease (Increase) in interest receivable | (101,568 | ) | (21,835 | ) | ||||
Increase (Decrease) in payable to Sponsor | (19,128 | ) | (20,792 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 995 | (7,124 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 962,275 | (94,495 | ) | |||||
Net cash provided by (used in) operating activities | 23,980,672 | 68,987,466 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 21,818,758 | 32,179,053 | ||||||
Payment on shares redeemed | (29,525,260 | ) | (65,069,585 | ) | ||||
Net cash provided by (used in) financing activities | (7,706,502 | ) | (32,890,532 | ) | ||||
Net increase (decrease) in cash | 16,274,170 | 36,096,934 | ||||||
Cash, beginning of period | 33,959,989 | 27,071,819 | ||||||
Cash, end of period | $ | 50,234,159 | $ | 63,168,753 | ||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (29,735,804 | ) | $ | 17,753,791 | |||
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 | (294,811,992 | ) | (66,991,148 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 345,000,000 | 120,998,548 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (311,311 | ) | (63,980 | ) | ||||
Net realized (gain) loss on investments | — | 336 | ||||||
Change in unrealized (appreciation) depreciation on investments | 5,651 | 54,576 | ||||||
Decrease (Increase) in receivable on open futures contracts | (417,787 | ) | (765,221 | ) | ||||
Decrease (Increase) in interest receivable | (120,290 | ) | (84,257 | ) | ||||
Increase (Decrease) in payable to Sponsor | (19,767 | ) | 51,511 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (1,301 | ) | (7,124 | ) | ||||
Increase (Decrease) in payable on open futures contracts | — | (94,495 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 2,050 | ||||||
Net cash provided by (used in) operating activities | 19,587,399 | 70,854,587 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 38,658,971 | 60,491,195 | ||||||
Payment on shares redeemed | (32,970,102 | ) | (78,938,105 | ) | ||||
Net cash provided by (used in) financing activities | 5,688,869 | (18,446,910 | ) | |||||
Net increase (decrease) in cash | 25,276,268 | 52,407,677 | ||||||
Cash, beginning of period | 33,959,989 | 27,071,819 | ||||||
Cash, end of period | $ | 59,236,257 | $ | 79,479,496 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $74,762,717 and $89,329,814, respectively) | $ | 74,783,454 | $ | 89,347,714 | ||||
Cash | 50,424,148 | 33,526,868 | ||||||
Segregated cash balances with brokers for futures contracts | 88,397,850 | 91,634,942 | ||||||
Receivable on open futures contracts | 18,506,138 | 52,643,553 | ||||||
Interest receivable | 385,471 | 403,667 | ||||||
Total assets | 232,497,061 | 267,556,744 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 570,473 | ||||||
Payable on open futures contracts | 2,131,494 | 223,719 | ||||||
Brokerage commissions and futures account fees payable | 19,141 | 27,102 | ||||||
Payable to Sponsor | 118,596 | 155,130 | ||||||
Total liabilities | 2,269,231 | 976,424 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 230,227,830 | 266,580,320 | ||||||
Total liabilities and shareholders’ equity | $ | 232,497,061 | $ | 267,556,744 | ||||
Shares outstanding (Note 1) | 9,226,565 | 4,676,565 | ||||||
Net asset value per share (Note 1) | $ | 24.95 | $ | 57.00 | ||||
Market value per share (Note 1) (Note 2) | $ | 24.96 | $ | 56.90 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $104,624,795 and $89,329,814, respectively) | $ | 104,639,666 | $ | 89,347,714 | ||||
Cash | 23,955,940 | 33,526,868 | ||||||
Segregated cash balances with brokers for futures contracts | 65,304,529 | 91,634,942 | ||||||
Receivable on open futures contracts | 17,543,264 | 52,643,553 | ||||||
Interest receivable | 266,995 | 403,667 | ||||||
Total assets | 211,710,394 | 267,556,744 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 570,473 | ||||||
Payable on open futures contracts | — | 223,719 | ||||||
Brokerage commissions and futures account fees payable | 11,670 | 27,102 | ||||||
Payable to Sponsor | 94,296 | 155,130 | ||||||
Total liabilities | 105,966 | 976,424 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 211,604,428 | 266,580,320 | ||||||
Total liabilities and shareholders’ equity | $ | 211,710,394 | $ | 267,556,744 | ||||
Shares outstanding (Note 1) | 9,075,947 | 4,676,565 | ||||||
Net asset value per share (Note 1) | $ | 23 .31 | $ | 57 .00 | ||||
Market value per share (Note 1) (Note 2) | $ | 23 .30 | $ | 56 .90 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(32% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.959% due 07/13/23 | $ | 15,000,000 | $ | 14,978,937 | ||||
5.242% due 07/18/23 | 25,000,000 | 24,947,395 | ||||||
5.251% due 07/25/23 | 20,000,000 | 19,938,584 | ||||||
5.161% due 08/10/23 | 15,000,000 | 14,918,538 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $74,762,717) | $ | 74,783,454 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(49% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 25,000,000 | $ | 24,970,695 | ||||
5.478% due 10/17/23 | 45,000,000 | 44,900,905 | ||||||
5.490% due 11/14/23 | 25,000,000 | 24,841,885 | ||||||
5.497% due 11/21/23 | 10,000,000 | 9,926,181 | ||||||
Total short-term U.S. government and agency obligations (cost $104,624,795) | $ | 104,639,666 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
VIX Futures - Cboe, expires July 2023 | 8,545 | $ | 128,268,995 | $ | (26,123,108 | ) | ||||||
VIX Futures - Cboe, expires August 2023 | 6,216 | 101,944,265 | (3,849,779 | ) | ||||||||
$ | (29,972,887 | ) | ||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires October 2023 | 7,067 | $ | 125,589,070 | $ | 11,154,767 | |||||||
VIX Futures - Cboe, expires November 2023 | 4,719 | 86,104,290 | 719,403 | |||||||||
$ | 11,874,170 | |||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,440,291 | $ | 207,903 | $ | 4,560,852 | $ | 278,612 | ||||||||
Expenses | ||||||||||||||||
Management fee | 530,826 | 773,717 | 1,048,314 | 1,479,408 | ||||||||||||
Brokerage commissions | 95,391 | 171,182 | 191,888 | 287,656 | ||||||||||||
Futures account fees | 48,732 | 115,783 | 99,391 | 316,440 | ||||||||||||
Total expenses | 674,949 | 1,060,682 | 1,339,593 | 2,083,504 | ||||||||||||
Net investment income (loss) | 1,765,342 | (852,779 | ) | 3,221,259 | (1,804,892 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (127,229,299 | ) | 23,659,182 | (173,326,001 | ) | 77,393,309 | ||||||||||
Short-term U.S. government and agency obligations | (10,613 | ) | (397 | ) | (10,605 | ) | (300 | ) | ||||||||
Net realized gain (loss) | (127,239,912 | ) | 23,658,785 | (173,336,606 | ) | 77,393,009 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (21,324,056 | ) | 46,680,364 | (20,176,064 | ) | 33,506,046 | ||||||||||
Short-term U.S. government and agency obligations | 20,803 | (79,587 | ) | 2,837 | (353,650 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (21,303,253 | ) | 46,600,777 | (20,173,227 | ) | 33,152,396 | ||||||||||
Net realized and unrealized gain (loss) | (148,543,165 | ) | 70,259,562 | (193,509,833 | ) | 110,545,405 | ||||||||||
Net income (loss) | $ | (146,777,823 | ) | $ | 69,406,783 | $ | (190,288,574 | ) | $ | 108,740,513 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,271,345 | $ | 1,400,201 | $ | 6,832,197 | $ | 1,678,813 | ||||||||
Expenses | ||||||||||||||||
Management fee | 447,560 | 874,070 | 1,495,874 | 2,353,478 | ||||||||||||
Brokerage commissions | 58,426 | 203,095 | 250,314 | 490,751 | ||||||||||||
Futures account fees | 44,110 | 54,944 | 143,501 | 371,384 | ||||||||||||
Non-recurring fees and expenses | — | 8,700 | — | 8,700 | ||||||||||||
Total expenses | 550,096 | 1,140,809 | 1,889,689 | 3,224,313 | ||||||||||||
Net investment income (loss) | 1,721,249 | 259,392 | 4,942,508 | (1,545,500 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (54,950,042 | ) | (45,457,319 | ) | (228,276,043 | ) | 31,935,990 | |||||||||
Short-term U.S. government and agency obligations | — | — | (10,605 | ) | (300 | ) | ||||||||||
Net realized gain (loss) | (54,950,042 | ) | (45,457,319 | ) | (228,286,648 | ) | 31,935,690 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 41,847,057 | 51,449,994 | 21,670,993 | 84,956,040 | ||||||||||||
Short-term U.S. government and agency obligations | (5,866 | ) | 248,953 | (3,029 | ) | (104,697 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 41,841,191 | 51,698,947 | 21,667,964 | 84,851,343 | ||||||||||||
Net realized and unrealized gain (loss) | (13,108,851 | ) | 6,241,628 | (206,618,684 | ) | 116,787,033 | ||||||||||
Net income (loss) | $ | (11,387,602 | ) | $ | 6,501,020 | $ | (201,676,176 | ) | $ | 115,241,533 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 226,765,204 | $ | 404,950,400 | $ | 266,580,320 | $ | 269,703,164 | ||||||||
Addition of 4,460,000, 1,635,000, 6,760,000 and 3,625,000 shares, respectively (Note 1) | 159,301,302 | 141,195,554 | 267,768,654 | 302,368,469 | ||||||||||||
Redemption of 255,000, 2,760,000, 2,210,000 and 3,440,000 shares, respectively (Note 1) | (9,060,853 | ) | (273,838,421 | ) | (113,832,570 | ) | (339,097,830 | ) | ||||||||
Net addition (redemption) of 4,205,000, (1,125,000), 4,550,000 and 185,000 shares, respectively (Note 1) | 150,240,449 | (132,642,867 | ) | 153,936,084 | (36,729,361 | ) | ||||||||||
Net investment income (loss) | 1,765,342 | (852,779 | ) | 3,221,259 | (1,804,892 | ) | ||||||||||
Net realized gain (loss) | (127,239,912 | ) | 23,658,785 | (173,336,606 | ) | 77,393,009 | ||||||||||
Change in net unrealized appreciation (depreciation) | (21,303,253 | ) | 46,600,777 | (20,173,227 | ) | 33,152,396 | ||||||||||
Net income (loss) | (146,777,823 | ) | 69,406,783 | (190,288,574 | ) | 108,740,513 | ||||||||||
Shareholders’ equity, end of period | $ | 230,227,830 | $ | 341,714,316 | $ | 230,227,830 | $ | 341,714,316 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 230,227,830 | $ | 341,714,316 | $ | 266,580,320 | $ | 269,703,164 | ||||||||
Addition of 2,475,000, 3,555,000, 9,235,000 and7,180,000 shares, respectively (Note 1) | 56,655,376 | 261,088,034 | 324,424,030 | 563,456,503 | ||||||||||||
Redemption of 2,625,618, 2,190,000, 4,835,618 and5,630,000 shares, respectively (Note 1) | (63,891,176 | ) | (171,766,742 | ) | (177,723,746 | ) | (510,864,572 | ) | ||||||||
Net addition (redemption) of (150,618), 1,365,000, 4,399,382 and 1,550,000 shares, respectively (Note 1) | (7,235,800 | ) | 89,321,292 | 146,700,284 | 52,591,931 | |||||||||||
Net investment income (loss) | 1,721,249 | 259,392 | 4,942,508 | (1,545,500 | ) | |||||||||||
Net realized gain (loss) | (54,950,042 | ) | (45,457,319 | ) | (228,286,648 | ) | 31,935,690 | |||||||||
Change in net unrealized appreciation (depreciation) | 41,841,191 | 51,698,947 | 21,667,964 | 84,851,343 | ||||||||||||
Net income (loss) | (11,387,602 | ) | 6,501,020 | (201,676,176 | ) | 115,241,533 | ||||||||||
Shareholders’ equity, end of period | $ | 211,604,428 | $ | 437,536,628 | $ | 211,604,428 | $ | 437,536,628 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (190,288,574 | ) | $ | 108,740,513 | |||
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 | (318,231,573 | ) | (772,834,858 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 334,754,108 | 753,998,870 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,966,043 | ) | (182,283 | ) | ||||
Net realized (gain) loss on investments | 10,605 | 300 | ||||||
Change in unrealized (appreciation) depreciation on investments | (2,837 | ) | 353,650 | |||||
Decrease (Increase) in receivable on open futures contracts | 34,137,415 | (36,332,848 | ) | |||||
Decrease (Increase) in interest receivable | 18,196 | (70,359 | ) | |||||
Increase (Decrease) in payable to Sponsor | (36,534 | ) | 32,486 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (7,961 | ) | (20,252 | ) | ||||
Increase (Decrease) in payable on open futures contracts | 1,907,775 | (2,037,391 | ) | |||||
Net cash provided by (used in) operating activities | (139,705,423 | ) | 51,647,828 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 267,768,654 | 305,395,083 | ||||||
Payment on shares redeemed | (114,403,043 | ) | (339,097,830 | ) | ||||
Net cash provided by (used in) financing activities | 153,365,611 | (33,702,747 | ) | |||||
Net increase (decrease) in cash | 13,660,188 | 17,945,081 | ||||||
Cash, beginning of period | 125,161,810 | 115,960,816 | ||||||
Cash, end of period | $ | 138,821,998 | $ | 133,905,897 | ||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (201,676,176 | ) | $ | 115,241,533 | |||
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 | (614,146,126 | ) | (2,462,189,566 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 601,754,108 | 2,455,998,870 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (2,913,568 | ) | (725,037 | ) | ||||
Net realized (gain) loss on investments | 10,605 | 300 | ||||||
Change in unrealized (appreciation) depreciation on investments | 3,029 | 104,697 | ||||||
Decrease (Increase) in receivable on open futures contracts | 35,100,289 | (67,758,303 | ) | |||||
Decrease (Increase) in interest receivable | 136,672 | (362,333 | ) | |||||
Increase (Decrease) in payable to Sponsor | (60,834 | ) | 372,867 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (15,432 | ) | (20,676 | ) | ||||
Increase (Decrease) in payable on open futures contracts | (223,719 | ) | (2,037,391 | ) | ||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 8,700 | ||||||
Net cash provided by (used in) operating activities | (182,031,152 | ) | 38,633,661 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 324,424,030 | 566,483,117 | ||||||
Payment on shares redeemed | (178,294,219 | ) | (498,163,549 | ) | ||||
Net cash provided by (used in) financing activities | 146,129,811 | 68,319,568 | ||||||
Net increase (decrease) in cash | (35,901,341 | ) | 106,953,229 | |||||
Cash, beginning of period | 125,161,810 | 115,960,816 | ||||||
Cash, end of period | $ | 89,260,469 | $ | 222,914,045 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $1,345,727,038 and $1,466,423,925, respectively) | $ | 1,346,032,901 | $ | 1,466,680,542 | ||||
Cash | 768,092,274 | 625,964,378 | ||||||
Segregated cash balances with brokers for futures contracts | 1,011,816,684 | 925,792,861 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 12,206,632 | 12,956,632 | ||||||
Segregated cash balances with brokers for swap agreements | 393,762,745 | 262,053,745 | ||||||
Unrealized appreciation on swap agreements | 47,373,840 | 119,880,255 | ||||||
Unrealized appreciation on foreign currency forward contracts | 2,527,851 | 2,823,510 | ||||||
Receivable from capital shares sold | 5,314,437 | 1,014,483 | ||||||
Receivable on open futures contracts | 236,446,947 | 522,770,291 | ||||||
Interest receivable | 5,319,549 | 4,920,772 | ||||||
Total assets | 3,828,893,860 | 3,944,857,469 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 27,830,318 | 32,725,077 | ||||||
Payable on open futures contracts | 14,433,430 | 11,742,794 | ||||||
Brokerage commissions and futures account fees payable | 166,633 | 165,165 | ||||||
Payable to Sponsor | 2,902,544 | 3,210,113 | ||||||
Unrealized depreciation on swap agreements | 26,790,686 | 2,315,580 | ||||||
Unrealized depreciation on foreign currency forward contracts | 2,924,712 | 6,911,994 | ||||||
Total liabilities | 75,048,323 | 57,070,723 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 3,753,845,537 | 3,887,786,746 | ||||||
Total liabilities and shareholders’ equity | $ | 3,828,893,860 | $ | 3,944,857,469 | ||||
Shares outstanding (Note 1) | 111,471,547 | 89,444,047 | ||||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $1,374,810,703 and $1,466,423,925, respectively) | $ | 1,375,005,218 | $ | 1,466,680,542 | ||||
Cash | 367,158,559 | 625,964,378 | ||||||
Segregated cash balances with brokers for futures contracts | 858,586,121 | 925,792,861 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 9,686,632 | 12,956,632 | ||||||
Segregated cash balances with brokers for swap agreements | 524,175,300 | 262,053,745 | ||||||
Unrealized appreciation on swap agreements | 12,904,475 | 119,880,255 | ||||||
Unrealized appreciation on foreign currency forward contracts | 2,564,273 | 2,823,510 | ||||||
Receivable from capital shares sold | 31,210,088 | 1,014,483 | ||||||
Receivable on open futures contracts | 214,636,493 | 522,770,291 | ||||||
Interest receivable | 4,484,827 | 4,920,772 | ||||||
Total assets | 3,400,411,986 | 3,944,857,469 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 47,876,891 | 32,725,077 | ||||||
Payable on open futures contracts | 14,962,756 | 11,742,794 | ||||||
Brokerage commissions and futures account fees payable | 105,802 | 165,165 | ||||||
Payable to Sponsor | 2,610,466 | 3,210,113 | ||||||
Unrealized depreciation on swap agreements | 33,398,222 | 2,315,580 | ||||||
Unrealized depreciation on foreign currency forward contracts | 998,472 | 6,911,994 | ||||||
Total liabilities | 99,952,609 | 57,070,723 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 3,300,459,377 | 3,887,786,746 | ||||||
Total liabilities and shareholders’ equity | $ | 3,400,411,986 | $ | 3,944,857,469 | ||||
Shares outstanding (Note 1) | 105,689,214 | 89,444,047 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022* | 2023 | 2022* | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 35,172,821 | $ | 3,593,473 | $ | 69,048,196 | $ | 4,620,355 | ||||||||
Expenses | ||||||||||||||||
Management fee | 9,417,542 | 11,608,051 | 18,671,870 | 22,225,008 | ||||||||||||
Brokerage commissions | 2,541,487 | 1,894,153 | 4,916,119 | 3,802,918 | ||||||||||||
Futures account fees | 426,130 | 1,030,206 | 828,892 | 2,835,129 | ||||||||||||
Total expenses | 12,385,159 | 14,532,410 | 24,416,881 | 28,863,055 | ||||||||||||
Net investment income (loss) | 22,787,662 | (10,938,937 | ) | 44,631,315 | (24,242,700 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (903,140,314 | ) | 101,692,223 | (1,989,000,881 | ) | 510,140,998 | ||||||||||
Swap agreements | (127,144,869 | ) | (48,816,783 | ) | (36,920,176 | ) | 656,366,206 | |||||||||
Foreign currency forward contracts | (367,022 | ) | 9,774,456 | (2,820,838 | ) | 12,836,962 | ||||||||||
Short-term U.S. government and agency obligations | (182,341 | ) | (420,375 | ) | (195,871 | ) | (192,800 | ) | ||||||||
Net realized gain (loss) | (1,030,834,546 | ) | 62,229,521 | (2,028,937,766 | ) | 1,179,151,366 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 370,415,259 | 10,131,053 | 337,853,836 | 62,770,119 | ||||||||||||
Swap agreements | 53,364,477 | (57,491,778 | ) | (96,981,521 | ) | (326,324,133 | ) | |||||||||
Foreign currency forward contracts | 2,274,360 | 1,568,995 | 3,691,623 | 3,105,964 | ||||||||||||
Short-term U.S. government and agency obligations | 266,337 | (768,379 | ) | 49,246 | (4,025,886 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 426,320,433 | (46,560,109 | ) | 244,613,184 | (264,473,936 | ) | ||||||||||
Net realized and unrealized gain (loss) | (604,514,113 | ) | 15,669,412 | (1,784,324,582 | ) | 914,677,430 | ||||||||||
Net income (loss) | $ | (581,726,451 | ) | $ | 4,730,475 | $ | (1,739,693,267 | ) | $ | 890,434,730 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022* | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 33,986,958 | $ | 14,620,209 | $ | 103,035,154 | $ | 19,240,564 | ||||||||
Expenses | ||||||||||||||||
Management fee | 8,433,063 | 11,269,281 | 27,104,933 | 33,494,289 | ||||||||||||
Brokerage commissions | 1,640,018 | 2,210,735 | 6,556,137 | 6,013,653 | ||||||||||||
Futures account fees | 313,663 | 449,872 | 1,142,555 | 3,285,001 | ||||||||||||
Non-recurring fees and expenses | — | 81,773 | — | 81,773 | ||||||||||||
Total expenses | 10,386,744 | 14,011,661 | 34,803,625 | 42,874,716 | ||||||||||||
Net investment income (loss) | 23,600,214 | 608,548 | 68,231,529 | (23,634,152 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 14,374,480 | (321,993,985 | ) | (1,974,626,401 | ) | 188,147,013 | ||||||||||
Swap agreements | 190,429,303 | (438,845,993 | ) | 153,509,127 | 217,520,213 | |||||||||||
Foreign currency forward contracts | 1,079,187 | 13,695,610 | (1,741,651 | ) | 26,532,572 | |||||||||||
Short-term U.S. government and agency obligations | 205 | (71,343 | ) | (195,666 | ) | (264,143 | ) | |||||||||
Net realized gain (loss) | 205,883,175 | (747,215,711 | ) | (1,823,054,591 | ) | 431,935,655 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (202,241,004 | ) | 291,970,061 | 135,612,832 | 354,740,180 | |||||||||||
Swap agreements | (41,076,901 | ) | 112,369,648 | (138,058,422 | ) | (213,954,485 | ) | |||||||||
Foreign currency forward contracts | 1,962,662 | (1,017,583 | ) | 5,654,285 | 2,088,381 | |||||||||||
Short-term U.S. government and agency obligations | (111,348 | ) | 3,053,986 | (62,102 | ) | (971,900 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (241,466,591 | ) | 406,376,112 | 3,146,593 | 141,902,176 | |||||||||||
Net realized and unrealized gain (loss) | (35,583,416 | ) | (340,839,599 | ) | (1,819,907,998 | ) | 573,837,831 | |||||||||
Net income (loss) | $ | (11,983,202 | ) | $ | (340,231,051 | ) | $ | (1,751,676,469 | ) | $ | 550,203,679 | |||||
* | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022* | 2023 | 2022* | |||||||||||||
Shareholders’ equity, beginning of period | $ | 4,138,630,893 | $ | 5,338,066,570 | $ | 3,887,786,746 | $ | 4,173,474,343 | ||||||||
Addition of 64,617,500, 46,420,000, 132,435,000 and 93,810,000 shares, respectively (Note 1) | 2,534,087,735 | 2,545,986,476 | 6,659,958,056 | 5,628,786,761 | ||||||||||||
Redemption of 53,005,000, 51,800,804, 110,407,500 and 94,335,926 shares, respectively (Note 1) | (2,337,146,640 | ) | (3,325,413,745 | ) | (5,054,205,998 | ) | (6,129,326,058 | ) | ||||||||
Net addition (redemption) of 11,612,500, (5,380,804 ), 22,027,500 and (525,926) shares, respectively (Note 1) | 196,941,095 | (779,427,269 | ) | 1,605,752,058 | (500,539,297 | ) | ||||||||||
Net investment income (loss) | 22,787,662 | (10,938,937 | ) | 44,631,315 | (24,242,700 | ) | ||||||||||
Net realized gain (loss) | (1,030,834,546 | ) | 62,229,521 | (2,028,937,766 | ) | 1,179,151,366 | ||||||||||
Change in net unrealized appreciation (depreciation) | 426,320,433 | (46,560,109 | ) | 244,613,184 | (264,473,936 | ) | ||||||||||
Net income (loss) | (581,726,451 | ) | 4,730,475 | (1,739,693,267 | ) | 890,434,730 | ||||||||||
Shareholders’ equity, end of period | $ | 3,753,845,537 | $ | 4,563,369,776 | $ | 3,753,845,537 | $ | 4,563,369,776 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022* | |||||||||||||
Shareholders’ equity, beginning of period | $ | 3,753,845,537 | $ | 4,563,369,776 | $ | 3,887,786,746 | $ | 4,173,474,343 | ||||||||
Addition of 57,975,000, 100,995,000, 190,410,000 and 194,805,000 shares, respectively (Note 1) | 1,835,741,719 | 3,360,951,964 | 8,495,699,775 | 8,989,738,725 | ||||||||||||
Redemption of 63,757,333, 97,035,000, 174,164,833 and 191,370,926 shares, respectively (Note 1) | (2,277,144,677 | ) | (3,379,709,104 | ) | (7,331,350,675 | ) | (9,509,035,162 | ) | ||||||||
Net addition (redemption) of (5,782,333), 3,960,000, 16,245,167 and 3,434,074 shares, respectively (Note 1) | (441,402,958 | ) | (18,757,140 | ) | 1,164,349,100 | (519,296,437 | ) | |||||||||
Net investment income (loss) | 23,600,214 | 608,548 | 68,231,529 | (23,634,152 | ) | |||||||||||
Net realized gain (loss) | 205,883,175 | (747,215,711 | ) | (1,823,054,591 | ) | 431,935,655 | ||||||||||
Change in net unrealized appreciation (depreciation) | (241,466,591 | ) | 406,376,112 | 3,146,593 | 141,902,176 | |||||||||||
Net income (loss) | (11,983,202 | ) | (340,231,051 | ) | (1,751,676,469 | ) | 550,203,679 | |||||||||
Shareholders’ equity, end of period | $ | 3,300,459,377 | $ | 4,204,381,585 | $ | 3,300,459,377 | $ | 4,204,381,585 | ||||||||
* | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
Six Months Ended June 30, | ||||||||
2023 | 2022* | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,739,693,267 | ) | $ | 890,434,730 | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (23,583,170,670 | ) | (11,579,158,324 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 23,734,747,679 | 12,000,836,596 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (31,075,993 | ) | (3,419,714 | ) | ||||
Net realized (gain) loss on investments | 195,871 | 192,879 | ||||||
Change in unrealized (appreciation) depreciation on investments | 93,240,652 | 327,244,055 | ||||||
Decrease (Increase) in receivable on futures contracts | 286,323,344 | (318,333,532 | ) | |||||
Decrease (Increase) in interest receivable | (398,777 | ) | (872,124 | ) | ||||
Increase (Decrease) in payable to Sponsor | (307,569 | ) | 557,811 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 1,468 | (331,006 | ) | |||||
Increase (Decrease) in payable on futures contracts | 2,690,636 | 25,823,690 | ||||||
Net cash provided by (used in) operating activities | (1,237,446,626 | ) | 1,342,975,061 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 6,655,658,102 | 5,625,888,021 | ||||||
Payment on shares redeemed | (5,059,100,757 | ) | (6,100,935,295 | ) | ||||
Net cash provided by (used in) financing activities | 1,596,557,345 | (475,047,274 | ) | |||||
Net increase (decrease) in cash | 359,110,719 | 867,927,787 | ||||||
Cash, beginning of period | 1,826,767,616 | 1,408,701,238 | ||||||
Cash, end of period | $ | 2,185,878,335 | $ | 2,276,629,025 | ||||
Nine Months Ended September 30, | ||||||||
2023 | 2022* | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,751,676,469 | ) | $ | 550,203,679 | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (27,871,422,186 | ) | (32,181,153,315 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 28,009,309,658 | 32,879,938,110 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (46,469,916 | ) | (9,697,124 | ) | ||||
Net realized (gain) loss on investments | 195,666 | 264,143 | ||||||
Change in unrealized (appreciation) depreciation on investments | 132,466,239 | 212,838,004 | ||||||
Decrease (Increase) in receivable on futures contracts | 308,133,798 | (333,246,149 | ) | |||||
Decrease (Increase) in interest receivable | 435,945 | (3,095,982 | ) | |||||
Increase (Decrease) in payable to Sponsor | (599,647 | ) | 4,244,972 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (59,363 | ) | (327,015 | ) | ||||
Increase (Decrease) in payable on futures contracts | 3,219,962 | (37,886,245 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 81,773 | ||||||
Net cash provided by (used in) operating activities | (1,216,466,313 | ) | 1,082,164,851 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 8,465,504,170 | 9,008,566,233 | ||||||
Payment on shares redeemed | (7,316,198,861 | ) | (9,440,488,808 | ) | ||||
Net cash provided by (used in) financing activities | 1,149,305,309 | (431,922,575 | ) | |||||
Net increase (decrease) in cash | (67,161,004 | ) | 650,242,276 | |||||
Cash, beginning of period | 1,826,767,616 | 1,408,701,238 | ||||||
Cash, end of period | $ | 1,759,606,612 | $ | 2,058,943,514 | ||||
* | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
Fund | Execution Date (Prior to Opening of Trading) | Type of Split | Date Trading Resumed at Post- Split Price | |||||
ProShares UltraShort Bloomberg Natural Gas | January 13, 2022 | 1-for-5 | January 14, 2022 | |||||
ProShares UltraShort Yen | May 25, 2022 | 2-for-1 | May 26, 2022 | |||||
ProShares Ultra Bloomberg Crude Oil | May 25, 2022 | 4-for-1 | May 26, 2022 | |||||
ProShares UltraShort Bloomberg Natural Gas | May 25, 2022 | 1-for-4 | May 26, 2022 | |||||
ProShares UltraShort Bloomberg Crude Oil | May 25, 2022 | 1-for-5 | May 26, 2022 | |||||
ProShares Ultra Bloomberg Natural Gas | June 23, 2023 | 1-for-20 | June 24, 2023 | |||||
ProShares Ultra VIX Short-Term Futures | June 23, 2023 | 1-for-10 | June 24, 2023 | |||||
ProShares VIX Short-Term Futures | June 23, 2023 | 1-for-5 | June 24, 2023 |
Fund | Create/Redeem Cut-off* | NAV Calculation Time | NAV Calculation Date | |||||||||
Ultra Silver and UltraShort Silver | 1:00 p.m. | 1:25 p.m. | September 29, 2023 | |||||||||
Ultra Gold and UltraShort Gold | 1:00 p.m. | 1:30 p.m. | September 29, 2023 | |||||||||
Ultra Bloomberg Crude Oil, | ||||||||||||
Ultra Bloomberg | ||||||||||||
UltraShort Bloomberg Natural Gas | 2:00 p.m. | 2:30 p.m. | September 29, 2023 | |||||||||
Ultra Euro, | ||||||||||||
Ultra | ||||||||||||
UltraShort | ||||||||||||
3:00 p.m. | 4:00 p.m. | September 29, 2023 | ||||||||||
Short VIX Short-Term Futures ETF, | ||||||||||||
Ultra VIX Short-Term Futures ETF, | ||||||||||||
VIX and | ||||||||||||
2:00 p.m. | 4:00 p.m. | September 29, 2023 |
* | 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 |
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 VIX Short-Term Futures ETF | $ | 89,727,034 | $ | 23,929,205 | $ | — | $ | — | $ | 113,656,239 | ||||||||||
ProShares Ultra Bloomberg Crude Oil | 413,997,952 | 9,418,306 | — | (1,692,241 | ) | 421,724,017 | ||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 298,783,390 | 248,335,437 | — | 46,088,257 | 593,207,084 | |||||||||||||||
ProShares Ultra Euro | — | — | 239,688 | — | 239,688 | |||||||||||||||
ProShares Ultra Gold | 134,714,723 | (5,385,731 | ) | — | (7,053,083 | ) | 122,275,909 | |||||||||||||
ProShares Ultra Silver | 224,344,440 | (9,977,916 | ) | — | (18,045,362 | ) | 196,321,162 | |||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | (79,829,720 | ) | — | — | (79,829,720 | ) | |||||||||||||
ProShares Ultra Yen | — | — | (857,627 | ) | — | (857,627 | ) | |||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 74,852,080 | 12,986,156 | — | — | 87,838,236 | |||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 34,829,828 | (20,310,332 | ) | — | — | 14,519,496 | ||||||||||||||
ProShares UltraShort Euro | — | — | (1,758,774 | ) | — | (1,758,774 | ) | |||||||||||||
ProShares UltraShort Gold | — | 970,805 | — | 440,571 | 1,411,376 | |||||||||||||||
ProShares UltraShort Silver | — | 958,923 | — | 845,012 | 1,803,935 | |||||||||||||||
ProShares UltraShort Yen | — | — | 1,979,852 | — | 1,979,852 | |||||||||||||||
ProShares VIX Mid-Term Futures ETF | — | (9,878,214 | ) | — | — | (9,878,214 | ) | |||||||||||||
ProShares VIX Short-Term Futures ETF | 74,783,454 | (29,972,887 | ) | — | — | 44,810,567 | ||||||||||||||
Combined Trust: | $ | 1,346,032,901 | $ | 141,244,032 | $ | (396,861 | ) | $ | 20,583,154 | $ | 1,507,463,226 |
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 VIX Short-Term Futures ETF | $ | 104,670,946 | $ | (2,387,385 | ) | $ | — | $ | — | $ | 102,283,561 | |||||||||
ProShares Ultra Bloomberg Crude Oil | 264,081,088 | 24,729,920 | — | 11,240,991 | 300,051,999 | |||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 303,858,387 | (114,592,473 | ) | — | (1,438,294 | ) | 187,827,620 | |||||||||||||
ProShares Ultra Euro | — | — | (222,712 | ) | — | (222,712 | ) | |||||||||||||
ProShares Ultra Gold | 109,664,879 | (2,617,740 | ) | — | (10,343,189 | ) | 96,703,950 | |||||||||||||
ProShares Ultra Silver | 199,275,356 | (6,167,328 | ) | — | (21,616,739 | ) | 171,491,289 | |||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 84,581,081 | 29,009,491 | — | — | 113,590,572 | |||||||||||||||
ProShares Ultra Yen | — | — | (580,421 | ) | — | (580,421 | ) | |||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 184,298,349 | (25,040,263 | ) | — | — | 159,258,086 | ||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 19,935,466 | 23,776,317 | — | — | 43,711,783 | |||||||||||||||
ProShares UltraShort Euro | — | — | 1,448,328 | — | 1,448,328 | |||||||||||||||
ProShares UltraShort Gold | — | 510,754 | — | 649,016 | 1,159,770 | |||||||||||||||
ProShares UltraShort Silver | — | 851,237 | — | 1,014,468 | 1,865,705 | |||||||||||||||
ProShares UltraShort Yen | — | — | 920,606 | — | 920,606 | |||||||||||||||
ProShares VIX Mid-Term Futures ETF | — | (943,672 | ) | — | — | (943,672 | ) | |||||||||||||
ProShares VIX Short-Term Futures ETF | 104,639,666 | 11,874,170 | — | — | 116,513,836 | |||||||||||||||
Combined Trust: | $ | 1,375,005,218 | $ | (60,996,972 | ) | $ | 1,565,801 | $ | (20,493,747 | ) | $ | 1,295,080,300 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Level I - Quoted Prices | Level II - Other Significant Observable Inputs | |||||||||||||||||||
Fund | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | |||||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 144,307,676 | $ | 11,092,381 | $ | — | $ | — | $ | 155,400,057 | ||||||||||
ProShares Ultra Bloomberg Crude Oil | 313,465,007 | 26,291,716 | — | 74,159,577 | 413,916,300 | |||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 263,260,158 | (310,613,969 | ) | — | — | (47,353,811 | ) |
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 VIX Short-Term Futures ETF | $ | 144,307,676 | $ | 11,092,381 | $ | — | $ | — | $ | 155,400,057 | ||||||||||
ProShares Ultra Bloomberg Crude Oil | 313,465,007 | 26,291,716 | — | 74,159,577 | 413,916,300 | |||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 263,260,158 | (310,613,969 | ) | — | — | (47,353,811 | ) | |||||||||||||
ProShares Ultra Euro | — | — | 415,656 | — | 415,656 | |||||||||||||||
ProShares Ultra Gold | 129,123,489 | 3,242,088 | — | 6,496,466 | 138,862,043 | |||||||||||||||
ProShares Ultra Silver | 228,657,634 | 29,426,574 | — | 39,224,212 | 297,308,420 | |||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 34,732,372 | (36,555,453 | ) | — | — | (1,823,081 | ) | |||||||||||||
ProShares Ultra Yen | — | — | 984,549 | — | 984,549 | |||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 89,426,935 | 10,244,893 | — | — | 99,671,828 | |||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 61,482,526 | 85,889,398 | — | — | 147,371,924 | |||||||||||||||
ProShares UltraShort Euro | 39,996,624 | — | (2,461,256 | ) | — | 37,535,368 | ||||||||||||||
ProShares UltraShort Gold | — | (98,886 | ) | — | (592,957 | ) | (691,843 | ) | ||||||||||||
ProShares UltraShort Silver | — | (940,500 | ) | — | (1,722,623 | ) | (2,663,123 | ) | ||||||||||||
ProShares UltraShort Yen | 22,998,059 | — | (3,027,433 | ) | — | 19,970,626 | ||||||||||||||
ProShares VIX Mid-Term Futures ETF | 49,882,348 | (4,791,223 | ) | — | — | 45,091,125 | ||||||||||||||
ProShares VIX Short-Term Futures ETF | 89,347,714 | (9,796,823 | ) | — | — | 79,550,891 | ||||||||||||||
Combined Trust: | $ | 1,466,680,542 | $ | (196,609,804 | ) | $ | (4,088,484 | ) | $ | 117,564,675 | $ | 1,383,546,929 |
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 Ultra Euro | $ | — | $ | — | $ | 415,656 | $ | — | $ | 415,656 | ||||||||||
ProShares Ultra Gold | 129,123,489 | 3,242,088 | — | 6,496,466 | 138,862,043 | |||||||||||||||
ProShares Ultra Silver | 228,657,634 | 29,426,574 | — | 39,224,212 | 297,308,420 | |||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 34,732,372 | (36,555,453 | ) | — | — | (1,823,081 | ) | |||||||||||||
ProShares Ultra Yen | — | — | 984,549 | — | 984,549 | |||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 89,426,935 | 10,244,893 | — | — | 99,671,828 | |||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 61,482,526 | 85,889,398 | — | — | 147,371,924 | |||||||||||||||
ProShares UltraShort Euro | 39,996,624 | — | (2,461,256 | ) | — | 37,535,368 | ||||||||||||||
ProShares UltraShort Gold | — | (98,886 | ) | — | (592,957 | ) | (691,843 | ) | ||||||||||||
ProShares UltraShort Silver | — | (940,500 | ) | — | (1,722,623 | ) | (2,663,123 | ) | ||||||||||||
ProShares UltraShort Yen | 22,998,059 | — | (3,027,433 | ) | — | 19,970,626 | ||||||||||||||
ProShares VIX Mid-Term Futures ETF | 49,882,348 | (4,791,223 | ) | — | — | 45,091,125 | ||||||||||||||
ProShares VIX Short-Term Futures ETF | 89,347,714 | (9,796,823 | ) | — | — | 79,550,891 | ||||||||||||||
Combined Trust: | $ | 1,466,680,542 | $ | (196,609,804 | ) | $ | (4,088,484 | ) | $ | 117,564,675 | $ | 1,383,546,929 |
* | 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. |
Financial Condition Location | Appreciation | Financial Condition Location | Depreciation | |||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Fund | Statements of Financial Condition Location | Unrealized Appreciation | Statements of Financial Condition Location | Unrealized Depreciation | |||||||||
VIX Futures Contracts | Receivable 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 | $ | — | $ | 2,387,385 | * | |||||||||
ProShares Ultra VIX Short-Term Futures ETF | 29,009,491 | * | — | |||||||||||
ProShares VIX Mid-Term Futures ETF | 19,997 | * | 963,669 | * | ||||||||||
ProShares VIX Short-Term Futures ETF | 11,874,170 | * | — | |||||||||||
Commodities Contracts | Receivables on open futures contracts and/or unrealized appreciation on swap agreements | Payable on open futures contracts and/or unrealized depreciation on swap agreements | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | 36,159,401 | * | 188,490 | * | ||||||||||
ProShares Ultra Bloomberg Natural Gas | — | 116,030,767 | * | |||||||||||
ProShares Ultra Gold | — | 12,960,929 | * | |||||||||||
ProShares Ultra Silver | — | 27,784,068 | * | |||||||||||
ProShares UltraShort Bloomberg Crude Oil | 822,565 | * | 25,862,828 | * | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | 23,776,317 | * | — | |||||||||||
ProShares UltraShort Gold | 1,159,770 | * | — | |||||||||||
ProShares UltraShort Silver | 1,865,705 | * | — | |||||||||||
Foreign Exchange Contracts | Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts | ||||||||||||
ProShares Ultra Euro | 867 | 223,579 | ||||||||||||
ProShares Ultra Yen | 8,894 | 589,315 | ||||||||||||
ProShares UltraShort Euro | 1,585,136 | 136,808 | ||||||||||||
ProShares UltraShort Yen | 969,376 | 48,770 | ||||||||||||
Combined Trust: | $ | 107,251,689 | * | $ | 187,176,608 | * |
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 | |||||||||
ProShares UltraShort Bloomberg Natural Gas | — | 20,310,332 * | ||||||||||||
ProShares UltraShort Gold | 1,411,376 * | — | ||||||||||||
ProShares UltraShort Silver | 1,803,935 * | — | ||||||||||||
Foreign Exchange Contracts | Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts | ||||||||||||
ProShares Ultra Euro | 241,390 | 1,702 | ||||||||||||
ProShares Ultra Yen | 18,889 | 876,516 | ||||||||||||
ProShares UltraShort Euro | 29,100 | 1,787,874 | ||||||||||||
ProShares UltraShort Yen | 2,238,472 | 258,620 | ||||||||||||
Combined Trust: | $346,500,523 * | $185,070,198 * |
* | 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. |
Financial Condition Location | Appreciation | Financial Condition Location | Depreciation | |||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Fund | Statements of Financial Condition Location | Unrealized Appreciation | Statements of Financial Condition Location | Unrealized Depreciation | |||||||||
VIX Futures Contracts | Receivable 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 | $ | 11,092,381 | * | $ | — | |||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | 36,555,453 | * | |||||||||||
ProShares VIX Mid-Term Futures ETF | — | 4,791,223 | * | |||||||||||
ProShares VIX Short-Term Futures ETF | — | 9,796,823 | * | |||||||||||
Commodities Contracts | Receivables on open futures contracts and/or unrealized appreciation on swap agreements | Payable on open futures contracts and/or unrealized depreciation on swap agreements | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | | 100,451,293 | * | — | ||||||||||
ProShares Ultra Bloomberg Natural Gas | — | | 310,613,969 | * | ||||||||||
ProShares Ultra Gold | 9,738,554 | * | — | |||||||||||
ProShares Ultra Silver | 68,650,786 | * | — | |||||||||||
ProShares UltraShort Bloomberg Crude Oil | 13,202,924 | * | 2,958,031 | * | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | 85,889,398 | * | — | |||||||||||
ProShares UltraShort Gold | — | 691,843 | * | |||||||||||
ProShares UltraShort Silver | — | 2,663,123 | * | |||||||||||
Foreign Exchange Contracts | Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts |
ProShares Ultra Euro | 514,115 | 98,459 | ||||||||||||
ProShares Ultra Yen | 1,152,834 | 168,285 | ||||||||||||
ProShares UltraShort Euro | 193,192 | 2,654,448 | ||||||||||||
ProShares UltraShort Yen | 963,369 | 3,990,802 | ||||||||||||
Combined Trust: | $ | 291,848,846 | * | $ | 374,982,459 | * |
Financial Condition Location | Appreciation | Financial Condition Location | Depreciation | |||||||||||
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 | |||||||||
ProShares Ultra Euro | 514,115 | 98,459 | ||||||||||||
ProShares Ultra Yen | 1,152,834 | 168,285 | ||||||||||||
ProShares UltraShort Euro | 193,192 | 2,654,448 | ||||||||||||
ProShares UltraShort Yen | 963,369 | 3,990,802 | ||||||||||||
Combined Trust: | $291,848,846 * | $374,982,459 * |
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 | $65,228,142 | $9,658,017 | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | (426,304,544) | (45,320,517) | ||||||||||
ProShares VIX Mid-Term Futures ETF | (6,943,333) | (9,677,526) | ||||||||||
ProShares VIX Short-Term Futures ETF | (127,229,299) | (21,324,056) |
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 | $ | 30,285,319 | $ | (26,316,590 | ) | |||||||
ProShares Ultra VIX Short-Term Futures ETF | (142,584,115 | ) | 108,839,211 | |||||||||
ProShares VIX Mid-Term Futures ETF | (12,244,511 | ) | 8,934,542 | |||||||||
ProShares VIX Short-Term Futures ETF | (54,950,042 | ) | 41,847,057 | |||||||||
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 | 244,550,123 | 28,244,846 | ||||||||||
ProShares Ultra Bloomberg Natural Gas | 237,079,838 | (410,454,461 | ) | |||||||||
ProShares Ultra Gold | (16,876,003 | ) | (522,115 | ) | ||||||||
ProShares Ultra Silver | (30,251,410 | ) | 239,211 | |||||||||
ProShares UltraShort Bloomberg Crude Oil | (47,764,820 | ) | (38,026,419 | ) | ||||||||
ProShares UltraShort Bloomberg Natural Gas | (10,798,451 | ) | 44,086,649 | |||||||||
ProShares UltraShort Gold | 1,436,424 | (251,606 | ) | |||||||||
ProShares UltraShort Silver | 6,921,431 | 61,770 | ||||||||||
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 Ultra Euro | (22,385 | ) | (462,400 | ) | ||||||||
ProShares Ultra Yen | (1,854,770 | ) | 277,206 | |||||||||
ProShares UltraShort Euro | (122,866 | ) | 3,207,102 | |||||||||
ProShares UltraShort Yen | 3,079,208 | (1,059,246 | ) | |||||||||
Combined Trust | $ | 205,882,970 | $ | (241,355,243 | ) |
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 | ||||||||
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 | (76,355,417) | 45,434,288 | ||||||||||
ProShares Ultra Bloomberg Natural Gas | (616,883,269) | 658,027,300 | ||||||||||
ProShares Ultra Gold | 17,196,569 | (32,888,484) | ||||||||||
ProShares Ultra Silver | 64,662,300 | (119,061,722) | ||||||||||
ProShares UltraShort Bloomberg Crude Oil | 28,046,795 | (8,229,852) | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | 48,736,428 | (61,246,927) | ||||||||||
ProShares UltraShort Gold | (1,553,151) | 2,758,921 | ||||||||||
ProShares UltraShort Silver | 1,113,596 | 5,650,294 | ||||||||||
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 Ultra Euro | 78,291 | (79,023) | ||||||||||
ProShares Ultra Yen | (770,142) | (1,348,109) | ||||||||||
ProShares UltraShort Euro | (1,045,942) | 556,469 | ||||||||||
ProShares UltraShort Yen | 1,370,771 | 3,145,023 | ||||||||||
Combined Trust | $(1,030,652,205) | $426,054,096 |
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 | $94,832,290 | $12,836,824 | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | (608,537,974) | (43,274,267) | ||||||||||
ProShares VIX Mid-Term Futures ETF | (22,764,053) | (5,086,991) | ||||||||||
ProShares VIX Short-Term Futures ETF | (173,326,001) | (20,176,064) | ||||||||||
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 | 9,425,010 | (92,725,228) | ||||||||||
ProShares Ultra Bloomberg Natural Gas | (1,678,514,563) | 605,037,663 | ||||||||||
ProShares Ultra Gold | 27,996,465 | (22,177,368) | ||||||||||
ProShares Ultra Silver | 35,918,436 | (96,674,064) |
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 | $ | 125,117,609 | $ | (13,479,766 | ) | |||||||
ProShares Ultra VIX Short-Term Futures ETF | (751,122,089 | ) | 65,564,944 | |||||||||
ProShares VIX Mid-Term Futures ETF | (35,008,564 | ) | 3,847,551 | |||||||||
ProShares VIX Short-Term Futures ETF | (228,276,043 | ) | 21,670,993 | |||||||||
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 | 253,975,133 | (64,480,382 | ) | |||||||||
ProShares Ultra Bloomberg Natural Gas | (1,441,434,725 | ) | 194,583,202 | |||||||||
ProShares Ultra Gold | 11,120,462 | (22,699,483 | ) | |||||||||
ProShares Ultra Silver | 5,667,026 | (96,434,853 | ) | |||||||||
ProShares UltraShort Bloomberg Crude Oil | 7,896,254 | (35,285,156 | ) | |||||||||
ProShares UltraShort Bloomberg Natural Gas | 221,346,621 | (62,113,081 | ) | |||||||||
ProShares UltraShort Gold | (1,147,608 | ) | 1,851,613 | |||||||||
ProShares UltraShort Silver | 10,748,650 | 4,528,828 | ||||||||||
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 Ultra Euro | 336,185 | (638,368 | ) | |||||||||
ProShares Ultra Yen | (2,923,720 | ) | (1,564,970 | ) | ||||||||
ProShares UltraShort Euro | (2,576,119 | ) | 3,909,584 | |||||||||
ProShares UltraShort Yen | 3,422,003 | 3,948,039 | ||||||||||
Combined Trust: | $ | (1,822,858,925 | ) | $ | 3,208,695 |
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 | ||||||||
ProShares UltraShort Bloomberg Crude Oil | 55,661,074 | 2,741,263 | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | 232,145,072 | (106,199,730) | ||||||||||
ProShares UltraShort Gold | (2,584,032) | 2,103,219 | ||||||||||
ProShares UltraShort Silver | 3,827,219 | 4,467,058 | ||||||||||
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 Ultra Euro | 358,570 | (175,968) | ||||||||||
ProShares Ultra Yen | (1,068,950) | (1,842,176) | ||||||||||
ProShares UltraShort Euro | (2,453,253) | 702,482 | ||||||||||
ProShares UltraShort Yen | 342,795 | 5,007,285 | ||||||||||
Combined Trust: | $(2,028,741,895) | $244,563,938 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 27,694,574 | $ | (17,783,632 | ) | |||||||
ProShares Ultra VIX Short-Term Futures ETF | (289,871,717 | ) | 161,330,331 | |||||||||
ProShares VIX Mid-Term Futures ETF | (1,349,272 | ) | 3,236,565 | |||||||||
ProShares VIX Short-Term Futures ETF | (45,457,319 | ) | 51,449,994 | |||||||||
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 | (344,578,932 | ) | (33,971,770 | ) | ||||||||
ProShares Ultra Bloomberg Natural Gas | (5,889,116 | ) | 97,063,212 | |||||||||
ProShares Ultra Gold | (39,825,586 | ) | 2,070,901 | |||||||||
ProShares Ultra Silver | (147,384,761 | ) | 91,205,187 | |||||||||
ProShares UltraShort Bloomberg Crude Oil | 66,444,885 | 76,797,273 | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | 8,173,631 | (23,776,729 | ) | |||||||||
ProShares UltraShort Gold | 4,988,228 | 806,339 | ||||||||||
ProShares UltraShort Silver | 6,215,407 | (4,087,962 | ) | |||||||||
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 Ultra Euro | (1,618,381 | ) | (98,836 | ) | ||||||||
ProShares Ultra Yen | (1,652,590 | ) | (17,967 | ) | ||||||||
ProShares UltraShort Euro | 11,086,708 | (354,043 | ) | |||||||||
ProShares UltraShort Yen | 5,879,873 | (546,737 | ) | |||||||||
Combined Trust | $ | (747,144,368 | ) | $ | 403,322,126 |
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 | $(13,029,194) | $(34,466,848) | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 91,039,435 | 196,657,178 | ||||||||||
ProShares VIX Mid-Term Futures ETF | 7,862,052 | 4,040,230 | ||||||||||
ProShares VIX Short-Term Futures ETF | 23,659,182 | 46,680,364 | ||||||||||
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 | 363,296,092 | (211,138,245) | ||||||||||
ProShares Ultra Bloomberg Natural Gas | 164,990,694 | (271,251,560) | ||||||||||
ProShares Ultra Gold | (57,901,083) | 4,971,202 | ||||||||||
ProShares Ultra Silver | (156,194,175) | (50,071,519) | ||||||||||
ProShares UltraShort Bloomberg Crude Oil | (102,594,000) | 34,810,301 | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | (282,646,685) | 228,166,248 |
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 | $ | (26,435,234 | ) | $ | (47,541,296 | ) | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 82,162,402 | 323,609,043 | ||||||||||
ProShares VIX Mid-Term Futures ETF | 11,304,613 | 6,941,620 | ||||||||||
ProShares VIX Short-Term Futures ETF | 31,935,990 | 84,956,040 | ||||||||||
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 | 818,140,230 | (339,187,944 | ) | |||||||||
ProShares Ultra Bloomberg Natural Gas | 235,322,266 | (89,157,584 | ) | |||||||||
ProShares Ultra Gold | (39,908,073 | ) | (17,607,548 | ) | ||||||||
ProShares Ultra Silver | (186,941,909 | ) | (16,622,928 | ) | ||||||||
ProShares UltraShort Bloomberg Crude Oil | (142,631,216 | ) | 113,723,566 | |||||||||
ProShares UltraShort Bloomberg Natural Gas | (389,138,752 | ) | 116,857,361 | |||||||||
ProShares UltraShort Gold | 3,237,425 | 3,173,923 | ||||||||||
ProShares UltraShort Silver | 8,252,893 | 1,570,887 | ||||||||||
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 Ultra Euro | (2,505,776 | ) | (513,883 | ) | ||||||||
ProShares Ultra Yen | (2,532,839 | ) | (2,005 | ) | ||||||||
ProShares UltraShort Euro | 16,693,971 | 3,049,081 | ||||||||||
ProShares UltraShort Yen | 14,877,216 | (444,812 | ) | |||||||||
Combined Trust: | $ | 431,833,207 | $ | 142,803,521 |
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 | ||||||||
ProShares UltraShort Gold | 4,557,870 | 298,236 | ||||||||||
ProShares UltraShort Silver | 9,411,232 | 3,849,687 | ||||||||||
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 Ultra Euro | (446,365) | (282,077) | ||||||||||
ProShares Ultra Yen | (761,478) | 154,501 | ||||||||||
ProShares UltraShort Euro | 3,065,129 | 3,061,048 | ||||||||||
ProShares UltraShort Yen | 7,917,170 | (1,364,477) | ||||||||||
Combined Trust | $62,225,876 | $(45,885,731) |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
ProShares Short VIX Short-Term Futures ETF | $(54,129,808) | $(29,757,664) |
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 | ||||||||
ProShares Ultra VIX Short-Term Futures ETF | 372,034,119 | 162,278,712 | ||||||||||
ProShares VIX Mid-Term Futures ETF | 12,653,885 | 3,705,055 | ||||||||||
ProShares VIX Short-Term Futures ETF | 77,393,309 | 33,506,046 | ||||||||||
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 | 1,162,719,162 | (305,216,174) | ||||||||||
ProShares Ultra Bloomberg Natural Gas | 241,211,382 | (186,220,796) | ||||||||||
ProShares Ultra Gold | (82,487) | (19,678,449) | ||||||||||
ProShares Ultra Silver | (39,557,148) | (107,828,115) | ||||||||||
ProShares UltraShort Bloomberg Crude Oil | (209,076,101) | 36,926,293 | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | (397,312,383) | 140,634,090 | ||||||||||
ProShares UltraShort Gold | (1,750,803) | 2,367,584 | ||||||||||
ProShares UltraShort Silver | 2,037,486 | 5,658,849 |
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 | ||||||||
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 Ultra Euro | (887,395) | (415,047) | ||||||||||
ProShares Ultra Yen | (880,249) | 15,962 | ||||||||||
ProShares UltraShort Euro | 5,607,263 | 3,403,124 | ||||||||||
ProShares UltraShort Yen | 8,997,343 | 101,925 | ||||||||||
Combined Trust: | $1,178,977,575 | $(260,518,605) |
Fair Values of Derivative Instruments as of June 30, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||
Assets | Liabilities | 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 | 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 | $ | — | $ | — | $ | — | $ | 1,692,241 | $ | — | $ | 1,692,241 | $ | 11,240,991 | $ | — | $ | 11,240,991 | $ | — | $ | — | $ | — | ||||||||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | 46,088,257 | — | 46,088,257 | — | — | — | — | — | — | 1,438,294 | — | 1,438,294 | ||||||||||||||||||||||||||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forward contracts | 867 | — | 867 | 223,579 | — | 223,579 | ||||||||||||||||||||||||||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | — | — | — | 10,343,189 | — | 10,343,189 | ||||||||||||||||||||||||||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | — | — | — | 21,616,739 | — | 21,616,739 | ||||||||||||||||||||||||||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forward contracts | 8,894 | — | 8,894 | 589,315 | — | 589,315 | ||||||||||||||||||||||||||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forward contracts | 1,585,136 | — | 1,585,136 | 136,808 | — | 136,808 | ||||||||||||||||||||||||||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | 649,016 | — | 649,016 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | 1,014,468 | — | 1,014,468 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forward contracts | 969,376 | — | 969,376 | 48,770 | — | 48,770 |
Fair Values of Derivative Instruments as of June 30, 2023 | ||||||||||||||||||||||||
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 Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 241,390 | — | 241,390 | 1,702 | — | 1,702 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | — | — | — | 7,053,083 | — | 7,053,083 | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | — | — | — | 18,045,362 | — | 18,045,362 | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 18,889 | — | 18,889 | 876,516 | — | 876,516 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 29,100 | — | 29,100 | 1,787,874 | — | 1,787,874 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | 440,571 | — | 440,571 | — | — | — | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | 845,012 | — | 845,012 | — | — | — | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 2,238,472 | — | 2,238,472 | 258,620 | — | 258,620 |
Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2023 | ||||||||||||||||
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. | $ | (303,753 | ) | $ | 303,753 | $ | — | $ | — | |||||||
Goldman Sachs International | (377,662 | ) | — | 377,662 | — | |||||||||||
Morgan Stanley & Co. International PLC | (316,105 | ) | — | 316,105 | — | |||||||||||
Societe Generale | (275,938 | ) | 275,938 | — | — | |||||||||||
UBS AG | (418,783 | ) | — | 418,783 | — |
Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2023 | ||||||||||||||||
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. | $ | 1,869,634 | $ | (1,869,634 | ) | $ | — | $ | — | |||||||
Goldman Sachs International | 2,324,555 | (2,324,555 | ) | — | — | |||||||||||
Morgan Stanley & Co. | ||||||||||||||||
International PLC | 1,607,761 | (1,368,876 | ) | (238,885 | ) | — | ||||||||||
Societe Generale | 1,776,923 | (1,776,923 | ) | — | — | |||||||||||
UBS AG | 3,662,118 | (3,662,118 | ) | — | — | |||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||
Citibank, N.A. | (706,090 | ) | — | 706,090 | — | |||||||||||
Goldman Sachs International | (482,438 | ) | — | 482,438 | — | |||||||||||
Societe Generale | (245,972 | ) | — | 245,972 | — | |||||||||||
UBS AG | (3,794 | ) | — | 3,794 | — | |||||||||||
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | (136,003 | ) | — | 136,003 | — | |||||||||||
UBS AG | (86,709 | ) | — | 86,709 | — | |||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | (4,441,216 | ) | — | 4,441,216 | — | |||||||||||
Goldman Sachs International | (2,109,437 | ) | — | 2,109,437 | — | |||||||||||
UBS AG | (3,792,536 | ) | — | 3,792,536 | — | |||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | (7,524,763 | ) | — | 7,524,763 | — | |||||||||||
Goldman Sachs International | (994,790 | ) | — | 994,790 | — | |||||||||||
Morgan Stanley & Co. International PLC | (6,749,262 | ) | — | 6,749,262 | — | |||||||||||
UBS AG | (6,347,924 | ) | — | 6,347,924 | — | |||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | (268,253 | ) | — | 268,253 | — | |||||||||||
UBS AG | (312,168 | ) | — | 312,168 | — | |||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | 763,505 | (763,505 | ) | — | — | |||||||||||
UBS AG | 684,823 | (684,823 | ) | — | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | 149,583 | — | — | 149,583 | ||||||||||||
Goldman Sachs International | 196,202 | — | — | 196,202 | ||||||||||||
UBS AG | 303,231 | (262,149 | ) | — | 41,082 | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | 120,165 | — | — | 120,165 | ||||||||||||
Goldman Sachs International | 437,748 | (344,363 | ) | — | 93,385 | |||||||||||
Morgan Stanley & Co. International PLC | 345,878 | — | — | 345,878 | ||||||||||||
UBS AG | 110,677 | — | — | 110,677 | ||||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | 406,284 | (331,699 | ) | — | 74,585 | |||||||||||
UBS AG | 514,322 | (290,824 | ) | — | 223,498 |
Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2023 | ||||||||||||||||
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 Natural Gas | ||||||||||||||||
Citibank, N.A. | 22,537,665 | (18,660,347 | ) | — | 3,877,318 | |||||||||||
Goldman Sachs International | 15,398,946 | (11,008,327 | ) | — | 4,390,619 | |||||||||||
Societe Generale S.A. | 8,028,280 | (6,677,182 | ) | — | 1,351,098 | |||||||||||
UBS AG | 123,366 | — | — | 123,366 | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | 129,106 | — | — | 129,106 | ||||||||||||
UBS AG | 110,582 | — | — | 110,582 | ||||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | (3,028,491 | ) | — | 3,028,491 | — | |||||||||||
Goldman Sachs International | (1,438,439 | ) | — | 1,438,439 | — | |||||||||||
UBS AG | (2,586,153 | ) | — | 2,586,153 | — | |||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | (6,281,114 | ) | — | 6,281,114 | — | |||||||||||
Goldman Sachs International | (830,545 | ) | — | 830,545 | — | |||||||||||
Morgan Stanley & Co. International PLC | (5,634,927 | ) | — | 5,634,927 | — | |||||||||||
UBS AG | (5,298,776 | ) | — | 5,298,776 | — | |||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | (407,188 | ) | — | 407,188 | — | |||||||||||
UBS AG | (450,439 | ) | — | 450,439 | — | |||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | (872,773 | ) | — | 872,773 | — | |||||||||||
UBS AG | (886,001 | ) | — | 886,001 | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | 101,527 | — | — | 101,527 | ||||||||||||
Goldman Sachs International | 133,231 | — | — | 133,231 | ||||||||||||
UBS AG | 205,813 | (22,545 | ) | — | 183,268 | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | 100,100 | — | — | 100,100 | ||||||||||||
Goldman Sachs International | 364,653 | (364,653 | ) | — | — | |||||||||||
Morgan Stanley & Co. International PLC | 288,063 | — | (288,000 | ) | 63 | |||||||||||
UBS AG | 92,196 | — | — | 92,196 | ||||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | 890,062 | (817,881 | ) | — | 72,181 | |||||||||||
UBS AG | 1,089,790 | (1,089,790 | ) | — | — |
Fair Values of Derivative Instruments as of December 31, 2022 | ||||||||||||||||||||||||
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 | $ | 74,159,577 | $ | — | $ | 74,159,577 | $ | — | $ | — | $ | — | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 514,115 | — | 514,115 | 98,459 | — | 98,459 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | 6,496,466 | — | 6,496,466 | — | — | — | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | 39,224,212 | — | 39,224,212 | — | — | — | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 1,152,834 | — | 1,152,834 | 168,285 | — | 168,285 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 193,192 | — | 193,192 | 2,654,448 | — | 2,654,448 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | — | — | — | 592,957 | — | 592,957 | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | — | — | — | 1,722,623 | — | 1,722,623 | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 963,369 | — | 963,369 | 3,990,802 | — | 3,990,802 |
Fair Values of Derivative Instruments as of December 31, 2022 | ||||||||||||||||||||||||
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 | $ | 74,159,577 | $ | — | $ | 74,159,577 | $ | — | $ | — | $ | — | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 514,115 | — | 514,115 | 98,459 | — | 98,459 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | 6,496,466 | — | 6,496,466 | — | — | — | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | 39,224,212 | — | 39,224,212 | — | — | — | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 1,152,834 | — | 1,152,834 | 168,285 | — | 168,285 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 193,192 | — | 193,192 | 2,654,448 | — | 2,654,448 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | — | — | — | 592,957 | — | 592,957 | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | — | — | — | 1,722,623 | — | 1,722,623 | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 963,369 | — | 963,369 | 3,990,802 | — | 3,990,802 |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022 | ||||||||||||||||
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. | $ | 11,723,388 | $ | — | $ | (7,220,000 | ) | $ | 4,503,388 | |||||||
Goldman Sachs International | 14,575,933 | (9,281,322 | ) | — | 5,294,611 | |||||||||||
Morgan Stanley & Co. International PLC | 20,305,392 | — | (12,510,000 | ) | 7,795,392 | |||||||||||
Societe Generale | 11,075,235 | (7,038,055 | ) | — | 4,037,180 | |||||||||||
UBS AG | 16,479,629 | (10,808,424 | ) | (41,993 | ) | 5,629,212 | ||||||||||
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | 217,491 | — | — | 217,491 | ||||||||||||
UBS AG | 198,165 | (198,165 | ) | — | — | |||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | 2,582,849 | — | (2,570,000 | ) | 12,849 | |||||||||||
Goldman Sachs International | 1,226,772 | (1,193,425 | ) | — | 33,347 | |||||||||||
UBS AG | 2,686,845 | (2,682,652 | ) | (4,193 | ) | — | ||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | 12,628,472 | — | (12,628,472 | ) | — | |||||||||||
Goldman Sachs International | 1,667,621 | (1,667,621 | ) | — | — | |||||||||||
Morgan Stanley & Co. International PLC | 13,862,180 | — | (10,733,000 | ) | 3,129,180 | |||||||||||
UBS AG | 11,065,939 | (11,065,939 | ) | — | — | |||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | 683,120 | (308,636 | ) | — | 374,484 | |||||||||||
UBS AG | 301,429 | — | — | 301,429 | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | (1,121,150 | ) | — | 1,121,150 | — | |||||||||||
UBS AG | (1,340,106 | ) | — | 1,340,106 | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | (181,291 | ) | — | 181,291 | — | |||||||||||
Goldman Sachs International | (231,533 | ) | — | 231,533 | — | |||||||||||
UBS AG | (180,133 | ) | — | 180,133 | — | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | (203,969 | ) | — | 203,969 | — | |||||||||||
Goldman Sachs International | (743,029 | ) | — | 743,029 | — | |||||||||||
Morgan Stanley & Co. International PLC | (587,758 | ) | — | 587,758 | — | |||||||||||
UBS AG | (187,867 | ) | — | 187,867 | — | |||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | (936,322 | ) | — | 936,322 | — | |||||||||||
UBS AG | (2,091,111 | ) | — | 1,690,000 | (401,111 | ) |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022 | ||||||||||||||||
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. | $ | 11,723,388 | $ | — | $ | (7,220,000 | ) | $ | 4,503,388 | |||||||
Goldman Sachs International | 14,575,933 | (9,281,322 | ) | — | 5,294,611 | |||||||||||
Morgan Stanley & Co. International PLC | 20,305,392 | — | (12,510,000 | ) | 7,795,392 | |||||||||||
Societe Generale | 11,075,235 | (7,038,055 | ) | — | 4,037,180 | |||||||||||
UBS AG | 16,479,629 | (10,808,424 | ) | (41,993 | ) | 5,629,212 | ||||||||||
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | 217,491 | — | — | 217,491 | ||||||||||||
UBS AG | 198,165 | (198,165 | ) | — | — | |||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | 2,582,849 | — | (2,570,000 | ) | 12,849 | |||||||||||
Goldman Sachs International | 1,226,772 | (1,193,425 | ) | — | 33,347 | |||||||||||
UBS AG | 2,686,845 | (2,682,652 | ) | (4,193 | ) | — | ||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | 12,628,472 | — | (12,628,472 | ) | — | |||||||||||
Goldman Sachs International | 1,667,621 | (1,667,621 | ) | — | — | |||||||||||
Morgan Stanley & Co. | ||||||||||||||||
International PLC | 13,862,180 | — | (10,733,000 | ) | 3,129,180 | |||||||||||
UBS AG | 11,065,939 | (11,065,939 | ) | — | — | |||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | 683,120 | (308,636 | ) | — | 374,484 | |||||||||||
UBS AG | 301,429 | — | — | 301,429 | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | (1,121,150 | ) | — | 1,121,150 | — | |||||||||||
UBS AG | (1,340,106 | ) | — | 1,340,106 | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | (181,291 | ) | — | 181,291 | — | |||||||||||
Goldman Sachs International | (231,533 | ) | — | 231,533 | — | |||||||||||
UBS AG | (180,133 | ) | — | 180,133 | — | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | (203,969 | ) | — | 203,969 | — | |||||||||||
Goldman Sachs International | (743,029 | ) | — | 743,029 | — | |||||||||||
Morgan Stanley & Co. International PLC | (587,758 | ) | — | 587,758 | — | |||||||||||
UBS AG | (187,867 | ) | — | 187,867 | — | |||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | (936,322 | ) | — | 936,322 | — | |||||||||||
UBS AG | (2,091,111 | ) | — | 1,690,000 | (401,111 | ) |
Three Months Ended | Nine Months Ended | |||||||
Fund | September 30, 2023 | September 30, 2023 | ||||||
ProShares Short VIX Short-Term Futures ETF | $ | 41,549 | $ | 203,485 | ||||
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 | 248,309 | 1,068,660 | ||||||
ProShares Ultra Yen | — | — | ||||||
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 | 6,068 | 21,579 | ||||||
ProShares VIX Short-Term Futures ETF | 47,895 | 215,117 | ||||||
Combined Trust: | $ | 343,821 | $ | 1,508,841 |
Fund | Three Months Ended June 30, 2023 | Six Months Ended June 30, 2023 | ||||||
ProShares Short VIX Short-Term Futures ETF | $ | 49,722 | $ | 161,936 | ||||
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 | 389,333 | 820,351 | ||||||
ProShares Ultra Yen | — | — | ||||||
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 | 9,046 | 15,511 | ||||||
ProShares VIX Short-Term Futures ETF | 82,901 | 167,222 | ||||||
Combined Trust: | $ | 531,002 | $ | 1,165,020 |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at March 31, 2023 | $ | 63.73 | $ | 26.53 | $ | 73.76 | $ | 11.49 | $ | 62.86 | $ | 31.10 | ||||||||||||
Net investment income (loss) | 0.46 | 0.14 | 0.28 | 0.09 | 0.47 | 0.20 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 20.49 | (2.93 | ) | (4.56 | ) | 0.01 | (4.97 | ) | (4.26 | ) | ||||||||||||||
Change in net asset value from operations | 20.95 | (2.79 | ) | (4.28 | ) | 0.10 | (4.50 | ) | (4.06 | ) | ||||||||||||||
Net asset value, at June 30, 2023 | $ | 84.68 | $ | 23.74 | $ | 69.48 | $ | 11.59 | $ | 58.36 | $ | 27.04 | ||||||||||||
Market value per share, at March 31, 2023 † | $ | 63.75 | $ | 26.47 | $ | 72.20 | $ | 11.49 | $ | 63.02 | $ | 31.23 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 84.68 | $ | 23.65 | $ | 68.99 | $ | 11.61 | $ | 58.24 | $ | 26.95 | ||||||||||||
Total Return, at net asset value^ | 32.9 | % | (10.5 | )% | (5.8 | )% | 0.9 | % | (7.2 | )% | (13.1 | )% | ||||||||||||
Total Return, at market value^ | 32.8 | % | (10.7 | )% | (4.5 | )% | 1.0 | % | (7.6 | )% | (13.7 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.14 | % | 1.00 | % | 1.45 | % | 0.95 | % | 0.96 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | 2.61 | % | 2.20 | % | 1.81 | % | 3.27 | % | 3.01 | % | 2.61 | % |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas * | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at June 30, 2023 | $ | 84.68 | $ | 23.74 | $ | 69.48 | $ | 11.59 | $ | 58.36 | $ | 27.04 | ||||||||||||
Net investment income (loss) | 0.60 | 0.16 | 0.38 | 0.10 | 0.47 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 0.97 | 11.34 | (15.86 | ) | (0.82 | ) | (6.08 | ) | (2.46 | ) | ||||||||||||||
Change in net asset value from operations | 1.57 | 11.50 | (15.48 | ) | (0.72 | ) | (5.61 | ) | (2.28 | ) | ||||||||||||||
Net asset value, at September 30, 2023 | $ | 86.25 | $ | 35.24 | $ | 54.00 | $ | 10.87 | $ | 52.75 | $ | 24.76 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 84.68 | $ | 23.65 | $ | 68.99 | $ | 11.61 | $ | 58.24 | $ | 26.95 | ||||||||||||
Market value per share, at September 30, 2023 † | $ | 86.34 | $ | 35.28 | $ | 54.38 | $ | 10.85 | $ | 52.60 | $ | 24.61 | ||||||||||||
Total Return, at net asset value^ | 1.9 | % | 48.4 | % | (22.3 | )% | (6.2 | )% | (9.6 | )% | (8 .4 | )% | ||||||||||||
Total Return, at market value^ | 2.0 | % | 49.2 | % | (21.2 | )% | (6.6 | )% | (9.7 | )% | (8.7 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.16 | % | 0.98 | % | 1 .26 | % | 0.95 | % | 0.96 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | 2.77 | % | 2.13 | % | 2 .49 | % | 3.56 | % | 3.22 | % | 2.58 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended |
^^ | 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 VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at March 31, 2023 | $ | 46.25 | $ | 33.05 | $ | 25.15 | $ | 71.11 | $ | 29.04 | $ | 26.88 | ||||||||||||
Net investment income (loss) | 0.15 | 0.26 | 0.19 | 0.44 | 0.24 | 0.22 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (27.92 | ) | (5.91 | ) | 0.28 | (16.49 | ) | (0.18 | ) | 1.80 | ||||||||||||||
Change in net asset value from operations | (27.77 | ) | (5.65 | ) | 0.47 | (16.05 | ) | 0.06 | 2.02 | |||||||||||||||
Net asset value, at June 30, 2023 | $ | 18.48 | $ | 27.40 | $ | 25.62 | $ | 55.06 | $ | 29.10 | $ | 28.90 | ||||||||||||
Market value per share, at March 31, 2023 † | $ | 46.50 | $ | 33.02 | $ | 25.22 | $ | 72.42 | $ | 29.04 | $ | 26.84 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 18.49 | $ | 27.42 | $ | 25.70 | $ | 55.45 | $ | 29.11 | $ | 28.96 | ||||||||||||
Total Return, at net asset value^ | (60.0 | )% | (17.1 | )% | 1.9 | % | (22.6 | )% | 0.2 | % | 7.5 | % | ||||||||||||
Total Return, at market value^ | (60.2 | )% | (17.0 | )% | 1.9 | % | (23.4 | )% | 0.2 | % | 7.9 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.55 | % | 0.95 | % | 1.11 | % | 1.77 | % | 0.95 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | 1.84 | % | 3.36 | % | 3.01 | % | 2.47 | % | 3.36 | % | 3.09 | % |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at June 30, 2023 | $ | 18.48 | $ | 27.40 | $ | 25.62 | $ | 55.06 | $ | 29.10 | $ | 28.90 | ||||||||||||
Net investment income (loss) | 0.09 | 0.25 | 0.17 | 0.45 | 0.26 | 0.23 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (2.37 | ) | (2.64 | ) | (8.93 | ) | 5.95 | 2.07 | 3.01 | |||||||||||||||
Change in net asset value from operations | (2.28 | ) | (2.39 | ) | (8.76 | ) | 6.40 | 2.33 | 3.24 | |||||||||||||||
Net asset value, at September 30, 2023 | $ | 16.20 | $ | 25.01 | $ | 16.86 | $ | 61.46 | $ | 31.43 | $ | 32.14 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 18.49 | $ | 27.42 | $ | 25.70 | $ | 55.45 | $ | 29.11 | $ | 28.96 | ||||||||||||
Market value per share, at September 30, 2023 † | $ | 16.21 | $ | 25.00 | $ | 16.82 | $ | 61.04 | $ | 31.43 | $ | 32.20 | ||||||||||||
Total Return, at net asset value^ | (12.4 | )% | (8.7 | )% | (34.2 | )% | 11.6 | % | 8 .0 | % | 11.2 | % | ||||||||||||
Total Return, at market value^ | (12.3 | )% | (8.8 | )% | (34.6 | )% | 10.1 | % | 8 .0 | % | 11.2 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.68 | % | 0.95 | % | 1.04 | % | 1.44 | % | 0.95 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | 2.16 | % | 3.66 | % | 3.47 | % | 3.16 | % | 3.51 | % | 3.13 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at March 31, 2023 | $ | 18.63 | $ | 55.98 | $ | 26.79 | $ | 45.16 | ||||||||
Net investment income (loss) | 0.12 | 0.49 | 0.20 | 0.25 | ||||||||||||
Net realized and unrealized gain (loss)# | 1.74 | 11.47 | (6.50 | ) | (20.46 | ) | ||||||||||
Change in net asset value from operations | 1.86 | 11.96 | (6.30 | ) | (20.21 | ) | ||||||||||
Net asset value, at June 30, 2023 | $ | 20.49 | $ | 67.94 | $ | 20.49 | $ | 24.95 | ||||||||
Market value per share, at March 31, 2023 † | $ | 18.56 | $ | 56.00 | $ | 26.82 | $ | 45.25 | ||||||||
Market value per share, at June 30, 2023 † | $ | 20.58 | $ | 67.95 | $ | 20.48 | $ | 24.96 | ||||||||
Total Return, at net asset value^ | 10.0 | % | 21.4 | % | (23.5 | )% | (44.8 | )% | ||||||||
Total Return, at market value^ | 10.9 | % | 21.3 | % | (23.6 | )% | (44.8 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.05 | % | 0.95 | % | 1.00 | % | 1.08 | % | ||||||||
Net investment income gain (loss) | 2.68 | % | 3.22 | % | 3.13 | % | 2.82 | % |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid-Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at June 30, 2023 | $ | 20.49 | $ | 67.94 | $ | 20.49 | $ | 24.95 | ||||||||
Net investment income (loss) | 0.14 | 0.61 | 0.17 | 0.19 | ||||||||||||
Net realized and unrealized gain (loss)# | 0.81 | 6.53 | (1.24 | ) | (1.83 | ) | ||||||||||
Change in net asset value from operations | 0.95 | 7.14 | (1.07 | ) | (1.64 | ) | ||||||||||
Net asset value, at September 30, 2023 | $ | 21.44 | $ | 75.08 | $ | 19.42 | $ | 23.31 | ||||||||
Market value per share, at June 30, 2023 † | $ | 20.58 | $ | 67.95 | $ | 20.48 | $ | 24.96 | ||||||||
Market value per share, at September 30, 2023 † | $ | 21.55 | $ | 75.08 | $ | 19.41 | $ | 23.30 | ||||||||
Total Return, at net asset value^ | 4.6 | % | 10.5 | % | (5.2 | )% | (6.6 | )% | ||||||||
Total Return, at market value^ | 4.7 | % | 10.5 | % | (5.2 | )% | (6.6 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.12 | % | 0.95 | % | 0.99 | % | 1.04 | % | ||||||||
Net investment income gain (loss) | 2.98 | % | 3.48 | % | 3.35 | % | 3.27 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended |
^^ | The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil* | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at March 31, 2022 | $ | 54.55 | $ | 37.94 | $ | 1121.30 | $ | 12.47 | $ | 66.99 | $ | 39.06 | ||||||||||||
Net investment income (loss) | (0.13 | ) | (0.07 | ) | (4.28 | ) | (0.02 | ) | (0.09 | ) | (0.05 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (6.28 | ) | 3.74 | (326.32 | ) | (1.37 | ) | (10.44 | ) | (14.23 | ) | |||||||||||||
Change in net asset value from operations | (6.41 | ) | 3.67 | (330.60 | ) | (1.39 | ) | (10.53 | ) | (14.28 | ) | |||||||||||||
Net asset value, at June 30, 2022 | $ | 48.14 | $ | 41.61 | $ | 790.70 | $ | 11.08 | $ | 56.46 | $ | 24.78 | ||||||||||||
Market value per share, at March 31, 2022 † | $ | 54.56 | $ | 38.33 | $ | 1126.20 | $ | 12.46 | $ | 66.14 | $ | 38.53 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 48.21 | $ | 41.86 | $ | 842.00 | $ | 11.11 | $ | 56.50 | $ | 24.47 | ||||||||||||
Total Return, at net asset value^ | (11.8 | )% | 9.7 | % | (29.5 | )% | (11.1 | )% | (15.7 | )% | (36.6 | )% | ||||||||||||
Total Return, at market value^ | (11.6 | )% | 9.2 | % | (25.2 | )% | (10.8 | )% | (14.6 | )% | (36.5 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.21 | % | 1.01 | % | 1.26 | % | 0.95 | % | 0.98 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | (1.00 | )% | (0.64 | )% | (1.01 | )% | (0.54 | )% | (0.56 | )% | (0.61 | )% |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at June 30, 2022 | $ | 48.14 | $ | 41.61 | $ | 790.70 | $ | 11.08 | $ | 56.46 | $ | 24.78 | ||||||||||||
Net investment income (loss) | (0.01 | ) | 0.01 | 0.58 | 0.00 | (1) | 0.05 | 0.00 | (2) | |||||||||||||||
Net realized and unrealized gain (loss)# | 0.38 | (15.41 | ) | 273.12 | (1.51 | ) | (9.44 | ) | (3.94 | ) | ||||||||||||||
Change in net asset value from operations | 0.37 | (15.40 | ) | 273.70 | (1.51 | ) | (9.39 | ) | (3.94 | ) | ||||||||||||||
Net asset value, at September 30, 2022 | $ | 48.51 | $ | 26.21 | $ | 1064.40 | $ | 9.57 | $ | 47.07 | $ | 20.84 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 48.21 | $ | 41.86 | $ | 842.00 | $ | 11.11 | $ | 56.50 | $ | 24.47 | ||||||||||||
Market value per share, at September 30, 2022 † | $ | 48.59 | $ | 26.26 | $ | 1073.20 | $ | 9.57 | $ | 46.93 | $ | 20.76 | ||||||||||||
Total Return, at net asset value^ | 0.8 | % | (37.0 | )% | 34.6 | % | (13.7 | )% | (16.6 | )% | (15.9 | )% | ||||||||||||
Total Return, at market value^ | 0.8 | % | (37.3 | )% | 27.5 | % | (13.9 | )% | (16.9 | )% | (15.2 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.14 | % | 1 .01 | % | 1 .16 | % | 0.96 | % | 0.97 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (0.09 | )% | 0 .07 | % | 0 .15 | % | 0.16 | % | 0.38 | % | (0.02 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
(1) | Amount represents less than $0.005. |
(2) | Amount represents greater than $(0.005). |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil* | UltraShort Bloomberg Natural Gas* | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at March 31, 2022 | $ | 135.00 | $ | 42.02 | $ | 29.17 | $ | 64.71 | $ | 27.30 | $ | 27.23 | ||||||||||||
Net investment income (loss) | (0.50 | ) | (0.05 | ) | (0.05 | ) | (0.08 | ) | (0.05 | ) | (0.05 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 10.63 | (8.46 | ) | (6.08 | ) | (21.98 | ) | 3.13 | 4.37 | |||||||||||||||
Change in net asset value from operations | 10.13 | (8.51 | ) | (6.13 | ) | (22.06 | ) | 3.08 | 4.32 | |||||||||||||||
Net asset value, at June 30, 2022 | $ | 145.13 | $ | 33.51 | $ | 23.04 | $ | 42.65 | $ | 30.38 | $ | 31.55 | ||||||||||||
Market value per share, at March 31, 2022 † | $ | 134.60 | $ | 42.09 | $ | 28.95 | $ | 64.56 | $ | 27.31 | $ | 27.61 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 145.30 | $ | 33.49 | $ | 22.93 | $ | 40.02 | $ | 30.41 | $ | 31.59 | ||||||||||||
Total Return, at net asset value^ | 7.5 | % | (20.3 | )% | (21.0 | )% | (34.1 | )% | 11.3 | % | 15.9 | % | ||||||||||||
Total Return, at market value^ | 8.0 | % | (20.4 | )% | (20.8 | )% | (38.0 | )% | 11.4 | % | 14.4 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.53 | % | 0.95 | % | 1.14 | % | 1.36 | % | 0.95 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | (1.36 | )% | (0.59 | )% | (0.85 | )% | (1.14 | )% | (0.70 | )% | (0.74 | )% |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at June 30, 2022 | $ | 145.13 | $ | 33.51 | $ | 23.04 | $ | 42.65 | $ | 30.38 | $ | 31.55 | ||||||||||||
Net investment income (loss) | (0.04 | ) | 0.01 | 0.02 | 0.00 | (1) | 0.01 | (0.01 | ) | |||||||||||||||
Net realized and unrealized gain (loss)# | (16.35 | ) | (4.49 | ) | 7.28 | (25.30 | ) | 4.45 | 5.64 | |||||||||||||||
Change in net asset value from operations | (16.39 | ) | (4.48 | ) | 7.30 | (25.30 | ) | 4.46 | 5.63 | |||||||||||||||
Net asset value, at September 30, 2022 | $ | 128.74 | $ | 29.03 | $ | 30.34 | $ | 17.35 | $ | 34.84 | $ | 37.18 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 145.30 | $ | 33.49 | $ | 22.93 | $ | 40.02 | $ | 30.41 | $ | 31.59 | ||||||||||||
Market value per share, at September 30, 2022 † | $ | 128.50 | $ | 29.06 | $ | 30.28 | $ | 17.21 | $ | 34.88 | $ | 37.30 | ||||||||||||
Total Return, at net asset value^ | (11.3 | )% | (13.3 | )% | 31.7 | % | (59.3 | )% | 14.7 | % | 17.9 | % | ||||||||||||
Total Return, at market value^ | (11.6 | )% | (13.2 | )% | 32.1 | % | (57.0 | )% | 14.7 | % | 18.1 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1 .46 | % | 0.96 | % | 1.11 | % | 1 .25 | % | 0.96 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (0.14 | )% | 0.18 | % | 0.32 | % | (0.01 | )% | 0.12 | % | (0.11 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
(1) | Amount represents greater than $(0.005). |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at June 30, 2022 | $ | 31.74 | $ | 57.06 | $ | 35.29 | $ | 91.09 | ||||||||
Net investment income (loss) | (0.02 | ) | 0.01 | 0.00 | (1) | 0.05 | ||||||||||
Net realized and unrealized gain (loss)# | 2.34 | 7.97 | 0.19 | (5.63 | ) | |||||||||||
Change in net asset value from operations | 2.32 | 7.98 | 0.19 | (5.58 | ) | |||||||||||
Net asset value, at September 30, 2022 | $ | 34.06 | $ | 65.04 | $ | 35.48 | $ | 85.51 | ||||||||
Market value per share, at June 30, 2022 † | $ | 32.19 | $ | 57.13 | $ | 35.38 | $ | 91.25 | ||||||||
Market value per share, at September 30, 2022 † | $ | 34.15 | $ | 65.02 | $ | 35.50 | $ | 85.50 | ||||||||
Total Return, at net asset value^ | 7 .3 | % | 14.0 | % | 0 .6 | % | (6.1 | )% | ||||||||
Total Return, at market value^ | 6 .1 | % | 13.8 | % | 0 .3 | % | (6.3 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.08 | % | 0.96 | % | 0.93 | % | 1.11 | % | ||||||||
Net investment income gain (loss) | (0.19 | )% | 0.07 | % | (0.01 | )% | 0.25 | % |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen* | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at March 31, 2022 | $ | 21.45 | $ | 46.32 | $ | 31.45 | $ | 83.04 | ||||||||
Net investment income (loss) | (0.05 | ) | (0.09 | ) | (0.06 | ) | (0.21 | ) | ||||||||
Net realized and unrealized gain (loss)# | 10.34 | 10.83 | 3.90 | 8.26 | ||||||||||||
Change in net asset value from operations | 10.29 | 10.74 | 3.84 | 8.05 | ||||||||||||
Net asset value, at June 30, 2022 | $ | 31.74 | $ | 57.06 | $ | 35.29 | $ | 91.09 | ||||||||
Market value per share, at March 31, 2022 † | $ | 21.78 | $ | 46.37 | $ | 31.50 | $ | 82.85 | ||||||||
Market value per share, at June 30, 2022 † | $ | 32.19 | $ | 57.13 | $ | 35.38 | $ | 91.25 | ||||||||
Total Return, at net asset value^ | 48.0 | % | 23.2 | % | 12.2 | % | 9.6 | % | ||||||||
Total Return, at market value^ | 47.8 | % | 23.2 | % | 12.3 | % | 10.1 | % | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.06 | % | 0.95 | % | 0.96 | % | 1.16 | % | ||||||||
Net investment income gain (loss) | (0.78 | )% | (0.68 | )% | (0.74 | )% | (0.94 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended |
^^ | The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. |
(1) | Amount represents greater than $(0.005). |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2022 | $ | 58.71 | $ | 30.26 | $ | 363.08 | $ | 11.27 | $ | 55.09 | $ | 31.75 | ||||||||||||
Net investment income (loss) | 0.83 | 0.27 | 0.81 | 0.17 | 0.86 | 0.39 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 25.14 | (6.79 | ) | (294.41 | ) | 0.15 | 2.41 | (5.10 | ) | |||||||||||||||
Change in net asset value from operations | 25.97 | (6.52 | ) | (293.60 | ) | 0.32 | 3.27 | (4.71 | ) | |||||||||||||||
Net asset value, at June 30, 2023 | $ | 84.68 | $ | 23.74 | $ | 69.48 | $ | 11.59 | $ | 58.36 | $ | 27.04 | ||||||||||||
Market value per share, at December 31, 2022 † | $ | 58.68 | $ | 30.31 | $ | 355.60 | $ | 11.26 | $ | 55.27 | $ | 32.00 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 84.68 | $ | 23.65 | $ | 68.99 | $ | 11.61 | $ | 58.24 | $ | 26.95 | ||||||||||||
Total Return, at net asset value^ | 44.2 | % | (21.5 | )% | (80.9 | )% | 2.9 | % | 5.9 | % | (14.8 | )% | ||||||||||||
Total Return, at market value^ | 44.3 | % | (22.0 | )% | (80.6 | )% | 3.1 | % | 5.4 | % | (15.8 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.15 | % | 1.00 | % | 1.43 | % | 0.95 | % | 0.97 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | 2.50 | % | 2.12 | % | 2.01 | % | 3.04 | % | 2.86 | % | 2.65 | % |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2022 | $ | 58.71 | $ | 30.26 | $ | 363.08 | $ | 11.27 | $ | 55.09 | $ | 31.75 | ||||||||||||
Net investment income (loss) | 1.41 | 0.43 | 1.18 | 0.27 | 1.33 | 0.57 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 26.13 | 4.55 | (310.26 | ) | (0.67 | ) | (3.67 | ) | (7.56 | ) | ||||||||||||||
Change in net asset value from operations | 27.54 | 4.98 | (309.08 | ) | (0.40 | ) | (2.34 | ) | (6.99 | ) | ||||||||||||||
Net asset value, at September 30, 2023 | $ | 86.25 | $ | 35.24 | $ | 54.00 | $ | 10.87 | $ | 52.75 | $ | 24.76 | ||||||||||||
Market value per share, at December 31, 2022 † | $ | 58.68 | $ | 30.31 | $ | 355.60 | $ | 11.26 | $ | 55.27 | $ | 32.00 | ||||||||||||
Market value per share, at September 30, 2023 † | $ | 86.34 | $ | 35.28 | $ | 54.38 | $ | 10.85 | $ | 52.60 | $ | 24.61 | ||||||||||||
Total Return, at net asset value^ | 46.9 | % | 16.5 | % | (85.1 | )% | (3.5 | )% | (4.3 | )% | (22.0 | )% | ||||||||||||
Total Return, at market value^ | 47.1 | % | 16.4 | % | (84.7 | )% | (3.6 | )% | (4.8 | )% | (23.1 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.15 | % | 0.99 | % | 1 .38 | % | 0.95 | % | 0.97 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | 2.59 | % | 2.12 | % | 2 .16 | % | 3.19 | % | 2.98 | % | 2.63 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended |
^^ | 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 VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at December 31, 2022 | $ | 68.69 | $ | 34.54 | $ | 23.93 | $ | 27.00 | $ | 29.46 | $ | 31.10 | ||||||||||||
Net investment income (loss) | 0.33 | 0.49 | 0.36 | 0.66 | 0.45 | 0.39 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (50.54 | ) | (7.63 | ) | 1.33 | 27.40 | (0.81 | ) | (2.59 | ) | ||||||||||||||
Change in net asset value from operations | (50.21 | ) | (7.14 | ) | 1.69 | 28.06 | (0.36 | ) | (2.20 | ) | ||||||||||||||
Net asset value, at June 30, 2023 | $ | 18.48 | $ | 27.40 | $ | 25.62 | $ | 55.06 | $ | 29.10 | $ | 28.90 | ||||||||||||
Market value per share, at December 31, 2022 † | $ | 68.60 | $ | 34.56 | $ | 23.85 | $ | 27.56 | $ | 29.45 | $ | 30.99 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 18.49 | $ | 27.42 | $ | 25.70 | $ | 55.45 | $ | 29.11 | $ | 28.96 | ||||||||||||
Total Return, at net asset value^ | (73.1 | )% | (20.7 | )% | 7.1 | % | 103.9 | % | (1.2 | )% | (7.1 | )% | ||||||||||||
Total Return, at market value^ | (73.1 | )% | (20.7 | )% | 7.8 | % | 101.2 | % | (1.2 | )% | (6.6 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.56 | % | 0.95 | % | 1.09 | % | 1.74 | % | 0.95 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | 1.66 | % | 3.05 | % | 2.92 | % | 2.27 | % | 3.08 | % | 2.81 | % |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at December 31, 2022 | $ | 68.69 | $ | 34.54 | $ | 23.93 | $ | 27.00 | $ | 29.46 | $ | 31.10 | ||||||||||||
Net investment income (loss) | 0.40 | 0.74 | 0.53 | 1.11 | 0.70 | 0.61 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (52.89 | ) | (10.27 | ) | (7.60 | ) | 33.35 | 1.27 | 0.43 | |||||||||||||||
Change in net asset value from operations | (52.49 | ) | (9.53 | ) | (7.07 | ) | 34.46 | 1.97 | 1.04 | |||||||||||||||
Net asset value, at September 30, 2023 | $ | 16.20 | $ | 25.01 | $ | 16.86 | $ | 61.46 | $ | 31.43 | $ | 32.14 | ||||||||||||
Market value per share, at December 31, 2022 † | $ | 68.60 | $ | 34.56 | $ | 23.85 | $ | 27.56 | $ | 29.45 | $ | 30.99 | ||||||||||||
Market value per share, at September 30, 2023 † | $ | 16.21 | $ | 25.00 | $ | 16.82 | $ | 61.04 | $ | 31.43 | $ | 32.20 | ||||||||||||
Total Return, at net asset value^ | (76.4 | )% | (27.6 | )% | (29.6 | )% | 127.7 | % | 6.7 | % | 3.4 | % | ||||||||||||
Total Return, at market value^ | (76.4 | )% | (27.7 | )% | (29.5 | )% | 121.5 | % | 6.7 | % | 3.9 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1 .58 | % | 0 .95 | % | 1.07 | % | 1.64 | % | 0.95 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | 1 .77 | % | 3 .28 | % | 3.14 | % | 2.57 | % | 3.20 | % | 2.90 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at December 31, 2022 | $ | 19.46 | $ | 53.68 | $ | 30.41 | $ | 57.00 | ||||||||
Net investment income (loss) | 0.38 | 1.47 | 0.54 | 0.70 | ||||||||||||
Net realized and unrealized gain (loss)# | 1.60 | 19.93 | (11.53 | ) | (34.39 | ) | ||||||||||
Change in net asset value from operations | 1.98 | 21.40 | (10.99 | ) | (33.69 | ) | ||||||||||
Net asset value, at September 30, 2023 | $ | 21.44 | $ | 75.08 | $ | 19.42 | $ | 23.31 | ||||||||
Market value per share, at December 31, 2022 † | $ | 19.30 | $ | 53.57 | $ | 30.36 | $ | 56.90 | ||||||||
Market value per share, at September 30, 2023 † | $ | 21.55 | $ | 75.08 | $ | 19.41 | $ | 23.30 | ||||||||
Total Return, at net asset value^ | 10.2 | % | 39.9 | % | (36.1 | )% | (59.1 | )% | ||||||||
Total Return, at market value^ | 11.7 | % | 40.2 | % | (36.1 | )% | (59.1 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.07 | % | 0.95 | % | 0 .98 | % | 1 .07 | % | ||||||||
Net investment income gain (loss) | 2.63 | % | 3.20 | % | 3 .03 | % | 2 .81 | % |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at December 31, 2022 | $ | 19.46 | $ | 53.68 | $ | 30.41 | $ | 57.00 | ||||||||
Net investment income (loss) | 0.24 | 0.88 | 0.38 | 0.53 | ||||||||||||
Net realized and unrealized gain (loss)# | 0.79 | 13.38 | (10.30 | ) | (32.58 | ) | ||||||||||
Change in net asset value from operations | 1.03 | 14.26 | (9.92 | ) | (32.05 | ) | ||||||||||
Net asset value, at June 30, 2023 | $ | 20.49 | $ | 67.94 | $ | 20.49 | $ | 24.95 | ||||||||
Market value per share, at December 31, 2022 † | $ | 19.30 | $ | 53.57 | $ | 30.36 | $ | 56.90 | ||||||||
Market value per share, at June 30, 2023 † | $ | 20.58 | $ | 67.95 | $ | 20.48 | $ | 24.96 | ||||||||
Total Return, at net asset value^ | 5.3 | % | 26.6 | % | (32.6 | )% | (56.2 | )% | ||||||||
Total Return, at market value^ | 6.6 | % | 26.8 | % | (32.5 | )% | (56.1 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.05 | % | 0.95 | % | 0.98 | % | 1.09 | % | ||||||||
Net investment income gain (loss) | 2.44 | % | 3.06 | % | 2.90 | % | 2.61 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended |
^^ | The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil * | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2021 | $ | 61.56 | $ | 21.54 | $ | 511.08 | $ | 13.32 | $ | 59.69 | $ | 34.84 | ||||||||||||
Net investment income (loss) | (0.29 | ) | (0.15 | ) | (5.86 | ) | (0.04 | ) | (0.22 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (13.13 | ) | 20.22 | 285.48 | (2.20 | ) | (3.01 | ) | (9.93 | ) | ||||||||||||||
Change in net asset value from operations | (13.42 | ) | 20.07 | 279.62 | (2.24 | ) | (3.23 | ) | (10.06 | ) | ||||||||||||||
Net asset value, at June 30, 2022 | $ | 48.14 | $ | 41.61 | $ | 790.70 | $ | 11.08 | $ | 56.46 | $ | 24.78 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 61.55 | $ | 21.70 | $ | 521.80 | $ | 13.33 | $ | 59.81 | $ | 34.74 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 48.21 | $ | 41.86 | $ | 842.00 | $ | 11.11 | $ | 56.50 | $ | 24.47 | ||||||||||||
Total Return, at net asset value^ | (21.8 | )% | 93.2 | % | 54.7 | % | (16.8 | )% | (5.4 | )% | (28.9 | )% | ||||||||||||
Total Return, at market value^ | (21.7 | )% | 92.9 | % | 61.4 | % | (16.7 | )% | (5.5 | )% | (29.6 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.28 | % | 1.05 | % | 1.29 | % | 0.95 | % | 0.99 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | (1.12 | )% | (0.82 | )% | (1.10 | )% | (0.65 | )% | (0.71 | )% | (0.75 | )% |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas * | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2021 | $ | 61.56 | $ | 21.54 | $ | 511.08 | $ | 13.32 | $ | 59.69 | $ | 34.84 | ||||||||||||
Net investment income (loss) | (0.31 | ) | (0.16 | ) | (5.33 | ) | (0.02 | ) | (0.19 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (12.74 | ) | 4.83 | 558.65 | (3.73 | ) | (12.43 | ) | (13.87 | ) | ||||||||||||||
Change in net asset value from operations | (13.05 | ) | 4.67 | 553.32 | (3.75 | ) | (12.62 | ) | (14.00 | ) | ||||||||||||||
Net asset value, at September 30, 2022 | $ | 48.51 | $ | 26.21 | $ | 1,064.40 | $ | 9.57 | $ | 47.07 | $ | 20.84 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 61.55 | $ | 21.70 | $ | 521.80 | $ | 13.33 | $ | 59.81 | $ | 34.74 | ||||||||||||
Market value per share, at September 30, 2022 † | $ | 48.59 | $ | 26.26 | $ | 1,073.20 | $ | 9.57 | $ | 46.93 | $ | 20.76 | ||||||||||||
Total Return, at net asset value^ | (21.2 | )% | 21.7 | % | 108.3 | % | (28.2 | )% | (21.1 | )% | (40.2 | )% | ||||||||||||
Total Return, at market value^ | (21.1 | )% | 21.0 | % | 105.7 | % | (28.2 | )% | (21.5 | )% | (40.2 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1 .23 | % | 1.04 | % | 1 .24 | % | 0.95 | % | 0 .99 | % | 0 .99 | % | ||||||||||||
Net investment income gain (loss) | (0.80 | )% | (0.59 | )% | (0 .58 | )% | (0.27 | )% | (0.43 | )% | (0.56 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended |
^^ | 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 VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas * | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at December 31, 2021 | $ | 124.06 | $ | 47.29 | $ | 64.26 | $ | 247.40 | $ | 25.84 | $ | 31.71 | ||||||||||||
Net investment income (loss) | (1.13 | ) | (0.13 | ) | (0.12 | ) | (0.31 | ) | (0.11 | ) | (0.12 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 22.20 | (13.65 | ) | (41.10 | ) | (204.44 | ) | 4.65 | (0.04 | ) | ||||||||||||||
Change in net asset value from operations | 21.07 | (13.78 | ) | (41.22 | ) | (204.75 | ) | 4.54 | (0.16 | ) | ||||||||||||||
Net asset value, at June 30, 2022 | $ | 145.13 | $ | 33.51 | $ | 23.04 | $ | 42.65 | $ | 30.38 | $ | 31.55 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 124.30 | $ | 47.29 | $ | 63.75 | $ | 242.20 | $ | 25.86 | $ | 31.66 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 145.30 | $ | 33.49 | $ | 22.93 | $ | 40.02 | $ | 30.41 | $ | 31.59 | ||||||||||||
Total Return, at net asset value^ | 17.0 | % | (29.2 | )% | (64.2 | )% | (82.8 | )% | 17.5 | % | (0.5 | )% | ||||||||||||
Total Return, at market value^ | 16.9 | % | (29.2 | )% | (64.0 | )% | (83.5 | )% | 17.6 | % | 0.2 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.65 | % | 0.95 | % | 1.18 | % | 1.47 | % | 0.95 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (1.53 | )% | (0.67 | )% | (0.95 | )% | (1.30 | )% | (0.75 | )% | (0.81 | )% |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at December 31, 2021 | $ | 124.06 | $ | 47.29 | $ | 64.26 | $ | 247.40 | $ | 25.84 | $ | 31.71 | ||||||||||||
Net investment income (loss) | (0.94 | ) | (0.04 | ) | (0.07 | ) | (0.14 | ) | (0.08 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 5.62 | (18.22 | ) | (33.85 | ) | (229.91 | ) | 9.08 | 5.60 | |||||||||||||||
Change in net asset value from operations | 4.68 | (18.26 | ) | (33.92 | ) | (230.05 | ) | 9.00 | 5.47 | |||||||||||||||
Net asset value, at September 30, 2022 | $ | 128.74 | $ | 29.03 | $ | 30.34 | $ | 17.35 | $ | 34.84 | $ | 37.18 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 124.30 | $ | 47.29 | $ | 63.75 | $ | 242.20 | $ | 25.86 | $ | 31.66 | ||||||||||||
Market value per share, at September 30, 2022 † | $ | 128.50 | $ | 29.06 | $ | 30.28 | $ | 17.21 | $ | 34.88 | $ | 37.30 | ||||||||||||
Total Return, at net asset value^ | 3.7 | % | (38.6 | )% | (52.8 | )% | (93.0 | )% | 34.8 | % | 17.3 | % | ||||||||||||
Total Return, at market value^ | 3.4 | % | (38.6 | )% | (52.5 | )% | (92.9 | )% | 34.9 | % | 17.8 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.57 | % | 0.96 | % | 1.15 | % | 1.38 | % | 0.95 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (0.97 | )% | (0.15 | )% | (0.38 | )% | (0.77 | )% | (0.37 | )% | (0.56 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended |
^^ | 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 Silver | UltraShort Yen * | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at December 31, 2021 | $ | 26.77 | $ | 41.50 | $ | 30.61 | $ | 75.62 | ||||||||
Net investment income (loss) | (0.11 | ) | (0.17 | ) | (0.14 | ) | (0.46 | ) | ||||||||
Net realized and unrealized gain (loss)# | 5.08 | 15.73 | 4.82 | 15.93 | ||||||||||||
Change in net asset value from operations | 4.97 | 15.56 | 4.68 | 15.47 | ||||||||||||
Net asset value, at June 30, 2022 | $ | 31.74 | $ | 57.06 | $ | 35.29 | $ | 91.09 | ||||||||
Market value per share, at December 31, 2021 † | $ | 26.84 | $ | 41.50 | $ | 30.57 | $ | 75.85 | ||||||||
Market value per share, at June 30, 2022 † | $ | 32.19 | $ | 57.13 | $ | 35.38 | $ | 91.25 | ||||||||
Total Return, at net asset value^ | 18.6 | % | 37.5 | % | 15.3 | % | 20.5 | % | ||||||||
Total Return, at market value^ | 19.9 | % | 37.7 | % | 15.7 | % | 20.3 | % | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.07 | % | 0.95 | % | 1.02 | % | 1.20 | % | ||||||||
Net investment income gain (loss) | (0.86 | )% | (0.72 | )% | (0.87 | )% | (1.04 | )% |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid-Term Futures ETF | VIX Short- Term Futures ETF * | ||||||||||||
Net asset value, at December 31, 2021 | $ | 26.77 | $ | 41.50 | $ | 30.61 | $ | 75.62 | ||||||||
Net investment income (loss) | (0.13 | ) | (0.16 | ) | (0.15 | ) | (0.35 | ) | ||||||||
Net realized and unrealized gain (loss)# | 7.42 | 23.70 | 5.02 | 10.24 | ||||||||||||
Change in net asset value from operations | 7.29 | 23.54 | 4.87 | 9.89 | ||||||||||||
Net asset value, at September 30, 2022 | $ | 34.06 | $ | 65.04 | $ | 35.48 | $ | 85.51 | ||||||||
Market value per share, at December 31, 2021 † | $ | 26.84 | $ | 41.50 | $ | 30.57 | $ | 75.85 | ||||||||
Market value per share, at September 30, 2022 † | $ | 34.15 | $ | 65.02 | $ | 35.50 | $ | 85.50 | ||||||||
Total Return, at net asset value^ | 27.2 | % | 56.7 | % | 15.9 | % | 13.1 | % | ||||||||
Total Return, at market value^ | 27.2 | % | 56.7 | % | 16.1 | % | 12.7 | % | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.08 | % | 0.95 | % | 0.99 | % | 1.16 | % | ||||||||
Net investment income gain (loss) | (0.63 | )% | (0.40 | )% | (0.59 | )% | (0.56 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended |
^^ | The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Fund | Interest Income Three Months Ended June 30, 2023 | Interest Income Three Months Ended June 30, 2022 | Interest Income Six Months Ended June 30, 2023 | Interest Income Six Months Ended June 30, 2022 | Interest Income Three Months Ended September 30, 2023 | Interest Income Three Months Ended September 30, 2022 | Interest Income Nine Months Ended September 30, 2023 | Interest Income Nine Months Ended September 30, 2022 | ||||||||||||||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 2,437,210 | $ | 225,134 | $ | 4,546,332 | $ | 319,477 | $ | 2,624,180 | $ | 1,006,499 | $ | 7,170,512 | $ | 1,325,976 | ||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | 5,878,092 | 1,264,011 | 11,886,000 | 1,572,891 | 5,340,428 | 2,391,191 | 17,226,428 | 3,964,082 | ||||||||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 8,866,705 | 146,470 | 17,825,228 | 186,051 | 9,098,504 | 909,204 | 26,923,732 | 1,095,255 | ||||||||||||||||||||||||
ProShares Ultra Euro | 88,182 | 6,522 | 185,419 | 11,109 | 80,746 | 36,856 | 266,165 | 47,965 | ||||||||||||||||||||||||
ProShares Ultra Gold | 1,983,196 | 319,154 | 3,632,210 | 414,267 | 1,837,846 | 678,282 | 5,470,056 | 1,092,549 | ||||||||||||||||||||||||
ProShares Ultra Silver | 3,701,182 | 421,514 | 7,075,578 | 561,963 | 3,343,905 | 824,171 | 10,419,483 | 1,386,134 | ||||||||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 4,750,595 | 430,670 | 9,167,250 | 525,931 | 3,255,531 | 3,945,136 | 12,422,781 | 4,471,067 | ||||||||||||||||||||||||
ProShares Ultra Yen | 114,980 | 3,064 | 235,098 | 3,937 | 174,354 | 25,362 | 409,452 | 29,299 | ||||||||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 1,560,028 | 289,299 | 3,563,237 | 343,206 | 2,609,417 | 1,748,548 | 6,172,654 | 2,091,754 | ||||||||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 1,344,889 | 122,188 | 2,531,641 | 178,013 | 1,476,050 | 953,050 | 4,007,691 | 1,131,063 | ||||||||||||||||||||||||
ProShares UltraShort Euro | 593,746 | 39,011 | 1,240,866 | 54,416 | 523,684 | 230,824 | 1,764,550 | 285,240 | ||||||||||||||||||||||||
ProShares UltraShort Gold | 184,052 | 19,975 | 316,614 | 29,660 | 142,707 | 72,261 | 459,321 | 101,921 | ||||||||||||||||||||||||
ProShares UltraShort Silver | 323,734 | 18,743 | 523,812 | 27,663 | 337,096 | 63,222 | 860,908 | 90,885 | ||||||||||||||||||||||||
ProShares UltraShort Yen | 255,354 | 26,913 | 459,554 | 36,312 | 274,125 | 115,191 | 733,679 | 151,503 | ||||||||||||||||||||||||
ProShares VIX Mid-Term Futures ETF | 650,585 | 52,826 | 1,298,505 | 76,749 | 597,040 | 220,211 | 1,895,545 | 296,960 | ||||||||||||||||||||||||
ProShares VIX Short-Term Futures ETF | 2,440,291 | 207,903 | 4,560,852 | 278,612 | 2,271,345 | 1,400,201 | 6,832,197 | 1,678,813 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 295,340,393 | $ | 495,588,849 | ||||
NAV end of period | $ | 282,353,267 | $ | 403,644,956 | ||||
Percentage change in NAV | (4.4 | )% | (18.6 | )% | ||||
Shares outstanding beginning of period | 4,634,307 | 9,084,307 | ||||||
Shares outstanding end of period | 3,334,307 | 8,384,307 | ||||||
Percentage change in shares outstanding | (28.1 | )% | (7.7 | )% | ||||
Shares created | 550,000 | 1,600,000 | ||||||
Shares redeemed | 1,850,000 | 2,300,000 | ||||||
Per share NAV beginning of period | $ | 63.73 | $ | 54.55 | ||||
Per share NAV end of period | $ | 84.68 | $ | 48.14 | ||||
Percentage change in per share NAV | 32.9 | % | (11.8 | )% | ||||
Percentage change in benchmark | (44.4 | )% | 10.3 | % | ||||
Benchmark annualized volatility | 45.8 | % | 90.4 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 1,696,752 | $ | (1,094,000 | ) | |||
Management fee | 617,036 | 1,034,361 | ||||||
Brokerage commission | 123,422 | 177,552 | ||||||
Futures account fees | – | 107,221 | ||||||
Net realized gain (loss) | 65,202,331 | (13,105,212 | ) | |||||
Change in net unrealized appreciation (depreciation) | 9,673,101 | (34,507,780 | ) | |||||
Net Income (loss) | $ | 76,572,184 | $ | (48,706,992 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 811,668,456 | $ | 1,336,980,685 | ||||
NAV end of period | $ | 738,194,368 | $ | 1,060,867,238 | ||||
Percentage change in NAV | (9.1 | )% | (20.7 | )% | ||||
Shares outstanding beginning of period | 30,593,096 | 35,243,096 | ||||||
Shares outstanding end of period | 31,093,096 | 25,493,096 | ||||||
Percentage change in shares outstanding | 1.6 | % | (27.7 | )% | ||||
Shares created | 15,550,000 | 1,700,000 | ||||||
Shares redeemed | 15,050,000 | 11,450,000 | ||||||
Per share NAV beginning of period | $ | 26.53 | $ | 37.94 | ||||
Per share NAV end of period | $ | 23.74 | $ | 41.61 | ||||
Percentage change in per share NAV | (10.5 | )% | 9.7 | % | ||||
Percentage change in benchmark | (4.4 | )% | 6.8 | % | ||||
Benchmark annualized volatility | 32.8 | % | 37.5 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 4,038,791 | $ | (2,084,704 | ) | |||
Management fee | 1,744,998 | 3,098,904 | ||||||
Brokerage commission | 94,303 | 140,210 | ||||||
Futures account fees | – | 109,601 | ||||||
Net realized gain (loss) | (76,414,795 | ) | 363,291,439 | |||||
Change in net unrealized appreciation (depreciation) | 45,539,157 | (211,544,109 | ) | |||||
Net Income (loss) | $ | (26,836,847 | ) | $ | 149,662,626 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 1,139,983,773 | $ | 145,069,486 | ||||
NAV end of period | $ | 1,141,021,278 | $ | 187,297,842 | ||||
Percentage change in NAV | 0.1 | % | 29.1 | % | ||||
Shares outstanding beginning of period | 15,454,376 | 129,376 | ||||||
Shares outstanding end of period | 16,421,876 | 236,876 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Percentage change in shares outstanding | 6.3 | % | 83.1 | % | ||||
Shares created | 13,792,500 | 325,000 | ||||||
Shares redeemed | 12,825,000 | 217,500 | ||||||
Per share NAV beginning of period | $ | 73.76 | $ | 1121.30 | ||||
Per share NAV end of period | $ | 69.48 | $ | 790.70 | ||||
Percentage change in per share NAV | (5.8 | )% | (29.5 | )% | ||||
Percentage change in benchmark | 2.2 | % | (6.0 | )% | ||||
Benchmark annualized volatility | 57.7 | % | 37.5 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 4,920,978 | $ | (566,073 | ) | |||
Management fee | 2,588,571 | 534,624 | ||||||
Brokerage commission | 1,145,371 | 114,706 | ||||||
Futures account fees | 211,785 | 63,213 | ||||||
Net realized gain (loss) | (616,886,915 | ) | 164,990,694 | |||||
Change in net unrealized appreciation (depreciation) | 658,057,024 | (271,288,469 | ) | |||||
Net Income (loss) | $ | 46,091,087 | $ | (106,863,848 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 8,616,433 | $ | 6,236,982 | ||||
NAV end of period | $ | 7,535,435 | $ | 9,415,626 | ||||
Percentage change in NAV | (12.5 | )% | 51.0 | % | ||||
Shares outstanding beginning of period | 750,000 | 500,000 | ||||||
Shares outstanding end of period | 650,000 | 850,000 | ||||||
Percentage change in shares outstanding | (13.3 | )% | 70.0 | % | ||||
Shares created | – | 450,000 | ||||||
Shares redeemed | 100,000 | 100,000 | ||||||
Per share NAV beginning of period | $ | 11.49 | $ | 12.47 | ||||
Per share NAV end of period | $ | 11.59 | $ | 11.08 | ||||
Percentage change in per share NAV | 0.9 | % | (11.1 | )% | ||||
Percentage change in benchmark | 0.6 | % | (5.3 | )% | ||||
Benchmark annualized volatility | 6.8 | % | 9.1 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 68,331 | $ | (8,515 | ) | |||
Management fee | 19,851 | 15,037 | ||||||
Net realized gain (loss) | 78,291 | (446,365 | ) | |||||
Change in net unrealized appreciation (depreciation) | (79,023 | ) | (281,290 | ) | ||||
Net Income (loss) | $ | 67,599 | $ | (736,170 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 201,161,529 | $ | 355,029,822 | ||||
NAV end of period | $ | 180,916,531 | $ | 239,938,853 | ||||
Percentage change in NAV | (10.1 | )% | (32.4 | )% | ||||
Shares outstanding beginning of period | 3,200,000 | 5,300,000 | ||||||
Shares outstanding end of period | 3,100,000 | 4,250,000 | ||||||
Percentage change in shares outstanding | (3.1 | )% | (19.8 | )% | ||||
Shares created | 50,000 | 100,000 | ||||||
Shares redeemed | 150,000 | 1,150,000 | ||||||
Per share NAV beginning of period | $ | 62.86 | $ | 66.99 | ||||
Per share NAV end of period | $ | 58.36 | $ | 56.46 | ||||
Percentage change in per share NAV | (7.2 | )% | (15.7 | )% | ||||
Percentage change in benchmark | (2.5 | )% | (7.6 | )% | ||||
Benchmark annualized volatility | 12.7 | % | 13.8 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 1,502,010 | $ | (419,722 | ) | |||
Management fee | 474,261 | 716,148 | ||||||
Brokerage commission | 6,925 | 14,064 | ||||||
Futures account fees | — | 8,664 | ||||||
Net realized gain (loss) | 17,168,107 | (57,901,083 | ) | |||||
Change in net unrealized appreciation (depreciation) | (32,854,842 | ) | 4,971,043 | |||||
Net Income (loss) | $ | (14,184,725 | ) | $ | (53,349,762 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 429,115,334 | $ | 558,375,841 | ||||
NAV end of period | $ | 356,791,659 | $ | 355,577,515 | ||||
Percentage change in NAV | (16.9 | )% | (36.3 | )% | ||||
Shares outstanding beginning of period | 13,796,526 | 14,296,526 | ||||||
Shares outstanding end of period | 13,196,526 | 14,346,526 | ||||||
Percentage change in shares outstanding | (4.3 | )% | 0.3 | % | ||||
Shares created | 700,000 | 800,000 | ||||||
Shares redeemed | 1,300,000 | 750,000 | ||||||
Per share NAV beginning of period | $ | 31.10 | $ | 39.06 | ||||
Per share NAV end of period | $ | 27.04 | $ | 24.78 | ||||
Percentage change in per share NAV | (13.1 | )% | (36.6 | )% | ||||
Percentage change in benchmark | (5.1 | )% | (19.4 | )% | ||||
Benchmark annualized volatility | 24.1 | % | 23.7 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 2,677,602 | $ | (695,746 | ) | |||
Management fee | 976,505 | 1,082,340 | ||||||
Brokerage commission | 47,075 | 28,732 | ||||||
Futures account fees | — | 6,188 | ||||||
Net realized gain (loss) | 64,615,443 | (156,195,349 | ) | |||||
Change in net unrealized appreciation (depreciation) | (119,017,342 | ) | (50,135,799 | ) | ||||
Net Income (loss) | $ | (51,724,297 | ) | $ | (207,026,894 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 535,980,236 | $ | 1,127,608,641 | ||||
NAV end of period | $ | 387,764,059 | $ | 975,683,533 | ||||
Percentage change in NAV | (27.7 | )% | (13.5 | )% | ||||
Shares outstanding beginning of period | 11,587,842 | 8,352,842 | ||||||
Shares outstanding end of period | 20,977,842 | 6,722,842 | ||||||
Percentage change in shares outstanding | 81.0 | % | (19.5 | )% | ||||
Shares created | 12,940,000 | 5,840,000 | ||||||
Shares redeemed | 3,550,000 | 7,470,000 | ||||||
Per share NAV beginning of period | $ | 46.25 | $ | 135.00 | ||||
Per share NAV end of period | $ | 18.48 | $ | 145.13 | ||||
Percentage change in per share NAV | (60.0 | )% | 7.5 | % | ||||
Percentage change in benchmark | (44.4 | )% | 10.3 | % | ||||
Benchmark annualized volatility | 45.8 | % | 90.4 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 2,581,004 | $ | (3,277,402 | ) | |||
Management fee | 1,330,081 | 2,293,738 | ||||||
Brokerage commission | 712,511 | 970,211 | ||||||
Futures account fees | 126,999 | 444,123 | ||||||
Net realized gain (loss) | (426,300,356 | ) | 90,701,501 | |||||
Change in net unrealized appreciation (depreciation) | (45,315,177 | ) | 196,735,349 | |||||
Net Income (loss) | $ | (469,034,529 | ) | $ | 284,159,448 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 9,915,083 | $ | 2,099,705 | ||||
NAV end of period | $ | 12,330,974 | $ | 5,024,773 | ||||
Percentage change in NAV | 24.4 | % | 139.3 | % | ||||
Shares outstanding beginning of period | 299,970 | 49,970 | ||||||
Shares outstanding end of period | 449,970 | 149,970 | ||||||
Percentage change in shares outstanding | 50.0 | % | 200.1 | % | ||||
Shares created | 150,000 | 100,000 | ||||||
Shares redeemed | — | — | ||||||
Per share NAV beginning of period | $ | 33.05 | $ | 42.02 | ||||
Per share NAV end of period | $ | 27.40 | $ | 33.51 | ||||
Percentage change in per share NAV | (17.1 | )% | (20.3 | )% | ||||
Percentage change in benchmark | (8.0 | )% | (10.3 | )% | ||||
Benchmark annualized volatility | 8.9 | % | 11.5 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 89,650 | $ | (4,972 | ) | |||
Management fee | 25,330 | 8,036 | ||||||
Net realized gain (loss) | (770,142 | ) | (761,478 | ) | ||||
Change in net unrealized appreciation (depreciation) | (1,348,109 | ) | 152,185 | |||||
Net Income (loss) | $ | (2,028,601 | ) | $ | (614,265 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 144,762,563 | $ | 416,799,231 | ||||
NAV end of period | $ | 112,854,952 | $ | 501,157,304 | ||||
Percentage change in NAV | (22.0 | )% | 20.2 | % | ||||
Shares outstanding beginning of period | 5,755,220 | 14,286,760 | ||||||
Shares outstanding end of period | 4,405,220 | 21,755,220 | ||||||
Percentage change in shares outstanding | (23.5 | )% | 52.3 | % | ||||
Shares created | 6,250,000 | 12,320,000 | ||||||
Shares redeemed | 7,600,000 | 4,851,540 | ||||||
Per share NAV beginning of period | $ | 25.15 | $ | 29.17 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Per share NAV end of period | $ | 25.62 | $ | 23.04 | ||||
Percentage change in per share NAV | 1.9 | % | (21.0 | )% | ||||
Percentage change in benchmark | (4.4 | )% | 6.8 | % | ||||
Benchmark annualized volatility | 32.8 | % | 37.5 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 1,140,772 | $ | (849,692 | ) | |||
Management fee | 359,177 | 946,110 | ||||||
Brokerage commission | 60,079 | 107,079 | ||||||
Futures account fees | — | 85,802 | ||||||
Net realized gain (loss) | 28,034,524 | (102,594,000 | ) | |||||
Change in net unrealized appreciation (depreciation) | (8,216,608 | ) | 34,757,114 | |||||
Net Income (loss) | $ | 20,958,688 | $ | (68,686,578 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 146,981,760 | $ | 250,340,837 | ||||
NAV end of period | $ | 141,324,963 | $ | 211,823,446 | ||||
Percentage change in NAV | (3.8 | )% | (15.4 | )% | ||||
Shares outstanding beginning of period | 2,066,856 | 3,868,620 | ||||||
Shares outstanding end of period | 2,566,856 | 4,966,856 | ||||||
Percentage change in shares outstanding | 24.2 | % | 28.4 | % | ||||
Shares created | 6,600,000 | 18,700,000 | ||||||
Shares redeemed | 6,100,000 | 17,601,764 | ||||||
Per share NAV beginning of period | $ | 71.11 | $ | 64.71 | ||||
Per share NAV end of period | $ | 55.06 | $ | 42.65 | ||||
Percentage change in per share NAV | (22.6 | )% | (34.1 | )% | ||||
Percentage change in benchmark | 2.2 | % | (6.0 | )% | ||||
Benchmark annualized volatility | 57.7 | % | 87.3 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 782,210 | $ | (610,379 | ) | |||
Management fee | 302,274 | 510,704 | ||||||
Brokerage commission | 233,647 | 144,907 | ||||||
Futures account fees | 26,758 | 76,956 | ||||||
Net realized gain (loss) | 48,737,843 | (282,646,884 | ) | |||||
Change in net unrealized appreciation (depreciation) | (61,250,100 | ) | 228,079,127 | |||||
Net Income (loss) | $ | (11,730,047 | ) | $ | (55,178,136 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 59,537,260 | $ | 50,498,084 | ||||
NAV end of period | $ | 50,931,301 | $ | 62,270,097 | ||||
Percentage change in NAV | (14.5 | )% | 23.3 | % | ||||
Shares outstanding beginning of period | 2,050,000 | 1,850,000 | ||||||
Shares outstanding end of period | 1,750,000 | 2,050,000 | ||||||
Percentage change in shares outstanding | (14.6 | )% | 10.8 | % | ||||
Shares created | – | 500,000 | ||||||
Shares redeemed | 300,000 | 300,000 | ||||||
Per share NAV beginning of period | $ | 29.04 | $ | 27.30 | ||||
Per share NAV end of period | $ | 29.10 | $ | 30.38 | ||||
Percentage change in per share NAV | 0.2 | % | 11.3 | % | ||||
Percentage change in benchmark | 0.6 | % | (5.3 | )% | ||||
Benchmark annualized volatility | 6.8 | % | 9.1 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 462,645 | $ | (107,923 | ) | |||
Management fee | 131,101 | 146,934 | ||||||
Net realized gain (loss) | (1,045,942 | ) | 3,065,129 | |||||
Change in net unrealized appreciation (depreciation) | 556,469 | 3,039,738 | ||||||
Net Income (loss) | $ | (26,828 | ) | $ | 5,996,944 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 16,049,273 | $ | 32,598,451 | ||||
NAV end of period | $ | 15,809,378 | $ | 34,611,284 | ||||
Percentage change in NAV | (1.5 | )% | 6.2 | % | ||||
Shares outstanding beginning of period | 596,977 | 1,196,977 | ||||||
Shares outstanding end of period | 546,977 | 1,096,977 | ||||||
Percentage change in shares outstanding | (8.4 | )% | (8.4 | )% | ||||
Shares created | 300,000 | 700,000 | ||||||
Shares redeemed | 350,000 | 800,000 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Per share NAV beginning of period | $ | 26.88 | $ | 27.23 | ||||
Per share NAV end of period | $ | 28.90 | $ | 31.55 | ||||
Percentage change in per share NAV | 7.5 | % | 15.9 | % | ||||
Percentage change in benchmark | (2.5 | )% | (7.6 | )% | ||||
Benchmark annualized volatility | 12.7 | % | 13.8 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 139,578 | $ | (59,266 | ) | |||
Management fee | 42,869 | 75,676 | ||||||
Brokerage commission | 1,605 | 2,985 | ||||||
Futures account fees | — | 580 | ||||||
Net realized gain (loss) | (1,553,151 | ) | 4,557,870 | |||||
Change in net unrealized appreciation (depreciation) | 2,758,921 | 289,951 | ||||||
Net Income (loss) | $ | 1,345,348 | $ | 4,788,555 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 20,335,691 | $ | 23,406,516 | ||||
NAV end of period | $ | 19,290,473 | $ | 33,052,840 | ||||
Percentage change in NAV | (5.1 | )% | 41.2 | % | ||||
Shares outstanding beginning of period | 1,091,329 | 1,091,329 | ||||||
Shares outstanding end of period | 941,329 | 1,041,329 | ||||||
Percentage change in shares outstanding | (13.7 | )% | (4.6 | )% | ||||
Shares created | 2,450,000 | 700,000 | ||||||
Shares redeemed | 2,600,000 | 750,000 | ||||||
Per share NAV beginning of period | $ | 18.63 | $ | 21.45 | ||||
Per share NAV end of period | $ | 20.49 | $ | 31.74 | ||||
Percentage change in per share NAV | 10.0 | % | 48.0 | % | ||||
Percentage change in benchmark | (5.1 | )% | (19.4 | )% | ||||
Benchmark annualized volatility | 24.1 | % | 23.7 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 232,359 | $ | (51,484 | ) | |||
Management fee | 82,417 | 62,381 | ||||||
Brokerage commission | 8,958 | 6,677 | ||||||
Futures account fees | — | 1,169 | ||||||
Net realized gain (loss) | 1,112,690 | 9,411,232 | ||||||
Change in net unrealized appreciation (depreciation) | 5,650,294 | 3,853,312 | ||||||
Net Income (loss) | $ | 6,995,343 | $ | 13,213,060 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 25,111,818 | $ | 27,726,701 | ||||
NAV end of period | $ | 27,077,656 | $ | 45,568,882 | ||||
Percentage change in NAV | 7.8 | % | 64.4 | % | ||||
Shares outstanding beginning of period | 448,580 | 598,580 | ||||||
Shares outstanding end of period | 398,580 | 798,580 | ||||||
Percentage change in shares outstanding | (11.1 | )% | 33.4 | % | ||||
Shares created | 250,000 | 650,000 | ||||||
Shares redeemed | 300,000 | 450,000 | ||||||
Per share NAV beginning of period | $ | 55.98 | $ | 46.32 | ||||
Per share NAV end of period | $ | 67.94 | $ | 57.06 | ||||
Percentage change in per share NAV | 21.4 | % | 23.2 | % | ||||
Percentage change in benchmark | (8.0 | )% | (10.3 | )% | ||||
Benchmark annualized volatility | 8.9 | % | 11.4 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 197,175 | $ | (66,268 | ) | |||
Management fee | 58,179 | 93,181 | ||||||
Net realized gain (loss) | 1,370,771 | 7,917,170 | ||||||
Change in net unrealized appreciation (depreciation) | 3,145,023 | (1,367,929 | ) | |||||
Net Income (loss) | $ | 4,712,969 | $ | 6,482,973 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 67,306,087 | $ | 97,869,914 | ||||
NAV end of period | $ | 49,421,413 | $ | 95,721,271 | ||||
Percentage change in NAV | (26.6 | )% | (2.2 | )% | ||||
Shares outstanding beginning of period | 2,512,403 | 3,112,403 | ||||||
Shares outstanding end of period | 2,412,403 | 2,712,403 | ||||||
Percentage change in shares outstanding | (4.0 | )% | (12.9 | )% | ||||
Shares created | 575,000 | 300,000 | ||||||
Shares redeemed | 675,000 | 700,000 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Per share NAV beginning of period | $ | 26.79 | $ | 31.45 | ||||
Per share NAV end of period | $ | 20.49 | $ | 35.29 | ||||
Percentage change in per share NAV | (23.5 | )% | 12.2 | % | ||||
Percentage change in benchmark | (23.1 | )% | 12.9 | % | ||||
Benchmark annualized volatility | 22.6 | % | 37.1 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 492,463 | $ | (184,164 | ) | |||
Management fee | 134,066 | 210,584 | ||||||
Brokerage commission | 12,200 | 15,500 | ||||||
Futures account fees | 11,856 | 10,906 | ||||||
Net realized gain (loss) | (6,943,333 | ) | 7,862,052 | |||||
Change in net unrealized appreciation (depreciation) | (9,675,102 | ) | 3,992,670 | |||||
Net Income (loss) | $ | (16,125,972 | ) | $ | 11,670,558 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 226,765,204 | $ | 404,950,400 | ||||
NAV end of period | $ | 230,227,830 | $ | 341,714,316 | ||||
Percentage change in NAV | 1.5 | % | (15.6 | )% | ||||
Shares outstanding beginning of period | 5,021,565 | 4,876,565 | ||||||
Shares outstanding end of period | 9,226,565 | 3,751,565 | ||||||
Percentage change in shares outstanding | 83.7 | % | (23.1 | )% | ||||
Shares created | 4,460,000 | 1,635,000 | ||||||
Shares redeemed | 255,000 | 2,760,000 | ||||||
Per share NAV beginning of period | $ | 45.16 | $ | 83.04 | ||||
Per share NAV end of period | $ | 24.95 | $ | 91.09 | ||||
Percentage change in per share NAV | (44.8 | )% | 9.6 | % | ||||
Percentage change in benchmark | (44.4 | )% | 10.3 | % | ||||
Benchmark annualized volatility | 45.8 | % | 90.4 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 282,353,267 | $ | 403,644,956 | ||||
NAV end of period | $ | 261,698,747 | $ | 321,831,051 | ||||
Percentage change in NAV | (7.3) | % | (20.3) | % | ||||
Shares outstanding beginning of period | 3,334,307 | 8,384,307 | ||||||
Shares outstanding end of period | 3,034,307 | 6,634,307 | ||||||
Percentage change in shares outstanding | (9.0) | % | (20.9) | % | ||||
Shares created | 650,000 | 450,000 | ||||||
Shares redeemed | 950,000 | 2,200,000 | ||||||
Per share NAV beginning of period | $ | 84.68 | $ | 48.14 | ||||
Per share NAV end of period | $ | 86.25 | $ | 48.51 | ||||
Percentage change in per share NAV | 1.9 | % | 0.8 | % | ||||
Percentage change in benchmark | (6.1) | % | (5.7) | % | ||||
Benchmark annualized volatility | 52.0 | % | 51.0 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,851,366 | $ | (90,304 | ) | |||
Management fee | 634,871 | 914,054 | ||||||
Brokerage commission | 137,943 | 152,661 | ||||||
Futures account fees | — | 23,966 | ||||||
Non-recurring fees and expenses | — | 6,122 | ||||||
Net realized gain (loss) | 30,285,323 | 27,694,574 | ||||||
Change in net unrealized appreciation (depreciation) | (26,317,147 | ) | (17,470,190 | ) | ||||
Net Income (loss) | $ | 5,819,542 | $ | 10,134,080 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 738,194,368 | $ | 1,060,867,238 | ||||
NAV end of period | $ | 604,124,332 | $ | 724,595,262 | ||||
Percentage change in NAV | (18.2 | )% | (31.7 | )% | ||||
Shares outstanding beginning of period | 31,093,096 | 25,493,096 | ||||||
Shares outstanding end of period | 17,143,096 | 27,643,096 | ||||||
Percentage change in shares outstanding | (44.9 | )% | 8.4 | % | ||||
Shares created | — | 10,400,000 | ||||||
Shares redeemed | 13,950,000 | 8,250,000 | ||||||
Per share NAV beginning of period | $ | 23.74 | $ | 41.61 | ||||
Per share NAV end of period | $ | 35.24 | $ | 26.21 | ||||
Percentage change in per share NAV | 48.4 | % | (37.0 | )% | ||||
Percentage change in benchmark | 22.1 | % | (18.6 | )% | ||||
Benchmark annualized volatility | 18.4 | % | 42.8 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 3,659,529 | $ | 153,992 | ||||
Management fee | 1,629,737 | 2,118,088 | ||||||
Brokerage commission | 51,162 | 85,906 | ||||||
Futures account fees | — | 19,466 | ||||||
Non-recurring fees and expenses | — | 13,739 | ||||||
Net realized gain (loss) | 244,550,243 | (344,578,932 | ) | |||||
Change in net unrealized appreciation (depreciation) | 28,176,972 | (33,248,174 | ) | |||||
Net Income (loss) | $ | 276,386,744 | $ | (377,673,114 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 1,141,021,278 | $ | 187,297,842 | ||||
NAV end of period | $ | 870,339,281 | $ | 289,386,097 | ||||
Percentage change in NAV | (23.7 | )% | 54.5 | % | ||||
Shares outstanding beginning of period | 16,421,876 | 236,876 | ||||||
Shares outstanding end of period | 16,118,544 | 271,876 | ||||||
Percentage change in shares outstanding | (1.8 | )% | 14.8 | % | ||||
Shares created | 12,950,000 | 300,000 | ||||||
Shares redeemed | 13,253,332 | 265,000 | ||||||
Per share NAV beginning of period | $ | 69.48 | $ | 790.70 | ||||
Per share NAV end of period | $ | 54.00 | $ | 1064.40 | ||||
Percentage change in per share NAV | (22.3 | )% | 34.6 | % | ||||
Percentage change in benchmark | (9.2 | )% | 25.3 | % | ||||
Benchmark annualized volatility | 39.6 | % | 76.6 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 6,034,053 | $ | 104,679 | ||||
Management fee | 2,303,082 | 658,525 | ||||||
Brokerage commission | 629,541 | 97,589 | ||||||
Futures account fees | 131,828 | 43,620 | ||||||
Non-recurring fees and expenses | — | 4,791 | ||||||
Net realized gain (loss) | 237,080,036 | (5,893,297 | ) | |||||
Change in net unrealized appreciation (depreciation) | (410,472,245 | ) | 97,221,527 | |||||
Net Income (loss) | $ | (167,358,156 | ) | $ | 91,432,909 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 7,535,435 | $ | 9,415,626 | ||||
NAV end of period | $ | 6,523,481 | $ | 13,869,371 | ||||
Percentage change in NAV | (13.4 | )% | 47.3 | % | ||||
Shares outstanding beginning of period | 650,000 | 850,000 | ||||||
Shares outstanding end of period | 600,000 | 1,450,000 | ||||||
Percentage change in shares outstanding | (7.7 | )% | 70.6 | % | ||||
Shares created | — | 700,000 | ||||||
Shares redeemed | 50,000 | 100,000 | ||||||
Per share NAV beginning of period | $ | 11.59 | $ | 11.08 | ||||
Per share NAV end of period | $ | 10.87 | $ | 9.57 | ||||
Percentage change in per share NAV | (6.2 | )% | (13.7 | )% | ||||
Percentage change in benchmark | (3.1 | )% | (6.0 | )% | ||||
Benchmark annualized volatility | 6.7 | % | 10.5 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 63,747 | $ | 5,288 | ||||
Management fee | 16,999 | 31,331 | ||||||
Non-recurring fees and expenses | — | 237 | ||||||
Net realized gain (loss) | (22,385 | ) | (1,618,381 | ) | ||||
Change in net unrealized appreciation (depreciation) | (462,400 | ) | (95,012 | ) | ||||
Net Income (loss) | $ | (421,038 | ) | $ | (1,708,105 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 180,916,531 | $ | 239,938,853 | ||||
NAV end of period | $ | 147,696,557 | $ | 160,022,292 | ||||
Percentage change in NAV | (18.4 | )% | (33.3 | )% | ||||
Shares outstanding beginning of period | 3,100,000 | 4,250,000 | ||||||
Shares outstanding end of period | 2,800,000 | 3,400,000 | ||||||
Percentage change in shares outstanding | (9.7 | )% | (20.0 | )% | ||||
Shares created | 50,000 | 50,000 | ||||||
Shares redeemed | 350,000 | 900,000 | ||||||
Per share NAV beginning of period | $ | 58.36 | $ | 56.46 | ||||
Per share NAV end of period | $ | 52.75 | $ | 47.07 | ||||
Percentage change in per share NAV | (9.6 | )% | (16.6 | )% | ||||
Percentage change in benchmark | (3.9 | )% | (7.9 | )% | ||||
Benchmark annualized volatility | 9.5 | % | | 13.4 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,415,082 | $ | 191,709 | ||||
Management fee | 417,418 | 475,457 | ||||||
Brokerage commission | 5,346 | 8,176 | ||||||
Non-recurring fees and expenses | — | 2,940 | ||||||
Net realized gain (loss) | (16,875,865 | ) | (39,826,294 | ) | ||||
Change in net unrealized appreciation (depreciation) | (540,686 | ) | 2,222,833 | |||||
Net Income (loss) | $ | (16,001,469 | ) | $ | (37,411,752 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 356,791,659 | $ | 355,577,515 | ||||
NAV end of period | $ | 327,996,075 | $ | 323,970,863 | ||||
Percentage change in NAV | (8.1 | )% | (8.9 | )% | ||||
Shares outstanding beginning of period | 13,196,526 | 14,346,526 | ||||||
Shares outstanding end of period | 13,246,526 | 15,546,526 | ||||||
Percentage change in shares outstanding | 0.4 | % | 8.4 | % | ||||
Shares created | 1,500,000 | 2,450,000 | ||||||
Shares redeemed | 1,450,000 | 1,250,000 | ||||||
Per share NAV beginning of period | $ | 27.04 | $ | 24.78 | ||||
Per share NAV end of period | $ | 24.76 | $ | 20.84 | ||||
Percentage change in per share NAV | (8.4 | )% | (15.9 | )% | ||||
Percentage change in benchmark | (2.6 | )% | (6.5 | )% | ||||
Benchmark annualized volatility | 23.4 | % | 31.8 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 2,424,022 | $ | (15,349 | ) | |||
Management fee | 892,009 | 798,802 | ||||||
Brokerage commission | 27,874 | 34,796 | ||||||
Non-recurring fees and expenses | — | 5,922 | ||||||
Net realized gain (loss) | (30,251,410 | ) | (147,391,314 | ) | ||||
Change in net unrealized appreciation (depreciation) | 218,274 | 91,477,472 | ||||||
Net Income (loss) | $ | (27,609,114 | ) | $ | (55,929,191 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 387,764,059 | $ | 975,683,533 | ||||
NAV end of period | $ | 283,050,691 | $ | 995,489,778 | ||||
Percentage change in NAV | (27.0 | )% | 2.0 | % | ||||
Shares outstanding beginning of period | 20,977,842 | 6,722,842 | ||||||
Shares outstanding end of period | 17,474,459 | 7,732,842 | ||||||
Percentage change in shares outstanding | (16.7 | )% | 15.0 | % | ||||
Shares created | 13,400,000 | 9,340,000 | ||||||
Shares redeemed | 16,903,383 | 8,330,000 | ||||||
Per share NAV beginning of period | $ | 18.48 | $ | 145.13 | ||||
Per share NAV end of period | $ | 16.20 | $ | 128.74 | ||||
Percentage change in per share NAV | (12.4 | )% | (11.3 | )% | ||||
Percentage change in benchmark | (6.1 | )% | (5.7 | )% | ||||
Benchmark annualized volatility | 52.0 | % | 51.0 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,830,246 | $ | (402,633 | ) | |||
Management fee | 803,793 | 2,831,005 | ||||||
Brokerage commission | 517,699 | 1,276,819 | ||||||
Futures account fees | 103,793 | 219,828 | ||||||
Non-recurring fees and expenses | — | 20,117 | ||||||
Net realized gain (loss) | (142,584,256 | ) | (289,873,754 | ) | ||||
Change in net unrealized appreciation (depreciation) | 108,851,219 | 161,745,283 | ||||||
Net Income (loss) | $ | (31,902,791 | ) | $ | (128,531,104 | ) |
* |
10-Q regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF. |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 12,330,974 | $ | 5,024,773 | ||||
NAV end of period | $ | 17,508,248 | $ | 10,159,189 | ||||
Percentage change in NAV | 42.0 | % | 102.2 | % | ||||
Shares outstanding beginning of period | 449,970 | 149,970 | ||||||
Shares outstanding end of period | 699,970 | 349,970 | ||||||
Percentage change in shares outstanding | 55.6 | % | 133.4 | % | ||||
Shares created | 300,000 | 250,000 | ||||||
Shares redeemed | 50,000 | 50,000 | ||||||
Per share NAV beginning of period | $ | 27.40 | $ | 33.51 | ||||
Per share NAV end of period | $ | 25.01 | $ | 29.03 | ||||
Percentage change in per share NAV | (8.7 | )% | (13.3 | )% | ||||
Percentage change in benchmark | (3.4 | )% | (6.5 | )% | ||||
Benchmark annualized volatility | 8.9 | % | 11.2 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 138,386 | $ | 3,923 | ||||
Management fee | 35,968 | 21,245 | ||||||
Non-recurring fees and expenses | — | 194 | ||||||
Net realized gain (loss) | (1,854,770 | ) | (1,652,590 | ) | ||||
Change in net unrealized appreciation (depreciation) | 277,206 | (14,681 | ) | |||||
Net Income (loss) | $ | (1,439,178 | ) | $ | (1,663,348 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 339,591,638 | $ | 423,812,594 | ||||
NAV end of period | $ | 282,353,267 | $ | 403,644,956 | ||||
Percentage change in NAV | (16.9 | )% | (4.8 | )% | ||||
Shares outstanding beginning of period | 5,784,307 | 6,884,307 | ||||||
Shares outstanding end of period | 3,334,307 | 8,384,307 | ||||||
Percentage change in shares outstanding | (42.4 | )% | 21.8 | % | ||||
Shares created | 3,000,000 | 4,600,000 | ||||||
Shares redeemed | 5,450,000 | 3,100,000 | ||||||
Per share NAV beginning of period | $ | 58.71 | $ | 61.56 | ||||
Per share NAV end of period | $ | 84.68 | $ | 48.14 | ||||
Percentage change in per share NAV | 44.2 | % | (21.8 | )% | ||||
Percentage change in benchmark | (55.7 | )% | 21.6 | % | ||||
Benchmark annualized volatility | 58.0 | % | 88.1 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 112,854,952 | $ | 501,157,304 | ||||
NAV end of period | $ | 296,776,466 | $ | 368,791,089 | ||||
Percentage change in NAV | 163.0 | % | (26.4 | )% | ||||
Shares outstanding beginning of period | 4,405,220 | 21,755,220 | ||||||
Shares outstanding end of period | 17,605,220 | 12,155,220 | ||||||
Percentage change in shares outstanding | 299.6 | % | (44.1 | )% | ||||
Shares created | 17,250,000 | 11,050,000 | ||||||
Shares redeemed | 4,050,000 | 20,650,000 | ||||||
Per share NAV beginning of period | $ | 25.62 | $ | 23.04 | ||||
Per share NAV end of period | $ | 16.86 | $ | 30.34 | ||||
Percentage change in per share NAV | (34.2 | )% | 31.7 | % | ||||
Percentage change in benchmark | 22.1 | % | (18.6 | )% | ||||
Benchmark annualized volatility | 18.4 | % | 42.8 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 3,113,594 | $ | (2,390,922 | ) | |||
Management fee | 1,182,813 | 2,020,898 | ||||||
Brokerage commission | 249,925 | 365,250 | ||||||
Futures account fees | — | 324,251 | ||||||
Net realized gain (loss) | 94,806,479 | (54,216,320 | ) | |||||
Change in net unrealized appreciation (depreciation) | 12,828,278 | (30,209,873 | ) | |||||
Net Income (loss) | $ | 110,748,351 | $ | (86,817,115 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 859,094,274 | $ | 1,103,783,570 | ||||
NAV end of period | $ | 738,194,368 | $ | 1,060,867,238 | ||||
Percentage change in NAV | (14.1 | )% | (3.9 | )% | ||||
Shares outstanding beginning of period | 28,393,096 | 51,243,096 | ||||||
Shares outstanding end of period | 31,093,096 | 25,493,096 | ||||||
Percentage change in shares outstanding | 9.5 | % | (50.3 | )% | ||||
Shares created | 34,650,000 | 10,300,000 | ||||||
Shares redeemed | 31,950,000 | 36,050,000 | ||||||
Per share NAV beginning of period | $ | 30.26 | $ | 21.54 |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Per share NAV end of period | $ | 23.74 | $ | 41.61 | ||||
Percentage change in per share NAV | (21.5 | )% | 93.2 | % | ||||
Percentage change in benchmark | (9.5 | )% | 45.9 | % | ||||
Benchmark annualized volatility | 31.7 | % | 41.9 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 8,077,737 | $ | (5,308,864 | ) | |||
Management fee | 3,619,616 | 6,183,716 | ||||||
Brokerage commission | 188,647 | 335,751 | ||||||
Futures account fees | — | 362,288 | ||||||
Net realized gain (loss) | 9,365,632 | 1,162,711,373 | ||||||
Change in net unrealized appreciation (depreciation) | (92,671,285 | ) | (306,208,096 | ) | ||||
Net Income (loss) | $ | (75,227,916 | ) | $ | 851,194,413 |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 586,151,113 | $ | 193,892,178 | ||||
NAV end of period | $ | 1,141,021,278 | $ | 187,297,842 | ||||
Percentage change in NAV | 94.7 | % | (3.4 | )% | ||||
Shares outstanding beginning of period | 1,614,376 | 379,376 | ||||||
Shares outstanding end of period | 16,421,876 | 236,876 | ||||||
Percentage change in shares outstanding | 917.2 | % | (37.6 | )% | ||||
Shares created | 32,765,000 | 455,000 | ||||||
Shares redeemed | 17,957,500 | 597,500 | ||||||
Per share NAV beginning of period | $ | 363.08 | $ | 511.08 | ||||
Per share NAV end of period | $ | 69.48 | $ | 790.70 | ||||
Percentage change in per share NAV | (80.9 | )% | 54.7 | % | ||||
Percentage change in benchmark | (49.3 | )% | 48.9 | % | ||||
Benchmark annualized volatility | 69.2 | % | 80.3 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 2,006,197 | $ | 392,570 | ||||
Management fee | 548,671 | 1,160,746 | ||||||
Brokerage commission | 54,549 | 148,121 | ||||||
Futures account fees | — | 39,563 | ||||||
Non-recurring fees and expenses | — | 7,548 | ||||||
Net realized gain (loss) | (47,764,760 | ) | 66,444,885 | |||||
Change in net unrealized appreciation (depreciation) | (38,018,359 | ) | 76,987,949 | |||||
Net Income (loss) | $ | (83,776,922 | ) | $ | 143,825,404 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 141,324,963 | $ | 211,823,446 | ||||
NAV end of period | $ | 111,663,062 | $ | 242,389,998 | ||||
Percentage change in NAV | (21.0 | )% | 14.4 | % | ||||
Shares outstanding beginning of period | 2,566,856 | 4,966,856 | ||||||
Shares outstanding end of period | 1,816,856 | 13,966,856 | ||||||
Percentage change in shares outstanding | (29.2 | )% | 181.2 | % | ||||
Shares created | 5,500,000 | 58,900,000 | ||||||
Shares redeemed | 6,250,000 | 49,900,000 | ||||||
Per share NAV beginning of period | $ | 55.06 | $ | 42.65 | ||||
Per share NAV end of period | $ | 61.46 | $ | 17.35 | ||||
Percentage change in per share NAV | 11.6 | % | (59.3 | )% | ||||
Percentage change in benchmark | (9.2 | )% | 25.3 | % | ||||
Benchmark annualized volatility | 39.6 | % | 76.6 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,013,760 | $ | (5,144 | ) | |||
Management fee | 304,567 | 730,949 | ||||||
Brokerage commission | 133,782 | 173,386 | ||||||
Futures account fees | 23,941 | 48,485 | ||||||
Non-recurring fees and expenses | — | 5,374 | ||||||
Net realized gain (loss) | (10,798,625 | ) | 8,115,767 | |||||
Change in net unrealized appreciation (depreciation) | 44,086,822 | (23,467,384 | ) | |||||
Net Income (loss) | $ | 34,301,957 | $ | (15,356,761 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 50,931,301 | $ | 62,270,097 | ||||
NAV end of period | $ | 44,004,408 | $ | 90,584,278 | ||||
Percentage change in NAV | (13.6 | )% | 45.5 | % | ||||
Shares outstanding beginning of period | 1,750,000 | 2,050,000 | ||||||
Shares outstanding end of period | 1,400,000 | 2,600,000 | ||||||
Percentage change in shares outstanding | (20.0 | )% | 26.8 | % | ||||
Shares created | — | 1,100,000 | ||||||
Shares redeemed | 350,000 | 550,000 | ||||||
Per share NAV beginning of period | $ | 29.10 | $ | 30.38 | ||||
Per share NAV end of period | $ | 31.43 | $ | 34.84 | ||||
Percentage change in per share NAV | 8.0 | % | 14.7 | % | ||||
Percentage change in benchmark | (3.1 | )% | (6.5 | )% | ||||
Benchmark annualized volatility | 6.7 | % | 11.2 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 412,212 | $ | 25,953 | ||||
Management fee | 111,472 | 203,036 | ||||||
Non-recurring fees and expenses | — | 1,835 | ||||||
Net realized gain (loss) | (122,866 | ) | 11,086,708 | |||||
Change in net unrealized appreciation (depreciation) | 3,207,102 | (292,818 | ) | |||||
Net Income (loss) | $ | 3,496,448 | $ | 10,819,843 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 15,809,378 | $ | 34,611,284 | ||||
NAV end of period | $ | 14,365,869 | $ | 29,634,725 | ||||
Percentage change in NAV | (9.1 | )% | (14.4 | )% | ||||
Shares outstanding beginning of period | 546,977 | 1,096,977 | ||||||
Shares outstanding end of period | 446,977 | 796,977 | ||||||
Percentage change in shares outstanding | (18.3 | )% | (27.3 | )% | ||||
Shares created | 100,000 | 350,000 | ||||||
Shares redeemed | 200,000 | 650,000 | ||||||
Per share NAV beginning of period | $ | 28.90 | $ | 31.55 | ||||
Per share NAV end of period | $ | 32.14 | $ | 37.18 | ||||
Percentage change in per share NAV | 11.2 | % | 17.9 | % | ||||
Percentage change in benchmark | (3.9 | )% | (7.9 | )% | ||||
Benchmark annualized volatility | 9.5 | % | 13.4 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 108,638 | $ | (8,595 | ) | |||
Management fee | 32,970 | 76,652 | ||||||
Brokerage commission | 1,099 | 3,565 | ||||||
Non-recurring fees and expenses | — | 639 | ||||||
Net realized gain (loss) | 1,436,424 | 4,988,228 | ||||||
Change in net unrealized appreciation (depreciation) | (251,606 | ) | 841,546 | |||||
Net Income (loss) | $ | 1,293,456 | $ | 5,821,179 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 19,290,473 | $ | 33,052,840 | ||||
NAV end of period | $ | 16,967,517 | $ | 33,763,052 | ||||
Percentage change in NAV | (12.0 | )% | 2.1 | % | ||||
Shares outstanding beginning of period | 941,329 | 1,041,329 | ||||||
Shares outstanding end of period | 791,329 | 991,329 | ||||||
Percentage change in shares outstanding | (15.9 | )% | (4.8 | )% | ||||
Shares created | 2,950,000 | 1,000,000 | ||||||
Shares redeemed | 3,100,000 | 1,050,000 | ||||||
Per share NAV beginning of period | $ | 20.49 | $ | 31.74 | ||||
Per share NAV end of period | $ | 21.44 | $ | 34.06 | ||||
Percentage change in per share NAV | 4.6 | % | 7.3 | % | ||||
Percentage change in benchmark | (2.6 | )% | (6.5 | )% | ||||
Benchmark annualized volatility | 23.4 | % | 31.8 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 245,155 | $ | (13,304 | ) | |||
Management fee | 78,166 | 67,215 | ||||||
Brokerage commission | 13,775 | 8,699 | ||||||
Non-recurring fees and expenses | — | 612 | ||||||
Net realized gain (loss) | 6,921,431 | 6,215,407 | ||||||
Change in net unrealized appreciation (depreciation) | 61,770 | (4,075,524 | ) | |||||
Net Income (loss) | $ | 7,228,356 | $ | 2,126,579 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 27,077,656 | $ | 45,568,882 | ||||
NAV end of period | $ | 26,172,191 | $ | 51,937,338 | ||||
Percentage change in NAV | (3.3 | )% | 14.0 | % | ||||
Shares outstanding beginning of period | 398,580 | 798,580 | ||||||
Shares outstanding end of period | 348,580 | 798,580 | ||||||
Percentage change in shares outstanding | (12.5 | )% | – | % | ||||
Shares created | — | 250,000 | ||||||
Shares redeemed | 50,000 | 250,000 | ||||||
Per share NAV beginning of period | $ | 67.94 | $ | 57.06 | ||||
Per share NAV end of period | $ | 75.08 | $ | 65.04 | ||||
Percentage change in per share NAV | 10.5 | % | 14.0 | % | ||||
Percentage change in benchmark | (3.4 | )% | (6.5 | )% | ||||
Benchmark annualized volatility | 8.9 | % | 11.2 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 215,363 | $ | 7,640 | ||||
Management fee | 58,762 | 106,598 | ||||||
Non-recurring fees and expenses | — | 953 | ||||||
Net realized gain (loss) | 3,079,208 | 5,879,873 | ||||||
Change in net unrealized appreciation (depreciation) | (1,059,246 | ) | (523,871 | ) | ||||
Net Income (loss) | $ | 2,235,325 | $ | 5,363,642 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 49,421,413 | $ | 95,721,271 | ||||
NAV end of period | $ | 59,968,024 | $ | 110,420,574 | ||||
Percentage change in NAV | 21.3 | % | 15.4 | % | ||||
Shares outstanding beginning of period | 2,412,403 | 2,712,403 | ||||||
Shares outstanding end of period | 3,087,403 | 3,112,403 | ||||||
Percentage change in shares outstanding | 28.0 | % | 14.7 | % | ||||
Shares created | 850,000 | 850,000 | ||||||
Shares redeemed | 175,000 | 450,000 | ||||||
Per share NAV beginning of period | $ | 20.49 | $ | 35.29 | ||||
Per share NAV end of period | $ | 19.42 | $ | 35.48 | ||||
Percentage change in per share NAV | (5.2 | )% | 0.6 | % | ||||
Percentage change in benchmark | (4.6 | )% | 1.1 | % | ||||
Benchmark annualized volatility | 23.8 | % | 22.1 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 461,209 | $ | (1,269 | ) | |||
Management fee | 117,018 | 201,508 | ||||||
Brokerage commission | 8,822 | 17,922 | ||||||
Futures account fees | 9,991 | — | ||||||
Non-recurring fees and expenses | — | 2,050 | ||||||
Net realized gain (loss) | (12,244,511 | ) | (1,349,272 | ) | ||||
Change in net unrealized appreciation (depreciation) | 8,934,542 | 3,368,209 | ||||||
Net Income (loss) | $ | (2,848,760 | ) | $ | 2,017,668 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 230,227,830 | $ | 341,714,316 | ||||
NAV end of period | $ | 211,604,428 | $ | 437,536,628 | ||||
Percentage change in NAV | (8.2 | )% | 28.0 | % | ||||
Shares outstanding beginning of period | 9,226,565 | 3,751,565 | ||||||
Shares outstanding end of period | 9,075,947 | 5,116,565 | ||||||
Percentage change in shares outstanding | (1.6 | )% | 36.4 | % | ||||
Shares created | 2,475,000 | 3,555,000 | ||||||
Shares redeemed | 2,625,618 | 2,190,000 | ||||||
Per share NAV beginning of period | $ | 24.95 | $ | 91.09 | ||||
Per share NAV end of period | $ | 23.31 | $ | 85.51 | ||||
Percentage change in per share NAV | (6.6 | )% | (6.1 | )% | ||||
Percentage change in benchmark | (6.1 | )% | (5.7 | )% | ||||
Benchmark annualized volatility | 52.0 | % | 51.0 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,721,249 | $ | 259,392 | ||||
Management fee | 447,560 | 874,070 | ||||||
Brokerage commission | 58,426 | 203,095 | ||||||
Futures account fees | 44,110 | 54,944 | ||||||
Non-recurring fees and expenses | — | 8,700 | ||||||
Net realized gain (loss) | (54,950,042 | ) | (45,457,319 | ) | ||||
Change in net unrealized appreciation (depreciation) | 41,841,191 | 51,698,947 | ||||||
Net Income (loss) | $ | (11,387,602 | ) | $ | 6,501,020 |
* | 10-Q
|
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 339,591,638 | $ | 423,812,594 | ||||
NAV end of period | $ | 261,698,747 | $ | 321,831,051 | ||||
Percentage change in NAV | (22.9 | )% | (24.1 | )% | ||||
Shares outstanding beginning of period | 5,784,307 | 6,884,307 | ||||||
Shares outstanding end of period | 3,034,307 | 6,634,307 | ||||||
Percentage change in shares outstanding | (47.5 | )% | (3.6 | )% | ||||
Shares created | 3,650,000 | 5,050,000 | ||||||
Shares redeemed | 6,400,000 | 5,300,000 | ||||||
Per share NAV beginning of period | $ | 58.71 | $ | 61.56 | ||||
Per share NAV end of period | $ | 86.25 | $ | 48.51 | ||||
Percentage change in per share NAV | 46.9 | % | (21.2 | )% | ||||
Percentage change in benchmark | (58.4 | )% | 14.7 | % | ||||
Benchmark annualized volatility | 56.0 | % | 86.1 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 10,704,662 | $ | 8,659,095 | ||||
NAV end of period | $ | 7,535,435 | $ | 9,415,626 | ||||
Percentage change in NAV | (29.6 | )% | 8.7 | % | ||||
Shares outstanding beginning of period | 950,000 | 650,000 | ||||||
Shares outstanding end of period | 650,000 | 850,000 | ||||||
Percentage change in shares outstanding | (31.6 | )% | 30.8 | % | ||||
Shares created | 200,000 | 550,000 | ||||||
Shares redeemed | 500,000 | 350,000 | ||||||
Per share NAV beginning of period | $ | 11.27 | $ | 13.32 | ||||
Per share NAV end of period | $ | 11.59 | $ | 11.08 | ||||
Percentage change in per share NAV | 2.9 | % | (16.8 | )% | ||||
Percentage change in benchmark | 1.9 | % | (7.9 | )% | ||||
Benchmark annualized volatility | 8.0 | % | 8.8 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 141,322 | $ | (24,206 | ) | |||
Management fee | 44,097 | 35,315 | ||||||
Net realized gain (loss) | 358,570 | (893,344 | ) | |||||
Change in net unrealized appreciation (depreciation) | (175,968 | ) | (419,715 | ) | ||||
Net Income (loss) | $ | 323,924 | $ | (1,337,265 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 173,524,136 | $ | 232,780,534 | ||||
NAV end of period | $ | 180,916,531 | $ | 239,938,853 | ||||
Percentage change in NAV | 4.3 | % | 3.1 | % | ||||
Shares outstanding beginning of period | 3,150,000 | 3,900,000 | ||||||
Shares outstanding end of period | 3,100,000 | 4,250,000 | ||||||
Percentage change in shares outstanding | (1.6 | )% | 9.0 | % | ||||
Shares created | 450,000 | 1,600,000 | ||||||
Shares redeemed | 500,000 | 1,250,000 | ||||||
Per share NAV beginning of period | $ | 55.09 | $ | 59.69 | ||||
Per share NAV end of period | $ | 58.36 | $ | 56.46 | ||||
Percentage change in per share NAV | 5.9 | % | (5.4 | )% | ||||
Percentage change in benchmark | 5.4 | % | (1.5 | )% | ||||
Benchmark annualized volatility | 14.3 | % | 15.7 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 2,715,295 | $ | (1,037,188 | ) | |||
Management fee | 901,375 | 1,387,563 | ||||||
Brokerage commission | 15,540 | 35,723 | ||||||
Futures account fees | — | 28,169 | ||||||
Net realized gain (loss) | 27,968,003 | (82,487 | ) | |||||
Change in net unrealized appreciation (depreciation) | (22,166,463 | ) | (19,849,468 | ) | ||||
Net Income (loss) | $ | 8,516,835 | $ | (20,969,143 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 414,285,878 | $ | 515,453,594 | ||||
NAV end of period | $ | 356,791,659 | $ | 355,577,515 | ||||
Percentage change in NAV | (13.9 | )% | (31.0 | )% | ||||
Shares outstanding beginning of period | 13,046,526 | 14,796,526 | ||||||
Shares outstanding end of period | 13,196,526 | 14,346,526 | ||||||
Percentage change in shares outstanding | 1.1 | % | (3.0 | )% | ||||
Shares created | 2,600,000 | 1,800,000 | ||||||
Shares redeemed | 2,450,000 | 2,250,000 |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Per share NAV beginning of period | $ | 31.75 | $ | 34.84 | ||||
Per share NAV end of period | $ | 27.04 | $ | 24.78 | ||||
Percentage change in per share NAV | (14.8 | )% | (28.9 | )% | ||||
Percentage change in benchmark | (4.4 | )% | (13.4 | )% | ||||
Benchmark annualized volatility | 25.8 | % | 28.2 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 5,153,877 | $ | (1,823,952 | ) | |||
Management fee | 1,848,064 | 2,299,939 | ||||||
Brokerage commission | 73,637 | 59,283 | ||||||
Futures account fees | — | 26,693 | ||||||
Net realized gain (loss) | 35,871,579 | (39,558,312 | ) | |||||
Change in net unrealized appreciation (depreciation) | (96,665,222 | ) | (108,172,044 | ) | ||||
Net Income (loss) | $ | (55,639,766 | ) | $ | (149,554,308 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 4,964,960 | $ | (2,481,226 | ) | |||
Management fee | 1,817,684 | 2,934,952 | ||||||
Brokerage commission | 387,868 | 517,911 | ||||||
Futures account fees | — | 348,217 | ||||||
Non-recurring fees and expenses | — | 6,122 | ||||||
Net realized gain (loss) | 125,091,802 | (26,521,746 | ) | |||||
Change in net unrealized appreciation (depreciation) | (13,488,869 | ) | (47,680,063 | ) | ||||
Net Income (loss) | $ | 116,567,893 | $ | (76,683,035 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 859,094,274 | $ | 1,103,783,570 | ||||
NAV end of period | $ | 604,124,332 | $ | 724,595,262 | ||||
Percentage change in NAV | (29.7 | )% | (34.4 | )% | ||||
Shares outstanding beginning of period | 28,393,096 | 51,243,096 | ||||||
Shares outstanding end of period | 17,143,096 | 27,643,096 | ||||||
Percentage change in shares outstanding | (39.6 | )% | (46.1 | )% | ||||
Shares created | 34,650,000 | 20,700,000 | ||||||
Shares redeemed | 45,900,000 | 44,300,000 | ||||||
Per share NAV beginning of period | $ | 30.26 | $ | 21.54 | ||||
Per share NAV end of period | $ | 35.24 | $ | 26.21 | ||||
Percentage change in per share NAV | 16.5 | % | 21.7 | % | ||||
Percentage change in benchmark | 10.5 | % | 18.7 | % | ||||
Benchmark annualized volatility | 28.0 | % | 45.6 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 11,737,266 | $ | (5,154,872 | ) | |||
Management fee | 5,249,353 | 8,301,804 | ||||||
Brokerage commission | 239,809 | 421,657 | ||||||
Futures account fees | — | 381,754 | ||||||
Non-recurring fees and expenses | — | 13,739 | ||||||
Net realized gain (loss) | 253,915,875 | 818,132,441 | ||||||
Change in net unrealized appreciation (depreciation) | (64,494,313 | ) | (339,456,270 | ) | ||||
Net Income (loss) | $ | 201,158,828 | $ | 473,521,299 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 586,151,113 | $ | 193,892,178 | ||||
NAV end of period | $ | 870,339,281 | $ | 289,386,097 | ||||
Percentage change in NAV | 48.5 | % | 49.3 | % | ||||
Shares outstanding beginning of period | 1,614,376 | 379,376 | ||||||
Shares outstanding end of period | 16,118,544 | 271,876 | ||||||
Percentage change in shares outstanding | 898.4 | % | (28.3 | )% | ||||
Shares created | 45,715,000 | 755,000 | ||||||
Shares redeemed | 31,210,832 | 862,500 | ||||||
Per share NAV beginning of period | $ | 363.08 | $ | 511.08 | ||||
Per share NAV end of period | $ | 54.00 | $ | 1064.40 | ||||
Percentage change in per share NAV | (85.1 | )% | 108.3 | % | ||||
Percentage change in benchmark | (54.0 | )% | 86.6 | % | ||||
Benchmark annualized volatility | 60.8 | % | 71.7 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 16,444,672 | $ | (977,992 | ) | |||
Management fee | 7,220,063 | 1,589,759 | ||||||
Brokerage commission | 2,727,691 | 300,747 | ||||||
Futures account fees | 531,306 | 177,950 | ||||||
Non-recurring fees and expenses | — | 4,791 | ||||||
Net realized gain (loss) | (1,441,441,743 | ) | 235,314,633 | |||||
Change in net unrealized appreciation (depreciation) | 194,575,089 | (89,199,198 | ) | |||||
Net Income (loss) | $ | (1,230,421,982 | ) | $ | 145,137,443 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 10,704,662 | $ | 8,659,095 | ||||
NAV end of period | $ | 6,523,481 | $ | 13,869,371 | ||||
Percentage change in NAV | (39.1 | )% | 60.2 | % | ||||
Shares outstanding beginning of period | 950,000 | 650,000 | ||||||
Shares outstanding end of period | 600,000 | 1,450,000 | ||||||
Percentage change in shares outstanding | (36.8 | )% | 123.1 | % | ||||
Shares created | 200,000 | 1,250,000 | ||||||
Shares redeemed | 550,000 | 450,000 | ||||||
Per share NAV beginning of period | $ | 11.27 | $ | 13.32 | ||||
Per share NAV end of period | $ | 10.87 | $ | 9.57 | ||||
Percentage change in per share NAV | (3.5 | )% | (28.2 | )% | ||||
Percentage change in benchmark | (1.2 | )% | (13.2 | )% | ||||
Benchmark annualized volatility | 7.6 | % | 9.4 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 205,069 | $ | (18,918 | ) | |||
Management fee | 61,096 | 66,646 | ||||||
Non-recurring fees and expenses | — | 237 | ||||||
Net realized gain (loss) | 336,185 | (2,511,725 | ) | |||||
Change in net unrealized appreciation (depreciation) | (638,368 | ) | (514,727 | ) | ||||
Net Income (loss) | $ | (97,114 | ) | $ | (3,045,370 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 173,524,136 | $ | 232,780,534 | ||||
NAV end of period | $ | 147,696,557 | $ | 160,022,292 | ||||
Percentage change in NAV | (14.9 | )% | (31.3 | )% | ||||
Shares outstanding beginning of period | 3,150,000 | 3,900,000 | ||||||
Shares outstanding end of period | 2,800,000 | 3,400,000 | ||||||
Percentage change in shares outstanding | (11.1 | )% | (12.8 | )% | ||||
Shares created | 500,000 | 1,650,000 | ||||||
Shares redeemed | 850,000 | 2,150,000 | ||||||
Per share NAV beginning of period | $ | 55.09 | $ | 59.69 | ||||
Per share NAV end of period | $ | 52.75 | $ | 47.07 | ||||
Percentage change in per share NAV | (4.3 | )% | (21.1 | )% | ||||
Percentage change in benchmark | 1.3 | % | (9.3 | )% | ||||
Benchmark annualized volatility | 12.9 | % | 17.4 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 4,130,377 | $ | (845,479 | ) | |||
Management fee | 1,318,793 | 1,863,020 | ||||||
Brokerage commission | 20,886 | 43,899 | ||||||
Futures account fees | — | 28,169 | ||||||
Non-recurring fees and expenses | — | 2,940 | ||||||
Net realized gain (loss) | 11,092,138 | (39,908,781 | ) | |||||
Change in net unrealized appreciation (depreciation) | (22,707,149 | ) | (17,626,635 | ) | ||||
Net Income (loss) | $ | (7,484,634 | ) | $ | (58,380,895 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 414,285,878 | $ | 515,453,594 | ||||
NAV end of period | $ | 327,996,075 | $ | 323,970,863 | ||||
Percentage change in NAV | (20.8 | )% | (37.1 | )% | ||||
Shares outstanding beginning of period | 13,046,526 | 14,796,526 | ||||||
Shares outstanding end of period | 13,246,526 | 15,546,526 | ||||||
Percentage change in shares outstanding | 1.5 | % | 5.1 | % | ||||
Shares created | 4,100,000 | 4,250,000 | ||||||
Shares redeemed | 3,900,000 | 3,500,000 | ||||||
Per share NAV beginning of period | $ | 31.75 | $ | 34.84 | ||||
Per share NAV end of period | $ | 24.76 | $ | 20.84 | ||||
Percentage change in per share NAV | (22.0 | )% | (40.2 | )% | ||||
Percentage change in benchmark | (6.9 | )% | (19.0 | )% | ||||
Benchmark annualized volatility | 25.0 | % | 31.7 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 7,577,899 | $ | (1,839,301 | ) | |||
Management fee | 2,740,073 | 3,098,741 | ||||||
Brokerage commission | 101,511 | 94,079 | ||||||
Futures account fees | — | 26,693 | ||||||
Non-recurring fees and expenses | — | 5,922 | ||||||
Net realized gain (loss) | 5,620,169 | (186,949,626 | ) | |||||
Change in net unrealized appreciation (depreciation) | (96,446,948 | ) | (16,694,572 | ) | ||||
Net Income (loss) | $ | (83,248,880 | ) | $ | (205,483,499 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 639,318,362 | $ | 816,679,636 | ||||
NAV end of period | $ | 283,050,691 | $ | 995,489,778 | ||||
Percentage change in NAV | (55.7 | )% | 21.9 | % | ||||
Shares outstanding beginning of period | 9,307,842 | 6,582,842 | ||||||
Shares outstanding end of period | 17,474,459 | 7,732,842 | ||||||
Percentage change in shares outstanding | 87.7 | % | 17.5 | % | ||||
Shares created | 34,710,000 | 23,490,000 | ||||||
Shares redeemed | 26,543,383 | 22,340,000 | ||||||
Per share NAV beginning of period | $ | 68.69 | $ | 124.06 | ||||
Per share NAV end of period | $ | 16.20 | $ | 128.74 | ||||
Percentage change in per share NAV | (76.4 | )% | 3.7 | % | ||||
Percentage change in benchmark | (58.4 | )% | 14.7 | % | ||||
Benchmark annualized volatility | 56.0 | % | 86.1 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 6,553,073 | $ | (7,265,397 | ) | |||
Management fee | 3,507,644 | 7,085,920 | ||||||
Brokerage commission | 2,007,911 | 3,183,788 | ||||||
Futures account fees | 354,153 | 1,446,639 | ||||||
Non-recurring fees and expenses | — | 20,117 | ||||||
Net realized gain (loss) | (751,125,820 | ) | 81,807,278 | |||||
Change in net unrealized appreciation (depreciation) | 65,573,569 | 323,479,748 | ||||||
Net Income (loss) | $ | (678,999,178 | ) | $ | 398,021,629 |
* | 10-Q regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures
|
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 13,814,796 | $ | 2,362,849 | ||||
NAV end of period | $ | 17,508,248 | $ | 10,159,189 | ||||
Percentage change in NAV | 26.7 | % | 330.0 | % | ||||
Shares outstanding beginning of period | 399,970 | 49,970 | ||||||
Shares outstanding end of period | 699,970 | 349,970 | ||||||
Percentage change in shares outstanding | 75.0 | % | 600.4 | % | ||||
Shares created | 500,000 | 350,000 | ||||||
Shares redeemed | 200,000 | 50,000 | ||||||
Per share NAV beginning of period | $ | 34.54 | $ | 47.29 | ||||
Per share NAV end of period | $ | 25.01 | $ | 29.03 | ||||
Percentage change in per share NAV | (27.6 | )% | (38.6 | )% | ||||
Percentage change in benchmark | (12.2 | )% | (20.3 | )% | ||||
Benchmark annualized volatility | 10.2 | % | 10.1 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 317,594 | $ | (5,605 | ) | |||
Management fee | 91,858 | 34,710 | ||||||
Non-recurring fees and expenses | — | 194 | ||||||
Net realized gain (loss) | (2,923,720 | ) | (2,531,291 | ) | ||||
Change in net unrealized appreciation (depreciation) | (1,564,970 | ) | (3,861 | ) | ||||
Net Income (loss) | $ | (4,171,096 | ) | $ | (2,540,757 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 222,697,337 | $ | 114,167,602 | ||||
NAV end of period | $ | 296,776,466 | $ | 368,791,089 | ||||
Percentage change in NAV | 33.3 | % | 223.0 | % | ||||
Shares outstanding beginning of period | 9,305,220 | 1,776,760 | ||||||
Shares outstanding end of period | 17,605,220 | 12,155,220 | ||||||
Percentage change in shares outstanding | 89.2 | % | 584.1 | % | ||||
Shares created | 28,800,000 | 38,940,000 | ||||||
Shares redeemed | 20,500,000 | 28,561,540 | ||||||
Per share NAV beginning of period | $ | 23.93 | $ | 64.26 | ||||
Per share NAV end of period | $ | 16.86 | $ | 30.34 | ||||
Percentage change in per share NAV | (29.6 | )% | (52.8 | )% | ||||
Percentage change in benchmark | 10.5 | % | 18.7 | % | ||||
Benchmark annualized volatility | 28.0 | % | 45.6 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 4,599,541 | $ | (1,043,095 | ) | |||
Management fee | 1,392,728 | 2,599,503 | ||||||
Brokerage commission | 180,385 | 332,256 | ||||||
Futures account fees | — | 195,542 | ||||||
Non-recurring fees and expenses | — | 7,548 | ||||||
Net realized gain (loss) | 7,884,531 | (142,631,216 | ) | |||||
Change in net unrealized appreciation (depreciation) | (35,278,737 | ) | 113,674,105 | |||||
Net Income (loss) | $ | (22,794,665 | ) | $ | (30,000,206 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 134,109,520 | $ | 242,145,130 | ||||
NAV end of period | $ | 111,663,062 | $ | 242,389,998 | ||||
Percentage change in NAV | (16.7 | )% | 0.1 | % | ||||
Shares outstanding beginning of period | 4,966,856 | 978,742 | ||||||
Shares outstanding end of period | 1,816,856 | 13,966,856 | ||||||
Percentage change in shares outstanding | (63.4 | )% | 1,327.0 | % | ||||
Shares created | 19,350,000 | 82,240,000 | ||||||
Shares redeemed | 22,500,000 | 69,251,886 | ||||||
Per share NAV beginning of period | $ | 27.00 | $ | 247.40 | ||||
Per share NAV end of period | $ | 61.46 | $ | 17.35 | ||||
Percentage change in per share NAV | 127.7 | % | (93.0 | )% | ||||
Percentage change in benchmark | (54.0 | )% | 86.6 | % | ||||
Benchmark annualized volatility | 60.8 | % | 71.7 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 2,446,610 | $ | (1,452,942 | ) | |||
Management fee | 903,703 | 1,784,017 | ||||||
Brokerage commission | 577,070 | 539,244 | ||||||
Futures account fees | 80,308 | 255,370 | ||||||
Non-recurring fees and expenses | — | 5,374 | ||||||
Net realized gain (loss) | 221,345,184 | (389,255,425 | ) | |||||
Change in net unrealized appreciation (depreciation) | (62,123,076 | ) | 116,824,672 | |||||
Net Income (loss) | $ | 161,668,718 | $ | (273,883,695 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 75,113,179 | $ | 54,263,045 | ||||
NAV end of period | $ | 44,004,408 | $ | 90,584,278 | ||||
Percentage change in NAV | (41.4 | )% | 66.9 | % | ||||
Shares outstanding beginning of period | 2,550,000 | 2,100,000 | ||||||
Shares outstanding end of period | 1,400,000 | 2,600,000 | ||||||
Percentage change in shares outstanding | (45.1 | )% | 23.8 | % | ||||
Shares created | 100,000 | 1,650,000 | ||||||
Shares redeemed | 1,250,000 | 1,150,000 | ||||||
Per share NAV beginning of period | $ | 29.46 | $ | 25.84 | ||||
Per share NAV end of period | $ | 31.43 | $ | 34.84 | ||||
Percentage change in per share NAV | 6.7 | % | 34.8 | % | ||||
Percentage change in benchmark | (1.2 | )% | (13.2 | )% | ||||
Benchmark annualized volatility | 7.6 | % | 9.4 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,360,409 | $ | (184,021 | ) | |||
Management fee | 404,141 | 467,426 | ||||||
Non-recurring fees and expenses | — | 1,835 | ||||||
Net realized gain (loss) | (2,576,119 | ) | 16,904,945 | |||||
Change in net unrealized appreciation (depreciation) | 3,904,782 | 3,015,661 | ||||||
Net Income (loss) | $ | 2,689,072 | $ | 19,736,585 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 15,456,037 | $ | 26,859,844 | ||||
NAV end of period | $ | 14,365,869 | $ | 29,634,725 | ||||
Percentage change in NAV | (7.1 | )% | 10.3 | % | ||||
Shares outstanding beginning of period | 496,977 | 846,977 | ||||||
Shares outstanding end of period | 446,977 | 796,977 | ||||||
Percentage change in shares outstanding | (10.1 | )% | (5.9 | )% | ||||
Shares created | 700,000 | 1,500,000 | ||||||
Shares redeemed | 750,000 | 1,550,000 | ||||||
Per share NAV beginning of period | $ | 31.10 | $ | 31.71 | ||||
Per share NAV end of period | $ | 32.14 | $ | 37.18 | ||||
Percentage change in per share NAV | 3.4 | % | 17.3 | % | ||||
Percentage change in benchmark | 1.3 | % | (9.3 | )% | ||||
Benchmark annualized volatility | 12.9 | % | 17.4 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 343,044 | $ | (128,991 | ) | |||
Management fee | 112,212 | 218,466 | ||||||
Brokerage commission | 4,065 | 9,361 | ||||||
Futures account fees | — | 2,446 | ||||||
Non-recurring fees and expenses | — | 639 | ||||||
Net realized gain (loss) | (1,147,608 | ) | 3,237,429 | |||||
Change in net unrealized appreciation (depreciation) | 1,851,613 | 3,160,276 | ||||||
Net Income (loss) | $ | 1,047,049 | $ | 6,268,714 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 31,932,799 | $ | 26,537,000 | ||||
NAV end of period | $ | 16,967,517 | $ | 33,763,052 | ||||
Percentage change in NAV | (46.9 | )% | 27.2 | % | ||||
Shares outstanding beginning of period | 1,641,329 | 991,329 | ||||||
Shares outstanding end of period | 791,329 | 991,329 | ||||||
Percentage change in shares outstanding | (51.8 | )% | — | % | ||||
Shares created | 6,050,000 | 2,800,000 | ||||||
Shares redeemed | 6,900,000 | 2,800,000 | ||||||
Per share NAV beginning of period | $ | 19.46 | $ | 26.77 | ||||
Per share NAV end of period | $ | 21.44 | $ | 34.06 | ||||
Percentage change in per share NAV | 10.2 | % | 27.2 | % | ||||
Percentage change in benchmark | (6.9 | )% | (19.0 | )% | ||||
Benchmark annualized volatility | 25.0 | % | 31.7 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 611,721 | $ | (125,396 | ) | |||
Management fee | 220,751 | 190,549 | ||||||
Brokerage commission | 28,436 | 20,677 | ||||||
Futures account fees | — | 4,443 | ||||||
Non-recurring fees and expenses | — | 612 | ||||||
Net realized gain (loss) | 10,747,744 | 8,252,703 | ||||||
Change in net unrealized appreciation (depreciation) | 4,528,828 | 1,567,440 | ||||||
Net Income (loss) | $ | 15,888,293 | $ | 9,694,747 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 21,397,736 | $ | 24,840,784 | ||||
NAV end of period | $ | 26,172,191 | $ | 51,937,338 | ||||
Percentage change in NAV | 22.3 | % | 109.1 | % | ||||
Shares outstanding beginning of period | 398,580 | 598,580 | ||||||
Shares outstanding end of period | 348,580 | 798,580 | ||||||
Percentage change in shares outstanding | (12.5 | )% | 33.4 | % | ||||
Shares created | 450,000 | 1,100,000 | ||||||
Shares redeemed | 500,000 | 900,000 | ||||||
Per share NAV beginning of period | $ | 53.68 | $ | 41.50 | ||||
Per share NAV end of period | $ | 75.08 | $ | 65.04 | ||||
Percentage change in per share NAV | 39.9 | % | 56.7 | % | ||||
Percentage change in benchmark | (12.2 | )% | (20.3 | )% | ||||
Benchmark annualized volatility | 10.2 | % | 10.1 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 565,926 | $ | (109,049 | ) | |||
Management fee | 167,753 | 259,599 | ||||||
Non-recurring fees and expenses | — | 953 | ||||||
Net realized gain (loss) | 3,422,003 | 14,980,187 | ||||||
Change in net unrealized appreciation (depreciation) | 3,945,278 | (453,336 | ) | |||||
Net Income (loss) | $ | 7,933,207 | $ | 14,417,802 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 84,014,959 | $ | 112,875,680 | ||||
NAV end of period | $ | 59,968,024 | $ | 110,420,574 | ||||
Percentage change in NAV | (28.6 | )% | (2.2 | )% | ||||
Shares outstanding beginning of period | 2,762,403 | 3,687,403 | ||||||
Shares outstanding end of period | 3,087,403 | 3,112,403 | ||||||
Percentage change in shares outstanding | 11.8 | % | (15.6 | )% | ||||
Shares created | 1,700,000 | 1,850,000 | ||||||
Shares redeemed | 1,375,000 | 2,425,000 | ||||||
Per share NAV beginning of period | $ | 30.41 | $ | 30.61 | ||||
Per share NAV end of period | $ | 19.42 | $ | 35.48 | ||||
Percentage change in per share NAV | (36.1 | )% | 15.9 | % | ||||
Percentage change in benchmark | (35.0 | )% | 17.8 | % | ||||
Benchmark annualized volatility | 28.2 | % | 32.5 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,430,860 | $ | (437,530 | ) | |||
Management fee | 401,207 | 627,755 | ||||||
Brokerage commission | 30,191 | 58,291 | ||||||
Futures account fees | 33,287 | 46,394 | ||||||
Non-recurring fees and expenses | — | 2,050 | ||||||
Net realized gain (loss) | (35,008,564 | ) | 11,304,277 | |||||
Change in net unrealized appreciation (depreciation) | 3,841,900 | 6,887,044 | ||||||
Net Income (loss) | $ | (29,735,804 | ) | $ | 17,753,791 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 266,580,320 | $ | 269,703,164 | ||||
NAV end of period | $ | 211,604,428 | $ | 437,536,628 | ||||
Percentage change in NAV | (20.6 | )% | 62.2 | % | ||||
Shares outstanding beginning of period | 4,676,565 | 3,566,565 | ||||||
Shares outstanding end of period | 9,075,947 | 5,116,565 | ||||||
Percentage change in shares outstanding | 94.1 | % | 43.5 | % | ||||
Shares created | 9,235,000 | 7,180,000 | ||||||
Shares redeemed | 4,835,618 | 5,630,000 | ||||||
Per share NAV beginning of period | $ | 57.00 | $ | 75.62 | ||||
Per share NAV end of period | $ | 23.31 | $ | 85.51 | ||||
Percentage change in per share NAV | (59.1 | )% | 13.1 | % | ||||
Percentage change in benchmark | (58.4 | )% | 14.7 | % | ||||
Benchmark annualized volatility | 56.0 | % | 86.1 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 4,942,508 | $ | (1,545,500 | ) | |||
Management fee | 1,495,874 | 2,353,478 | ||||||
Brokerage commission | 250,314 | 490,751 | ||||||
Futures account fees | 143,501 | 371,384 | ||||||
Non-recurring fees and expenses | — | 8,700 | ||||||
Net realized gain (loss) | (228,286,648 | ) | 31,935,690 | |||||
Change in net unrealized appreciation (depreciation) | 21,667,964 | 84,851,343 | ||||||
Net Income (loss) | $ | (201,676,176 | ) | $ | 115,241,533 |
* |
10-Q
171
Item 3. Quantitative and Qualitative Disclosures About Market Risk. Quantitative Disclosure Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of ProShares Short VIX Short-Term Futures ETF As of
The one-half. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than a single day.ProShares Ultra Bloomberg Crude Oil: As of SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of
The each day period 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s third-party custodian.ProShares Ultra Bloomberg Natural Gas: As of
The each day period 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s third-party custodian.ProShares Ultra Euro: As of
174
The each day period 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s third-party custodian.ProShares Ultra Gold: As of SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of
The each day period 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s third-party custodian.ProShares Ultra Silver: As of SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of
The each day period 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s third-party custodian.176 ProShares Ultra VIX Short-Term Futures ETF As of
The one-half. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than a single day. ProShares Ultra Yen: As of
177
The each day period 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s third-party custodian.ProShares UltraShort Bloomberg Crude Oil: As of
The each day period 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s third-party custodian.ProShares UltraShort Bloomberg Natural Gas: As of
The each day period 10-K for additional information regarding performance for periods longer than a single day.ProShares UltraShort Euro: As of
179
The each day period 10-K for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s third-party custodian.ProShares UltraShort Gold: As of SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of
The each day period 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s third-party custodian.ProShares UltraShort Silver: As of SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of
The 181 adjust its positions in Financial Instruments each day period 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s third-party custodian.ProShares UltraShort Yen: As of
The each day period 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s third-party custodian.ProShares VIX Mid-Term Futures ETFAs of Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of
182
The each day 10-K for additional information regarding performance for periods longer than a single day.ProShares VIX Short-Term Futures ETF As of
The each day 10-K for additional information regarding performance for periods longer than a single day.183 Qualitative Disclosure As described in Item 7 in the Annual Report on Form 10-K, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, of its corresponding benchmark. Each Short Fund seeks daily investment results, before fees and expenses, that correspond toone-half the inverse(-0.5x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse(-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results, before fees and expenses, that correspond to one and one half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negativeone-half, one, one andone-half, two or three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than a single day.Primary Market Risk Exposure The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and long exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading strategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital. As described in Item 7 in the Annual Report on Form 10-K, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.Commodity Price Sensitivity As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 =-1% period benchmark return, thetwo-day period return for a theoreticaltwo-times fund would be equal to a (1.2*0.8)-1 =-4% period Fund return (rather than simply two times the period return of the benchmark).Exchange Rate Sensitivity As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect184 the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund. Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 =-1% period benchmark return, thetwo-day period return for a theoreticaltwo-times fund would be equal to a (1.2*0.8)-1 =-4% period Fund return (rather than simply two times the period return of the benchmark).Equity Market Volatility Sensitivity As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.Managing Market Risks Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-0.5x, -2x, 1.5x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times in “Note 2 —Significant Accounting Policies —Final Net Asset Value for Fiscal Period” ), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described in Item 7 of the Annual Report on Form10-K, these adjustments are done through the use of various Financial Instruments. Factors common to all Funds that may require portfoliore-positioning are creation/redemption activity and index rebalances.For Geared Funds, the impact of the index’s movements each day also affects whether the Fund’s portfolio needs to be rebalanced. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds and UltraShort Funds will generally decrease when the Index rises on a given day, to the extent there are not offsetting factors. As a result, the Fund’s short exposure may need to be decreased. As a result, the Fund’s short exposure may need to be increased. The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily. Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in both non-interest bearing and interest bearing demand deposit accounts. The Funds may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).Item 4. Controls and Procedures. Disclosure Controls and Procedures Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rules 13a-15(e) and15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of 185 Changes in Internal Control over Financial Reporting There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended Certifications The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.Part II. OTHER INFORMATION Item 1. Legal Proceedings. As of Item 1A. Risk Factors. Regulatory and exchange accountability levels may restrict the creation of Creation Units and the operation of the Trust Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the performance of its benchmark, and otherwise preventing a Fund from achieving its investment objective. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks The Additionally, public health issues, war (such as the war between Russia and Ukraine), military conflicts, sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant On February 24, 2022, Russia commenced a military attack on Ukraine. The ongoing The price of futures contracts can change quickly and without warning. If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment. Extreme market volatility and economic turbulence in the first part of 2020 has led to FCMs increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some FCMs may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts. If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure. The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations. 187 Natural Disasters and Public Health Disruptions, such as the COVID-19 Pandemic, May Have a Significant Negative Impact on the Performance of Each FundNatural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, COVID-19 including its variants), have been and may continue to be highly disruptive to economies and markets. These conditions have led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, civil unrest, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. To attempt to curb the spread ofCOVID-19, federal, state, and local governments introduced various forms of vaccine and mask mandates, lockdowns, curfews, and other policy initiatives. However, several of the federal mandates were rolled back or eliminated entirely due to actions taken within the courts. In response to COVID’s shock to the labor market and economy overall. The government drastically increased its federal spending for COVID-related relief packages, which came in the form of increases in unemployment insurance and stimulus packages. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability potential investment opportunities and accuracy of economic projections. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margins and collateral requirements in ways that have a significant negative impact on Fund performance r make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transaction on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.The outbreak of COVID-19 (including any variants), or any future epidemic or pandemic similar toCOVID-19, SARS, H1N1, or MERS, could have a significant adverse impact on the Funds and their investments, could adversely affect the Funds’ ability to fulfill its investment objectives, and could result in significant losses to the Funds. The extent of the impact of any outbreak on the performance of the Funds and their investments depend on many factors, including the duration and scope of such outbreak, the development and distribution of treatments and vaccines for viruses such asCOVID-19, the extent of any such outbreak’s disruption to importantglobal, regional and local supply chains and economic markets, and the impact of such outbreak on overall supply and demand, investor liquidity, consumer confidence and levels of economic activity, all of which are highly uncertain and cannot be predicted. Additionally, public health issues, war (such as the war between Russia and Ukraine), military conflicts, sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly. Item 2. Unregistered Sales of Equity Securities and Use of Proceeds. a) None. b) Not applicable. c) The Trust does not purchase shares directly from its shareholders. The following table summarizes the redemptions by Authorized Participants during the three months ended September 30, 2023:
189
Item 3. Defaults Upon Senior Securities. None. Item 4. Mine Safety Disclosures. Not applicable. Item 5. Other Information. No officers or trustees of the Trust have adopted, modified or terminated trading plans under either a Rule S-K under the Securities Act of 1933, as amended) for the three month period ended 190 Item 6. Exhibits.
Signatures Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
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